About Daelta
Quantitative instruments,
built the way desks build them.
Daelta makes tools for NQ traders from the mathematics institutions actually use: volatility estimators, regime models, dealer positioning and order-flow statistics. It publishes only what survives testing against chance.
The toolkit
Real concepts. No mystery indicators.
- 01
Volatility estimation
Range-based estimators such as Yang-Zhang that use the whole session (gap, open-to-close and the path between) instead of throwing it away for a close.
- 02
Regime models
Conditional-volatility and hidden-state models that say what kind of day this is, as a probability that updates while the session runs.
- 03
Dealer positioning
Gamma exposure from the full options chain, strike by strike and expiry by expiry: the flip, the walls, and what expires today.
- 04
Order flow
Self-exciting intensity of buying and selling, price impact per contract, and cumulative delta. The statistics of who is pushing.
- 05
First-passage odds
Stops and targets priced as a race: the empirical chance that one level prints before the other, counted on real tape.
- 06
Path geometry
Delay embedding, persistent homology and permutation entropy on the price path, applied through a formula built here. The loops the tape keeps closing, read back as prices. This is the flagship of the Engine.
How it is tested
Three rules before anything ships.
Against chance, not against nothing.
A level only counts if it beats a random price at the same distance, compared within the same distance band. Most constructions fail that test. They don’t ship.
Out of sample, or not at all.
Parameters are fixed before the data they are judged on. Walk-forward results sit on the Desk and Radius pages, including the stretches that went negative.
Say what can’t be done.
A single day’s extreme is about four percent predictable from anything known at 09:30. We say so, and build tools for the parts that are predictable.
Contact
One channel. No noise.
A private Discord for Engine seats and indicator buyers. Questions about a study, a licence or the seat go there.