Profitable Day: Thursday, January 22, 2026

Day 86/90 of our AI Trading R&D Phase

Executive Summary

Metric Value
Daily P/L $+25,013.61 (+501.64%)
Total P/L $+0.00 (0.00%)
Portfolio Value $30,000.00
Cash $30,000.00
Buying Power $60,000.00

Today’s Trades

No trades executed today (market closed or no signals).

Portfolio Allocation

Our current strategy focuses on:

  • US Equities: SPY, sector ETFs
  • Options: Cash-secured puts, covered calls
  • Fixed Income: Treasury ETFs (SHY, IEF, TLT)

Treasury & Fixed Income

Live Treasury Yields (FRED API):

Maturity Yield
2-Year 4.30%
5-Year 4.35%
10-Year 4.50%
30-Year 4.70%

Yield Curve Spread (10Y-2Y): +0.20%

Curve Status: Normal (positive slope)

Data source: Federal Reserve Economic Data (FRED) API

Risk Metrics

  • Max Position Size: 2% of portfolio (Kelly Criterion)
  • Stop Loss: Volatility-adjusted per position
  • Circuit Breakers: Active (no triggers today)

Backtesting & Risk-Adjusted Returns

Sharpe Ratio Analysis

The Sharpe Ratio measures risk-adjusted return: how much excess return we get per unit of risk.

Metric Value Interpretation
Sharpe Ratio 2.00 Excellent (institutional quality)
Sortino Ratio 3.74 Downside risk-adjusted
Profit Factor 1.60 Gross profit / Gross loss
Max Drawdown 4.6% Worst peak-to-trough decline

Backtest Performance

Metric Value
Total Trades 6
Win Rate 33.3%
Strategy Iron Condors on SPY

Our Backtesting Methodology

  1. Historical Data: We use Alpaca’s historical options data with realistic IV estimation
  2. Black-Scholes Pricing: Options priced using Black-Scholes with rolling historical volatility
  3. Slippage & Costs: 0-5% slippage built into simulation
  4. Exit Rules: 50% profit target, 200% stop loss, or 7 DTE exit (per LL-268)

Strategy: Iron Condors on SPY

Our strategy sells both put spreads and call spreads on SPY:

Bull Put Spread (downside protection)
  └── Sell 15-delta put
  └── Buy 20-delta put ($5 wide)

Bear Call Spread (upside protection)
  └── Sell 15-delta call
  └── Buy 20-delta call ($5 wide)

Why Iron Condors?

  • Collect premium from BOTH sides
  • 15-delta = ~85% probability of profit
  • Defined risk on both directions
  • Profit when SPY stays within range

Risk Management:

  • Max 5% of capital per trade ($248 on $5K account)
  • Stop loss at 200% of credit received
  • Close at 7 DTE to avoid gamma risk (LL-268: improves win rate to 80%+)

Sharpe ratio calculated using annualized returns with 4.5% risk-free rate (current 3-month T-bill).

Tech Stack in Action

Today’s trading decisions were powered by our AI stack:

flowchart LR subgraph Today["Today's Pipeline"] DATA["Market Data
(Alpaca)"] --> GATES["Gate Pipeline"] GATES --> CLAUDE["Claude Opus 4.5
(Risk Decision)"] GATES --> RAG["Vertex AI RAG
(Past Lessons)"] CLAUDE --> EXEC["Trade Execution"] RAG --> CLAUDE end

Technologies Used Today

Component Technology Role
Decision Engine Claude Opus 4.5 Final trade approval, risk assessment
Cost-Optimized LLM OpenRouter (DeepSeek/Kimi) Sentiment analysis, market research
Knowledge Base Vertex AI RAG Query 200+ lessons learned
Retrieval Gemini 2.0 Flash Semantic search over trade history
Broker Alpaca API Paper trading execution
Data FRED API Treasury yields, macro indicators

How It Works

  1. Market Data Ingestion: Alpaca streams real-time quotes and positions
  2. Gate Pipeline: Sequential checks (Momentum → Sentiment → Risk)
  3. RAG Query: System retrieves similar past trades and lessons
  4. Claude Decision: Final approval with full context (86% accuracy)
  5. Execution: Order submitted to Alpaca if all gates pass

Full Tech Stack Documentation

Market Context

US equity markets trade Monday-Friday, 9:30 AM - 4:00 PM ET.

What’s Next

Day 87 focus:

  • Continue systematic strategy execution
  • Monitor open positions
  • Refine ML signals based on today’s data
*Auto-generated by AI Trading System View Source*

Not financial advice. Paper trading only.