V14: M1-M4 Term Structure Diagonal Grid
Delta-neutral diagonal grid across all month-pair combinations (M1-M4). Tests which term structure pair × option type × IV regime works best. PP+contango M2→M4 = 87% hit rate. Backwardation: flip the trade.
v14Jun 1 – Jul 11, 2026159915.SZ OptionsΔ-neutral, profit limit +0.01
Changelog
v13 → Delta-neutral diagonal grid with coarse DTE>90 filter v14 → Fine-grained M-position pairs (M1-M4), PP/CC × contango/backwardation, flipped trade analysis
No structured report data available for this version.
Raw data file: /data/backtest/v14.json