Live, normalized performance telemetry of an automated market-neutral quantitative strategy engine capturing structural derivative basis and carry yields while neutralizing directional market beta (Δ ≈ 0), benchmarked against the S&P 500, Nasdaq-100, and the US 3-Month Treasury Bill rate.
All series re-indexed to a common starting base at the beginning of the selected window.
Illustrates capital preservation of delta-neutral carry during directional equity market drawdowns.
Comparative quantitative metrics over the selected evaluation horizon. Sharpe & Sortino ratios use the live US 3-Month Treasury Bill rate (4.00%) as R_f.
| Strategy Track / Benchmark | Classification | Cumul. Return | Indexed NAV | Annualized | Ann. Volatility | Sharpe | Sortino | Max Drawdown | Beta (β vs. S&P) |
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Individual bot instances operating with locked execution and stability filters. Position sizes, asset tickers, and exact threshold parameters are omitted.
Engineered to harvest structural carry while remaining invariant to market direction.
Every position pairs a long underlying spot leg with an identically sized short perpetual derivative leg. Directional price movements cancel out across the two legs, isolating the structural funding and basis carry paid by leveraged directional participants.
Entries are gated by real-time Level-2 orderbook volume-weighted average price (VWAP) slippage checks and passive limit-maker execution. Once open, a fee-amortization lock prevents premature exits until cumulative carry exceeds round-trip execution costs.
Candidate instruments are filtered by rolling 24-hour and 168-hour yield persistence and downside tail-spike thresholds. Capital is dynamically allocated across uncorrelated slots and rotated via opportunity displacement when higher-carry regimes emerge.