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    "cost": {
      "labels": [
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      "sharpe": [
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        0.47218230207596584,
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      ],
      "cagr": [
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        0.07981510438911577,
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    "noise": {
      "labels": [
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      "median_sharpe": [
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      "p10_sharpe": [
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      "p90_sharpe": [
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    },
    "regimes": {
      "labels": [
        "Strong bull",
        "Bull",
        "Sideways",
        "Bear",
        "Strong bear",
        "Volatility up",
        "Volatility down"
      ],
      "strategy": [
        0.015291457217622066,
        0.008277972450334965,
        -0.019160679942202462,
        -0.014683541083352942,
        null,
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      ],
      "spy": [
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      ]
    }
  },
  "tools": [
    {
      "id": "strategy_report",
      "title": "Strategy report",
      "href": "../strategies/vix-shield.html",
      "status": "ok",
      "note": "Equity, allocations, and replication metrics."
    },
    {
      "id": "quantstats",
      "title": "QuantStats tearsheet",
      "href": "../tearsheets/strategies/vix-shield.html",
      "status": "ok",
      "note": "Full QuantStats HTML from the same monthly ours path."
    },
    {
      "id": "paper_to_profit",
      "title": "Paper to Profit robustness",
      "href": "https://papertoprofit.substack.com/t/tutorials",
      "status": "ok",
      "note": "t-test vs zero and SPY, overlapping-block bootstrap, rolling OLS alpha decay, 70/30 stability, extra-bps cost grid, return-space noise, and seven SPY regimes. Walk-forward parameter search is not estimable on this catalog snapshot."
    }
  ],
  "writeup": {
    "verdict": "VIX Shield receives a research grade of F (composite 53 / 100) on Paper-to-Profit robustness tests run against published monthly ours versus SPY. On these tests the published path does not currently support a constructive allocation case.",
    "edge": "The path makes money vs zero (p=0.008) but is not a significant edge versus SPY (p=0.812, excess -0.05% per month). Same failure mode as a strategy that only rides beta.",
    "bootstrap": "Block bootstrap of consecutive months (400 paths): P(beat SPY) over 6.0 months is 46%; over 24.0 months is 52%. This is the Paper-to-Profit 'realistic path' test, not a reshuffled iid sample.",
    "persistence": "24% of 12-month OLS windows have a significantly positive slope and 30% are significantly negative. Terminal strategy/SPY wealth ratio is 0.74. A steadily rising log-relative-wealth line is the decay test from the tutorial; a late collapse is a warning.",
    "stability": "70/30 OOS/IS Sharpe ratio is 5.53; second/first-half Sharpe ratio is 12.23. Walk-forward parameter search is not estimable on a frozen catalog snapshot; this split is the overfit proxy. Return-space noise did not halve Sharpe on the tested grid.",
    "cost": "Average daily turnover is 2.014%. Additional one-way costs through 24 bps did not cut Sharpe in half. That is the tutorial's cost-robust case.",
    "regimes": "The path beats SPY in 61% of classified months (4.0/6.0 regimes). In bear/strong-bear/vol-down months it beats SPY 21% of the time. Crisis windows: Dot-com bust: strategy -40.1% vs SPY -31.4%; Global Financial Crisis: strategy -68.6% vs SPY -46.0%; COVID crash: strategy 10.0% vs SPY -19.4%; 2022 inflation shock: strategy -12.3% vs SPY -23.9%.",
    "headline": "Published CAGR 8.15% / Sharpe 0.54 / max DD -70.9% over 300 months. Those headline stats are context only; the grade is the robustness tests above.",
    "limitations": "Tests use published monthly ours, already lagged one bar in the engine, versus SPY. t-tests assume roughly comparable monthly means; Wilcoxon is shown as a non-normal check. Bootstrap paths are overlapping consecutive months (not iid reshuffles). Noise is added to monthly returns, not to OHLC, because this producer does not rerun backtests. Walk-forward parameter optimization, SPA, and PBO are not estimable without a trial ledger. Fee drag is extra one-way bps on catalog average daily turnover, on top of the published costed path."
  },
  "ranks": {
    "cagr": 24.257425742574256,
    "sharpe": 1.4851485148514851,
    "score": 70.29702970297029
  },
  "generated_at": "2026-09-22T18:23:05Z"
}