ImpliedVol Premia TradFI

Monthly ATM short straddle, premium repriced off each asset's implied-vol index, hedged by one unit of future/underlying whose side follows a daily Renko signal with per-asset flip hysteresis. Realistic conditions throughout: 90%/110% bid-ask marks, per-fill fees, next-open hedge fills. Returns are % of each month's spot, summed arithmetically.

2023-01 → 2026-06 · 42 months · best full-window config per asset (in-sample selection — see note)

SPY

cc / flip / no wings S&P 500 · ES futures hedge · VIX premium

Sharpe1.26

avg / month+0.99%

max drawdown-10.2pp

total+41.7pp

n42

win%64%

avg%/mo+0.99

sd+2.72

Sharpe+1.26

Sortino+2.23

maxDD_pp-10.19

Calmar+1.17

worst-6.16

best+6.10

VaR95-3.40

CVaR95-4.78

skew-0.51

total_pp+41.66

flips71

SPY equity, drawdown and monthly returns

XLK

cc / flip / no wings Technology · share hedge · VXXLK-validated proxy

Sharpe1.19

avg / month+1.48%

max drawdown-13.6pp

total+62.3pp

n42

win%67%

avg%/mo+1.48

sd+4.33

Sharpe+1.19

Sortino+1.87

maxDD_pp-13.61

Calmar+1.31

worst-11.84

best+8.10

VaR95-7.71

CVaR95-9.78

skew-0.99

total_pp+62.31

flips65

XLK equity, drawdown and monthly returns

XLV

cc / cross / no wings Health care · share hedge · VXXLV-validated proxy

Sharpe1.33

avg / month+1.01%

max drawdown-7.1pp

total+42.4pp

n42

win%67%

avg%/mo+1.01

sd+2.63

Sharpe+1.33

Sortino+2.44

maxDD_pp-7.07

Calmar+1.71

worst-6.27

best+7.28

VaR95-3.69

CVaR95-4.98

skew-0.33

total_pp+42.38

flips50

XLV equity, drawdown and monthly returns

XLY

ohlc / itm / no wings Consumer discretionary · share hedge · VXXLY-validated proxy

Sharpe1.91

avg / month+1.75%

max drawdown-9.5pp

total+73.5pp

n42

win%69%

avg%/mo+1.75

sd+3.17

Sharpe+1.91

Sortino+4.22

maxDD_pp-9.47

Calmar+2.22

worst-5.36

best+11.34

VaR95-4.27

CVaR95-4.82

skew+0.04

total_pp+73.50

flips45

XLY equity, drawdown and monthly returns

GOLD

cc / flip / no wings COMEX GC futures · GC hedge · GVZ premium

Sharpe1.32

avg / month+1.26%

max drawdown-8.5pp

total+53.1pp

n42

win%69%

avg%/mo+1.26

sd+3.32

Sharpe+1.32

Sortino+2.26

maxDD_pp-8.48

Calmar+1.79

worst-6.24

best+7.22

VaR95-6.22

CVaR95-6.23

skew-0.66

total_pp+53.09

flips62

GOLD equity, drawdown and monthly returns

Equal-weight portfolio

1/5 per asset rebalanced monthly across the five sleeves

Sharpe2.55

avg / month+1.30%

max drawdown-3.8pp

worst month-3.5%

n42

win%74%

avg%/mo+1.30

sd+1.77

Sharpe+2.55

Sortino+6.06

maxDD_pp-3.83

Calmar+4.07

worst-3.45

best+4.18

VaR95-2.32

CVaR95-2.89

skew-0.50

total_pp+54.59

Combined equity curves, equal-weight drawdown and monthly returns

Monthly strategy-return correlations

	SPY	XLK	XLV	XLY	GOLD
SPY	1.00	+0.59	+0.16	-0.12	-0.20
XLK	+0.59	1.00	+0.18	+0.05	+0.04
XLV	+0.16	+0.18	1.00	+0.25	+0.07
XLY	-0.12	+0.05	+0.25	1.00	+0.06
GOLD	-0.20	+0.04	+0.07	+0.06	1.00

Read before trading: each sleeve runs its best configuration chosen on this same 42-month window — in-sample selection that flatters every number here. The walk-forward study in the repo found SPY robust to the choice, GOLD's cc/flip learnable in real time, and XLY/XLV/XLK's exact configs untested out-of-window. All five sleeves are short unhedged-tail volatility: 2023–2026 contains no true vol crisis, correlations would converge toward 1 in one, and the equal-weight worst month would not hold. Premiums for XLK/XLV/XLY come from RV-scaled VIX proxies validated against CBOE's discontinued sector vol indices on 2020–2022; SPY/GOLD use live indices (VIX, GVZ).