The Test Bench › option_strategy

Does Big Lizard + Risk Reducer actually work?

REAL

A measurable edge that survived the checks we ran.

The claim

Gate the Big Lizard with the Risk Reducer to cut the naked-ATM-put tail — Trading Truth (our test)

What we did

Tested against Ungated Big Lizard, same fills (cross the spread), 2014–2025, real SPY bid/ask, cross the spread.

The result

Result: 18.0 expectancy $/trade (gated, net)

worst -6929→-1712, maxDD -14659→-4382

Verdict

The flagship Risk Reducer applied to an option trade: it cuts the worst trade 75% (-6929→-1712) and max drawdown 70% by standing aside in risk-off regimes. The price: about half the expectancy ($107→$18). A real tail-reducer, not a free lunch.

What the test did and did not do

net of real costs
point-in-time data
checked for look-ahead
tested out of sample

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

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Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.