- options_real_quote_check.py: fetches real weekly BTC put chain, measures premium
haircut (bid vs BS@DVOL-ATM), re-runs CSP sleeve with real haircut
- KEY FINDING (reverses a prior critique): backtest UNDER-prices the OTM put by using
ATM DVOL; real skew (+28% gross) exceeds the ~4% bid/ask spread -> real bid premium
= 1.29x modeled. Sleeve premium is conservative at current (calm) quotes.
- Real risk SHIFTS to the tail + roll-liquidity in stress (skew = market pricing fat
tail), not premium magnitude. Breakpoint: sleeve dies below ~70% premium capture.
- updated eval diary with the verification
- trackH volume_vol: no uncorrelated additive edge; profitable signals are trend-in-disguise
(corr 0.6-0.75); MR/declining-volume fade dead even at fee 0; OBV-up filter is a defensive
DD overlay only (13.3->10.1% DD but -CAGR), not new alpha
- trackI momentum/reversal: no formulation beats 1-3-6m sign-blend OOS on both assets;
z-score continuous momentum = same edge (corr 0.96), lower DD 8.4% but lower CAGR;
long-horizon reversal not bankable (negative/flat standalone). ~1.3 Sharpe ceiling holds.
- TP01 (12h sign-blend) remains the deployable winner
- combination study: PORT LF4h (BTC+ETH) Sharpe 1.32 DD 12.3% remains best
- RV ETH/BTC market-neutral sleeve is genuinely uncorrelated (~0.05) but too weak
(Sharpe 0.27) to raise portfolio Sharpe; combining the two TF configs is redundant
(same-asset cross-config corr 0.80)
- trackD_timing.py: same TSMOM 1-3-6m blend config sampled at 15m/1h/4h/1d
- robust plateau across all TFs; 4h marginally best (LF Sharpe 1.36, DD 13.8%)
- per-year PnL and per-year max drawdown tables
- trackA trend, trackB ML, trackC mean-rev, trackD trend-portfolio, trackE xsec/ensemble
- VERDICT: Track D vol-targeted BTC+ETH trend portfolio is the one robust deployable
earner (Sharpe 1.0-1.32, DD 13-19%, positive every year 2019-2026)
- mean-reversion confirmed dead on clean data; weak-but-real ML/trend residuals
- honest: EUR50/day on 2000 in 1-2y is not reachable (needs ~137k capital or ruinous DD)
Adriano