This is the full report behind the multi-sleeve portfolio assembled in the research sprint: what each sleeve actually is, why it earns, what it costs to hedge, how the sleeves interact (full correlation matrix), how the DD-first book was selected, the complete week-by-week equity, the regime stress test, the Monte-Carlo, and what the external literature survey added. M2 model, 123 weeks (2024โ2026), weekly Friday grid. The honest caveats at the bottom matter โ read them before sizing anything.
Standalone stats are on the common 123-week grid (M2). 'Cost vs premium' is the structural answer to Sven's core question โ does the insurance cost less than the premium collected?
Structure: Sell a BTC put ~1% OTM at 20:00 UTC, expires next 08:00 UTC. Naked (no long leg) โ but the 1% OTM distance plus the ~12h tenor keeps the strike close to spot so the tail stays small. Harvests the overnight variance risk premium: implied overnight move > realized overnight move in every year 2021-26 (ratio 0.43-0.80).
Cost vs premium / why it earns: No hedge cost โ premium is kept in full when the put expires OTM (96% of nights at 3% OTM in the broader study; here 1% OTM for more premium). The 'insurance' is the short tenor itself: a bad night is bounded because the option only lives 12h. r/DD 19.0 standalone โ the single richest sleeve.
Structure: On every MA_CND_CROSS_H4 futures signal: buy a 28-day ATM call + put, sell a 14-day ATM call + put (a double calendar), hold ~13.5 days to the short expiry. Direction-neutral (we add both call and put calendars).
Cost vs premium / why it earns: Net DEBIT ~1-1.5% of notional = that IS the max loss (defined risk, no separate hedge needed). It profits when spot sits NEAR the entry strike at the short expiry. Mechanism (measured): 2 weeks after an MA_CND_CROSS entry BTC tends to revert toward the entry level (|move| 5.9% vs 7.3% blind) โ terminal pinning, harvested via the theta differential between the 14d (decays fast) and 28d (decays slow) legs. It is VEGA-LONG, so it is orthogonal to every short-vol sleeve (corr ~0) โ the reason it is the book's key diversifier.
Structure: Nikolay's EXPANSION_H4 trend algo on ETH futures, ATR-trailing stop. Goes long OR short. Not an option structure โ a directional futures sleeve.
Cost vs premium / why it earns: No option premium; the 'edge' is the trend premium. Included because it is near-zero correlated to the option sleeves and does well in the trending weeks where short-vol is flat โ it cuts the book's worst weeks.
Structure: ETH weekly: sell put -3% / buy put -8% (a put-credit-spread on the down side). Defined risk.
Cost vs premium / why it earns: Credit collected up front; max loss = strike width โ credit (~2-2.5% notional). The bought -8% put IS the insurance and it costs far less than the -3% premium collected โ positive carry. Fails only in a slow grind down that parks spot between the strikes โ a different failure mode than the BTC sleeves, hence decorrelated.
Structure: ETH weekly: sell call +3% / buy call +6%. Harvests the call-side premium.
Cost vs premium / why it earns: Net credit; max loss = 3-point width โ credit. The +6% long call caps the upside loss for far less than the +3% premium collected. The ADAPT_IC and CALLSPR sleeves are +0.65โฆ+0.83 correlated to each other (same short-call-vol bet) so the book keeps only ONE of them.
Structure: Sell a BTC put-credit-spread Friday (-5% / -8%), CLOSE it Wednesday 08:00 UTC instead of holding to expiry.
Cost vs premium / why it earns: Theta is ~77-80% earned by Wednesday while most of the late-week tail is still ahead โ early close keeps the premium and dodges the dangerous back half. Tiny standalone (r/DD 1.0) but NEGATIVELY correlated to the call-spreads (-0.27โฆ-0.33): when calls lose (rally) the puts win โ an equity-curve smoother.
Structure: Same as WEDPUT_BTC on ETH: sell put-spread Friday (-5%/-8%), close Wednesday 08:00.
Cost vs premium / why it earns: Same logic โ small standalone return, value is the negative correlation to the call side and to ASYM_E. A diversifier, not a return engine.
Green = decorrelated (|ฯ|<0.2, good diversifier), red = correlated (redundant). The book picks sleeves from DIFFERENT corner of this matrix.
| TREND | ON0DTE | BB_BTC | ASYM_E | ADAPT_IC | ADAPT_IC | CALLSPR_ | CALLSPR_ | WEDPUT_B | WEDPUT_E | CAL_BTC_ | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| TREND โ | +1.00 | -0.13 | +0.16 | +0.10 | +0.08 | -0.12 | +0.01 | -0.29 | +0.05 | +0.08 | +0.07 |
| ON0DTE โ | -0.13 | +1.00 | +0.18 | +0.08 | -0.17 | -0.00 | -0.24 | -0.15 | +0.28 | +0.31 | +0.15 |
| BB_BTC | +0.16 | +0.18 | +1.00 | +0.19 | +0.25 | +0.12 | +0.03 | -0.10 | -0.10 | +0.00 | +0.00 |
| ASYM_E โ | +0.10 | +0.08 | +0.19 | +1.00 | -0.12 | +0.03 | -0.17 | -0.18 | +0.20 | +0.23 | -0.09 |
| ADAPT_IC_BTC | +0.08 | -0.17 | +0.25 | -0.12 | +1.00 | +0.41 | +0.83 | +0.51 | -0.24 | -0.16 | +0.14 |
| ADAPT_IC_ETH | -0.12 | -0.00 | +0.12 | +0.03 | +0.41 | +1.00 | +0.29 | +0.60 | -0.03 | -0.09 | +0.21 |
| CALLSPR_BTC | +0.01 | -0.24 | +0.03 | -0.17 | +0.83 | +0.29 | +1.00 | +0.65 | -0.33 | -0.30 | +0.12 |
| CALLSPR_ETH โ | -0.29 | -0.15 | -0.10 | -0.18 | +0.51 | +0.60 | +0.65 | +1.00 | -0.27 | -0.32 | +0.18 |
| WEDPUT_BTC โ | +0.05 | +0.28 | -0.10 | +0.20 | -0.24 | -0.03 | -0.33 | -0.27 | +1.00 | +0.80 | -0.05 |
| WEDPUT_ETH โ | +0.08 | +0.31 | +0.00 | +0.23 | -0.16 | -0.09 | -0.30 | -0.32 | +0.80 | +1.00 | -0.04 |
| CAL_BTC_MA โ | +0.07 | +0.15 | +0.00 | -0.09 | +0.14 | +0.21 | +0.12 | +0.18 | -0.05 | -0.04 | +1.00 |
โ = in the book. Note the two clusters that are NOT both kept: ADAPT_IC โ CALLSPR (+0.65โฆ+0.83, same short-call bet โ keep one), and WEDPUT_BTC โ WEDPUT_ETH (+0.80, but both kept because they smooth two different asset books). CAL_BTC_MA's whole row is ~0 โ that is the diversifier the book is built around.
Start from the best single sleeve by r/DD, then repeatedly add the sleeve that most improves the COMBINED r/DD. The MaxDD falls at every step while return stays positive every year:
| step | add | combined r/DD | MaxDD | Total |
|---|---|---|---|---|
| 0 | ON0DTE | 19.0 | โ8.8 | +166 |
| 1 | + CAL_BTC_MA | 20.5 | โ8.2 | +168 |
| 2 | + TREND | 29.1 | โ4.8 | +140 |
| 3 | + ASYM_E | 32.1 | โ4.0 | +127 |
| 4 | + CALLSPR_ETH | 36.0 | โ2.9 | +104 |
| 5 | + WEDPUT_BTC | 36.8 | โ2.4 | +88 |
| 6 | + WEDPUT_ETH | 37.4 | โ2.0 | +76 |
Each sleeve added LOWERS total return (diluting the rich ON0DTE) but lowers MaxDD faster โ r/DD keeps climbing. This is the trade Sven wants: give up headline CAGR to buy a smoother curve. Sleeves NOT chosen: BB_BTC (redundant with ON0DTE), ADAPT_IC_BTC/ETH and CALLSPR_BTC (redundant with CALLSPR_ETH, and ADAPT_IC_BTC had a โ10.8 2024).
Every Friday cycle: BTC spot + 1-week ฮ, each sleeve's %, the equal-weight book %, and the running cumulative. Scroll โ this is the equity curve in numbers.
| Date | BTC | ฮ% | ON0DTE | CAL | TREND | ASYM_E | CALLce | WPbtc | WPeth | BOOK | CUM |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024-01-05 | 43,918 | +0.0 | +4.92 | +0.00 | +0.16 | +3.80 | -2.35 | +0.56 | +0.74 | +1.12 | +1.1 |
| 2024-01-12 | 45,862 | +4.4 | +2.07 | -0.67 | -1.37 | -0.46 | +0.87 | -1.59 | +0.23 | -0.13 | +1.0 |
| 2024-01-19 | 41,292 | -10.0 | +1.72 | +0.00 | +0.00 | -0.34 | +0.64 | +0.01 | -2.47 | -0.06 | +0.9 |
| 2024-01-26 | 40,134 | -2.8 | -0.38 | -2.01 | +6.51 | +2.27 | -0.87 | +0.27 | -0.71 | +0.73 | +1.6 |
| 2024-02-02 | 43,028 | +7.2 | +1.45 | +0.00 | -2.10 | +2.26 | -2.51 | +0.17 | -0.23 | -0.14 | +1.5 |
| 2024-02-09 | 46,650 | +8.4 | +2.81 | -3.63 | +3.25 | +2.51 | -2.35 | +0.34 | +0.30 | +0.46 | +2.0 |
| 2024-02-16 | 51,855 | +11.2 | +2.42 | +0.00 | +4.57 | +2.41 | -0.20 | +0.20 | +0.43 | +1.40 | +3.4 |
| 2024-02-23 | 50,966 | -1.7 | +3.62 | +0.00 | +1.14 | +2.30 | -2.54 | +0.23 | +0.40 | +0.73 | +4.1 |
| 2024-03-01 | 61,952 | +21.6 | +6.95 | +0.00 | +0.16 | +3.13 | -2.06 | +0.32 | +0.55 | +1.29 | +5.4 |
| 2024-03-08 | 67,249 | +8.6 | +9.05 | -1.02 | -2.27 | -0.80 | +1.01 | +0.41 | +0.57 | +0.99 | +6.4 |
| 2024-03-15 | 67,096 | -0.2 | +5.38 | +0.00 | +0.17 | -0.15 | +0.84 | -1.17 | -1.80 | +0.47 | +6.9 |
| 2024-03-22 | 65,864 | -1.8 | +8.93 | +0.00 | +0.45 | -1.90 | +0.85 | +0.43 | +0.41 | +1.31 | +8.2 |
| 2024-03-29 | 69,974 | +6.2 | +3.28 | +16.57 | -0.53 | -0.80 | +0.86 | -0.66 | -0.41 | +2.62 | +10.8 |
| 2024-04-05 | 67,158 | -4.0 | +7.99 | +4.22 | +0.97 | +3.70 | -2.07 | +0.29 | +0.56 | +2.24 | +13.0 |
| 2024-04-12 | 70,790 | +5.4 | +8.34 | +9.15 | +1.78 | -2.21 | +0.86 | -2.05 | -2.04 | +1.97 | +15.0 |
| 2024-04-19 | 64,628 | -8.7 | +5.98 | +3.73 | -1.04 | +3.68 | +1.01 | +0.24 | +0.52 | +2.02 | +17.0 |
| 2024-04-26 | 64,412 | -0.3 | +0.02 | +1.63 | -1.04 | -0.57 | +0.97 | -1.95 | -1.19 | -0.30 | +16.7 |
| 2024-05-03 | 59,218 | -8.1 | +1.80 | +4.66 | +0.00 | +3.09 | +1.01 | +0.54 | +0.46 | +1.65 | +18.4 |
| 2024-05-10 | 63,050 | +6.5 | +1.90 | +0.00 | -3.19 | -0.38 | +0.96 | +0.03 | -0.24 | -0.13 | +18.2 |
| 2024-05-17 | 66,140 | +4.9 | +3.30 | +5.77 | +12.82 | +3.41 | -1.76 | +0.32 | +0.71 | +3.51 | +21.7 |
| 2024-05-24 | 67,205 | +1.6 | +0.59 | -1.88 | -3.02 | +3.13 | +1.01 | +0.31 | +0.61 | +0.11 | +21.9 |
| 2024-05-31 | 68,138 | +1.4 | +3.14 | +0.00 | -1.90 | +3.32 | +0.78 | +0.38 | +0.51 | +0.89 | +22.7 |
| 2024-06-07 | 71,130 | +4.4 | +0.81 | +2.61 | -0.99 | -0.12 | +0.95 | -0.77 | -1.37 | +0.16 | +22.9 |
| 2024-06-14 | 67,144 | -5.6 | +1.76 | +1.11 | +1.91 | -0.04 | +0.85 | -0.13 | +0.32 | +0.82 | +23.7 |
| 2024-06-21 | 63,638 | -5.2 | +0.17 | -7.39 | +0.00 | -0.77 | +0.81 | -0.04 | +0.16 | -1.01 | +22.7 |
| 2024-06-28 | 61,482 | -3.4 | -6.25 | +0.00 | -0.90 | -0.71 | +0.65 | +0.16 | -0.01 | -1.01 | +21.7 |
| 2024-07-05 | 54,086 | -12.0 | +0.38 | +0.00 | +0.17 | +3.43 | -1.90 | +0.26 | +0.50 | +0.41 | +22.1 |
| 2024-07-12 | 57,322 | +6.0 | +2.77 | +0.00 | +3.89 | +2.61 | -2.51 | +0.16 | +0.49 | +1.06 | +23.2 |
| 2024-07-19 | 63,822 | +11.3 | +1.53 | +0.00 | -2.08 | -1.54 | +0.85 | +0.25 | +0.50 | -0.07 | +23.1 |
| 2024-07-26 | 67,106 | +5.1 | +1.06 | -1.14 | +0.46 | -0.69 | +0.90 | +0.28 | +0.55 | +0.20 | +23.3 |
| 2024-08-02 | 64,594 | -3.7 | -7.46 | +0.00 | +7.93 | -0.88 | +0.75 | -2.16 | -2.69 | -0.64 | +22.7 |
| 2024-08-09 | 61,094 | -5.4 | +2.12 | -0.73 | +0.36 | -0.37 | +0.84 | +0.40 | +0.64 | +0.47 | +23.1 |
| 2024-08-16 | 58,362 | -4.5 | +1.72 | +0.00 | +0.00 | +3.12 | +0.82 | +0.10 | +0.32 | +0.87 | +24.0 |
| 2024-08-23 | 61,314 | +5.1 | -1.63 | +3.02 | +2.82 | -0.13 | +0.85 | +0.02 | -1.61 | +0.48 | +24.5 |
| 2024-08-30 | 59,448 | -3.0 | +0.86 | +10.71 | +2.61 | -0.69 | +0.85 | -0.17 | -0.43 | +1.96 | +26.4 |
| 2024-09-06 | 55,781 | -6.2 | +3.36 | +5.84 | -1.06 | -1.16 | +0.89 | +0.40 | +0.37 | +1.23 | +27.7 |
| 2024-09-13 | 57,963 | +3.9 | +1.79 | +0.00 | -0.81 | +3.08 | -1.53 | +0.55 | +0.39 | +0.50 | +28.2 |
| 2024-09-20 | 63,311 | +9.2 | +2.95 | +0.13 | +1.17 | +3.05 | -0.80 | +0.40 | +0.55 | +1.06 | +29.2 |
| 2024-09-27 | 65,730 | +3.8 | +2.12 | -0.89 | +0.61 | -0.62 | +0.81 | -0.63 | -0.87 | +0.08 | +29.3 |
| 2024-10-04 | 61,450 | -6.5 | +2.44 | +0.00 | -1.92 | +3.33 | +0.93 | +0.17 | +0.29 | +0.75 | +30.1 |
| 2024-10-11 | 60,669 | -1.3 | +2.84 | +1.35 | -2.10 | +3.39 | -2.21 | +0.61 | +0.63 | +0.64 | +30.7 |
| 2024-10-18 | 67,927 | +12.0 | +2.93 | -0.58 | +1.34 | -0.74 | +0.64 | +0.20 | +0.06 | +0.55 | +31.2 |
| 2024-10-25 | 67,670 | -0.4 | +3.64 | +1.48 | +3.20 | +3.11 | +0.83 | +0.46 | +0.58 | +1.90 | +33.2 |
| 2024-11-01 | 69,375 | +2.5 | +3.08 | +0.08 | +2.19 | -17.69 | -2.12 | +0.29 | +0.61 | -1.93 | +31.2 |
| 2024-11-08 | 75,822 | +9.3 | +0.54 | +0.00 | +2.64 | +2.74 | -2.41 | +0.41 | +0.42 | +0.62 | +31.8 |
| 2024-11-15 | 88,101 | +16.2 | +3.62 | -4.48 | -1.06 | +3.13 | -1.75 | +0.48 | +0.50 | +0.06 | +31.9 |
| 2024-11-22 | 98,880 | +12.2 | +3.73 | +0.00 | +1.57 | +3.52 | -1.92 | -0.67 | +0.53 | +0.97 | +32.9 |
| 2024-11-29 | 96,000 | -2.9 | +3.57 | +0.00 | -1.91 | +3.57 | -1.91 | +0.37 | +0.66 | +0.62 | +33.5 |
| 2024-12-06 | 98,342 | +2.4 | +2.77 | +7.17 | -0.85 | -1.37 | +0.97 | +0.23 | -0.27 | +1.24 | +34.7 |
| 2024-12-13 | 100,273 | +2.0 | +2.33 | +2.68 | -2.96 | -1.05 | +0.78 | +0.47 | +0.22 | +0.35 | +35.1 |
| 2024-12-20 | 95,493 | -4.8 | +4.02 | +12.00 | +2.13 | -4.12 | +0.90 | +0.22 | +0.59 | +2.25 | +37.3 |
| 2024-12-27 | 95,729 | +0.2 | +4.67 | +4.42 | +0.00 | +3.73 | +0.96 | +0.04 | +0.41 | +2.03 | +39.4 |
| 2025-01-03 | 96,144 | +0.4 | +3.17 | +6.52 | +0.85 | -1.34 | +0.89 | +0.29 | +0.20 | +1.51 | +40.9 |
| 2025-01-10 | 94,670 | -1.5 | +3.66 | +3.68 | -2.09 | -4.05 | +0.63 | +0.15 | +0.04 | +0.29 | +41.2 |
| 2025-01-17 | 102,140 | +7.9 | -0.03 | +6.53 | +0.41 | -0.09 | +0.95 | -0.15 | -0.02 | +1.09 | +42.2 |
| 2025-01-24 | 105,492 | +3.3 | -2.52 | +2.11 | +0.00 | -0.26 | +0.88 | +0.09 | -1.11 | -0.11 | +42.1 |
| 2025-01-31 | 104,012 | -1.4 | -3.11 | +0.00 | +0.56 | -0.05 | +0.93 | -0.88 | -2.36 | -0.70 | +41.4 |
| 2025-02-07 | 97,032 | -6.7 | +2.48 | +4.27 | +3.11 | -1.67 | +1.09 | +0.36 | -0.20 | +1.35 | +42.8 |
| 2025-02-14 | 96,889 | -0.1 | +2.36 | +1.72 | +0.00 | +3.36 | +1.10 | +0.25 | +0.36 | +1.31 | +44.1 |
| 2025-02-21 | 98,209 | +1.4 | -6.32 | +0.00 | -1.84 | -0.56 | +1.07 | -2.13 | -2.30 | -1.73 | +42.4 |
| 2025-02-28 | 78,980 | -19.6 | +1.01 | -1.20 | -0.67 | +3.39 | +0.63 | +0.55 | +0.71 | +0.63 | +43.0 |
| 2025-03-07 | 88,362 | +11.9 | +2.36 | +0.00 | -1.87 | -0.03 | +0.99 | -1.05 | -2.25 | -0.27 | +42.7 |
| 2025-03-14 | 82,592 | -6.5 | +1.27 | -4.95 | -1.10 | +3.40 | -0.47 | +0.30 | +0.50 | -0.15 | +42.6 |
| 2025-03-21 | 84,018 | +1.7 | +0.26 | +0.00 | +0.97 | +0.73 | +1.13 | +0.48 | +0.52 | +0.58 | +43.2 |
| 2025-03-28 | 85,220 | +1.4 | -0.62 | +7.15 | +3.36 | -0.84 | +0.72 | +0.33 | +0.16 | +1.47 | +44.6 |
| 2025-04-04 | 84,418 | -0.9 | -1.99 | +2.26 | -0.68 | -0.80 | +1.19 | -1.16 | -2.21 | -0.48 | +44.1 |
| 2025-04-11 | 81,636 | -3.3 | +2.56 | +9.86 | +0.08 | +3.82 | +0.96 | +0.56 | +0.50 | +2.62 | +46.8 |
| 2025-04-18 | 84,656 | +3.7 | +1.45 | -1.64 | +0.00 | +3.09 | -2.16 | +0.32 | +0.57 | +0.23 | +47.0 |
| 2025-04-25 | 93,660 | +10.6 | +1.84 | -3.10 | +3.19 | +3.26 | +0.90 | +0.31 | +0.51 | +0.99 | +48.0 |
| 2025-05-02 | 96,596 | +3.1 | +1.34 | +0.00 | +0.15 | +2.90 | -1.91 | +0.25 | +0.40 | +0.45 | +48.4 |
| 2025-05-09 | 102,948 | +6.6 | +1.22 | +0.00 | +0.74 | -7.44 | -2.11 | +0.36 | +0.66 | -0.94 | +47.5 |
| 2025-05-16 | 103,368 | +0.4 | +1.64 | -1.40 | -1.17 | -4.65 | +0.18 | +0.32 | +0.10 | -0.71 | +46.8 |
| 2025-05-23 | 110,880 | +7.3 | +1.27 | +0.00 | +0.38 | -0.31 | +0.86 | +0.28 | +0.43 | +0.41 | +47.2 |
| 2025-05-30 | 105,131 | -5.2 | +1.49 | +0.00 | +0.83 | -0.59 | +0.86 | +0.30 | +0.51 | +0.49 | +47.7 |
| 2025-06-06 | 103,452 | -1.6 | +0.01 | +0.00 | -1.97 | +3.66 | +0.99 | +0.33 | +0.41 | +0.49 | +48.2 |
| 2025-06-13 | 104,670 | +1.2 | +0.51 | +5.11 | -1.04 | +3.53 | +0.88 | +0.27 | +0.41 | +1.38 | +49.6 |
| 2025-06-20 | 105,901 | +1.2 | +1.24 | +3.09 | -0.28 | -1.36 | +0.93 | +0.39 | -0.25 | +0.54 | +50.1 |
| 2025-06-27 | 106,955 | +1.0 | +0.91 | +7.06 | -1.04 | +3.01 | +0.01 | +0.31 | +0.33 | +1.51 | +51.6 |
| 2025-07-04 | 108,706 | +1.6 | +1.01 | +2.65 | +1.14 | +3.05 | -2.10 | +0.25 | +0.43 | +0.92 | +52.5 |
| 2025-07-11 | 117,970 | +8.5 | -0.80 | -2.70 | +7.03 | +3.41 | -1.77 | +0.27 | +0.51 | +0.85 | +53.4 |
| 2025-07-18 | 118,692 | +0.6 | -1.12 | +0.00 | +4.58 | +3.37 | +0.78 | +0.29 | +0.44 | +1.19 | +54.6 |
| 2025-07-25 | 115,234 | -2.9 | +0.34 | +0.00 | -1.04 | +2.13 | +0.80 | +0.29 | +0.54 | +0.44 | +55.0 |
| 2025-08-01 | 114,575 | -0.6 | +0.92 | +0.00 | +0.17 | -8.73 | -1.98 | +0.27 | +0.38 | -1.28 | +53.7 |
| 2025-08-08 | 116,576 | +1.7 | +0.79 | +3.63 | +9.42 | +3.17 | -1.83 | +0.22 | +0.66 | +2.30 | +56.0 |
| 2025-08-15 | 118,867 | +2.0 | +0.17 | +1.21 | -1.92 | -0.90 | +0.95 | -0.21 | -1.26 | -0.28 | +55.7 |
| 2025-08-22 | 112,946 | -5.0 | +0.09 | -0.76 | +1.99 | +3.84 | +0.92 | +0.18 | +0.55 | +0.97 | +56.7 |
| 2025-08-29 | 109,565 | -3.0 | +0.62 | -1.10 | -1.03 | +3.75 | +0.86 | +0.30 | +0.33 | +0.53 | +57.2 |
| 2025-09-05 | 112,589 | +2.8 | +0.83 | -0.16 | +0.00 | +3.42 | +1.01 | +0.23 | +0.21 | +0.79 | +58.0 |
| 2025-09-12 | 115,011 | +2.2 | +1.14 | +0.66 | -0.94 | +3.27 | +0.96 | +0.19 | +0.42 | +0.82 | +58.9 |
| 2025-09-19 | 116,863 | +1.6 | -0.71 | +4.60 | -2.08 | -0.83 | +0.79 | -0.12 | -1.21 | +0.06 | +58.9 |
| 2025-09-26 | 109,514 | -6.3 | +0.68 | +0.00 | +6.11 | +3.37 | -2.26 | +0.31 | +0.53 | +1.25 | +60.2 |
| 2025-10-03 | 120,021 | +9.6 | +0.50 | -2.83 | +5.34 | -0.63 | +0.82 | +0.36 | +0.46 | +0.57 | +60.7 |
| 2025-10-10 | 121,566 | +1.3 | -6.57 | +6.25 | -0.14 | -1.91 | +0.84 | -1.17 | -0.17 | -0.41 | +60.3 |
| 2025-10-17 | 104,829 | -13.8 | -2.08 | +0.00 | -0.86 | +3.76 | -1.87 | +0.55 | +0.63 | +0.02 | +60.3 |
| 2025-10-24 | 111,062 | +5.9 | +1.14 | +2.60 | -1.02 | -0.83 | +0.95 | +0.38 | +0.55 | +0.54 | +60.9 |
| 2025-10-31 | 110,020 | -0.9 | -1.26 | +0.00 | -0.66 | -0.11 | +0.75 | -1.88 | -1.96 | -0.73 | +60.2 |
| 2025-11-07 | 101,462 | -7.8 | +0.70 | -4.32 | -1.48 | -0.24 | +0.89 | +0.42 | +0.56 | -0.50 | +59.7 |
| 2025-11-14 | 97,329 | -4.1 | -0.63 | -2.03 | -2.05 | -0.56 | +0.95 | -0.57 | -0.25 | -0.74 | +58.9 |
| 2025-11-21 | 83,608 | -14.1 | +2.46 | +0.00 | +4.89 | +3.65 | -1.91 | +0.40 | +0.47 | +1.42 | +60.3 |
| 2025-11-28 | 91,637 | +9.6 | -1.86 | +0.00 | +1.21 | -6.75 | +0.90 | +0.42 | +0.41 | -0.81 | +59.5 |
| 2025-12-05 | 92,072 | +0.5 | -0.35 | +2.59 | +5.10 | -3.32 | +0.90 | +0.23 | +0.56 | +0.82 | +60.4 |
| 2025-12-12 | 92,304 | +0.3 | +1.97 | +0.00 | +0.19 | -1.61 | +0.86 | -1.25 | -1.79 | -0.23 | +60.1 |
| 2025-12-19 | 88,054 | -4.6 | +1.66 | +5.39 | -0.47 | +3.05 | +0.72 | +0.28 | +0.26 | +1.55 | +61.7 |
| 2025-12-26 | 88,699 | +0.7 | +1.64 | +2.66 | +0.00 | +3.24 | +0.98 | +0.24 | +0.46 | +1.32 | +63.0 |
| 2026-01-02 | 89,139 | +0.5 | +1.25 | +7.37 | +5.43 | +2.62 | +0.58 | +0.37 | +0.36 | +2.57 | +65.6 |
| 2026-01-09 | 89,994 | +1.0 | +1.56 | +3.06 | +0.00 | +2.60 | -2.51 | +0.23 | +0.52 | +0.78 | +66.3 |
| 2026-01-16 | 95,629 | +6.3 | -1.20 | +0.00 | +1.50 | -0.17 | +0.79 | -1.38 | -2.24 | -0.39 | +65.9 |
| 2026-01-23 | 89,166 | -6.8 | +0.64 | +0.00 | +0.21 | -1.10 | +0.61 | +0.29 | +0.31 | +0.14 | +66.1 |
| 2026-01-30 | 82,624 | -7.3 | -0.27 | -4.63 | +0.00 | -0.15 | +0.78 | -1.04 | -2.17 | -1.07 | +65.0 |
| 2026-02-06 | 64,860 | -21.5 | -3.27 | +0.00 | +13.81 | +3.41 | -0.99 | +0.45 | +0.73 | +2.02 | +67.0 |
| 2026-02-13 | 66,670 | +2.8 | +2.13 | +0.00 | -0.86 | +3.25 | +0.72 | +0.41 | +0.47 | +0.87 | +67.9 |
| 2026-02-20 | 67,852 | +1.8 | -0.15 | +0.00 | -2.09 | -5.83 | +0.32 | +0.02 | +0.10 | -1.09 | +66.8 |
| 2026-02-27 | 67,900 | +0.1 | -0.26 | +0.00 | -0.23 | -3.26 | +0.71 | +0.62 | +0.36 | -0.29 | +66.5 |
| 2026-03-06 | 70,756 | +4.2 | +2.78 | +12.65 | +1.18 | -2.39 | +1.16 | +0.19 | +0.04 | +2.23 | +68.8 |
| 2026-03-13 | 71,795 | +1.5 | +2.33 | +2.17 | +4.51 | +3.36 | +0.54 | +0.42 | +0.80 | +2.02 | +70.8 |
| 2026-03-20 | 71,011 | -1.1 | +0.99 | +5.47 | -1.02 | -0.19 | +1.07 | +0.31 | +0.37 | +1.00 | +71.8 |
| 2026-03-27 | 67,874 | -4.4 | +2.02 | +0.46 | -0.73 | +3.41 | +1.15 | +0.37 | +0.72 | +1.06 | +72.8 |
| 2026-04-03 | 66,941 | -1.4 | +1.13 | +6.59 | -1.04 | +3.22 | -1.72 | +0.44 | +0.50 | +1.30 | +74.1 |
| 2026-04-10 | 71,581 | +6.9 | -0.35 | +0.00 | +2.40 | +3.23 | -2.45 | +0.34 | +0.64 | +0.54 | +74.7 |
| 2026-04-17 | 75,739 | +5.8 | +1.41 | -3.05 | -2.06 | -0.08 | +0.91 | +0.25 | +0.32 | -0.33 | +74.4 |
| 2026-04-24 | 77,746 | +2.6 | +1.76 | +0.00 | -2.11 | +2.53 | +0.98 | +0.15 | +0.50 | +0.55 | +74.9 |
| 2026-05-01 | 77,326 | -0.5 | +1.36 | +0.00 | -2.78 | +2.48 | +0.81 | +0.25 | +0.53 | +0.38 | +75.3 |
| 2026-05-08 | 79,850 | +3.3 | +0.28 | -0.35 | -0.98 | +1.85 | +0.76 | +0.33 | +0.44 | +0.33 | +75.6 |
| BTC 4wk regime | weeks | mean/wk | total | worst | win% | regime DD |
|---|---|---|---|---|---|---|
| Bull | 35 | +0.491 | +17.2 | -1.93 | 80 | -1.9 |
| Bear | 22 | +0.322 | +7.1 | -1.09 | 59 | -1.4 |
| Chop | 66 | +0.778 | +51.3 | -1.73 | 77 | -1.7 |
| ALL | 123 | +0.615 | +75.6 | -1.93 | 75 | -2.0 |
Positive mean/week in ALL three regimes, and the BEAR regime has the SMALLEST worst week (โ1.09%) โ the book does not blow up in a crash, it just earns less. Chop is best (short-vol's home turf). This is the market-neutrality test, passed.
| book | 1yr MaxDD median | p95 | p99 | year median | P(losing year) |
|---|---|---|---|---|---|
| equal-weight | โ2.0% | โ3.3% | โ4.0% | +32% | 0% |
| inverse-vol (conservative) | โ1.7% | โ2.8% | โ3.6% | +17% | 0% |
A deep-research pass (academic + practitioner) on options-selling. It confirmed the whole approach: the variance risk premium lives at the short end of the curve (validates 0DTE/weekly), decorrelation is the documented drawdown reducer (AQR), near-money/expensive hedges are inefficient (Israelov 'Pathetic Protection'), and adding ATM wings or swapping straddleโstrangle does NOT reduce downside per unit of exposure. It also killed two ideas we then tested empirically and confirmed dead: (a) a cheap far-OTM convex put tail-hedge โ does not transfer because the crypto weekly tail is two-sided (BTC: 13 of the 20 worst weeks were UP-moves), so a put hedges one side and bleeds; our futures-stop@breakeven dominates (+130.7/โ18.1 vs +57/โ27). (b) a variance-swap-strip sleeve โ it is just another short-vol exposure (corr +0.3 to the book), not the diversifier the equity paper implied. Net: the survey produced no idea that beats what we already have; the one genuine diversifier (the calendar) is our own.
Sources: run_grand_portfolio.py, run_grand_mc.py,
run_sprint_*.py, full log SPRINT_LOG.md. Companion external survey: task wvjuftzw2.