regime_options — Backtest

Config Management

Configs differ

DTE: 0 7 14 21

Key	Live	Backtest
etf_symbols	['SPY', 'QQQ', 'IWM', 'GLD', 'DSX', 'TLT', 'XLF', 'XLE', 'XLK']	['SPY', 'QQQ', 'IWM', 'GLD', 'GOLD', 'GSX', 'TLT', 'XLF', 'XLE', 'XLK']
symbols	['SPY', 'QQQ', 'GLD', 'IWM', 'GSX', 'TLT', 'XLF', 'XLE', 'XLK']	['SPY', 'QQQ', 'GLD', 'IWM', 'GOLD', 'GSX', 'TLT', 'XLF', 'XLE', 'XLK']

▶ Edit Backtest Config

broker:
  paper_trading: true
  base_url: "https://paper-api.alpaca.markets/v2"

# ── Universe ───────────────────────────────────────────────────────────────────
# Symbols to trade options on. Must have liquid options markets.
# The HMM regime is detected on the first symbol (primary); all symbols
# in the list get the same regime signal and their own spread selections.
#
# Liquid ETF options (recommended):
#   SPY  — S&P 500, tightest spreads, 0DTE Mon-Fri
#   QQQ  — Nasdaq 100, 0DTE Mon-Fri
#   IWM  — Russell 2000
#   GLD  — Gold
#   TLT  — 20yr Treasury
#
# Single stocks — higher IV, wider spreads, earnings risk:
#   AAPL, RILY, NVDA, AMZN, META, TSLA, AMD, GOOGL
#
symbols: ["SPY", "QQQ", "GLD", "IWM","GOLD", "GSX", "TLT", "XLF", "XLE", "XLK"]

# ── Iron Condor Rules ───────────────────────────────────────────────────────
# Condors work on broad ETFs (diversified, no earnings gaps, tight spreads).
# Single stocks blow through IC wings on earnings/news — disabled for them.
etf_only_condors: true
etf_symbols: ["SPY", "QQQ", "IWM", "GLD","GOLD", "GSX", "TLT", "XLF", "XLE", "XLK"]

hmm:
  # Points to regime_trader's trained model if available
  model_path: "../regime_trader/models/hmm_latest.pkl"
  fallback_states: 5
  min_confidence: 0.55

options:
  # ── DTE Configuration ──────────────────────────────────────────────────────
  # Set a single integer, or "auto" to let the backtester pick the best.
  # Any positive integer is valid (0, 1, 2, 3, 5, 7, 14, 21, 30, 45, ...).
  # 0DTE = same-day expiry (SPY trades 0DTE Mon–Fri).
  dte: 7

# When dte: "auto", backtester compares all candidates and picks best Sharpe.
  dte_candidates: [0, 7, 14, 21]

# Per-strategy DTE overrides — optional. Uncomment to use.
  # If set, these take priority over the global `dte` value.
  # dte_overrides:
  #   iron_condor: 21          # IC benefits from more theta decay time
  #   bull_call_spread: 7
  #   bear_put_spread: 7
  #   short_put_spread: 14
  #   short_call_spread: 14

# ── Delta Targets ──────────────────────────────────────────────────────────
  delta_targets:
    directional_long: 0.45   # Long leg of debit spreads (ATM-ish)
    directional_short: 0.25  # Short leg of debit spreads (OTM)
    condor_short: 0.20        # Iron condor short strikes
    condor_long: 0.08         # Iron condor long strikes (wings)

# ── Spread Widths ──────────────────────────────────────────────────────────
  # In strike increments. SPY = $1 strikes, QQQ = $1, SPX = $5.
  spread_width:
    directional: 5            # $5 wide bull/bear spreads
    condor_wing: 3            # $3 wide IC wings

# ── IV Thresholds ──────────────────────────────────────────────────────────
  iv_rank_thresholds:
    prefer_selling: 50        # IV rank above this → prefer credit strategies
    skip_condor: 25           # IV rank below this → skip iron condors

# ── Exit Rules ─────────────────────────────────────────────────────────────
  # Positions are checked every poll cycle against these rules.
  exit_rules:
    profit_target_pct: 0.50   # Close at 50% of max profit (standard for IC/credit spreads)
    stop_loss_pct: 2.00        # Close at 200% of premium received (i.e., lose 2x what you collected)
    dte_stop: 1                # Force-close any position with ≤1 DTE remaining (avoid pin risk)

# ── Entry Filters ──────────────────────────────────────────────────────────
  entry_filters:
    # 0DTE-specific time windows (ET). Avoids open volatility and end-of-day gamma.
    dte0_entry_start: "09:45"  # Don't enter before 9:45am ET
    dte0_entry_cutoff: "14:00" # Don't enter after 2:00pm ET (not enough time)

# Short-term vol filter — blocks condors when price is already moving fast.
    # 5-day annualised realised vol above this = skip iron condor entry.
    # Caught all 4 April-2025 tariff-crisis blowouts in backtesting.
    condor_rv5_max: 0.20       # 20% annualised = ~1.25% daily moves

# VIX filter — avoid selling premium into extreme vol spikes
    vix_max_for_condor: 35     # Skip iron condors when VIX > 35
    vix_min_for_debit: 12      # Skip debit spreads when VIX < 12 (no movement expected)

# Earnings blackout — don't hold through earnings
    avoid_earnings: true
    earnings_blackout_days: 3  # Skip if earnings within this many days

# Regime stability — require this many consecutive bars in same regime
    min_regime_bars: 3

# ── Position Management ────────────────────────────────────────────────────
  position_management:
    # Roll when short strike is tested (underlying within X% of short strike)
    roll_defense_threshold: 0.005   # Roll if price within 0.5% of short strike
    roll_out_days: 7                # Roll to expiry that is +7 DTE from current
    max_rolls_per_position: 2       # Don't roll more than twice

risk:
  max_risk_per_trade_pct: 0.015   # 1.5% of account per spread
  max_concurrent_positions: 5
  max_daily_trades: 10
  max_portfolio_delta: 0.30       # 30% net delta exposure
  max_portfolio_vega: 0.20        # 20% vega exposure
  min_credit_condor: 0.30         # Minimum credit to collect on iron condor (per share)
  min_rr_debit: 1.5               # Minimum reward/risk for debit spreads

drawdown:
    daily_halt_pct: 0.03          # 3% daily loss → halt
    peak_liquidate_pct: 0.08      # 8% from peak → liquidate all

data:
  lookback_bars: 300              # bars to fetch for feature computation
  feed: "iex"                     # Alpaca data feed: "iex" or "sip"
  risk_free_rate: 0.045           # annualised risk-free rate for B-S pricing

live:
  poll_interval_0dte: 60          # seconds between cycles for 0DTE
  poll_interval_default: 300      # seconds between cycles for longer DTE
  max_dte_expiry_search: 30       # max DTE when searching for available expiries

backtest:
  initial_capital: 100000
  start_date: "2022-01-01"
  dte_candidates: [0, 7]          # compare both
  slippage_pct: 0.001
  commission_per_contract: 0.65
  train_window: 252               # walk-forward train window (bars)
  test_window: 126                # walk-forward test window (bars)
  step: 63                        # walk-forward step size (bars)

Performance by Symbol — best DTE per symbol

Symbol	Best DTE	Trades	Win Rate	Avg P&L	Total P&L	Sharpe	Max DD	Verdict
SPY	21	691	81.8%	$137	$94,775	4.31	37.8%	Strong
QQQ	21	627	78.0%	$41	$25,875	1.05	59.1%	OK
GLD	21	545	90.8%	$122	$66,665	14.4	1.5%	Strong
IWM	7	621	74.6%	$-9	$-5,700	-0.92	19.7%	Weak
GOLD	21	515	61.0%	$-25	$-13,031	-6.73	15.3%	Avoid
TLT	21	545	85.3%	$16	$8,530	2.45	10.7%	Strong
XLF	14	545	79.8%	$7	$3,608	3.39	2.6%	Strong
XLE	21	545	77.1%	$1	$379	0.13	6.6%	Weak
XLK	0	545	78.0%	$-2	$-1,003	-0.47	1.8%	Weak

Combined P&L (best DTE per symbol) $180,100

Results Summary — 2026-04-11T20:54:18

View DTE: 0 7 14 21

Symbol

DTE

Trades

Win Rate

Avg P&L

Total P&L

Sharpe

Max DD

SPY

691

83.5%

$29

$20,185

4.15

2.9%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	91.0%	$41
EUPHORIA	144	71.0%	$4
CRASH	34	24.0%	$-47
BEAR	6	100.0%	$70
NEUTRAL	2	100.0%	$88

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	91.0%	$41
iron_condor	146	71.0%	$5
bear_put_spread	34	24.0%	$-47
short_call_spread	6	100.0%	$70

SPY

691

79.7%

$49

$34,185

2.24

26.4%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	88.0%	$86
EUPHORIA	144	75.0%	$49
CRASH	34	3.0%	$-259
BEAR	6	0.0%	$-994
NEUTRAL	2	0.0%	$-680

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	88.0%	$86
iron_condor	146	74.0%	$39
bear_put_spread	34	3.0%	$-259
short_call_spread	6	0.0%	$-994

SPY

691

82.0%

$108

$74,286

4.03

32.1%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	88.0%	$139
EUPHORIA	144	85.0%	$168
CRASH	34	0.0%	$-411
BEAR	6	0.0%	$-955
NEUTRAL	2	0.0%	$-95

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	88.0%	$139
iron_condor	146	84.0%	$165
bear_put_spread	34	0.0%	$-411
short_call_spread	6	0.0%	$-955

SPY

691

81.8%

$137

$94,775

4.31

37.8%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	88.0%	$162
EUPHORIA	144	84.0%	$273
CRASH	34	0.0%	$-503
BEAR	6	0.0%	$-1252
NEUTRAL	2	0.0%	$-912

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	88.0%	$162
iron_condor	146	83.0%	$257
bear_put_spread	34	0.0%	$-503
short_call_spread	6	0.0%	$-1252

QQQ

627

79.1%

$4,143

0.87

4.6%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	86.0%	$15
EUPHORIA	80	61.0%	$-32
CRASH	34	24.0%	$-38
BEAR	6	67.0%	$16
NEUTRAL	2	100.0%	$72

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	86.0%	$15
iron_condor	82	62.0%	$-29
bear_put_spread	34	24.0%	$-38
short_call_spread	6	67.0%	$16

QQQ

627

78.3%

$15

$9,607

0.71

27.4%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	85.0%	$38
EUPHORIA	80	74.0%	$44
CRASH	34	6.0%	$-212
BEAR	6	0.0%	$-855
NEUTRAL	2	0.0%	$-502

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	85.0%	$38
iron_condor	82	72.0%	$31
bear_put_spread	34	6.0%	$-212
short_call_spread	6	0.0%	$-855

QQQ

627

79.9%

$30

$18,981

0.95

41.7%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	87.0%	$60
EUPHORIA	80	79.0%	$115
CRASH	34	3.0%	$-331
BEAR	6	0.0%	$-1257
NEUTRAL	2	0.0%	$-807

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	87.0%	$60
iron_condor	82	77.0%	$92
bear_put_spread	34	3.0%	$-331
short_call_spread	6	0.0%	$-1257

QQQ

627

78.0%

$41

$25,875

1.05

59.1%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	85.0%	$85
EUPHORIA	80	71.0%	$107
CRASH	34	3.0%	$-419
BEAR	6	0.0%	$-1547
NEUTRAL	2	0.0%	$-1038

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	85.0%	$85
iron_condor	82	70.0%	$79
bear_put_spread	34	3.0%	$-419
short_call_spread	6	0.0%	$-1547

GLD

545

81.8%

$3,297

1.42

0.9%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	84.0%	$6
CRASH	34	47.0%	$12
BEAR	6	67.0%	$-65

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	84.0%	$6
bear_put_spread	34	47.0%	$12
short_call_spread	6	67.0%	$-65

GLD

545

84.0%

$39

$21,412

4.38

3.3%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	88.0%	$43
CRASH	34	29.0%	$-19
BEAR	6	100.0%	$97

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	88.0%	$43
bear_put_spread	34	29.0%	$-19
short_call_spread	6	100.0%	$97

GLD

545

88.3%

$80

$43,762

7.01

4.8%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	92.0%	$84
CRASH	34	35.0%	$23
BEAR	6	100.0%	$130

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	92.0%	$84
bear_put_spread	34	35.0%	$23
short_call_spread	6	100.0%	$130

GLD

545

90.8%

$122

$66,665

14.4

1.5%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	95.0%	$134
CRASH	34	26.0%	$-60
BEAR	6	100.0%	$160

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	95.0%	$134
bear_put_spread	34	26.0%	$-60
short_call_spread	6	100.0%	$160

IWM

621

71.5%

$-6

$-3,737

-1.64

4.8%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	78.0%	$-3
EUPHORIA	76	46.0%	$-27
CRASH	34	29.0%	$-8
BEAR	6	67.0%	$-9

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	78.0%	$-3
iron_condor	76	46.0%	$-27
bear_put_spread	34	29.0%	$-8
short_call_spread	6	67.0%	$-9

IWM

621

74.6%

$-9

$-5,700

-0.92

19.7%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	81.0%	$0
EUPHORIA	76	67.0%	$-6
CRASH	34	6.0%	$-93
BEAR	6	0.0%	$-343

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	81.0%	$0
iron_condor	76	67.0%	$-6
bear_put_spread	34	6.0%	$-93
short_call_spread	6	0.0%	$-343

IWM

621

73.9%

$-20

$-12,173

-1.26

34.6%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	79.0%	$-23
EUPHORIA	76	80.0%	$69
CRASH	34	3.0%	$-141
BEAR	6	0.0%	$-201

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	79.0%	$-23
iron_condor	76	80.0%	$69
bear_put_spread	34	3.0%	$-141
short_call_spread	6	0.0%	$-201

IWM

621

72.3%

$-25

$-15,376

-1.32

46.9%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	79.0%	$-14
EUPHORIA	76	63.0%	$5
CRASH	34	3.0%	$-173
BEAR	6	0.0%	$-504

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	79.0%	$-14
iron_condor	76	63.0%	$5
bear_put_spread	34	3.0%	$-173
short_call_spread	6	0.0%	$-504

GOLD

202

33.2%

$-18

$-3,642

-8.27

3.7%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	196	33.0%	$-19
CRASH	6	50.0%	$10

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	196	33.0%	$-19
bear_put_spread	6	50.0%	$10

GOLD

350

48.3%

$-28

$-9,798

-9.72

10.1%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	342	49.0%	$-28
CRASH	8	0.0%	$-27

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	342	49.0%	$-28
bear_put_spread	8	0.0%	$-27

GOLD

447

54.8%

$-28

$-12,675

-8.93

13.6%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	429	55.0%	$-30
CRASH	12	33.0%	$-3
BEAR	6	100.0%	$5

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	429	55.0%	$-30
bear_put_spread	12	33.0%	$-3
short_call_spread	6	100.0%	$5

GOLD

515

61.0%

$-25

$-13,031

-6.73

15.3%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	491	60.0%	$-28
CRASH	18	78.0%	$41
BEAR	6	100.0%	$10

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	491	60.0%	$-28
bear_put_spread	18	78.0%	$41
short_call_spread	6	100.0%	$10

TLT

391

79.3%

$685

1.23

0.5%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	367	81.0%	$2
CRASH	18	33.0%	$-13
BEAR	6	100.0%	$8

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	367	81.0%	$2
bear_put_spread	18	33.0%	$-13
short_call_spread	6	100.0%	$8

TLT

545

80.2%

$2,286

1.24

4.4%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	83.0%	$4
CRASH	34	41.0%	$3
BEAR	6	100.0%	$26

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	83.0%	$4
bear_put_spread	34	41.0%	$3
short_call_spread	6	100.0%	$26

TLT

545

83.1%

$4,443

1.57

9.3%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	84.0%	$6
CRASH	34	62.0%	$30
BEAR	6	100.0%	$29

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	84.0%	$6
bear_put_spread	34	62.0%	$30
short_call_spread	6	100.0%	$29

TLT

545

85.3%

$16

$8,530

2.45

10.7%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	86.0%	$11
CRASH	34	79.0%	$85
BEAR	6	100.0%	$50

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	86.0%	$11
bear_put_spread	34	79.0%	$85
short_call_spread	6	100.0%	$50

XLF

264

63.6%

$-101

-0.28

0.5%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	240	67.0%	$1
CRASH	18	22.0%	$-12
BEAR	6	67.0%	$-6

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	240	67.0%	$1
bear_put_spread	18	22.0%	$-12
short_call_spread	6	67.0%	$-6

XLF

527

80.3%

$1,016

1.03

1.9%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	495	85.0%	$5
CRASH	26	0.0%	$-39
BEAR	6	0.0%	$-55

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	495	85.0%	$5
bear_put_spread	26	0.0%	$-39
short_call_spread	6	0.0%	$-55

XLF

545

79.8%

$3,608

3.39

2.6%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	85.0%	$10
CRASH	34	0.0%	$-39
BEAR	6	67.0%	$6

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	85.0%	$10
bear_put_spread	34	0.0%	$-39
short_call_spread	6	67.0%	$6

XLF

545

80.9%

$3,430

2.28

4.5%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	87.0%	$10
CRASH	34	0.0%	$-51
BEAR	6	67.0%	$5

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	87.0%	$10
bear_put_spread	34	0.0%	$-51
short_call_spread	6	67.0%	$5

XLE

408

73.0%

$-3

$-1,328

-1.68

1.5%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	378	76.0%	$-2
CRASH	24	33.0%	$-15
BEAR	6	67.0%	$-10

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	378	76.0%	$-2
bear_put_spread	24	33.0%	$-15
short_call_spread	6	67.0%	$-10

XLE

544

65.4%

$-17

$-9,513

-4.01

9.9%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	504	68.0%	$-16
CRASH	34	35.0%	$-8
BEAR	6	0.0%	$-173

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	504	68.0%	$-16
bear_put_spread	34	35.0%	$-8
short_call_spread	6	0.0%	$-173

XLE

545

71.0%

$-11

$-5,727

-2.01

7.3%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	75.0%	$-7
CRASH	34	6.0%	$-63
BEAR	6	100.0%	$27

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	75.0%	$-7
bear_put_spread	34	6.0%	$-63
short_call_spread	6	100.0%	$27

XLE

545

77.1%

$379

0.13

6.6%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	81.0%	$4
CRASH	34	15.0%	$-58
BEAR	6	67.0%	$15

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	81.0%	$4
bear_put_spread	34	15.0%	$-58
short_call_spread	6	67.0%	$15

XLK

545

78.0%

$-2

$-1,003

-0.47

1.8%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	82.0%	$-1
CRASH	34	29.0%	$-7
BEAR	6	33.0%	$-27

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	82.0%	$-1
bear_put_spread	34	29.0%	$-7
short_call_spread	6	33.0%	$-27

XLK

545

74.3%

$-9

$-4,896

-0.87

15.1%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	80.0%	$1
CRASH	34	6.0%	$-91
BEAR	6	0.0%	$-397

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	80.0%	$1
bear_put_spread	34	6.0%	$-91
short_call_spread	6	0.0%	$-397

XLK

545

76.7%

$-12

$-6,396

-0.77

21.0%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	83.0%	$4
CRASH	34	3.0%	$-145
BEAR	6	0.0%	$-571

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	83.0%	$4
bear_put_spread	34	3.0%	$-145
short_call_spread	6	0.0%	$-571

XLK

545

73.9%

$-28

$-15,199

-1.49

32.3%

▼

By Regime

	Trades	Win%	Avg P&L
BULL	505	80.0%	$-10
CRASH	34	3.0%	$-181
BEAR	6	0.0%	$-692

By Strategy

	Trades	Win%	Avg P&L
short_put_spread	505	80.0%	$-10
bear_put_spread	34	3.0%	$-181
short_call_spread	6	0.0%	$-692

Backtest Log

================================================================================ REGIME OPTIONS — BACKTEST RESULTS ================================================================================ ── 0DTE ──────────────────────────────────────────────────────────── Metric SPY QQQ GLD IWM GOLD TLT XLF XLE XLK ------------------------------------------------------------------------------------------------------------------------------------------ Trades 691 627 545 621 202 391 264 408 545 Win Rate 83.5% 79.1% 81.8% 71.5% 33.2% 79.3% 63.6% 73.0% 78.0% Avg P&L $ 29 $ 7 $ 6 $ -6 $ -18 $ 2 $ -0 $ -3 $ -2 Total P&L $ 20,185 $ 4,143 $ 3,297 $ -3,737 $ -3,642 $ 685 $ -101 $ -1,328 $ -1,003 Sharpe * 4.15 0.87 1.42 -1.64 -8.27 1.23 -0.28 -1.68 -0.47 Max DD 2.9% 4.6% 0.9% 4.8% 3.7% 0.5% 0.5% 1.5% 1.8% ── 7DTE ──────────────────────────────────────────────────────────── Metric SPY QQQ GLD IWM GOLD TLT XLF XLE XLK ------------------------------------------------------------------------------------------------------------------------------------------ Trades 691 627 545 621 350 545 527 544 545 Win Rate 79.7% 78.3% 84.0% 74.6% 48.3% 80.2% 80.3% 65.4% 74.3% Avg P&L $ 49 $ 15 $ 39 $ -9 $ -28 $ 4 $ 2 $ -17 $ -9 Total P&L $ 34,185 $ 9,607 $ 21,412 $ -5,700 $ -9,798 $ 2,286 $ 1,016 $ -9,513 $ -4,896 Sharpe 2.24 0.71 * 4.38 -0.92 -9.72 1.24 1.03 -4.01 -0.87 Max DD 26.4% 27.4% 3.3% 19.7% 10.1% 4.4% 1.9% 9.9% 15.1% ── 14DTE ──────────────────────────────────────────────────────────── Metric SPY QQQ GLD IWM GOLD TLT XLF XLE XLK ------------------------------------------------------------------------------------------------------------------------------------------ Trades 691 627 545 621 447 545 545 545 545 Win Rate 82.1% 79.9% 88.3% 73.9% 54.8% 83.1% 79.8% 71.0% 76.7% Avg P&L $ 108 $ 30 $ 80 $ -20 $ -28 $ 8 $ 7 $ -11 $ -12 Total P&L $ 74,286 $ 18,981 $ 43,762 $-12,173 $-12,675 $ 4,443 $ 3,609 $ -5,727 $ -6,396 Sharpe 4.03 0.95 * 7.01 -1.26 -8.93 1.57 3.39 -2.01 -0.77 Max DD 32.1% 41.7% 4.8% 34.6% 13.6% 9.3% 2.7% 7.3% 21.0% ── 21DTE ──────────────────────────────────────────────────────────── Metric SPY QQQ GLD IWM GOLD TLT XLF XLE XLK ------------------------------------------------------------------------------------------------------------------------------------------ Trades 691 627 545 621 515 545 545 545 545 Win Rate 81.8% 78.0% 90.8% 72.3% 61.0% 85.3% 80.9% 77.1% 73.9% Avg P&L $ 137 $ 41 $ 122 $ -25 $ -25 $ 16 $ 6 $ 1 $ -28 Total P&L $ 94,775 $ 25,875 $ 66,665 $-15,376 $-13,031 $ 8,530 $ 3,430 $ 379 $-15,199 Sharpe 4.31 1.05 * 14.40 -1.32 -6.73 2.45 2.28 0.13 -1.49 Max DD 37.8% 59.1% 1.5% 46.9% 15.3% 10.7% 4.5% 6.6% 32.3% ================================================================================ RECOMMENDED DTE PER SYMBOL -------------------------------------------------- SPY 21DTE Sharpe=4.31 WinRate=81.8% P&L=$ 94,775 MaxDD=37.8% QQQ 21DTE Sharpe=1.05 WinRate=78.0% P&L=$ 25,875 MaxDD=59.1% GLD 21DTE Sharpe=14.40 WinRate=90.8% P&L=$ 66,665 MaxDD=1.5% IWM 7DTE Sharpe=-0.92 WinRate=74.6% P&L=$ -5,700 MaxDD=19.7% GOLD 21DTE Sharpe=-6.73 WinRate=61.0% P&L=$ -13,031 MaxDD=15.3% TLT 21DTE Sharpe=2.45 WinRate=85.3% P&L=$ 8,530 MaxDD=10.7% XLF 14DTE Sharpe=3.39 WinRate=79.8% P&L=$ 3,609 MaxDD=2.7% XLE 21DTE Sharpe=0.13 WinRate=77.1% P&L=$ 379 MaxDD=6.6% XLK 0DTE Sharpe=-0.47 WinRate=78.0% P&L=$ -1,003 MaxDD=1.8% ================================================================================ SPY — Best DTE: 21 Sharpe: 4.31 MaxDD: 37.8% ================================================================================ By Regime: BEAR trades= 6 win=0% avg=$ -1252 BULL trades=505 win=88% avg=$ 162 +++++++++++++++++ CRASH trades= 34 win=0% avg=$ -503 EUPHORIA trades=144 win=84% avg=$ 273 ++++++++++++++++ NEUTRAL trades= 2 win=0% avg=$ -912 By Strategy: bear_put_spread trades= 34 win=0% avg=$ -503 iron_condor trades=146 win=83% avg=$ 257 short_call_spread trades= 6 win=0% avg=$ -1252 short_put_spread trades=505 win=88% avg=$ 162 ================================================================================ QQQ — Best DTE: 21 Sharpe: 1.05 MaxDD: 59.1% ================================================================================ By Regime: BEAR trades= 6 win=0% avg=$ -1547 BULL trades=505 win=85% avg=$ 85 +++++++++++++++++ CRASH trades= 34 win=3% avg=$ -419 EUPHORIA trades= 80 win=71% avg=$ 107 ++++++++++++++ NEUTRAL trades= 2 win=0% avg=$ -1038 By Strategy: bear_put_spread trades= 34 win=3% avg=$ -419 iron_condor trades= 82 win=70% avg=$ 79 short_call_spread trades= 6 win=0% avg=$ -1547 short_put_spread trades=505 win=85% avg=$ 85 ================================================================================ GLD — Best DTE: 21 Sharpe: 14.40 MaxDD: 1.5% ================================================================================ By Regime: BEAR trades= 6 win=100% avg=$ 160 ++++++++++++++++++++ BULL trades=505 win=95% avg=$ 134 +++++++++++++++++++ CRASH trades= 34 win=26% avg=$ -60 +++++ By Strategy: bear_put_spread trades= 34 win=26% avg=$ -60 short_call_spread trades= 6 win=100% avg=$ 160 short_put_spread trades=505 win=95% avg=$ 134 ================================================================================ IWM — Best DTE: 7 Sharpe: -0.92 MaxDD: 19.7% ================================================================================ By Regime: BEAR trades= 6 win=0% avg=$ -343 BULL trades=505 win=81% avg=$ -0 ++++++++++++++++ CRASH trades= 34 win=6% avg=$ -93 + EUPHORIA trades= 76 win=67% avg=$ -6 +++++++++++++ By Strategy: bear_put_spread trades= 34 win=6% avg=$ -93 iron_condor trades= 76 win=67% avg=$ -6 short_call_spread trades= 6 win=0% avg=$ -343 short_put_spread trades=505 win=81% avg=$ -0 ================================================================================ GOLD — Best DTE: 21 Sharpe: -6.73 MaxDD: 15.3% ================================================================================ By Regime: BEAR trades= 6 win=100% avg=$ 10 ++++++++++++++++++++ BULL trades=491 win=60% avg=$ -28 +++++++++++ CRASH trades= 18 win=78% avg=$ 41 +++++++++++++++ By Strategy: bear_put_spread trades= 18 win=78% avg=$ 41 short_call_spread trades= 6 win=100% avg=$ 10 short_put_spread trades=491 win=60% avg=$ -28 ================================================================================ TLT — Best DTE: 21 Sharpe: 2.45 MaxDD: 10.7% ================================================================================ By Regime: BEAR trades= 6 win=100% avg=$ 50 ++++++++++++++++++++ BULL trades=505 win=86% avg=$ 11 +++++++++++++++++ CRASH trades= 34 win=79% avg=$ 85 +++++++++++++++ By Strategy: bear_put_spread trades= 34 win=79% avg=$ 85 short_call_spread trades= 6 win=100% avg=$ 50 short_put_spread trades=505 win=86% avg=$ 11 ================================================================================ XLF — Best DTE: 14 Sharpe: 3.39 MaxDD: 2.7% ================================================================================ By Regime: BEAR trades= 6 win=67% avg=$ 6 +++++++++++++ BULL trades=505 win=85% avg=$ 10 +++++++++++++++++ CRASH trades= 34 win=0% avg=$ -39 By Strategy: bear_put_spread trades= 34 win=0% avg=$ -39 short_call_spread trades= 6 win=67% avg=$ 6 short_put_spread trades=505 win=85% avg=$ 10 ================================================================================ XLE — Best DTE: 21 Sharpe: 0.13 MaxDD: 6.6% ================================================================================ By Regime: BEAR trades= 6 win=67% avg=$ 15 +++++++++++++ BULL trades=505 win=81% avg=$ 4 ++++++++++++++++ CRASH trades= 34 win=15% avg=$ -58 ++ By Strategy: bear_put_spread trades= 34 win=15% avg=$ -58 short_call_spread trades= 6 win=67% avg=$ 15 short_put_spread trades=505 win=81% avg=$ 4 ================================================================================ XLK — Best DTE: 0 Sharpe: -0.47 MaxDD: 1.8% ================================================================================ By Regime: BEAR trades= 6 win=33% avg=$ -27 ++++++ BULL trades=505 win=82% avg=$ -1 ++++++++++++++++ CRASH trades= 34 win=29% avg=$ -7 +++++ By Strategy: bear_put_spread trades= 34 win=29% avg=$ -7 short_call_spread trades= 6 win=33% avg=$ -27 short_put_spread trades=505 win=82% avg=$ -1 ================================================================================ 2026-04-11 20:46:18,755 | INFO | regime_options | DTE candidates overridden via CLI: [0, 7, 14, 21] 2026-04-11 20:46:18,755 | INFO | regime_options | Starting options backtest across 10 symbol(s): ['SPY', 'QQQ', 'GLD', 'IWM', 'GOLD', 'GSX', 'TLT', 'XLF', 'XLE', 'XLK'] No HMM model found at /opt/regime_options/../regime_trader/models/hmm_latest.pkl 2026-04-11 20:46:19,098 | WARNING | regime_options | HMM model not loaded — using vol-proxy fallback for regime labels 2026-04-11 20:46:19,101 | INFO | regime_options | Regime distribution: {'BULL': 575, 'EUPHORIA': 132, 'NEUTRAL': 25, 'CRASH': 17, 'BEAR': 3} 2026-04-11 20:46:19,101 | INFO | regime_options | Backtesting SPY... 2026-04-11 20:48:57,905 | INFO | regime_options | Backtesting QQQ... 2026-04-11 20:50:58,859 | INFO | regime_options | Backtesting GLD... 2026-04-11 20:51:48,626 | INFO | regime_options | Backtesting IWM... 2026-04-11 20:52:40,099 | INFO | regime_options | Backtesting GOLD... 2026-04-11 20:52:47,760 | INFO | regime_options | Backtesting GSX... 2026-04-11 20:52:47,996 | WARNING | regime_options | Skipping GSX — insufficient data (95 bars) 2026-04-11 20:52:47,996 | INFO | regime_options | Backtesting TLT... 2026-04-11 20:53:05,766 | INFO | regime_options | Backtesting XLF... 2026-04-11 20:53:16,900 | INFO | regime_options | Backtesting XLE... 2026-04-11 20:53:34,116 | INFO | regime_options | Backtesting XLK... 2026-04-11 20:54:18,294 | INFO | regime_options | Results saved to results/options_backtest.json