Research

A four-year out-of-sample evaluation of a Donchian 5-minute breakout on SPX 0DTE options. Full-population Databento tick validation across three exit policies gives a real-executable PnL of roughly −$107K to −$117K per year, with bootstrap 95% confidence intervals entirely below zero. The paper documents how Black-Scholes pricing and stratified-sample selection bias produced false-positive headlines in earlier drafts.

A seven-phase Python + Rust research engine validating Donchian breakout structure at the index point level across SPX, ES, and SPY. Covers point-level discovery, risk parameterization, regime filtering, walk-forward analysis, option-aware proxy validation (BSM / delta proxy / VIX-scaled IV), and real SPXW quote-chain checks with 1-second execution replay.

An audit-grade study of SPX opening-range breakout behavior (OR5/10/15/30) on 1-second data, testing whether open-drive signals can be expressed as 0DTE option exposure. Includes an epsilon filter grid, execution proxies with 1–15 second lags, forward-path MFE/MAE, a failed-breakout taxonomy, baseline matching, and a bootstrap Pareto-dominance gate.

A long-only 0DTE strategy targeting 5–20 minute directional moves through a three-layer signal architecture (bias, trigger, exhaustion). Hard risk invariants enforce no naked selling, a single open position, and a daily 2% hard stop. Implemented as a Python/Rust hybrid with iterative work on async execution safety.

A three-layer intraday pipeline: compression-state detection, direction confirmation, then option tradability and exit management. Uses time-of-day percentile normalization, strict closed-versus-forming bar semantics, and cost-conservative exit modeling, with a 300+ test suite enforcing safety invariants at the schema level.

A multi-version study of how breakouts propagate across 1m/5m/15m timeframes, with three strategy variants of increasing complexity, Black-Scholes option pricing, and both 20-year and out-of-sample analyses. The signal is mapped to SPXW 0DTE option exposure, with VIX-regime filtering in the implementation kit.

A daily US-equity stat-arb pipeline built on IBKR adjusted daily bars: universe construction, Fama-French factor mapping, rolling beta estimation, residual z-score signals, daily target weights, and a full backtest with costs and positions. Walk-forward out-of-sample evaluation is paired with robustness gates on costs, borrow fees, gross exposure, and capacity.

A long-only S&P 500 overlay that de-risks during recessions using a labor-market composite (Initial Jobless Claims, Nonfarm Payrolls, Unemployment Rate). Out-of-sample Sharpe is 0.586 versus 0.43 for buy-and-hold, with max drawdown −27.6% versus −57.4% and Sharpe decay of only −0.006, validated over 21 out-of-sample years (2006–2026) on vintage first-print data.

An event-study framework measuring the SPX impact of macro releases (NFP, CPI, FOMC, ISM, Retail Sales, PCE) using surprise (actual minus consensus) computed from FRED vintage prints and TradingEconomics consensus. Multi-window direction probability and move magnitude are translated into 0DTE long call/put entry and exit parameters.