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What it does
Realized-vs-implied vol on the daily crypto "greater" ladders (KXBTCD, KXETHD, …). Prices each ≥K strike from the directly-measured multi-hour move distribution — thousands of overlapping windows from ~1yr of hourly candles, no sqrt-time extrapolation — and buys YES on strikes the ladder underrates, NO on ones it overrates, on an adequately powered sample. An optional term-structure gate compares the daily ladder's implied vol to the hourly ladder's, trading only the mispriced horizon. Point-in-time; deep-replay flips profitable once the empirical-vs-implied gate is 15c+.
Key parameters
behavior-shaping settings only| count | 1 |
| min_edge | 15 |
Live trading began 2026-08-30; paper record retained above. This strategy has not traded real money; its record below is paper (simulated).
Record (fee-inclusive, this season)
Calibration
predicted vs realized win rate, by confidence bucket| bucket 2 | 4 signals | p̂ 0.19 → 0.0 |
| bucket 3 | 50 signals | p̂ 0.25 → 0.08 |
| bucket 4 | 18 signals | p̂ 0.33 → 0.11 |
| bucket 5 | 1 signals | p̂ 0.4 → 1.0 |
| bucket 6 | 2 signals | p̂ 0.56 → 0.5 |
| bucket 7 | 12 signals | p̂ 0.64 → 0.5 |
| bucket 8 | 24 signals | p̂ 0.74 → 0.54 |
| bucket 9 | 19 signals | p̂ 0.84 → 0.68 |
| bucket 10 | 4 signals | p̂ 0.93 → 1.0 |
Fill realism: maker markout
mid vs fill price after a paper maker fill, last 14dInsufficient data — 9 marked maker fill(s) of 9, 50 needed before the curve is evidence.
Insufficient data: 9 marked maker fill(s), 50 needed before the curve is evidence. Fills are the paper maker simulator's, not exchange truth; negative = the mid moved against the fill.
Data quality policy
Every known gap in the market data behind these figures is disclosed publicly, with the dates, what was missing, which figures it may have affected and which it did not. Position and P&L records are never rewritten to paper over a gap; model-derived figures are recomputed once the input is restored, and gaps that cannot be recovered stay marked as such. The full list is on the track record under data quality notes.
This strategy trades off the public tape. 2026-08-30 → 2026-08-30: Live trading began 2026-08-30 (live) — it saw little or no flow in that window, so its signal count and record for those days reflect missing input, not a decision to sit out.