Validated Strategies
Queued

Variance Risk Premium — Tail-Managed v2

Variance risk premium — tail-managed v2

Pre-registered and currently in the gate battery — results published here, pass or fail.

Category
Volatility
Window
In progress
Instruments
SPY / QQQ options
Timeframe
Weekly
Tested
2026-06-25

Currently running

Variance risk premium — tail-managed v2 is pre-registered and in the 11-gate battery now. The full scorecard, metrics, charts and verdict will appear here automatically the moment its validation run completes — pass or fail.

Status: QUEUED. We publish the failures too.

Frequently asked

Is Variance Risk Premium — Tail-Managed v2 profitable in 2026?

It is currently running through the 11-gate battery; the verdict will be published on this page, pass or fail.

Has Variance Risk Premium — Tail-Managed v2 been backtested honestly?

Yes — through The Validation Gauntlet, a pre-registered 11-gate framework (profit factor, deflated Sharpe, a random-permutation placebo, cost-stress and walk-forward) with the specification locked before any out-of-sample metric is computed.

Methodology: The Validation Gauntlet — pre-registered spec, 11-gate battery, real market data. Full reproducible report: backtests/vrp_v2/REPORT.md in the source repository. Author: Brent Akamine (Founder, Vinovest). Backtests are not investment advice.

Related — Volatility

Surviving

Variance Risk Premium (SPY / QQQ)

Passes 9 of 11 gates. Profit factor 1.74, Sharpe 0.86, 86% of months positive, placebo PASS, deflated-Sharpe 0.976. It fails only on max drawdown (−12.1%, just over the line) and leg concentration (51%). A real premium with a fat left tail — survives, pending tail management.

 Rejected

Weekly Iron Condor (SPY)

Variant retired — real edge, uninvestable sizing. The placebo passes decisively (PF 1.652 vs p95 1.345) so the variance premium is genuine, but a single $3k condor fails max-drawdown by a mile (−70.4%): one bad week can lose ~97% of the base. The edge is real; this expression is not.