REGIME REVERSAL STUDY
Where The Signal Layer Looks Most Structured
The current evidence is strongest around reversal states: extreme zero-gamma distance, high wall-bias strength, and dealer amplification. This is the most useful product story so far because it frames Contessa as a market-structure intelligence layer.
FAMILY 01
Zero-Gamma Distance Reversion
The strongest family trades mean reversion when spot is far from estimated zero gamma, especially inside negative-gamma or amplifying regimes. The top-quartile negative-gamma variant produced +1,004 bps net at 1 bp slippage with a 51.8% directional hit rate.
FAMILY 02
Wall-Bias Reversal
Extreme wall-bias readings also behaved more like reversal pressure than direct trend prediction. Top-strength wall-bias fade rules were among the most stable in the holdout sample, but many still underperformed active-window buy-and-hold.
ROBUST RANKING
Rules That Stayed Positive In The Chronological Holdout
The ranking below uses the lower of full-sample net return and holdout net return as a simple robustness screen. This is intentionally conservative compared with sorting only by headline PnL.
| Rule | Net | Holdout net | Holdout excess | Sharpe | Max DD | Trades |
|---|---|---|---|---|---|---|
| Zero-gamma reversion, top quartile gap, negative gamma | +1,004 bps | +467 bps | -41 bps | 5.16 | -394 bps | 2,555 |
| Zero-gamma reversion, top 5 percent gap | +561 bps | +438 bps | +11 bps | 10.06 | -153 bps | 647 |
| Zero-gamma reversion, top 5 percent gap, negative gamma | +549 bps | +426 bps | -19 bps | 10.06 | -153 bps | 624 |
| Zero-gamma reversion, top half gap, negative gamma | +485 bps | +415 bps | -61 bps | 1.70 | -471 bps | 4,395 |
| Wall-bias reversal, top decile strength, high volatility | +651 bps | +399 bps | -44 bps | 7.85 | -229 bps | 1,039 |
| Wall-bias reversal, top quartile strength, amplifying regime | +912 bps | +383 bps | -42 bps | 4.78 | -350 bps | 2,554 |
PRODUCT INTERPRETATION
The sellable claim is structure, not a black-box strategy.
The current evidence supports saying that Contessa transforms raw options data into regime variables that can be researched, filtered, and integrated into trading or risk systems. The next proof step is expanding the full-year window and validating these families out of sample.