Re-entries in the ZEN, DAMPER and CURVATURE Credit spread strategies result in losses

[algodhan]

HAI,
Congrats to Stratzy team for making wonderful algos for users. I have one strong suggestion..Around 90% of the Re-entries in the ZEN, DAMPER and CURVATURE Credit spread strategies result in losses..If those re-entries are avoided, the overall performance of the strategies will improve.

When one side hits the stop-loss,the strategy immediately re-enters on the opposite side.However, if the market reverses,both sides eventually hit their stop-loss,resulting in a double SL. Based on the last one year’s data, more than 90% of these re-entries end up as double SLs.I suggest stopping the strategy after the first SL instead of taking a re-entry, as this could significantly improve the overall performance.

[jay.gori]

Hi @algodhan

A similar discussion around re-entries in Credit Spread Algos has already been addressed in one of our community threads, where we’ve shared our response on why the Algo behaves this way and the considerations behind the existing strategy logic.

I request you to please refer to the discussion here:

Huge Drawdown in Credit Spreads and Option Buying

Hi @Mohit_Pandit @Vishal_M Thank you for taking the time to share your observations. I’d like to highlight one important point. Suggestions around re-entries or multiple stop-losses are naturally influenced by the outcome of recent trades. If the same re-entry had resulted in a profitable trade, it’s quite possible that the discussion would have been different. This is why strategy decisions cannot be evaluated based on a few recent outcomes alone. It’s important to recognise that this is a …

Thank you once again for sharing your feedback.