Fair Value Deviation · SOFR + Div Yield + Expiry Differential · Entry at |z| > 2.5
Historical Replay
Signal state reflects last bar of the W1 research window (Sep 2024). No live data feed: Databento tick data is exchange-gated.
Cumulative Net P&L: V1 vs Ungated (10-lot, W1→W4)
Research Results, Sep 2024 – Jun 2025 · OOS: W3+W4
European Session Edge (OOS V1)
Sample size
n = 90
p-value
0.0130
Avg P&L / lot
+$3.90
Consistency
Positive in all 4 roll windows
OOS V1 (All Sessions, W3+W4)
Sample size
n = 299
p-value
0.0060
Annualized Sharpe
+3.88
Net P&L / lot
+$2.47
90% CI: [+1.38, +6.63] · net of $8.04/lot (exchange + NFA + broker)