MODELED — NOT BROKER P&L
SPY vertical walk-forward
Rolling-origin test using Alpaca IEX daily stock bars. Every decision uses only prior observations; options are priced with Black-Scholes.
Total return+5.96%
Trades232
Win rate70.7%
Max drawdown-3.89%
Method
- walk_forward: rolling-origin; every decision uses only the preceding 20 closes
- signal: 20-day close return above +0.5% bullish, below -0.5% bearish, otherwise abstain
- pricing: Black-Scholes European price with prior-only 20-day realized volatility multiplied by a fixed 1.20 IV/RV premium assumption
- structure: 3-10 calendar DTE window with a fixed 5-day target, exact $5 width, 0.25 absolute short delta
- lifecycle: daily OHLC trigger proxy; 50% credit-capture take-profit, 2x-credit stop, and <=1 DTE force-close; stop wins same-bar ambiguity
- sizing: 2% equity max-loss budget, maximum 4 contracts, one vertical at a time
- costs: $0.02 modeled slippage per leg embedded in entry credit and exit trigger/debit marks; commissions and regulatory fees excluded
VRP sensitivity
| IV/RV | Return | PF | Max DD |
|---|---|---|---|
| 1.10× | +0.76% | 1.027 | -4.37% |
| 1.20× | +5.96% | 1.236 | -3.89% |
| 1.30× | +11.27% | 1.506 | -3.42% |
Limitations
- Modeled option prices are not historical option-chain quotes or fills.
- The fixed 1.20 IV/RV multiplier is a disclosed volatility-risk-premium assumption, not a fitted historical IV series.
- Daily OHLC cannot establish intraday trigger order; same-bar take-profit/stop ambiguity is resolved conservatively as a stop.
- European Black-Scholes omits early assignment, discrete dividends, quote microstructure, and volatility skew.
- IEX daily bars are a stock-price source; this result is research context, not a performance claim.
Source: Alpaca Market Data API IEX daily bars, feed=iex; range 2024-01-02 to 2026-09-01. Reproduce with scripts/build-walk-forward-backtest.py. Dataset SHA-256: b51c70b027b48b0ec806039a349b2e875793d2a05c43277daaabe14d6673f46b