Library Long Options
Library algos (Donchian/KAMA/CUSUM) trigger long-call or long-put trades depending on signal direction.
Long-signal → buy call. Short-signal → buy put. Both are long-option positions (debit, you pay premium).
Slices: allday, weekend (Fri 20:00 → Mon 08:00 UTC),
night (22:00 → 08:00 UTC any day). Cheap-Vol filter: DVOL/RV < 1.0.
📊 Top 25 Variants — ranked by Tardis Real-Mark Total %
Sortiert nach Real-Mark Total % (= compoundete Return über die 16-Wochen Tardis-Validation).
Tardis-Sample umfasst ~4 Monate → "6m" und "12m" Real wären identisch (alle Trades fallen in beide Slices),
daher nur EIN Tardis-Real-Column gezeigt. M2 6m/12m sind legitime Slices über die volle 2-Jahres-Library-History.
⚠️ Wichtig: Real-Mark Total ist über NUR 4 Monate. Annualisieren ist mathematisch erlaubt aber statistisch unrealistisch
wegen kleinem N. Verwende es als Indikator, nicht Headline-Erwartung. Walk-Forward Paper-Trading ist die echte Validation.
| Algo |
Window |
Variant |
Tardis Real-Mark (4 months) |
M2 All-Time (2 years) |
M2 last 12m |
M2 last 6m |
| n |
Total% |
Win% |
Max DD |
n |
Total% |
Win% |
Max DD |
n |
Total% |
n |
Total% |
| kama BTC 4h | allday | All-Day 1% ITM | 96 | +6.1% | 35% | -2.03% | 757 | -22.5% | 32% | -25.71% | 329 | -6.4% | 157 | -3.5% |
| kama BTC 4h | allday | All-Day 1% ITM 🟢 | 22 | +4.3% | 45% | -0.73% | 242 | -1.7% | 36% | -8.05% | 76 | +3.2% | 39 | +1.7% |
| CUSUM(2pct) ETH 4h | allday | All-Day 1% ITM 🟢 | 57 | +2.7% | 33% | -1.78% | 584 | +50.2% | 30% | -11.80% | 186 | +1.1% | 77 | +7.2% |
| kama BTC 4h | night | Night ATM 🟢 | 3 | +0.3% | 33% | -0.58% | 68 | -3.8% | 15% | -9.53% | 22 | +1.5% | 9 | +0.3% |
| kama BTC 4h | allday | All-Day ATM 🟢 | 22 | +0.2% | 27% | -2.52% | 242 | -4.1% | 26% | -13.67% | 76 | +4.8% | 39 | -1.3% |
| Donchian(20) BTC 4h | allday | All-Day 1% ITM 🟢 | 21 | -0.0% | 24% | -1.46% | 123 | +4.1% | 35% | -3.66% | 49 | +1.5% | 29 | -0.6% |
| kama BTC 4h | weekend | Weekend ATM 🟢 | 8 | -0.1% | 25% | -1.64% | 74 | -7.1% | 23% | -7.47% | 25 | -3.5% | 11 | -2.6% |
| kama BTC 4h | night | Night 1% OTM 🟢 | 3 | -0.1% | 33% | -0.33% | 68 | -7.1% | 9% | -11.60% | 22 | -1.9% | 9 | +0.3% |
| CUSUM(2pct) ETH 4h | weekend | Weekend ATM 🟢 | 22 | -0.5% | 32% | -1.26% | 182 | +181.8% | 30% | -5.72% | 59 | +8.3% | 23 | +6.8% |
| Donchian(20) BTC 4h | night | Night 1% OTM 🟢 | 5 | -0.6% | 20% | -0.76% | 35 | -1.5% | 14% | -3.89% | 13 | -2.3% | 7 | -2.5% |
| kama BTC 4h | allday | All-Day 2% OTM 🟢 | 20 | -0.6% | 20% | -1.69% | 242 | -7.6% | 16% | -16.13% | 76 | -5.8% | 39 | -3.9% |
| CUSUM(2pct) ETH 4h | allday | All-Day ATM 🟢 | 57 | -0.8% | 33% | -2.97% | 584 | +265.9% | 27% | -11.69% | 186 | +9.0% | 77 | +13.9% |
| kama BTC 4h | weekend | Weekend 1% OTM 🟢 | 8 | -0.8% | 25% | -1.26% | 74 | -8.8% | 16% | -9.91% | 25 | -4.4% | 11 | -3.1% |
| CUSUM(2pct) ETH 4h | weekend | Weekend 1% OTM 🟢 | 22 | -0.9% | 32% | -1.80% | 182 | +355.4% | 26% | -6.26% | 59 | +11.1% | 23 | +7.2% |
| Donchian(20) BTC 4h | night | Night ATM 🟢 | 5 | -0.9% | 0% | -0.92% | 35 | +1.6% | 23% | -2.44% | 13 | +0.1% | 7 | -2.2% |
| kama BTC 4h | allday | All-Day 1% OTM 🟢 | 22 | -1.5% | 27% | -2.31% | 242 | -8.3% | 19% | -16.25% | 76 | +0.6% | 39 | -2.2% |
| Donchian(20) BTC 4h | weekend | Weekend 1% OTM 🟢 | 6 | -1.6% | 0% | -1.63% | 37 | +8.0% | 30% | -2.41% | 10 | +0.7% | 6 | -1.7% |
| Donchian(20) BTC 4h | weekend | Weekend ATM 🟢 | 6 | -1.6% | 0% | -1.64% | 37 | +7.0% | 35% | -2.26% | 10 | +0.9% | 6 | -1.4% |
| kama BTC 4h | weekend | Weekend ATM | 40 | -1.9% | 25% | -3.07% | 238 | -24.3% | 18% | -24.35% | 112 | -12.0% | 55 | -8.4% |
| CUSUM(2pct) ETH 4h | night | Night ATM 🟢 | 16 | -2.1% | 19% | -2.11% | 170 | +153.3% | 23% | -6.57% | 51 | +9.9% | 21 | +6.1% |
| CUSUM(2pct) ETH 4h | allday | All-Day 1% OTM 🟢 | 57 | -2.6% | 30% | -3.64% | 584 | +758.9% | 23% | -10.04% | 186 | +14.7% | 77 | +14.2% |
| kama BTC 4h | night | Night ATM | 29 | -2.7% | 14% | -2.75% | 225 | -21.6% | 14% | -22.34% | 100 | -4.3% | 54 | -7.5% |
| CUSUM(2pct) ETH 4h | night | Night 1% OTM 🟢 | 16 | -2.9% | 12% | -2.86% | 170 | +420.4% | 18% | -6.69% | 51 | +11.5% | 21 | +5.7% |
| Donchian(20) BTC 4h | allday | All-Day 2% OTM 🟢 | 21 | -2.9% | 29% | -3.04% | 123 | +1.8% | 19% | -7.78% | 49 | -5.8% | 29 | -2.2% |
| kama BTC 4h | allday | All-Day ATM | 96 | -3.1% | 28% | -3.66% | 757 | -35.2% | 22% | -37.70% | 329 | -8.2% | 157 | -8.9% |
What N means:
- Library full history (e.g. Donchian: 567 trades) — across all years the algo was backtested in the lab. NOT shown here, since the option chain doesn't cover that range.
- Tardis window total (e.g. Donchian 64 signals) — entries that fell inside our 16-week option-chain window (2026-01-22 → 2026-05-23). This is the maximum usable for any variant.
- Variant n (e.g.
night-atm-cheapvol n=5) — Tardis-window signals that also pass the time-window filter (allday/weekend/night) AND the cheap-vol filter.
⚠️ n < 20 is statistically noisy. n < 10 is a directional hint, not proof.
For statistical significance: extend Tardis window to 6-12 months OR use library's own full-history Sharpe (already validated by Sven's quant team).
Per-Algo Breakdown
Donchian(20)
BTC 4h · library Sharpe 14.23
481 signal entries in Tardis window. Ranked by Real-Mark CAGR.
allday window — 8 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-donchian-btc-4h-allday-1otm | All-Day 1% OTM | 481 | +5.61% | -11.73% | 19% |
| lib-opts-paper-fut-donchian-btc-4h-allday-atm-cheapvol | All-Day ATM + Cheap-Vol | 123 | +3.40% | -4.42% | 28% |
| lib-opts-paper-fut-donchian-btc-4h-allday-1otm-cheapvol | All-Day 1% OTM + Cheap-Vol | 123 | +2.24% | -5.93% | 23% |
| lib-opts-paper-fut-donchian-btc-4h-allday-1itm-cheapvol | All-Day 1% ITM + Cheap-Vol | 123 | +1.85% | -3.66% | 35% |
| lib-opts-paper-fut-donchian-btc-4h-allday-2otm | All-Day 2% OTM | 481 | +1.52% | -17.30% | 15% |
| lib-opts-paper-fut-donchian-btc-4h-allday-2otm-cheapvol | All-Day 2% OTM + Cheap-Vol | 123 | +0.81% | -7.78% | 19% |
| lib-opts-paper-fut-donchian-btc-4h-allday-atm | All-Day ATM | 481 | -2.25% | -11.31% | 25% |
| lib-opts-paper-fut-donchian-btc-4h-allday-1itm | All-Day 1% ITM | 481 | -2.70% | -11.80% | 31% |
weekend window — 4 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-donchian-btc-4h-weekend-1otm | Weekend 1% OTM | 124 | +3.64% | -8.36% | 16% |
| lib-opts-paper-fut-donchian-btc-4h-weekend-1otm-cheapvol | Weekend 1% OTM + Cheap-Vol | 37 | +3.62% | -2.41% | 30% |
| lib-opts-paper-fut-donchian-btc-4h-weekend-atm-cheapvol | Weekend ATM + Cheap-Vol | 37 | +3.19% | -2.26% | 35% |
| lib-opts-paper-fut-donchian-btc-4h-weekend-atm | Weekend ATM | 124 | -2.08% | -7.64% | 22% |
night window — 4 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-donchian-btc-4h-night-atm-cheapvol | Night ATM + Cheap-Vol | 35 | +0.75% | -2.44% | 23% |
| lib-opts-paper-fut-donchian-btc-4h-night-1otm-cheapvol | Night 1% OTM + Cheap-Vol | 35 | -0.67% | -3.89% | 14% |
| lib-opts-paper-fut-donchian-btc-4h-night-1otm | Night 1% OTM | 149 | -1.98% | -11.52% | 11% |
| lib-opts-paper-fut-donchian-btc-4h-night-atm | Night ATM | 149 | -6.16% | -14.02% | 17% |
kama
BTC 4h · library Sharpe 9.98
757 signal entries in Tardis window. Ranked by Real-Mark CAGR.
allday window — 8 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-kama-btc-4h-allday-1itm-cheapvol | All-Day 1% ITM + Cheap-Vol | 242 | -0.76% | -8.05% | 36% |
| lib-opts-paper-fut-kama-btc-4h-allday-atm-cheapvol | All-Day ATM + Cheap-Vol | 242 | -1.88% | -13.67% | 26% |
| lib-opts-paper-fut-kama-btc-4h-allday-2otm-cheapvol | All-Day 2% OTM + Cheap-Vol | 242 | -3.56% | -16.13% | 16% |
| lib-opts-paper-fut-kama-btc-4h-allday-1otm-cheapvol | All-Day 1% OTM + Cheap-Vol | 242 | -3.89% | -16.25% | 19% |
| lib-opts-paper-fut-kama-btc-4h-allday-1itm | All-Day 1% ITM | 757 | -10.16% | -25.71% | 32% |
| lib-opts-paper-fut-kama-btc-4h-allday-atm | All-Day ATM | 757 | -16.68% | -37.70% | 22% |
| lib-opts-paper-fut-kama-btc-4h-allday-1otm | All-Day 1% OTM | 757 | -27.21% | -54.19% | 15% |
| lib-opts-paper-fut-kama-btc-4h-allday-2otm | All-Day 2% OTM | 757 | -32.47% | -65.65% | 13% |
weekend window — 4 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-kama-btc-4h-weekend-atm-cheapvol | Weekend ATM + Cheap-Vol | 74 | -3.33% | -7.47% | 23% |
| lib-opts-paper-fut-kama-btc-4h-weekend-1otm-cheapvol | Weekend 1% OTM + Cheap-Vol | 74 | -4.17% | -9.91% | 16% |
| lib-opts-paper-fut-kama-btc-4h-weekend-atm | Weekend ATM | 238 | -11.07% | -24.35% | 18% |
| lib-opts-paper-fut-kama-btc-4h-weekend-1otm | Weekend 1% OTM | 238 | -16.87% | -36.07% | 10% |
night window — 4 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-kama-btc-4h-night-atm-cheapvol | Night ATM + Cheap-Vol | 68 | -1.85% | -9.53% | 15% |
| lib-opts-paper-fut-kama-btc-4h-night-1otm-cheapvol | Night 1% OTM + Cheap-Vol | 68 | -3.43% | -11.60% | 9% |
| lib-opts-paper-fut-kama-btc-4h-night-atm | Night ATM | 225 | -9.72% | -22.34% | 14% |
| lib-opts-paper-fut-kama-btc-4h-night-1otm | Night 1% OTM | 225 | -15.81% | -33.68% | 6% |
CUSUM(2pct)
ETH 4h · library Sharpe 17.26
1162 signal entries in Tardis window. Ranked by Real-Mark CAGR.
allday window — 8 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-cusum-eth-4h-allday-2otm-cheapvol | All-Day 2% OTM + Cheap-Vol | 584 | +229.07% | -15.61% | 20% |
| lib-opts-paper-fut-cusum-eth-4h-allday-2otm | All-Day 2% OTM | 1162 | +218.58% | -23.25% | 18% |
| lib-opts-paper-fut-cusum-eth-4h-allday-1otm | All-Day 1% OTM | 1162 | +190.01% | -16.77% | 22% |
| lib-opts-paper-fut-cusum-eth-4h-allday-1otm-cheapvol | All-Day 1% OTM + Cheap-Vol | 584 | +168.07% | -10.04% | 23% |
| lib-opts-paper-fut-cusum-eth-4h-allday-atm | All-Day ATM | 1162 | +91.73% | -12.63% | 26% |
| lib-opts-paper-fut-cusum-eth-4h-allday-atm-cheapvol | All-Day ATM + Cheap-Vol | 584 | +81.26% | -11.69% | 27% |
| lib-opts-paper-fut-cusum-eth-4h-allday-1itm | All-Day 1% ITM | 1162 | +23.38% | -14.51% | 30% |
| lib-opts-paper-fut-cusum-eth-4h-allday-1itm-cheapvol | All-Day 1% ITM + Cheap-Vol | 584 | +20.50% | -11.80% | 30% |
weekend window — 4 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-cusum-eth-4h-weekend-1otm-cheapvol | Weekend 1% OTM + Cheap-Vol | 182 | +101.27% | -6.26% | 26% |
| lib-opts-paper-fut-cusum-eth-4h-weekend-1otm | Weekend 1% OTM | 316 | +84.87% | -6.98% | 22% |
| lib-opts-paper-fut-cusum-eth-4h-weekend-atm-cheapvol | Weekend ATM + Cheap-Vol | 182 | +61.28% | -5.72% | 30% |
| lib-opts-paper-fut-cusum-eth-4h-weekend-atm | Weekend ATM | 316 | +52.21% | -5.83% | 26% |
night window — 4 variants
| Setup | Variant | n |
CAGR | Max DD | Win% |
|---|
| lib-opts-paper-fut-cusum-eth-4h-night-1otm-cheapvol | Night 1% OTM + Cheap-Vol | 170 | +114.07% | -6.69% | 18% |
| lib-opts-paper-fut-cusum-eth-4h-night-1otm | Night 1% OTM | 334 | +99.98% | -12.47% | 13% |
| lib-opts-paper-fut-cusum-eth-4h-night-atm-cheapvol | Night ATM + Cheap-Vol | 170 | +53.55% | -6.57% | 23% |
| lib-opts-paper-fut-cusum-eth-4h-night-atm | Night ATM | 334 | +43.13% | -9.88% | 20% |