{
  "generatedAt": "2026-09-07T06:42:20.482Z",
  "note": "Scale-function + Magdon-Ismail + 3-leg option gap. Fit on expand IS 2023-10→2025-04. Holdout only checks formula vs tape. Frozen r44. PAPER. Not a search.",
  "cfg": {
    "step": 0.0025,
    "levels": 3,
    "tp": 0.01,
    "lev": 15
  },
  "n": 40,
  "is": {
    "start": "2023-10-01",
    "end": "2025-04-01"
  },
  "holdout": {
    "start": "2025-10-01",
    "end": "2026-09-05"
  },
  "commit": {
    "algo": "sha256",
    "canon": "r44|step=0.0025|levels=3|tp=0.01|lev=15|k=40|is=2023-10-01..2025-04-01|holdout=LOCKED",
    "hex": "d40a3a29cc54f837f92301ecdfd4348d91bcc6d18073641c85d2a1cb45a7e1c3"
  },
  "hitting": {
    "lo": 0.9925187343750002,
    "hi": 1.01,
    "pGbmAtm": 0.4294072908729638,
    "pOuAtm": 0.42948587711269787,
    "pEmpIsPathSafe": 0.41996956071856617,
    "pEmpHoPathSafe": 0.4127069130740665,
    "pGbmFromFill": {
      "k0": 0.4294072908729638,
      "k1": 0.33418335216053696,
      "k2": 0.20067780591622325
    },
    "nMeanReverting": 1,
    "needPForPositiveER": 0.5137651825480984
  },
  "payoffAtmLeg": {
    "gbm": {
      "rWin": 0.042499999999999996,
      "rLose": -0.044906328124999215,
      "eR": -0.007373413559689963
    },
    "empIs": {
      "rWin": 0.042499999999999996,
      "rLose": -0.044906328124999215,
      "eR": -0.008198330898320443
    }
  },
  "kellyCloseToClose": {
    "meanLamStar": 0.425,
    "meanGStarMo": 0.013049978709091465,
    "meanG15Mo": -0.9953921373139598,
    "pooledLamStar": 0.25,
    "pooledGStarMo": 0.0019469373449993999,
    "pooledG15Mo": -1,
    "note": "Close-to-close Kelly is an upper bound only for close-only strategies. Grid sees OHLC, so it can exceed this. If 15x close Kelly is ruin, ATM k=0 is in the same family."
  },
  "magdonIsmail": {
    "note": "Log-wealth BM. μ=0 E[MDD]=σ√(πT/2) exact (Douady–Shiryaev–Yor / Magdon-Ismail 2004). μ≠0 uses JAP 2004 asymptotics. P(ever DD≥15%)=exp(-2μa/σ²) if μ>0 else 1. P(terminal≤-a) is a lower bound on P(MDD≥a). Fit on IS, T = holdout length.",
    "book15xHour": {
      "mu": 0.0003692852083429028,
      "sig": 0.09146947032145608,
      "T": 8136,
      "wealthDd": 0.15,
      "aLog": 0.16251892949777494,
      "eMdd0": 10.340500802759454,
      "eMddAsym": 10.340500802759454,
      "pEver": 0.9857559997822483,
      "pTermDrop": 0.3505422186126949,
      "markov0": 1,
      "markovAsym": 1,
      "x": 0.06630594066780271
    },
    "aetherEquityDaily": {
      "mu": 0.023260063333486194,
      "sig": 0.049643502468735064,
      "T": 339,
      "wealthDd": 0.15,
      "aLog": 0.16251892949777494,
      "eMdd0": 1.1455715039712038,
      "eMddAsym": 0.2956157318994321,
      "pEver": 0.04652570429683159,
      "pTermDrop": 0,
      "markov0": 1,
      "markovAsym": 1,
      "x": 37.21059885752418,
      "nIsDays": 547,
      "empMddIs": 0.235946447390753
    }
  },
  "optionGap": {
    "note": "Path-safe next-hour TP, sequential cycles, 24h cooldown after abort. Indep = each filled leg TPs at fill×(1+tp). Bary = one TP at average entry ×(1+tp). Holdout is a check, not a freeze.",
    "is": {
      "indep": {
        "n": 30347,
        "nSkipBoth": 1592,
        "nAllTp": 11568,
        "nAbort": 17589,
        "nPartial": 1190,
        "sumR": -802.6765608593462,
        "nTpLegs": 23170,
        "nAbLegs": 54725,
        "pAllTp": 0.38119089201568523,
        "pAbort": 0.5795960061950111,
        "pPartial": 0.03921310178930372,
        "eR": -0.026449947634340994
      },
      "bary": {
        "n": 31302,
        "nSkipBoth": 971,
        "nAllTp": 12404,
        "nAbort": 18898,
        "nPartial": 0,
        "sumR": -836.9817264062194,
        "nTpLegs": 23605,
        "nAbLegs": 56694,
        "pAllTp": 0.39626860903456645,
        "pAbort": 0.6037313909654335,
        "pPartial": 0,
        "eR": -0.026738921679324627
      },
      "gapER": 0.00028897404498363227
    },
    "holdoutCheck": {
      "indep": {
        "n": 18814,
        "nSkipBoth": 873,
        "nAllTp": 7317,
        "nAbort": 10567,
        "nPartial": 930,
        "sumR": -470.7085544531096,
        "nTpLegs": 14511,
        "nAbLegs": 33231,
        "pAllTp": 0.3889125119591793,
        "pAbort": 0.5616562134580632,
        "pPartial": 0.04943127458275752,
        "eR": -0.025019057853359714
      },
      "bary": {
        "n": 19470,
        "nSkipBoth": 460,
        "nAllTp": 7890,
        "nAbort": 11580,
        "nPartial": 0,
        "sumR": -505.72346718748463,
        "nTpLegs": 14630,
        "nAbLegs": 34736,
        "pAllTp": 0.4052388289676425,
        "pAbort": 0.5947611710323575,
        "pPartial": 0,
        "eR": -0.025974497544298134
      },
      "gapER": 0.00095543969093842
    }
  },
  "corr": {
    "nEff": 3.469300733389236,
    "n": 40,
    "meanHourSig": 0.011358104997323598,
    "sigBookUnlev": 0.006097964688097072,
    "sigBook15x": 0.09146947032145608,
    "hoursHoldout": 8136
  },
  "kpis": {
    "pGbm": 0.4294072908729638,
    "pEmpIs": 0.41996956071856617,
    "pEmpHo": 0.4127069130740665,
    "eRAtmGbm": -0.007373413559689963,
    "eRAtmEmp": -0.008198330898320443,
    "nEff": 3.469300733389236,
    "kellyStarMo": 0.0019469373449993999,
    "kelly15Mo": -1,
    "lamStar": 0.25,
    "nMeanRev": 1,
    "eRIndepIs": -0.026449947634340994,
    "eRBaryIs": -0.026738921679324627,
    "gapIs": 0.00028897404498363227,
    "eRIndepHo": -0.025019057853359714,
    "eRBaryHo": -0.025974497544298134,
    "pPartialIndepIs": 0.03921310178930372,
    "pPartialBaryIs": 0,
    "pEverHaltBook15x": 0.9857559997822483,
    "pEverHaltAether": 0.04652570429683159,
    "eMddAetherAsym": 0.2956157318994321,
    "empMddIs": 0.235946447390753,
    "commit": "d40a3a29cc54f837",
    "verdict": "Close-to-close cannot hit AIM 30%. Independent 3-leg vs barycenter gap is computed on the tape (IS). Remaining Aether/Jesse gap is OHLC fill, not this option. 15× BM book has P(ever 15% DD)≈1. PAPER.",
    "uHatIs": 2.247327681533358,
    "uHatHo": 1.8509067565398813,
    "uHatAbortOnlyIs": 0.11795060818282345,
    "eNtot": 1.5055325619050937,
    "needEN": 2.461414191642306,
    "gTilde": -0.039785394235852575,
    "rho": 0.5196078640043255,
    "gDDMo": 0.0015253831452606281,
    "gUMo": 0.01021327594942445
  }
}