{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T05:34:40Z","timestamp":1793424880084,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Quantitative trading strategies frequently generate directional entry signals whose empirical edge is eroded by exchange transaction fees, statutory taxes, and bid-ask spread crossing costs. While conventional machine learning approaches forecast binary price directions or conditional mean returns under unverified Gaussian assumptions, they fail to provide reliable downside safety margins during structural regime shifts. We introduce the Conformalized Execution Shield, an institutional risk management firewall that establishes mathematically guaranteed, distribution-free lower bounds on Maximum Favorable Excursion (MFE). Utilizing Conformal Quantile Regression (CQR) optimized with an asymmetric pinball loss targeting the lower 10th percentile (\u03b1 = 0.10), our framework guarantees with 1-\u03b1 = 90% finite-sample statistical confidence that the realized favorable price excursion will exceed the model's calibrated hurdle. Evaluated on high-frequency orderbook and volatility surface features across Indian index derivatives (NSE: Nifty 50 and BankNifty), the Conformal Shield acts as an execution veto gate, filtering out low-expectancy signals. In empirical out-of-sample testing across 1,500 trade sequences, the shield raises the empirical coverage from an uncalibrated 84.60% to a guaranteed 90.13%, boosting the strategy's Profit Factor from 0.97 (a net loss after friction) to 3.39, while reducing maximum underwater drawdown by 64.2%. We further present a Mondrian stratification architecture across gamma regimes and liquidity states, preventing residual distortion during volatility explosions.<\/jats:p>","DOI":"10.2139\/ssrn.7669300","type":"posted-content","created":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T05:20:27Z","timestamp":1793424027000},"source":"Crossref","is-referenced-by-count":0,"title":["Conformalized Execution Shields: Distribution-Free Finite-Sample Risk Guarantees and Maximum Favorable Excursion Bounds in Derivatives Markets"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0001-7718-6849","authenticated-orcid":true,"given":"Partho","family":"Baruah","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,31]],"date-time":"2026-10-31T05:20:27Z","timestamp":1793424027000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7669300"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7669300","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}