Experiments
Quantitative experiments and backtests for trading strategies.
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v26 Fixed Friction — 固定摩擦版 Trade Table
Dad spec 0910: bar close ±0.001 固定摩擦（废 TV 分层价差）、Δ<0.05、TP 0.01 含摩擦、EOD 14:55 一律平仓。含 Δ<0.10 对照切换。
3,617 trades162 daystaker +0.0083
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CC Backwardation thr≥6 — v25 Trade Table
Every v25 trade: sell near / buy far call when near IV − far IV ≥ 6. Taker vs mid vs maker PnL per trade, filters by month pair / diff / session.
5,217 trades160 days
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Option Price Estimate
BSM price prediction accuracy — constant IV vs IV skew vs rolling re-calibration. Find the best time of day and method.
6 versions159915.SZ
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v25 CC Backwardation thr≥6
Trade-level table for call backwardation ≥6 vol pts, delta-neutral (|netΔ|≤0.10). Sell near / buy far call, hold to close. Where does the money actually go?
5,217 trades132 dayswith costs
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IV Backtest
Delta-neutral diagonal grid backtests — PP+contango, term structure pairs, hit rate analysis across 28+ trading days.
5 versionsDelta-neutral