The three strategies:
1. Funding Rate Carry — Goes long assets with consistently negative funding (market paying you to hold) while hedging directional exposure with a small short on a correlated index. Data from Binance public API, no account needed.
2. Momentum + Regime — Standard cross-sectional momentum with a regime filter. The regime filter uses a hidden Markov model to identify high/low volatility regimes and sizes positions down during risk-off states. This cuts most of the drawdown that raw momentum has during trend reversals.
3. Vol Mean Reversion — Trades the VIX term structure spread (VIX3M/VIX ratio) against realized vol. Core idea: implied vol mean-reverts faster than realized, so a wide spread means overpriced insurance.
Each notebook is 7 cells: data fetch, signal construction, backtest loop, metrics (Sharpe, Calmar, max drawdown, win rate), sensitivity analysis grid, and a PDF export cell.
All data is free: yfinance for equities/VIX, Binance public REST API for crypto. No Bloomberg required.
The sensitivity analysis cell is the part I always wished papers included — it runs a parameter grid so you can see the full metric landscape, not just the one published set. That's how you tell if you found a real edge or curve-fit a point.
$49 per notebook, $99 for all three: https://mattitude8861.gumroad.com/l/VolatilityMeanReversionS...
https://mattitude8861.gumroad.com/l/MomentumHMMRegimeFilterE...
https://mattitude8861.gumroad.com/l/FundingRateCarryStrategy...
https://mattitude8861.gumroad.com/l/QuantStrategyTemplatesBu...