← All model books
Failed GS-VRV Long-Cheap-Vol Straddles · weekly marks, premium-normalized · Model diagnostics
DEAD · 2024-08-05 → 2026-06-08 · 1,060 trades
One observation is one source/model trade; 1,060 trades are aggregated into 89 weekly cohorts. Metrics use 52 weekly observations/year. Premium-normalized books assume a 10%-of-capital weekly premium budget; per-trade premium returns are shown unscaled in Avg obs. Structural horizon: the last qualifying locally priceable entry is 2026-06-08 and its full 21-session exit is 2026-07-09. Local EOD chain parquet ends 2026-07-10, and later formations either fail the frozen two-sided quote/spread/contract quality rules or require unavailable later exits. All qualifying local holds completing by 2026-07-10 are included; no network data was used. Returns and observation rankings include the model's existing execution costs.
Total return-98.9%Span-true compounded return · not annualized
Annualized CAGR-92.7%Annualized at 52 periods/year · span is 672 calendar days
QuantStats Sharpe (i.i.d.)-17.22Annualized at 52 weekly periods/year
QuantStats Sortino-6.69Same 52-period annualization
Entry-cohort t-stat-22.47Weekly-cohort bootstrap · 10,000 draws · 89 weekly cohorts
Sortino convention: QuantStats Sortino is mean return divided by downside deviation, multiplied by √(periods/year). This differs from plain-downside conventions.
Inference note: overlapping holding periods can make an i.i.d. Sharpe optimistic. The t-stat bootstraps weekly cohorts and preserves every cohort's full marked path.
Best and worst trades
Observation return follows the verified construction; a paired trade is the sum of its equal-notional short and synthetic-control legs.
Top 10 best
| Ticker | Entry date | Return |
|---|
| AVGO | 2025-05-05 | +141.70% |
| INTC | 2025-09-22 | +131.88% |
| V | 2024-08-19 | +122.01% |
| RUN | 2025-07-21 | +111.81% |
| TSM | 2025-04-28 | +103.76% |
| LLY | 2025-09-02 | +84.09% |
| TSM | 2025-05-12 | +76.34% |
| SMH | 2025-05-05 | +74.90% |
| MRNA | 2024-08-19 | +72.74% |
| NVDA | 2025-04-28 | +72.21% |
Top 10 worst
| Ticker | Entry date | Return |
|---|
| ELF | 2025-12-01 | -86.73% |
| MCD | 2024-11-25 | -85.92% |
| DJT | 2024-12-02 | -85.67% |
| VFC | 2025-06-09 | -85.48% |
| BBWI | 2024-12-02 | -85.14% |
| SHOP | 2024-11-25 | -85.08% |
| UPS | 2024-10-28 | -85.03% |
| FSLY | 2026-06-01 | -84.78% |
| TTWO | 2025-06-09 | -84.67% |
| BYND | 2025-11-24 | -84.21% |
Exposure profile
| Measure | Mean | Median | Peak |
|---|
| Weekly gross $ | $119,101 | $60,000 | $780,000 |
| Concurrent position count | 11.9 | 6 | 78 |
| Single-name share | — | — | 100.0% · ORCL · 2024-10-21 |
Position count is the number of model trades at each weekly mark; one matched-control basket counts as one paired position. Single-name share aggregates repeated ticker exposure before dividing by weekly gross.
Weekly exposure (89 marks)
| Date | Gross $ | Positions | Top name | Top-name share |
|---|
| 2024-08-05 | $120,000 | 12 | BMY | 8.3% |
| 2024-08-12 | $640,000 | 64 | AAPL | 1.6% |
| 2024-08-19 | $780,000 | 78 | AAPL | 1.3% |
| 2024-08-26 | $490,000 | 49 | AAPL | 2.0% |
| 2024-09-02 | $710,000 | 71 | AAPL | 1.4% |
| 2024-09-09 | $90,000 | 9 | BBY | 11.1% |
| 2024-09-16 | $180,000 | 18 | AAP | 5.6% |
| 2024-09-23 | $90,000 | 9 | AAP | 11.1% |
| 2024-09-30 | $140,000 | 14 | AAP | 7.1% |
| 2024-10-07 | $60,000 | 6 | BBY | 16.7% |
| 2024-10-14 | $20,000 | 2 | FDX | 50.0% |
| 2024-10-21 | $10,000 | 1 | ORCL | 100.0% |
| 2024-10-28 | $30,000 | 3 | ELV | 33.3% |
| 2024-11-04 | $40,000 | 4 | KWEB | 25.0% |
| 2024-11-11 | $70,000 | 7 | CVS | 14.3% |
| 2024-11-18 | $40,000 | 4 | ABBV | 25.0% |
| 2024-11-25 | $60,000 | 6 | BMY | 16.7% |
| 2024-12-02 | $220,000 | 22 | ABBV | 4.5% |
| 2024-12-30 | $30,000 | 3 | CRDO | 33.3% |
| 2025-01-06 | $60,000 | 6 | ADBE | 16.7% |
| 2025-01-13 | $50,000 | 5 | AI | 20.0% |
| 2025-01-20 | $40,000 | 4 | AVGO | 25.0% |
| 2025-01-27 | $50,000 | 5 | ADBE | 20.0% |
| 2025-02-03 | $110,000 | 11 | FFIV | 9.1% |
| 2025-02-10 | $40,000 | 4 | IBM | 25.0% |
| 2025-02-17 | $120,000 | 12 | CVS | 8.3% |
| 2025-02-24 | $100,000 | 10 | ABBV | 10.0% |
| 2025-03-03 | $270,000 | 27 | ABBV | 3.7% |
| 2025-03-10 | $80,000 | 8 | ANET | 12.5% |
| 2025-03-17 | $50,000 | 5 | HIMS | 20.0% |
| 2025-03-24 | $80,000 | 8 | ASAN | 12.5% |
| 2025-03-31 | $60,000 | 6 | BABA | 16.7% |
| 2025-04-21 | $40,000 | 4 | AAPL | 25.0% |
| 2025-04-28 | $560,000 | 56 | AA | 1.8% |
| 2025-05-05 | $540,000 | 54 | AAPL | 1.9% |
| 2025-05-12 | $740,000 | 74 | AAPL | 1.4% |
| 2025-05-19 | $600,000 | 60 | ABNB | 1.7% |
| 2025-05-26 | $10,000 | 1 | UNH | 100.0% |
| 2025-06-02 | $90,000 | 9 | AAP | 11.1% |
| 2025-06-09 | $70,000 | 7 | ELF | 14.3% |
| 2025-06-16 | $60,000 | 6 | CRWV | 16.7% |
| 2025-06-23 | $30,000 | 3 | ELF | 33.3% |
| 2025-06-30 | $60,000 | 6 | ELF | 16.7% |
| 2025-07-07 | $50,000 | 5 | HPQ | 20.0% |
| 2025-07-14 | $70,000 | 7 | CRCL | 14.3% |
| 2025-07-21 | $30,000 | 3 | DAL | 33.3% |
| 2025-07-28 | $90,000 | 9 | BMNR | 11.1% |
| 2025-08-04 | $30,000 | 3 | CMG | 33.3% |
| 2025-08-11 | $80,000 | 8 | BP | 12.5% |
| 2025-08-18 | $120,000 | 12 | AI | 8.3% |
| 2025-08-25 | $80,000 | 8 | AI | 12.5% |
| 2025-09-01 | $230,000 | 23 | AI | 4.3% |
| 2025-09-08 | $130,000 | 13 | AVGO | 7.7% |
| 2025-09-15 | $100,000 | 10 | AI | 10.0% |
| 2025-09-22 | $90,000 | 9 | AI | 11.1% |
| 2025-09-29 | $70,000 | 7 | AEO | 14.3% |
| 2025-10-06 | $30,000 | 3 | AEO | 33.3% |
| 2025-10-13 | $20,000 | 2 | AMD | 50.0% |
| 2025-10-20 | $10,000 | 1 | AMD | 100.0% |
| 2025-10-27 | $20,000 | 2 | INTC | 50.0% |
| 2025-11-03 | $40,000 | 4 | BYND | 25.0% |
| 2025-11-10 | $40,000 | 4 | AMD | 25.0% |
| 2025-11-17 | $70,000 | 7 | CELH | 14.3% |
| 2025-11-24 | $10,000 | 1 | BYND | 100.0% |
| 2025-12-01 | $160,000 | 16 | AKAM | 6.2% |
| 2025-12-08 | $70,000 | 7 | AMZN | 14.3% |
| 2025-12-15 | $70,000 | 7 | AMZN | 14.3% |
| 2025-12-29 | $70,000 | 7 | AGX | 14.3% |
| 2026-01-05 | $10,000 | 1 | SYM | 100.0% |
| 2026-01-19 | $20,000 | 2 | MSOS | 50.0% |
| 2026-02-02 | $50,000 | 5 | APH | 20.0% |
| 2026-02-09 | $70,000 | 7 | ABBV | 14.3% |
| 2026-02-16 | $60,000 | 6 | ENPH | 16.7% |
| 2026-02-23 | $110,000 | 11 | CSCO | 9.1% |
| 2026-03-02 | $170,000 | 17 | ACLS | 5.9% |
| 2026-03-09 | $40,000 | 4 | FSLR | 25.0% |
| 2026-03-16 | $70,000 | 7 | AVAV | 14.3% |
| 2026-03-23 | $40,000 | 4 | AVAV | 25.0% |
| 2026-03-30 | $10,000 | 1 | TTD | 100.0% |
| 2026-04-06 | $50,000 | 5 | AI | 20.0% |
| 2026-04-13 | $50,000 | 5 | APA | 20.0% |
| 2026-04-20 | $40,000 | 4 | LNG | 25.0% |
| 2026-04-27 | $20,000 | 2 | BYD | 50.0% |
| 2026-05-04 | $60,000 | 6 | CVX | 16.7% |
| 2026-05-11 | $130,000 | 13 | APA | 7.7% |
| 2026-05-18 | $40,000 | 4 | PYPL | 25.0% |
| 2026-05-25 | $20,000 | 2 | KO | 50.0% |
| 2026-06-01 | $20,000 | 2 | FSLY | 50.0% |
| 2026-06-08 | $10,000 | 1 | HPE | 100.0% |
SPY weekly regime split
SPY direction is local, read-only daily_ohlc close-to-close by Friday week. The final partial week uses its last available close.
| Regime | Weeks | Model total | Avg model week | Hit rate | Ann. Sharpe | Avg SPY week |
|---|
| SPY-up weeks | 56 | -93.0% | -4.61% | 3.6% | -14.03 | +1.75% |
| SPY-down weeks | 41 | -83.7% | -4.30% | 4.9% | -12.89 | -1.52% |