RESEARCH REPORTS
Evidence Behind the Signal Layer
Contessa research reports turn generated metric histories into readable studies of regime behavior, slippage, drawdown, robustness, and signal limitations. These interim reports use the complete-session data currently available and will be refreshed as the full backtest finishes.
Regime accuracy and large-move capture
Market Structure Validation
A product-focused validation report showing whether Contessa regimes correspond to realized volatility, large intraday moves, zero-gamma distance, and wall-bias behavior.
- Top moves
- 89.1%
- Vol lift
- 1.59x
Aug 11, 2025 - May 20, 2026
Interim SPY 5-Minute Backtest
A current-read report on 13,104 complete-session SPY options-positioning snapshots, exploratory rule performance, drawdowns, and limitations.
- Snapshots
- 13,104
- Days
- 168
Zero-gamma and wall-bias regimes
Regime Reversal Study
A focused look at where the data showed the strongest structure: zero-gamma distance reversion, wall-bias fading, and dealer amplification regimes.
- Rules
- 272
- Best net
- +1,004 bps
Train/test, costs, monthly stability
Robustness and Slippage Review
A critical review of strategy fragility, holdout behavior, slippage sensitivity, active-window excess returns, and the limits of intraday Sharpe.
- Cost
- 1 bp
- Holdout
- 30%