Methodology · Changelog

Versioned, not frozen.

Material changes to the screen, signals, sizing, or Iron Rules. Terse by design — the methodology page is the source of truth for what is currently in effect.

History

2026-05-17: Skew signal switched to the 25-delta risk reversal — the standard option-market skew measure — replacing a fixed-percentage-OTM approximation. Signal set, weightings, and score thresholds unchanged.
2026-05-05: Initial publication. Seven screen gates; seven scoring signals (VRP, IV percentile, skew, mean reversion, momentum, quality, liquidity); fractional Kelly sizing at 60% of full Kelly with 5%-of-book per-position cap and 35%-of-book total short-premium cap; seven Iron Rules.