Market
Equities & volatility
The S&P 500, the VIX, single stocks and leveraged funds. Calendar effects, buying the panic and rebalancing flows are some of the oldest ideas in trading. These tests check them on recent data, after costs.
Showing 1–6 of 6 experiments
| ID | Experiment | Market | Mechanism | Horizon | Result | Verdict |
|---|---|---|---|---|---|---|
| E889 | Options-expiry weeks and Fridays no longer beat a normal S&P 500 day equity-index, sp500, calendar-anomaly, options-expiry, day-of-week, publication-decay | Equities & volatility | Calendar | 1d | +0.3 bp and +3.1 bp per day | KILL |
| E888 | Buying the S&P 500 after a VIX spike rests on three crisis days equity-index, sp500, vix, panic-reversal, liquidity-provision, overnight | Equities & volatility | Forced flow | 1d | +9.4 bp, carried by 3 days | KILL |
| E876 | Stocks that gap at the open do not reverse during the day stock-perpetuals, overnight-return, retail-attention, opening-auction, intraday-reversal, cross-section | Equities & volatility | Behavioural | 1d | -15.2 bp gross per day | KILL |
| E859 | No detectable lead from Korean memory-chip moves to US chip perps cross-market, read-through, stock-perpetuals, korea, semiconductors, lead-lag | Equities & volatility | Behavioural | 1h-24h | Slope +0.077, t +0.54 | KILL |
| E828 | Leveraged volatility fund rebalancing leaves no next-day reversal vix-futures, etf-rebalancing, leveraged-etp, inverse-etp, natural-experiment, forced-flow | Equities & volatility | Forced flow | 1d | Top 3 days = 371% of profit | KILL |
| E380 | Leveraged-fund rebalancing leaves no detectable trace before the close leveraged-etf, closing-auction, rebalancing-flow, stock-perps, bitcoin, ethereum, intraday-momentum | Equities & volatility | Forced flow | 30m | +1.9 bp gross; control +2.9 bp | KILL |