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 |
| Validation0 completed, 4 skipped | Not measured | Not measured | Not measured | Not measured | — | Not measured |
RESEARCH RECORD ID
1b6b2eb7735a…
The strategy, protocol, data snapshots, costs and deterministic assumptions are fingerprinted together.
PAPER-OBSERVATION DECISION
Risk budget incompatible
Every planned one-complex position exceeded the frozen per-trade maximum-loss budget. Paper trading it would violate the same portfolio protection being tested.