dip_buying: SPY/QQQ RSI(2) dip is real after publication (SPY 2008-26
46 bp/trade, t 3.4) but in the market 14% of days, so 3x earns the same
Sharpe as SPY; trend-filtered stock RSI(2) breaks even at 10 bp/side and
lowers the three-sleeve book (1.14 -> 0.95); stocks far below their high
rebound only in market-wide crashes.
dip_leverage_overlay: +1x SPY inside the dip windows on the overnight_book
books leaves Sharpe flat or lower (0.98 -> 0.99, 1.38 -> 1.33); the gain
ranks 77-88% against trend-matched random windows. The books already earn
the bounce at about 2x SPY's beta.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
Gahow Wang
ed0ed3f4b2