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Systematic.
Trading Strategies
Systematic.
Reproducible.
Backtested with strict walk‑forward out‑of‑sample validation. Full research papers, threshold sensitivity sweeps, and reproducible code — not slide‑deck Sharpe ratios.
01 · Options · SPY
RGVH — Regime‑Gated Vol Harvester
A short‑volatility strategy on SPY ATM straddles, gated by three independent macro/market regime filters. Net Sharpe 3.38 across a 12.15‑year strict walk‑forward OOS window, net of bid‑ask, commissions, and delta‑hedge slippage.
Net Sharpe
3.38
CAGR (PM)
20.1%
Max DD
−7.8%
Hit Rate
68.3%
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Paper (PDF)
Source
More strategies in development
TLT bond‑vol harvest · Cross‑asset overlays · Tail‑hedged variants