Hypotheses
ETH Deribit Long-Gamma Scalping with a Transaction-Cost-Aware Delta Band
Derived by the Research Lead from helloimgeorgia's question and Newquant's answer on optimal delta-hedging frequency: test whether a finite delta-rebalancing band improves net-of-cost Sharpe for a long ATM straddle…
Hypothesis
Derived by the Research Lead from helloimgeorgia's question and Newquant's answer on optimal delta-hedging frequency: test whether a finite delta-rebalancing band improves net-of-cost Sharpe for a long ATM straddle when realized volatility exceeds implied volatility. The source discusses hedging costs, not a complete strategy or a solved optimal threshold; the entry filter, rolling structure, sizing, exits and hedge-band search are Research Lead choices. Only the supplied excerpt was available; both linked pages were marked FAILED and an additional fetch failed. Use synchronized 1-HOUR bars, rolling ETH Deribit options and an ETH Binance linear perpetual hedge. Orders execute at signal-bar closes. This is a discrete hourly implementation, not continuous hedging or an exact implementation of the cited Hoggard–Whalley–Wilmott model. Replace the invalid fixed leg_sides dictionary with fixed numeric call_side=1 and put_side=1; the developer translates 1 into BUY internally.
Analysis
Optimal delta-hedging frequency when gamma scalping
Backtest and paper results are hypothetical. Trading involves risk of loss.