研究主題：credit spreads · 產生時間：2026-03-11 10:01:44 UTC
本次研究迴圈共進行 5 輪， 產生 51 個假說， 其中 0 個通過驗證、 0 個被拒絕、 51 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 | 11 | — | — |
| R2 | 3 | optimizer, researcher, risk-auditor | 10 | — | — |
| R3 | 3 | optimizer, researcher, risk-auditor | 10 | — | — |
| R4 | 2 | devil, risk-auditor | 11 | — | — |
| R5 | 2 | portfolio-mgr, risk-auditor | 9 | — | — |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | credit spreads | 0.9500 | Run 18 'negative EV' conclusion has survivorship bias in its own evidence: the 100% win-rate backtest (50 trades) silently excluded all crash-period entries due to zero-price data filtering, meaning neither the bull case nor the bear case was properly tested |
| pending | credit spreads | 0.8800 | Trade count is borderline adequate for monthly strategies but insufficient for statistical significance on tail-risk estimation |
| pending | credit spreads | 0.9300 | Slippage modeling was theoretical, not empirical, due to fundamental data limitation (no bid/ask columns) |
| pending | credit spreads | 0.9700 | Crash period inclusion was attempted but failed due to data sparsity — the backtest effectively tested only calm-market regimes |
| pending | credit spreads | 0.8500 | Statistical significance testing was performed via theoretical analysis but no formal hypothesis test (bootstrap CI, permutation test) was applied to backtest results |
| pending | credit spreads | 0.9200 | Run 19 should NOT continue credit spread research — the conclusion is directionally correct despite methodological gaps |
| pending | credit spreads | 0.5500 | 7-DTE OTM put credit spreads (50-wide, short strike 2.5-3% OTM) are positive EV due to persistent volatility risk premium. VRP analysis shows implied vol exceeds realized vol in 97.6% of weekly periods, with average VRP = 83.6% of straddle price. At 3% OTM, empirical breach rate is ~9%, vs breakeven... |
| pending | credit spreads | 0.3500 | Call credit spreads (bearish) on 7-DTE SPX options have LOWER win rate than put credit spreads but may offer better risk-adjusted returns because upside tail risk is less severe than downside. SPX rises >2.5% in 16.3% of weeks vs falls >2.5% in 10.5%, BUT large up-moves are bounded (no 'crash up' eq... |
| pending | credit spreads | 0.5000 | Regime-conditional credit spread entry: only sell premium when recent ATM straddle exceeds 1.2x its 20-period rolling average (high implied vol relative to recent history). VRP is highest in high-vol regimes: 85.6% VRP with 100% win rate in high-vol periods vs 78.1% VRP and 95.2% win rate in low-vol... |
| pending | credit spreads | 0.3000 | Asymmetric ratio credit spreads (1x2 or 1x3 put spreads) at 14-21 DTE can provide larger credit cushion while maintaining defined risk through the long leg. Wider DTE allows more theta decay and better data quality, while the ratio structure increases premium collected per unit of notional risk. |
| pending | credit spreads | 0.6000 | The 'structurally negative EV' conclusion from Runs 11-18 was specific to 0DTE credit spreads and does NOT generalize to 7-14 DTE. The 0DTE failure was driven by data quality issues (70-85% zero prices, cross-expiration bugs, 16:00 bar artifacts) that are significantly mitigated at longer DTE. The V... |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | entry_timing | 0.3500 | 7-DTE put credit spread Sharpe 0.311 is statistically significant in isolation (t=3.84, p<0.001) but misleading due to severe sample selection bias |
| pending | entry_timing | 0.2500 | 42% ITM short strike rate indicates spot price estimation is fundamentally broken, inflating win rate by ~5-10 percentage points |
| pending | entry_timing | 0.5000 | Slippage impact is moderate ($0.40-$1.60/trade round-trip) but survivorship bias is the dominant risk — slippage alone does not kill the strategy |
| pending | entry_timing | 0.3000 | Adjusted expected performance after bias corrections: avg_pnl likely $0-$3/trade (vs reported $8.47), Sharpe likely 0.05-0.15 (vs reported 0.31), win rate likely 75-80% (vs reported 84.3%) |
| pending | entry_timing | 0.4000 | The max_loss of -$172.44 on a 50pt spread (max theoretical loss = $41.22 after credit) suggests a data or calculation error in the backtest |
| pending | entry_timing | 0.7500 | Afternoon entries (14:00) outperform morning entries for put credit spreads. 14:00 entry shows 97.5% win rate and +1.35% avg P&L vs 93.7% win rate and +0.38% avg P&L at 09:31 open. Afternoon IV compression (theta decay during the day) provides better entry pricing relative to remaining risk. |
| pending | entry_timing | 0.8000 | 0-1 DTE entries dominate risk-adjusted returns for put credit spreads. 0DTE shows 98.4% win rate with near-zero avg P&L (time decay captured), while 7DTE shows only 84.2% win rate with negative avg P&L due to gap risk exposure. The optimal DTE is 0-1 days. |
| pending | entry_timing | 0.6000 | Monday entries significantly outperform Thursday/Wednesday entries. Monday shows 97.3% win rate and +1.78% avg P&L vs Thursday at 95.0% win rate and -0.88% avg P&L. Weekend theta decay creates favorable Monday entry conditions. |
| pending | entry_timing | 0.8500 | Avoid entry when expected spot move exceeds 2%. Trades entered where subsequent move is <2% show ~100% win rate and positive avg P&L. Moves >2% show 57% win rate and -24.4% avg P&L. A VIX-based or realized-vol filter could screen out dangerous entry days. |
| pending | entry_timing | 0.6500 | High-IV entries (credit > median) have lower win rate (91.2%) but higher expected value (+0.88%) vs low-IV entries (99.1% win, -0.03% avg P&L). Selling richer premium captures more theta but at the cost of more frequent losses from the higher vol environment. |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | strike_selection | 0.9500 | Max-loss bug confirmed: backtest reports -$172.44 loss on a 50pt spread (theoretical max loss ~$41.22), caused by two code defects in r19_credit_spread_7dte.py |
| pending | strike_selection | 0.7000 | Cumulative assessment: credit spread research is making genuine progress but remains inconclusive. R1 found 84.3% win rate / Sharpe 0.31 with known biases. R2 found key filters (afternoon entry, 1DTE optimal, avoid >2% moves) but the bias-corrected estimate (avg PnL ~$1.67, Sharpe ~0.06) is marginal... |
| pending | strike_selection | 0.7500 | RECOMMENDATION: Continue to Round 4 with a NARROWED scope — fix the max-loss bug, reduce skip rate, then make a final go/no-go decision. Do NOT proceed to Round 5. |
| pending | strike_selection | 0.8000 | Strike selection dimension (R3 focus): the 42% ITM rate and 5% OTM target mismatch reveals the spot estimation is unreliable, making strike selection analysis premature |
| pending | strike_selection | 0.9000 | Data quality creates an irreducible floor on backtest reliability: OHLCV-only data without bid/ask fundamentally cannot validate a strategy whose edge is smaller than the bid-ask spread |
| pending | strike_selection | 0.8200 | 2% OTM short strike with 25pt spread width is the optimal fixed-distance configuration for 1DTE put credit spreads, balancing win rate (96.5%), trade frequency (659 trades), and risk-adjusted return (Sharpe 2.53). |
| pending | strike_selection | 0.7800 | Credit-to-width ratio >= 0.03 is the optimal minimum filter for 2% OTM / 25pt put credit spreads, improving Sharpe from 2.53 to 4.17 while retaining 210 trades (32% of total). |
| pending | strike_selection | 0.6500 | Vol-adaptive strike selection (1.5% OTM in low vol, 2% in medium, 3.5% in high vol) improves risk-adjusted returns compared to fixed 2% OTM, particularly by eliminating losses in high-vol regimes. |
| pending | strike_selection | 0.7500 | Strike granularity ($5 vs $10 vs $25 vs $50 increments) has negligible impact on put credit spread pricing efficiency for SPX weekly options. |
| pending | strike_selection | 0.7000 | For 1% OTM short strikes, a credit-to-width filter of >= 0.08 dramatically improves performance (Sharpe 0.75 -> 3.02) by filtering out low-premium environments, but reduces trade count by 66%. |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | expiration_choice | 0.9200 | Maximum credible Sharpe for SPX 7-DTE put credit spreads after ALL bias corrections is 0.05-0.20, far below the 2.53-4.17 reported by R3 researcher and 2.75 reported by R3 optimizer. The high Sharpe values are artifacts of (1) thin credits amplifying Sharpe calculation, (2) survivorship bias from sk... |
| pending | expiration_choice | 0.9000 | NO configuration survives all bias corrections simultaneously. Every variant that shows attractive Sharpe (>0.5) relies on at least one of: (1) high skip rate masking correlated losses, (2) ex-post filter optimization without walk-forward validation, (3) thin-credit Sharpe inflation, or (4) the unco... |
| pending | expiration_choice | 0.7500 | R3 optimizer's 0% ITM rate (vs R1's 42%) is a genuine fix but introduces a NEW bias: by selecting the smallest |call-put| difference for spot estimation, the algorithm anchors to strikes with the most symmetric options market — which are precisely the strikes where credit spreads perform best (high ... |
| pending | expiration_choice | 0.9500 | IRREDUCIBLE UNCERTAINTY: the strategy's expected PnL ($0.32-$1.67/trade across configurations) is WITHIN the measurement error of the slippage model (±$0.50-$2.00/trade). No additional backtesting on OHLCV data can determine whether SPX credit spreads are positive or negative EV for retail. |
| pending | expiration_choice | 0.9300 | GO/NO-GO DECISION: NO-GO for Round 5. The research question is answered to the maximum precision achievable with this dataset. Recommend closing Run 19 credit spread dimension permanently. |
| pending | expiration_choice | 0.9700 | FATAL: 88.8% of 5%-OTM put entries use VWAP from zero-volume bars as execution price - these trades are untradeable phantoms |
| pending | expiration_choice | 0.9500 | FATAL: Zero slippage from zero high-low spread systematically inflates all OTM5% profits |
| pending | expiration_choice | 0.9200 | HIGH: Negative debit bug (line 296: max(debit,0)) creates phantom profits when exit prices are stale/inverted |
| pending | expiration_choice | 0.9000 | HIGH: Sharpe 2.75 inflated by wrong annualization factor and autocorrelated overlapping trades |
| pending | expiration_choice | 0.8800 | HIGH: 65% survivorship bias - OTM5%_W10pt only trades 252 of 722 expirations, systematically excluding volatile/crash periods |
| pending | expiration_choice | 0.8500 | MODERATE: 89.7% win rate during 2022 bear market crash (Jun-Oct) is physically implausible for put credit spreads |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | position_sizing | 0.9500 | No credit spread strategy should receive capital allocation. Across 19 research runs testing credit spreads, iron condors, 0DTE, momentum, and wheel strategies on SPX options, none produced risk-adjusted returns exceeding passive SPY buy-and-hold after accounting for transaction costs, slippage, and... |
| pending | position_sizing | 0.9200 | Recommended $100K portfolio: 90% SPY/VOO passive index ($90,000), 10% short-term treasuries or money market ($10,000) as cash reserve. No options overlay. This allocation targets long-run equity premium (~7-10% real) with minimal friction costs. |
| pending | position_sizing | 0.8800 | Future research should pivot away from short premium strategies on OHLCV data entirely. Three viable research directions remain: (1) Obtain bid/ask tick data to properly measure execution quality — without it, any edge <$2/trade is unmeasurable. (2) Explore tail-risk hedging (long puts as portfolio ... |
| pending | position_sizing | 0.9300 | FINAL VERDICT: Options trading strategies, specifically short premium / credit spread strategies on SPX, do NOT justify capital allocation over passive indexing for accounts under $500K. The volatility risk premium is real but thin, and is fully consumed by transaction costs, bid-ask spreads, and ex... |
| pending | position_sizing | 0.0800 | P(SPX credit spreads are positive EV after costs for retail) = 0.08. Nine runs of evidence (Run 11-19) converge: the volatility risk premium is real (83.6% VRP) but is consumed by bid-ask spreads and execution costs. Maximum credible Sharpe after all bias corrections is 0.05-0.20, within the measure... |
| pending | position_sizing | 0.0500 | P(any options strategy beats SPY buy-hold risk-adjusted) = 0.05. The fundamental constraint is not strategy design but data quality: OHLCV data without bid/ask quotes cannot validate any strategy whose edge is smaller than the bid-ask spread, which applies to ALL short-premium options strategies on ... |
| pending | position_sizing | 0.1500 | P(further research on THIS DATASET would find a viable trading strategy) = 0.15. The dataset has value for non-options research (momentum, mean-reversion, factor models on SPX itself) but the options component is exhausted. |
| pending | position_sizing | 0.9500 | META-LESSON: The research loop successfully demonstrated its value by PREVENTING capital deployment into a negative/zero-EV strategy. The 9-run, 19-round investigation saved potential trading losses by rigorously debunking credit spread profitability claims. |
| pending | position_sizing | 0.9000 | RECOMMENDED NEXT STEPS: (1) Close all options research. (2) If continuing with this system, pivot to equity/futures momentum or mean-reversion strategies with proper daily close data. (3) Invest passive SPY buy-hold as the default allocation — confirmed by Run 14's portfolio manager recommendation. |
| Agent | 方法 | 成功率 | 提出數 | 確認數 | 樣本數 |
|---|---|---|---|---|---|
| risk-auditor | credit spreads | 0.00% | 6 | 0 | 6 |
| researcher | credit spreads | 0.00% | 5 | 0 | 5 |
| risk-auditor | entry_timing | 0.00% | 5 | 0 | 5 |
| researcher | entry_timing | 0.00% | 5 | 0 | 5 |
| risk-auditor | strike_selection | 0.00% | 5 | 0 | 5 |
| researcher | strike_selection | 0.00% | 5 | 0 | 5 |
| risk-auditor | expiration_choice | 0.00% | 5 | 0 | 5 |
| devil | expiration_choice | 0.00% | 6 | 0 | 6 |
| portfolio-mgr | position_sizing | 0.00% | 4 | 0 | 4 |
| risk-auditor | position_sizing | 0.00% | 5 | 0 | 5 |