Inverted Double Diagonal

SPX · carry-to-back · 2017–2026 · account $100k · click a point for structure

Click anywhere on a curve to inspect that week's position (payoff · legs · entry chain). ■ V1 ■ V2 ■ V3 (V2 + IV-spread filter) ■ V4 (adaptive short put by VIX + V1-in-stress expiry; 13:00 adds a 2% hold-and-hedge)

metric	V1	V2	V3	V4	Medusa ×5	V4+Med ×5
Sharpe	1.02 [0.35, 1.67]	0.58 [-0.10, 1.30]	1.05 [0.36, 1.80]	1.30 [0.68, 1.91]	3.02 [2.41, 3.55]	2.14 [1.59, 2.70]
Sortino	1.39 [0.45, 2.45]	0.56 [-0.07, 1.50]	1.11 [0.38, 2.23]	1.71 [0.81, 3.05]	4.44 [2.64, 9.58]	2.93 [1.90, 4.84]
Calmar ($/yr per $DD)	0.71 [0.15, 1.91]	0.19 [-0.02, 1.06]	0.72 [0.13, 2.10]	1.26 [0.39, 2.85]	3.32 [3.30, 18.26]	2.15 [1.11, 5.06]
Win rate	66% [61%, 70%]	64% [59%, 68%]	66% [61%, 71%]	68% [63%, 72%]	83% [76%, 88%]	72% [68%, 76%]
Reward/risk	0.82 [0.66, 1.03]	0.74 [0.58, 0.96]	0.85 [0.67, 1.15]	0.94 [0.72, 1.24]	1.40 [1.08, 1.86]	1.05 [0.83, 1.31]
EV / trade	$1,407 [$494, $2,309]	$698 [-$87, $1,427]	$1,049 [$398, $1,728]	$1,589 [$808, $2,417]	$4,135 [$3,460, $4,820]	$2,336 [$1,685, $2,939]
Max DD	-$102,633 [-$191,208, -$54,668]	-$188,081 [-$271,864, -$63,518]	-$67,836 [-$137,970, -$34,499]	-$59,780 [-$124,371, -$35,773]	-$35,675 [-$33,550, -$8,000]	-$64,064 [-$100,408, -$32,784]
Avg DD	-$14,360 [-$33,878, -$12,561]	-$17,842 [-$55,722, -$11,210]	-$12,254 [-$22,677, -$7,052]	-$12,275 [-$19,420, -$7,717]	-$10,222 [-$7,896, -$3,056]	-$11,445 [-$12,944, -$6,404]
Avg DD len	7d [6d, 23d]	16d [7d, 73d]	12d [5d, 25d]	8d [5d, 17d]	8d [3d, 7d]	7d [4d, 7d]
Max DD len	61d [32d, 226d]	238d [47d, 388d]	103d [30d, 202d]	79d [26d, 167d]	23d [7d, 33d]	92d [17d, 74d]
Winner MAE (avg)	$0 [$0, $0]	$0 [$0, $0]	$0 [$0, $0]	$0 [$0, $0]	—	—
Stop @ winner p95	$0 [$0, $0]	$0 [$0, $0]	$0 [$0, $0]	$0 [$0, $0]	—	—
Final equity	$732,964	$414,122	$473,410	$738,763	$790,550	$1,429,313
Trades	450	450	356	402	167	569
Corr vs Medusa (Δeq)	-0.06	-0.01	-0.00	-0.03	—	—

95% CI in brackets (bootstrap; Wilson for win rate). Ratios annualized (√252 daily / √52 weekly-carry).
■ Medusa overlaid + column, integer-scaled ×5 to a $100k book so its final ≈ V4's. Corr vs Medusa = Pearson of weekly Δequity per variant over Medusa's window (~2020-06 → 2026-03); ≈0 = uncorrelated. V4+Med ×5 = both as one book (pooled trades). All Sharpes are weekly-52 (√52) for comparability; the combined's daily-sampled ann-252 = 1.79. Full-history combined (2.14) is diluted by the ~3 pre-Medusa years — over 2020–2026 where both are live: V4 1.47 · Medusa 3.02 · Combined 2.95. Medusa's exit-date track has no daily marks, so weekly is the honest cadence; a naive per-trade×√252 would overstate it ~4×.