Extracted algorithm research record
delta-neutral volatility strategy
Long ATM straddles when the implied-volatility surface is expanding, short 5% OTM strangles when it is compressing.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 50.0/100. Neither is a performance result.
Names identify source records. Inclusion is not an endorsement or a claim of authorship, ownership or reuse permission. Check the source license before reusing any implementation.
Extraction warnings
Opacity warnings
- UNDEFINED ENTRY TERM: the entry conditions are prose naming a concept with no numeric definition, so two readers would implement them differently. Advisory only -- this does not affect the score.
Recorded market & execution profile
- Recorded timeframes
- any
- Recorded sessions
- any
- Recorded regime
- volatile
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| No indicator stack was recorded. This does not establish a price-action-only strategy. | ||
Extracted strategy rules
Recorded long-entry rules
- level expanding
- skew expanding
- smile expanding
- ATM curvature increasing
Recorded short-entry rules
- level compressing
- skew compressing
- smile compressing
- ATM curvature decreasing
Recorded exit rules
- +20% profit
- -14% loss
- 15 trading days
Recorded filters
- curvature filter
- liquidity filter
- Stop loss
- not explicitly stated
- Take profit
- 20%
- Position sizing
- 0.5% of capital per trade
Questions about this record
What entry rules are recorded for delta-neutral volatility strategy?
Long: level expanding skew expanding smile expanding ATM curvature increasing Short: level compressing skew compressing smile compressing ATM curvature decreasing These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: AAPL, TSLA, NVDA, AMZN, SPY. Timeframes: any. These are source-recorded labels, not verified execution behavior.