Multi-Sleeve Portfolio — the capstone result
Every within-book lever we tested (IV filter, vol-target sizing, breakeven buffer, trigger hedges,
unwind rules) failed to reduce drawdown. The ONE thing that works is combining decorrelated sleeves.
This page is the real-validated 4-sleeve book.
The 4 sleeves (exact specs)
| Sleeve | Spec | Why it's in |
|---|
| ON0DTE | ETH overnight 0DTE sells, true-OTM 1.5–4%, nightly entry → 08:00 UTC expiry (the running 0DTE setup, limit fills) | daily VRP harvest — the anchor (real DD −1.5) |
| BB_BTC | BTC weekly: sell ATM call + ATM put (Fri→Fri), EACH leg hedged by a futures-stop at breakeven (K±premium), HOLD to expiry. No buffer, no unwind, no IV filter — all tested, all worse. | weekly VRP + the only working stop (real corr to ON0DTE: −0.34) |
| TREND | Mean of 3 ETH futures algos: EXPANSION_H4 + MA_CND_CROSS_H4 + STOCH_H4 (Nik's params, ATR-trailing). The algos are near-uncorrelated with each other (+0.26/−0.10/−0.11 weekly) → TREND3 r/DD 18.0 vs 11.5 single, DD −4.3 vs −7.4 | long/short delta sleeve; cuts worst week (corr ~0 to the option sleeves) |
| ASYM_E | ETH weekly asymmetric iron condor: sell put −3% / buy put −8% / sell call +2% / buy call +5% (defined risk, no stop needed) | different failure mode (loses in slow up-grinds, not crashes) → decorrelated from everything |
| DIAG | BTC 2wk/1wk double diagonal: buy 14d call+put 1 strike OTM, sell weekly ATM call+put, roll the short once, IV-filter (DVOL < 90d median), base roll — the validated playbook variant, campaigns started every passing Friday (overlapping) | vega-POSITIVE (bought long) vs four short-vol/trend sleeves → corr ≈ 0 to all, real AND model |
Sleeves standalone — REAL Tardis 2026 (18 wks, exec fills) + M2 model by-year
| Sleeve | Real Total | Real MaxDD | r/DD | Worst wk | Win | M2 24-26 | M2 DD | 2024 | 2025 | 2026 |
|---|
| ON0DTE | +6.5 | −1.5 | 4.3 | −0.7 | 78 | +166 | −8.8 | +134* | +19 | +14 |
| BB_BTC | +18.6 | −7.6 | 2.4 | −5.7 | 83 | +131 | −18.1 | +61 | +54 | +16 |
| TREND | +6.3 | −10.2 | 0.6 | −2.8 | 28 | +83 | −8.3 | +34 | +34 | +15 |
| ASYM_E | +10.0 | −2.9 | 3.5 | −2.3 | 56 | +24 | −15.3 | −3 | +15 | +11 |
| DIAG | +21.4 | −8.3 | 2.6 | −8.3 | 56 | +93 | −21.6 | +45 | +26 | +22 |
* M2 0DTE has ~2× premium bias (no bid/ask spread) and is 2024-heavy — treat model LEVELS as optimistic; the real columns are the truth. All % of notional per week; bases differ slightly (TREND = risk-scaled equity %).
Correlation — the whole point
| weekly corr | TREND | ON0DTE | BB_BTC | ASYM_E |
|---|
| TREND | 1 | +0.05 | +0.11 | −0.21 |
| ON0DTE | | 1 | −0.34 | +0.02 |
| BB_BTC | | | 1 | −0.18 |
| ASYM_E | | | | 1 |
Real 2026 exec, 18 weeks. M2 confirms (ASYM_E~BB +0.03, ~TREND −0.06).
DIAG: corr ≈ 0 to ALL four in both worlds (real: −0.05/−0.10/+0.06/+0.16 · M2 122wks: +0.02/−0.08/0.00/+0.05).
⚠️ Counter-example that "more sleeves" isn't automatic:
an ETH put-book (EP_ETH) correlates +0.65 with BB_BTC (same bet, two tickers) and made every combo WORSE — we dropped it.
Only ORTHOGONAL sleeves earn a slot.
Combos (equal weight)
| Combo | Real Total | Real MaxDD | r/DD | Worst wk | M2 Total | M2 DD | M2 r/DD | 2024 | 2025 | 2026 |
|---|
| ON+BB (return-first) | +12.5 | −2.8 | 4.5 | −2.5 | +148.6 | −10.6 | 14.0 | +97 | +36 | +15 |
| ON+BB+ASYM_E | +11.7 | −1.1 | 10.9 | −1.0 | +107.1 | −7.9 | 13.5 | +64 | +29 | +14 |
| ON+BB+TREND+ASYM_E (4-sleeve) | +10.4 | −1.4 | 7.5 | −0.79 | +101.1 | −6.2 | 16.4 | +56 | +31 | +14 |
| ALL 5 (+DIAG) ★ THE BOOK | +12.6 | −1.4 | 8.9 | −1.41 | +99.1 | −5.1 | 19.4 | +54 | +30 | +15 |
| ON+BB+DIAG (simplest 3-book alt.) | +15.5 | −2.4 | 6.5 | −2.4 | +129.8 | −6.3 | 20.5 | +80 | +33 | +17 |
The pick (DD-first, Sven's profile): all 5 sleeves equal weight — ON0DTE + BB_BTC + TREND + ASYM_E + DIAG.
Real 2026 (a −30% bear): ~+0.70%/week, MaxDD −1.4%. Model across 3 regimes: MaxDD −5.1% (smallest of all combos),
model worst week −3.8%, positive every year. Adding DIAG kept the same real MaxDD while ADDING return — vega-long
vs short-vol is genuine diversification. Size to the MODEL DD: assume ~−5 to −7% on 1× notional (not the calm real −1.4%).
Simplicity alternative: ON+BB+DIAG (3 books, highest M2 r/DD 20.5, slightly more DD).
Refinement: with TREND = 3-algo mean the book improves to M2 +97.7 / DD −4.7 / r-DD 20.9 / worst −3.3
(operationally free — the algos run live anyway). Stability: EVERY rolling 26-week window 2024–2026 is positive
(worst window +10.4%, window-DD never below −5.1) — the book is not carried by one stretch.
Monte-Carlo sizing — 10k simulated 52-week years
Block bootstrap (4-week blocks, keeps weekly autocorrelation AND the joint cross-sleeve weeks) on the 122 M2 weeks of the 5-sleeve book.
| Scenario | MaxDD median | p90 | p95 | p99 | Year median | P(losing year) |
|---|
| M2 as-is | −4.6 | −6.4 | −7.4 | −9.7 | +42.3 | 0.0% |
| Haircut: 0DTE × 0.5 (model bias) | −4.1 | −6.2 | −7.1 | −9.0 | +35.3 | 0.0% |
| Haircut: 0DTE × 0.5 + DIAG × 0.7 | −3.6 | −5.2 | −5.8 | −7.6 | +33.0 | 0.0% |
Sizing rule: on 1× notional expect a typical annual MaxDD of −4 to −6%, plan for −10% (p99),
and put a hard external halt at −12% realized (beyond-model regime). ⚠️ The bootstrap can only remix 2024–2026
weeks — protracted low-vol bears, exchange failures, weekend liquidity holes and corr-breakdown (everything → 1 in a crisis)
are NOT in the distribution. P(losing year)=0% is in-model, not a promise.
Structures we tested and KILLED on the way
| Idea | Result |
|---|
| Jade Lizard (naked put + bear-call) | naked put destroyed in the crash week (−25.8 in ONE week real). With futures-stop rescued but still worse than BB_BTC. |
| ETH/BTC dispersion (sell ETH straddle / buy BTC straddle) | mid +15 → exec +4 (4 legs × ATM spreads eat the IV premium); model 24-26: −58. Dead. |
| Symmetric IC as sleeve | fine standalone (real +17.5/−4.4) but M2-2024 = −10 (trend year eats the call side) and it's the same bet as ASYM_E with worse tails. |
| BE-buffer / unwind / IV-filter / vol-target on the stop-books | all neutral or worse — the stop is the risk control, whipsaw is its structural price. |
⚠️ Honest caveats: real validation = 18 weeks, ONE regime (high-IV bear). Correlations are noisy at n=18
(±0.25) — the negative ON↔BB correlation may weaken in a bull. Model levels are optimistic (esp. 0DTE).
TREND was weak in the window (+6.3, win 28%) — it pays as worst-week damping, not as return.
Sizing bases are mixed (see footnote above); treat combo totals as indicative, the DD/corr structure as the finding.