VIX DMA Edge strategy implementation (qm-wr6.2)
Shipped-as-strategy qm-wr6.2 · 1993-01-29
Summary
Shipped non-AS catalogue strategy vix-dma-edge using researched defaults from qm-wr6.1: cashonupper + meanortime (edgefreq=0.02, time=5d), nextclose, SPY + ^VIX.
Provenance
Equity vs S&P (aligned, rebased to 1.0)
signal 2016-09signal 2016-10signal 2016-11
Aligned window, both rebased to 1.0 at start — Aligned window, both rebased to 1.0 at start for fair comparison · S&P dashed, experiment solid. X = Date, Y = Equity (rebased to 1.0).
Signal driver & thresholds (x-aligned)
Stats
| CAGR | 6.15% | Sharpe | 66.30% |
|---|---|---|---|
| Sortino | 96.94% | maxDD | -17.68% |
Disposition
# VIX DMA Edge strategy implementation (qm-wr6.2) ## Summary Shipped non-AS catalogue strategy `vix-dma-edge` using researched defaults from `qm-wr6.1`: **cash_on_upper** + **mean_or_time** (edge_freq=0.02, time=5d), `next_close`, SPY + `^VIX`. Report window clamped to live SPY IPO (`1993-01-29`); catalog start `1993-02`. ## FEATURE_COMPLETION - Entry point: `/catalog` row + `/strategies/vix-dma-edge.html` - Usable workflow: strategy page with monthly stats/charts + QuantStats tearsheet - Reuse: same `VixDmaEdge.researched_defaults()` as runner/export - Evidence: `tests/test_vix_dma_edge.
Follow-on work
- Follow-up qm-wr6.2
- Follow-up qm-wr6.1
Errors & data gaps
No additional vendor or coverage gaps beyond frozen panel window; see finding for panel dates and synthetic reconstruction limits.
Follow-up
gh issue create --title "Follow-up VIX DMA Edge strategy implementation qm-wr62" --body "Follow-up to qm-wr6.2: Summary" --label "priority:p2" --label "pipeline:research" --label "agent:ready"