Research

Short memos on strategy research, robustness checks, and execution assumptions.

Vol expansion burst + breakout (4h)

MVP

A quiet-to-burst volatility filter gated by Donchian breakout direction. Backtest (research run) showed approximately +60.7% total return with roughly -39.3% max drawdown over the sampled period (see repo artifacts).

Notes

These are research backtests, not investment advice. Live execution adds slippage, funding, and partial-fill realities.
Current deployment target: Drift SOL-PERP with strict notional caps and DRY_RUN testing first.