Live Strategy Research

Thesis. Binary event contracts on Kalshi embed a positive pricing wedge λ that overprices longshots relative to favorites. Selling the longshot leg of well-calibrated contracts harvests this risk premium. Calibrated from 271K+ resolved contracts; pooled λ̂ = 0.187.

Universe. Sports (NBA, NFL, tennis), political events, and macro binaries with sufficient liquidity and a blacklist-driven topic filter.

Status. Paper trading at Square Kettle. Timestamp-fix revealed true win rate ~54% (not 68% as earlier claimed). Go-live pushed 4+ weeks while blacklist widens from 14 → 18 topics and ultrareview fixes land.

Thesis. A simple moving-average regime filter on QQQ decides when to hold 3× leveraged TQQQ versus unleveraged QQQ. When the 5-day EMA is above the 200-day EMA, hold TQQQ and ride the trend; otherwise step down to QQQ and keep earning the equity risk premium. One rule, no discretion, ~3–4 rotations per year.

Universe. QQQ and TQQQ only. Implementable in any US brokerage, ideally tax-advantaged.

Status. Full 1999–2026 backtest: 15.88% CAGR vs 10.52% for QQQ B&H and 8.4% for S&P 500 — $10K grows to $543K, 3.6× QQQ and 6× the S&P. Beats QQQ in 79% of rolling 3-year windows by an average of 16 percentage points. Rests on published literature: Faber (2007), Gayed & Bilello (Charles H. Dow Award, 2016). Full write-up and equity curves at The Holy Grail of Investing.

Retail variant (DCA). Same rule, but with $10K initial + $10K/year of paycheck deposits across 27 years — $280K contributed compounds to $25.15M (XIRR 25.46%, TWR 15.87%). Beats DCA QQQ in 100% of rolling 15-year windows. Adds an r-rule (initial / annual ratio) calibrating day-zero deployment vs phase-in for any saver profile. Full write-up at The Retail Holy Grail.

Thesis. Systematic SPY 0DTE strategy trading the intraday vol-risk-premium and skew dynamics. Academic literature shows persistent short-vol edge with risk-defined structures on 0DTE expiries; the question is execution cost and fill realism, not statistical existence.

Universe. SPY 0DTE options — defined-risk verticals and iron flies, gated by realized-vs-implied spread and intraday skew.

Status. Infrastructure ready: IB Gateway (paper) wired, Theta Data for historical chains and OI, Greeks computed via BSM. Next: data-layer migration to new Theta API, then first end-to-end backtest on 3–5 years of minute bars.