Immutable research result
Volatility-Expansion Long Strangle
Signals use split-adjusted underlying trend, momentum, RSI, ATR, relative strength, and where applicable a 252-session actual-option IV percentile. P&L uses historical option NBBO.
Stage evidence
| Stage | ROI | Adverse ROI | Win rate | Profit factor | Sharpe | Max drawdown |
|---|---|---|---|---|---|---|
| Training0 completed, 0 skipped | Not measured | Not measured | Not measured | Not measured | — | Not measured |
| Validation5 completed, 0 skipped | −0.05% | −0.26% | +40.00% | 0.91 | -0.03 | −0.58% |
RESEARCH RECORD ID
1b6b2eb7735a…
The strategy, protocol, data snapshots, costs and deterministic assumptions are fingerprinted together.
PAPER-OBSERVATION DECISION
Historical evidence unfavorable
Validation ROI, adverse-cost ROI, or Sharpe was not positive. The blocker is observed performance, not merely data volume, so this version is not approved for paper observation.