C10 Backtest Results — 2018 → 2025
Delta-hedged straddle portfolio · 4 strategies · $1M initial capital
NAV: $778,101 · P&L: $-221,899
Portfolio Equity Curve — % Return from $1M
── Portfolio
── S1 IVR
── S2 VIX TS
── S3 Disp
── Combined
Key Performance Metrics
Total P&L by Signal (in $000s)
Annual Return — 2018 → 2025
Walk-Forward Sharpe — 6-Month OOS Windows
11/13 negative
Per-Signal Performance Breakdown
| Signal | Sharpe | Ann. Return | Win Rate | N Trades | Total P&L | Status |
|---|
Key Finding — Why the Strategy Underperformed
S1 −$502,671
S1 (IVR/PDV) goes short gamma when IVR is high relative to PDV.
In 2018, 2019, and 2024 — all elevated-vol years — realised vol stayed elevated,
meaning premium sellers systematically underpriced tail risk.
COSTS −$334,537
Total transaction costs (bid-ask + commissions + slippage) consumed
$334k over 7 years — offsetting any alpha in the signal.
REGIME MISMATCH
52.9% of backtest days were R2 (VOMMA_ACTIVE) — a regime favouring
vomma trades, not gamma strategies. S1 and S2 were trading in the wrong regime
for 952 / 1800 days.
Only Profitable Signal — S3 Dispersion
S3 +$21,003
S3 (VIX/VVIX ratio proxy) is long-only — buys when volatility appears cheap
relative to vol-of-vol. 14 trades in 7 years with 92.9% win rate.
The strategy's rarity is its strength: it fires only when the signal is extreme,
and it tends to correctly identify vol spikes after entry.
BEST DAY
2024-12-20 +3.69% — day after the worst day,
as the FOMC panic resolved and vol mean-reverted.
Annual Returns Heatmap
2018
-8.6%
2019
-3.8%
2020
-1.6%
2021
+1.1%
2022
-3.6%
2023
+2.3%
2024
-6.6%
2025
-2.4%