研究主題：validate 0DTE strangle profit target · 產生時間：2026-03-11 13:36:58 UTC
本次研究迴圈共進行 8 輪， 產生 23 個假說， 其中 0 個通過驗證、 0 個被拒絕、 23 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 | 4 | data-quality-check, optimizer, researcher, risk-auditor | 5 | — | — |
| R2 | 3 | optimizer, researcher, risk-auditor | 6 | — | — |
| R3 | 3 | optimizer, researcher, risk-auditor | 12 | — | — |
| R4 | 3 | optimizer, researcher, risk-auditor | 0 | — | — |
| R5 | 4 | optimizer, position_sizing_raw, researcher, risk-auditor | 0 | — | — |
| R6 | 3 | optimizer, researcher, risk-auditor | 0 | — | — |
| R7 | 2 | devil, risk-auditor | 0 | — | — |
| R8 | 2 | devil, risk-auditor | 0 | — | — |
| 輪次 | 綜合分數 | Sharpe | Drawdown | 樣本量 | 決策 | 改善% |
|---|---|---|---|---|---|---|
| R1 | 0.2750 | 0.0000 | 0.5000 | 0.0000 | KEEP | — |
| R2 | 0.2656 | 0.0000 | 0.5000 | 0.0000 | KEEP | -3.42% |
| R3 | 0.2221 | 0.0000 | 0.5000 | 0.0000 | DISCARD | -19.24% |
| R4 | 0.2188 | 0.0000 | 0.5000 | 0.0000 | DISCARD | -20.44% |
| R5 | 0.2228 | 0.0000 | 0.5000 | 0.0000 | DISCARD | -18.98% |
| R6 | 0.2188 | 0.0000 | 0.5000 | 0.0000 | DISCARD | -20.44% |
| R7 | 0.1250 | 0.0000 | 0.5000 | 0.0000 | DISCARD | -54.55% |
| R8 | 0.1893 | 0.0000 | 0.5000 | 0.0000 | DISCARD | -31.16% |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | validate 0DTE strangle profit target | 0.9200 | H1: 25% profit target maximizes risk-adjusted returns for 0DTE short strangles |
| pending | validate 0DTE strangle profit target | 0.9000 | H2: Combining 25% profit target with 1.5x credit stop-loss yields optimal Sharpe for 0DTE strangles |
| pending | validate 0DTE strangle profit target | 0.8000 | H3: Profit targets should NOT be dynamically scaled by implied volatility for 0DTE strangles |
| pending | validate 0DTE strangle profit target | 0.8800 | H4: 0DTE strangle profit targets are hit predominantly in the first 90 minutes, enabling morning-only trading |
| pending | validate 0DTE strangle profit target | 0.9300 | H5: Higher profit targets increase average P&L but degrade risk-adjusted returns due to tail risk exposure |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | entry_timing | 0.0000 | 0DTE short strangle entry timing sweep: test 7 entry times (09:31 through 13:00) with 1% OTM strikes and 50% profit target |
| pending | entry_timing | 0.9100 | H1: 09:31 market-open entry dominates all later entry times for 0DTE short strangles on risk-adjusted returns |
| pending | entry_timing | 0.8900 | H2: A minimum credit filter ($3.50) dramatically improves 09:31 entry Sharpe from 0.22 to 0.34 by eliminating unprofitable low-vol days |
| pending | entry_timing | 0.8800 | H3: Delaying entry to 10:00 to let opening volatility settle does NOT improve returns — it destroys the premium advantage |
| pending | entry_timing | 0.9300 | H4: The 25% PT is typically hit within 31 minutes of 09:31 entry, making this a morning-only rapid-fire strategy |
| pending | entry_timing | 0.8700 | H5: The optimal combined strategy is 09:31 entry + credit>=$3.50 filter + 25% PT + 1.5x SL, achieving Sharpe 0.34 with 93.5% win rate |
| 狀態 | 維度 | 信心 | 假說 |
|---|---|---|---|
| pending | — | 1.0000 | 0-DTE ATM_straddle strangle with 50% PT, $1 slippage |
| pending | — | 1.0000 | 0-DTE OTM_0.5pct strangle with 50% PT, $1 slippage |
| pending | — | 1.0000 | 0-DTE OTM_1.0pct strangle with 50% PT, $1 slippage |
| pending | — | 1.0000 | 0-DTE OTM_1.5pct strangle with 50% PT, $1 slippage |
| pending | — | 1.0000 | 0-DTE OTM_2.0pct strangle with 50% PT, $1 slippage |
| pending | — | 0.0000 | 0-DTE OTM_3.0pct strangle with 50% PT, $1 slippage |
| pending | — | 1.0000 | 0-DTE Asym_P2_C05 strangle with 50% PT, $1 slippage |
| pending | strike_selection | 0.0000 | H1: Fixed-dollar OTM strike widths ($20/$30/$50) outperform percentage-based (0.5%/1%/2%) for 0DTE strangles because SPX intraday moves are more absolute-dollar-bounded than percentage-bounded |
| pending | strike_selection | 0.0000 | H2: Asymmetric strike placement (put 1.5% OTM, call 0.7% OTM) outperforms symmetric 1% OTM because SPX has persistent negative skew — downside vol is overpriced relative to upside |
| pending | strike_selection | 0.0000 | H3: Wide strangle (2% OTM) with NO profit target outperforms narrow strangle (0.5% OTM) WITH 50% profit target on risk-adjusted basis because the narrow strangle's tail risk from breaches exceeds the benefit of early exits |
| pending | strike_selection | 0.0000 | H4: Strike width should adapt to VIX level — use 0.7% OTM when VIX<20, 1.5% when VIX 20-30, 2.5% when VIX>30 — outperforming any fixed-width strangle |
| pending | strike_selection | 0.0000 | H5: Iron condor (buying wings $20 further OTM) at same short strikes as naked strangle reduces max loss enough to improve risk-adjusted returns despite lower net credit |
| 輪次 | 維度 | 方法 | 失敗原因 | 分數 |
|---|---|---|---|---|
| R3 | expiration_choice | 0-DTE ATM_straddle strangle with 50% PT, $1 slippage; 0-DTE OTM_0.5pct strangle with 50% PT, $1 slippage; 0-DTE OTM_1.0pct strangle with 50% PT, $1 slippage | Composite score 0.2221 below baseline | 0.2221 |
| R4 | position_sizing | Round 4 research on position_sizing | Composite score 0.2188 below baseline | 0.2188 |
| R5 | exit_rules | Round 5 research on exit_rules | Composite score 0.2228 below baseline | 0.2228 |
| R6 | regime_filter | Round 6 research on regime_filter | Composite score 0.2188 below baseline | 0.2188 |
| R7 | volatility_surface | Round 7 research on volatility_surface | Composite score 0.1250 below baseline | 0.1250 |
| R8 | correlation | Round 8 research on correlation | Composite score 0.1893 below baseline | 0.1893 |
backtest_crash — Script entry_timing_strangle_0dte.py timed out after 120s| Agent | 方法 | 成功率 | 提出數 | 確認數 | 樣本數 |
|---|---|---|---|---|---|
| researcher | validate 0DTE strangle profit target | 0.00% | 5 | 0 | 5 |
| optimizer | entry_timing | 0.00% | 1 | 0 | 1 |
| researcher | entry_timing | 0.00% | 5 | 0 | 5 |
| optimizer | general | 0.00% | 7 | 0 | 7 |
| researcher | strike_selection | 0.00% | 5 | 0 | 5 |