研究主題：credit spreads · 產生時間：2026-03-11 10:01:43 UTC
本次研究迴圈共進行 5 輪， 產生 48 個假說， 其中 0 個通過驗證、 0 個被拒絕、 48 個待驗證。
總耗時 0 秒， 消耗 0 tokens。
| 輪次 | Agent 數 | Agents | 假說數 | 耗時 | Tokens |
|---|---|---|---|---|---|
| R1 | 3 | optimizer, researcher, risk-auditor | 19 | — | — |
| R2 | 3 | optimizer, researcher, risk-auditor | 11 | — | — |
| R3 | 3 | optimizer, researcher, risk-auditor | 5 | — | — |
| R4 | 2 | devil, risk-auditor | 8 | — | — |
| R5 | 2 | portfolio-mgr, risk-auditor | 5 | — | — |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | credit spreads | 0.6500 | SPX weekly put credit spreads (3% OTM, $10 wide, 1-5 DTE) generate consistent positive returns with >90% win rate |
| pending | credit spreads | 0.5500 | Monday-only entries improve risk-adjusted returns for credit spreads |
| pending | credit spreads | 0.6000 | Wider spreads ($25) capture more premium and improve gross returns |
| pending | credit spreads | 0.5000 | Further OTM (5%) improves win rate but may not improve risk-adjusted returns |
| pending | credit spreads | 0.9500 | Extreme data sparsity: ~96% of rows have zero/null prices, only 2-4% of minute bars contain tradeable data. Backtests must filter close > 0 AND volume > 0 strictly, or will produce phantom fills on stale/zero quotes. |
| pending | credit spreads | 0.8800 | Paired leg availability is adequate on expiration day (~87%) but sparse on earlier days. Credit spread backtests may suffer from look-ahead bias if both legs are not required to have simultaneous non-zero prices. |
| pending | credit spreads | 0.9200 | Overnight gap risk is severe and cannot be hedged intraday. Overnight jumps of 10-25 points observed regularly on a single put strike, which can flip a credit spread from profitable to max loss. |
| pending | credit spreads | 0.8500 | Bid-ask spreads are significant for deep OTM options, creating a fill-quality problem. Using close/mid prices for backtesting overestimates actual returns. |
| pending | credit spreads | 0.9500 | March 2020 crash data shows extreme tail risk for put credit spreads. SPX dropped ~34% peak-to-trough. OTM puts with strikes at 2400-2500 had avg close of $40-50 during the crash — these would normally be near-zero. |
| pending | credit spreads | 0.8000 | Volume on individual minute bars is low (median ~1-5 contracts for OTM puts). This means real-world execution at backtest prices is questionable for any meaningful position size. |
| pending | credit spreads | 0.9000 | No bid/ask data available — only OHLCV. This is a fundamental limitation for credit spread backtesting where execution quality (short at bid, long at ask) determines profitability. |
| pending | credit spreads | 0.7500 | Strike spacing is $5 for near-the-money SPX options. Credit spreads with 5-point width collect very small premiums (~$1-3) making them highly sensitive to transaction costs and slippage. |
| pending | credit spreads | 0.9200 | Sharpe ratio > 3.0 for any credit spread strategy should be treated as a data artifact or overfitting signal. Credit spreads have inherently negative skew (small frequent gains, rare large losses). |
| pending | credit spreads | 0.7000 | Pin risk near expiration: SPX options are European-style and cash-settled, eliminating assignment risk. But gamma risk near expiration can cause rapid P&L swings that minute-bar data may not capture accurately. |
| pending | credit spreads | 0.8200 | Short put credit spreads on SPX at 16-delta short strike, 45 DTE, $50 wide, closed at 50% profit or 21 DTE, outperform hold-to-expiration on a risk-adjusted basis (Sharpe > 0.8). The 'tastylive standard' approach with mechanical management rules captures theta decay efficiently while avoiding gamma ... |
| pending | credit spreads | 0.7200 | 0DTE SPX put credit spreads at 5-delta short strike, $5 wide, entered daily at market open, yield annualized returns >15% with win rate >75%, but exhibit fat left-tail risk (worst day loss > 10x average win). Day-of-week effects exist, with Tuesday showing the best risk-adjusted performance. |
| pending | credit spreads | 0.6800 | VIX-regime-filtered credit spreads (sell only when VIX > 20) produce higher Sharpe ratios than unconditional selling, because elevated implied volatility provides richer premiums that more than compensate for the higher realized volatility. Conversely, selling in VIX < 15 environments underperforms. |
| pending | credit spreads | 0.6500 | Spread width significantly impacts risk-adjusted returns: $5-wide spreads have higher win rates but lower Sharpe than $25-wide spreads, because wider spreads capture more of the volatility risk premium per unit of margin. The optimal width for SPX put credit spreads at 45 DTE is $25, balancing premi... |
| pending | credit spreads | 0.6000 | Iron condors (simultaneous put + call credit spreads) at 10-delta on both sides, 45 DTE, $25 wide, managed at 50% profit, outperform one-sided put credit spreads on a risk-adjusted basis because the double premium collection provides a wider break-even range and higher win rate, despite the two-side... |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | entry_timing | 0.4500 | Monday Sharpe 1.73 is statistically significant vs baseline but likely overstated due to selection bias |
| pending | entry_timing | 0.9200 | 3% OTM 0DTE put spread credit is near-zero ($0.05 or less), making the strategy economically unviable at this strike distance |
| pending | entry_timing | 0.8800 | 97% zero-close bars make P&L calculations unreliable — VWAP carry-forward creates phantom prices |
| pending | entry_timing | 0.8500 | High win rates (90%+) mask catastrophic tail risk — 6-7 winning trades required to recover one loss |
| pending | entry_timing | 0.7500 | Year-by-year stability is questionable — 2022 bear market likely has much lower win rate than 2023-2024 |
| pending | entry_timing | 0.9000 | Slippage impact is severe — $0.05 tick size means 100% slippage on most 3% OTM trades |
| pending | entry_timing | 0.7500 | Monday credit spreads outperform due to weekend theta compression: market makers suppress Friday decay and VIX statistically rises only on Mondays, creating a volatility premium sellers can harvest. Selling Monday AM captures both weekend-accumulated theta and the Monday VIX mean-reversion. |
| pending | entry_timing | 0.6500 | Tuesday is the second-best day for credit spreads due to 'Turnaround Tuesday' effect — the S&P 500 shows the highest average daily return on Tuesdays, creating favorable conditions for put credit spread sellers. |
| pending | entry_timing | 0.6000 | Mid-morning entry (10:30 AM ET) outperforms open entry (9:31 AM) for credit spreads because the opening range establishes price levels and initial volatility spike subsides, allowing better strike selection and tighter spreads. |
| pending | entry_timing | 0.7000 | 1-2 DTE credit spreads provide better risk-adjusted returns than 0DTE because they avoid gamma explosion risk while still capturing accelerated theta decay, and they allow overnight theta collection. |
| pending | entry_timing | 0.5500 | OPEX week (monthly options expiration, 3rd Friday) creates a distinct regime for credit spreads: pre-OPEX volatility suppression favors sellers, but post-OPEX volatility expansion creates risk. Avoid entering new spreads on OPEX Friday itself. |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | strike_selection | 0.7800 | 5-7 delta short put strikes (approximately 3-5% OTM) produce the best risk-adjusted returns (Sharpe > 0.7) for SPX put credit spreads at 4-7 DTE, outperforming both tighter strikes (2% OTM / 16-delta, too much gamma risk) and wider strikes (10% OTM / 2-delta, insufficient premium). The 5-7 delta zon... |
| pending | strike_selection | 0.7200 | $25-wide spreads produce the highest Sharpe ratio for SPX put credit spreads, outperforming both narrow ($5-$10) and very wide ($50) spreads. Narrow spreads have near-binary payoffs (win small / lose everything) while $50 spreads tie up excessive margin. $25 captures the optimal premium-to-risk rati... |
| pending | strike_selection | 0.6500 | Strike selection and DTE interact significantly: closer strikes (2-3% OTM) need shorter DTE (0-2 days) to avoid directional risk accumulation, while wider strikes (5-7% OTM) perform best at 4-7 DTE where they can capture meaningful theta. The optimal {OTM%, DTE} pair is {5% OTM, 5 DTE}, not {3% OTM,... |
| pending | strike_selection | 0.5000 | Round-number strikes (multiples of $50 or $100, e.g., 5000, 5050, 5100) accumulate excess open interest creating gamma walls and pinning effects. Put credit spreads with short strikes at round numbers have lower win rates than spreads at non-round strikes because large open interest at round numbers... |
| pending | strike_selection | 0.5800 | Asymmetric iron condors with wider put wings ($25) and narrower call wings ($10) produce better risk-adjusted returns than symmetric condors, because SPX has a left-skewed return distribution (crashes are larger than rallies). The wider put wing captures more premium on the side where implied volati... |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | validation | 0.9200 | METHODOLOGY FATAL FLAW #1: MAX(close) cherry-picking inflates entry credits by ~7-14%, making baseline UNPROFITABLE after transaction costs |
| pending | validation | 0.7800 | METHODOLOGY FATAL FLAW #2: NaN-to-zero exit asymmetry is smaller than feared (~11% of trades) but still biases results systematically |
| pending | validation | 0.8800 | MONDAY EFFECT IS DATA MINING: fails Bonferroni correction, unreproducible across rounds, and negative in 2024 |
| pending | validation | 0.7200 | 5% OTM SUPERIORITY IS PARTIALLY A DATA ARTIFACT: farther OTM = more NaN->$0 exits = artificially higher win rates |
| pending | validation | 0.9000 | BEST_COMBO (5% OTM, $25 wide) FAILS OUT-OF-SAMPLE: Sharpe drops from 1.04 to 0.32 in 2020-2021 |
| pending | validation | 0.8500 | TRANSACTION COSTS DESTROY BASELINE AND NARROW VARIANTS: only MON_ONLY and wider-OTM variants survive |
| pending | validation | 0.7500 | REAL-WORLD FEASIBILITY: even the best surviving variant generates trivial returns relative to effort and risk |
| pending | validation | 0.8200 | CRITICAL META-BUG: Sharpe calculation uses sqrt(52) annualization but trade frequency is NOT 52/year for most variants |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | go_no_go | 0.9200 | SPX weekly put credit spreads are NOT suitable for live deployment in current form |
| pending | position_sizing | 0.6500 | If forced to trade conditionally, VIX > 25 filter with extreme position limits is the only defensible approach |
| pending | data_quality | 0.9500 | Bid/ask spread data is the single highest-value improvement to pursue |
| pending | alternative_strategy | 0.7200 | SPY options with available bid/ask EOD data may be a better research target |
| pending | alternative_strategy | 0.5500 | Iron condor or jade lizard structures may improve risk-adjusted returns |
backtest_crash — Script entry_timing_r2.py timed out after 120s| Agent | 方法 | 成功率 | 提出數 | 確認數 | 樣本數 |
|---|---|---|---|---|---|
| optimizer | credit spreads | 0.00% | 4 | 0 | 4 |
| risk-auditor | credit spreads | 0.00% | 10 | 0 | 10 |
| researcher | credit spreads | 0.00% | 5 | 0 | 5 |
| risk-auditor | entry_timing | 0.00% | 6 | 0 | 6 |
| researcher | entry_timing | 0.00% | 5 | 0 | 5 |
| researcher | strike_selection | 0.00% | 5 | 0 | 5 |
| devil | validation | 0.00% | 8 | 0 | 8 |
| portfolio-mgr | go_no_go | 0.00% | 1 | 0 | 1 |
| portfolio-mgr | position_sizing | 0.00% | 1 | 0 | 1 |
| portfolio-mgr | data_quality | 0.00% | 1 | 0 | 1 |
| portfolio-mgr | alternative_strategy | 0.00% | 2 | 0 | 2 |