Public research brief
Concretum Research's A Profitable Strategy for Short-Term Traders proposes buying SPY during unusually sharp volatility stress and exiting on a rebound. Its operational description uses information shortly before the closing auction. The intended opportunity is a short-lived correction amplified by forced selling and demand for protection.
Our retained daily-data implementation reproduces several headline statistics closely. It also makes an important distinction visible: reproducing a return curve does not establish that the same information was available when the order had to be submitted.
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