Options Research Lab PRO
SIG-001 · Quarterly target experiment

Signal Lab

Read Me First — Signal Lab

Test whether quarterly value-averaging to a fixed stock-growth line adds anything beyond simpler benchmarks. This first study implements the publicly described Signal mechanism, not Jason Kelly's complete subscriber rule set.

3% quarterly compounds to
12.55% / yr
Default starting mix
80% / 20%
Primary comparison
Paired paths
Status
Mechanism test

Experiment controls

The underlying synthetic path generator matches the current Options Research Lab Pro market-process parameters. All strategies see the identical path.

What is being tested?

Public Signal rule: begin with 80% in a stock sleeve and 20% in a safe sleeve. Each quarter the stock sleeve has a target value that compounds at the chosen quarterly rate. If stock is above target, sell the surplus to the safe sleeve. If below target, transfer from the safe sleeve toward the target. If the reserve is insufficient, invest the available reserve and record an underfunded signal.

The target line continues to compound even after an underfunded signal. No cash contributions, taxes, fund distributions, special crash/stick-around rules, or leverage-management rules are included in SIG-001 v0.1.

Why the implementation is deliberately limited

Jason Kelly's public materials describe the core quarterly target mechanism and an 80/20 starting split, but also state that the complete plan contains additional rules. Before calling a later study an “exact 3Sig” test, we should send our rule specification to Jason and ask him to confirm it.

Public references used for the mechanism: jasonkelly.com/books/3sig/ and jasonkelly.com/3sig/.

Target sweep

Run the experiment to compare 0% through 6% quarterly target lines.

TargetMean CAGRvs 100% stockvs 80/20 rebalanceMean DDAvg equityReserve depleted

Mean CAGR by quarterly target

3% target detail

Status
Not run

Benchmarks

BenchmarkMean CAGRMean drawdownAvg equity

The 80/20 rebalancing control is critical: if Signal only looks safer because it holds less stock, this helps expose that.