jgrusewski ad7feb61ff feat(surfer): tail-managed VRP — real second sleeve (with honest haircut) ...

'Don't sell vol when implied vol rising' (point-in-time, no lookahead verified) takes
crypto short-vol baseline +1.03 (skew -8.3, 2025 -0.26/2026 -0.77) to combo +2.89,
ALL years positive (2026 +2.26), worst -21sigma->-17sigma. Effect robust across gate
variants (rising/level/combo/loss_cap all fix 2025-26) = real economic effect (implied
leads realized), not one lucky rule. Confirms the -21sigma tail + recent decay were the
same mis-timing. Diversifier: corr -0.04, combined +2.57. HONEST HAIRCUT: +2.9 optimistic
(gate-selection best-of-5 + no-Greeks proxy idealization + residual -15sigma tail + 5y
sample) -> realistic ~1.0-1.5; but corr+edge robust -> combined ~1.37 > momentum 0.66.
Real second sleeve, size SMALL (tail reduced not gone). Best diversifier found.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-06 17:17:09 +02:00

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