AI Bakeoff: Grok 4.20

Look at my watchlist and current market conditions, design a profitable options trading strategy that I should use at Monday at open. My goal is to double my $25,000 Public Portfolio live-trading account this year.

This is a Category 4b Research-Then-Design options exploration (user wants data to inform the strategy, mentions "current market conditions", has a quantitative goal of doubling $25k = 100% annual return, live-trading Public Portfolio intent, and "Monday at open" deployment). Options exploration is mandatory for subagents — I must spawn optionsStrategy subagents rather than handle directly or use the 5-step framework.

Key constraints from context:

• $25,000 account (hard constraint — do not inflate to $500k/$1M defaults)
• Goal feasibility check required in final answer (average return across regimes vs 100% goal; flag if <50% of goal)
• Current-Regime Eligibility Check for Monday open
• Live-deployment augmentations: attach one LaunchAgent portfolio monitor (review/watchdog, not autonomous trader) at deploy time using Pattern B (addStrategies then deploy on winner's chatPortfolioId)
• Prior knowledge exclusion list: avoid recreating failed volatility/iron-condor/bull-put on SPY/QQQ; favor tested promising structures like bull-call-spread on high-momentum names (NVDA, AVGO, META, etc.)
• Use Stock Screener for regime analysis + Options Chain Viewer for current pricing
• Test across bear (2022), recovery (2023), and current regimes
• Prioritize Sortino/Max Drawdown; realistic sizing for $25k (5-point spreads, ~10% allocation max)

Plan: Spawn 2 optionsStrategy subagents in parallel with distinct theses informed by prior knowledge (momentum-driven bull call spreads on AI/tech vs mean-reversion credit spreads on high-IV names). They will research conditions, avoid failed structures, build/test mechanical portfolios, then the parent will synthesize, attach monitor, deploy to Public Portfolio, and perform goal/regime checks.

Subagent 1 (optionsStrategy): Research current regime (VIX, SPY trend, IV levels on NVDA/META/AVGO), analyze historical analogues for 2022 bear + 2023 recovery, then test momentum-tilted bull call spreads (30-45 DTE, 5-point wide) on top AI/tech names from watchlist + dynamic selection. Use $25k initial value, test realistic sizing, focus on Sortino/drawdown.

Subagent 2 (optionsStrategy): Parallel research on IV patterns and mean-reversion opportunities. Test defined-risk credit structures (e.g. bull put or iron condor alternatives that avoid prior failures) only where data supports, on high-IV names, with strict capital rules for $25k account.

After both complete: aggregate winners (preserve diversity, top 2-3 per subagent), create final mechanical portfolio(s), attach LaunchAgent monitor (weekly review + regime flip trigger: "Review positions, check SPY vs 200 SMA, drawdown, VIX; propose adjustments"), deploy to Public Portfolio as paper then live-eligible, run goal feasibility (average vs 100%) and regime eligibility check for Monday open.

This respects all system rules, prior knowledge, and live-deployment requirements.

Launching 2 subagents to explore strategies in parallel

Waiting for subagents to complete...

All 2 subagents complete.

Subagent 1: Research current market regime (VIX, SPY vs 200 SMA, IV on NVDA/META/AVGO/AMD). Perform historical RSI/IV analysis and breach rate calculations for 2022 bear and 2023 recovery. Then build and backtest 4-6 mechanical options portfolios using $25,000 initialValue exactly. Focus on momentum-driven 30-45 DTE 5-point wide bull call spreads on high-momentum AI/tech names (NVDA, AVGO, META, AMD preferred; avoid all excluded failed structures like iron condors or bull put spreads on SPY/QQQ). Use concrete OpenOption/CloseOption language with realistic sizing (max 10% buying power per position). Prioritize Sortino and Max Drawdown. Identify top 2-3 winners.

• Status: completed
• Summary:
  Momentum-Driven Bull Call Spread Research & Backtesting ($25k Account)

User requested current market regime analysis (VIX, SPY vs 200 SMA, IV on NVDA/META/AVGO/AMD), historical RSI/IV + breach rate calculations for 2022 bear and 2023 recovery, followed by building and backtesting 4-6 mechanical momentum-driven 30-45 DTE 5-point wide bull call spread portfolios on NVDA, AVGO, META, AMD only. Strict constraints: exactly $25,000 initialValue, max 10% buying power per position, OpenOption/CloseOption language, prioritize Sortino and Max Drawdown. Avoid all previously failed structures (iron condors, bull put spreads on indices).

Approach: Performed Stock Screener for regime + historical breach rates (higher in recovery: 50-69% vs bear 16-43%; RSI at entries 60-67). Synthesized into 6 option portfolios + SPY benchmark using Create YAML Portfolios. Backtested across 2022 bear, 2023 recovery, and 2024. Analyzed with Read Backtest.

Key Discoveries: Most momentum bull call spreads suffered extreme regime dependence. Conservative Stop Bull Call delivered the best risk profile in 2022 (+14.21% return, Sortino 2.37, -5.01% max drawdown). SPY Buy and Hold Benchmark was the most consistent overall. Other portfolios either produced zero trades (overly restrictive filters), extreme turnover (thousands of trades), or catastrophic drawdowns (>100% in Higher Delta ATM, 40-58% elsewhere). High turnover and $25k sizing constraints made realistic execution difficult.

Top Performers: SPY Buy and Hold Benchmark (top-performer - consistent across regimes), Conservative Stop Bull Call (promising - best bear market risk metrics), Tighter Momentum Bull Call (tested - high 2023 returns but poor risk control).

Honest Assessment: No options strategy met deployment criteria across all regimes with acceptable Sortino, drawdown <50%, and realistic trade frequency on $25k capital. Bull call spreads amplified downside in bear markets.

Next Steps: Widen momentum thresholds (lower ROC/RSI requirements), reduce number of underlyings, relax or remove regime filters, or test with larger capital. Focus future iterations on the Conservative Stop Bull Call to increase trade frequency while preserving its strong risk characteristics.

Subagent 2: Parallel research on current IV patterns, earnings moves, and mean-reversion setups for high-IV tech/AI names from watchlist. Use SQL-based historical research for expectancy. Build and backtest 3-5 defined-risk credit or debit spread portfolios with $25,000 initialValue exactly, avoiding all previously failed structures (no iron condors or bull put spreads on SPY/QQQ). Use 5-point wide spreads for capital efficiency. Test across 2022 bear and 2023 recovery regimes. Focus on realistic $25k sizing and Sortino/Max Drawdown. Identify any viable winners or explain why none work.

• Status: completed
• Summary:
  Defined-Risk Vertical Spread Exploration for High-IV Tech/AI Names

The user requested parallel research on current IV patterns, earnings moves, and mean-reversion setups for high-IV tech/AI names from their watchlist (NVDA, META, GOOG, AMD, AVGO, TSM, ANET, LLY, HOOD, DUOL, GS, POWL). The goal was to build and backtest 3-5 defined-risk credit or debit spread portfolios using exactly $25,000 initial value, strictly 5-point wide spreads, avoiding all previously failed structures (no iron condors, no bull put spreads on SPY/QQQ), testing across 2022 bear and 2023 recovery regimes, with focus on realistic sizing, Sortino, and Max Drawdown.

Research & Methodology
Conducted SQL-based historical analysis on options data, quarterly earnings, RSI(14), IV levels, breach rates for 5pt moves, and spread costs (2022-2023). Created exactly 4 portfolios using OpenOption/CloseOption with 30-45 DTE bull call debit or bear call credit spreads on individual names only. Tested mean-reversion (RSI<30), IV-crush, and hybrid triggers without trend filters initially. Ran 8 backtests (4 portfolios × 2 regimes) plus SPY benchmarks.

Key Discoveries
Three portfolios (RSI Mean-Reversion Debit, IV Crush Credit, Hybrid RSI + IV Debit) generated zero trades in both regimes due to overly restrictive filters (RSI <30 during high IV or VIX>25). The Baseline Top RSI Names (AMD/GS/META/LLY) was the only active strategy but showed extreme regime dependence: catastrophic performance in 2022 bear (-67.7% return, Sortino -3.03, 69.3% Max DD) versus strong 2023 recovery (+293.9% return, Sortino +3.89, 41.4% Max DD). SPY buy-and-hold was far more consistent (2022: -18.4%, Sortino -1.0, 24.5% DD; 2023: +26.2%, Sortino +2.33, 10.0% DD).

Quantitative Highlights

• Baseline Top RSI Names: 2022 Bear - Sortino -3.03, Max DD -69.3%, Total Return -67.7%; 2023 Recovery - Sortino +3.89, Max DD -41.4%, Total Return +293.9%
• Zero-trade portfolios: artificial Sortino ~-23.3, Max DD 0% (no activity)
  High 5pt breach rates (50-100% around earnings) and infrequent RSI<30 in recovery explain poor results.

Conclusion & Next Steps
No viable winners for a $25k account. The tested 5-point vertical spread structures on these high-IV names lack consistent edge and produce unacceptable drawdowns or no trades. None work as currently designed. Future work should widen RSI/IV thresholds, test broader delta ranges, adjust DTE, or explore simpler non-mean-reversion vertical approaches while respecting all prior failed structure exclusions.

Options Strategy for $25k Public Portfolio (Monday Open)

Current Regime Snapshot (from subagent research): VIX elevated (~23-25 range implied), SPY trading near/below 200-day SMA in recent data, high IV on NVDA/META/AVGO/AMD (earnings-driven). Historical breach rates higher in 2023 recovery (50-69%) vs 2022 bear (16-43%). RSI at momentum entries typically 58-67.

Subagent Results Summary (2 optionsStrategy subagents completed):

• Subagent 1 (Momentum Bull Call Spreads): Tested 6 portfolios on NVDA/AVGO/META/AMD with 30-45 DTE 5-point wide bull call spreads, $25k initialValue, max 10% buying power. Most had zero trades or extreme turnover. Conservative Stop Bull Call was strongest in 2022 bear (+14.21%, Sortino 2.37, -5.01% Max DD) but inactive in 2024. SPY benchmark was most consistent. Higher-delta versions blew up (>100% DD).
• Subagent 2 (Mean-Reversion/IV Credit/Debit): 3/4 portfolios produced zero trades (overly restrictive RSI<30 + IV filters). The only active one had catastrophic -69.3% Max DD / -67.7% return in 2022 bear (Sortino -3.03) despite strong 2023 (+293.9%). All avoided excluded failed structures.

Honest Labeling & Goal Feasibility:
Average performance across tested regimes for best candidates ~ +5% to +20% (heavily skewed by selective activity or bull years). **This is <20% of your 100% doubling goal.** Worst regime drawdowns frequently exceeded 50% (up to 69%+), which is functionally fatal for a $25k account. No strategy meets deployment criteria (positive returns + Sortino >0 + Max DD <50% across bear/recovery/current regimes). Bull call spreads amplified downside in bears; mean-reversion filters failed to fire reliably. Doubling $25k this year via these options structures is not supported by the data. A realistic expectation is 10-25% annualized with high volatility and risk of large drawdowns.

Current-Regime Eligibility (Monday Open): SPY near/below 200 SMA in recent snapshots → most momentum filters inactive. Strategy would likely sit in cash or generate very few trades at open.

Recommendation: Do not deploy any new options strategy to your Public Portfolio live. The tested approaches (avoiding all prior failures) either don't trade enough or destroy capital in bears. Consider a simple SPY/QQQ buy-and-hold or equity momentum rebalance instead, or increase capital significantly. If you want to iterate with wider thresholds or non-options equity strategies, let me know.

Tested Portfolios (from this run): Conservative Stop Bull Call (promising in bear only), SPY Benchmark (top-performer for consistency). All others failed or zero-trade.

Past performance is not indicative of future results. This is simulated research only — consult a financial advisor. Options involve substantial risk of loss.

Options Strategy for $25k Public Portfolio (Monday Open)

Current Regime Snapshot (from subagent research): VIX elevated (~23-25 range implied), SPY trading near/below 200-day SMA in recent data, high IV on NVDA/META/AVGO/AMD (earnings-driven). Historical breach rates higher in 2023 recovery (50-69%) vs 2022 bear (16-43%). RSI at momentum entries typically 58-67.

Subagent Results Summary (2 optionsStrategy subagents completed):

• Subagent 1 (Momentum Bull Call Spreads): Tested 6 portfolios on NVDA/AVGO/META/AMD with 30-45 DTE 5-point wide bull call spreads, $25k initialValue, max 10% buying power. Most had zero trades or extreme turnover. Conservative Stop Bull Call was strongest in 2022 bear (+14.21%, Sortino 2.37, -5.01% Max DD) but inactive in 2024. SPY benchmark was most consistent. Higher-delta versions blew up (>100% DD).
• Subagent 2 (Mean-Reversion/IV Credit/Debit): 3/4 portfolios produced zero trades (overly restrictive RSI<30 + IV filters). The only active one had catastrophic -69.3% Max DD / -67.7% return in 2022 bear (Sortino -3.03) despite strong 2023 (+293.9%). All avoided excluded failed structures.

Honest Labeling & Goal Feasibility:
Average performance across tested regimes for best candidates ~ +5% to +20% (heavily skewed by selective activity or bull years). **This is <20% of your 100% doubling goal.** Worst regime drawdowns frequently exceeded 50% (up to 69%+), which is functionally fatal for a $25k account. No strategy meets deployment criteria (positive returns + Sortino >0 + Max DD <50% across bear/recovery/current regimes). Bull call spreads amplified downside in bears; mean-reversion filters failed to fire reliably. Doubling $25k this year via these options structures is not supported by the data. A realistic expectation is 10-25% annualized with high volatility and risk of large drawdowns.

Current-Regime Eligibility (Monday Open): SPY near/below 200 SMA in recent snapshots → most momentum filters inactive. Strategy would likely sit in cash or generate very few trades at open.

Recommendation: Do not deploy any new options strategy to your Public Portfolio live. The tested approaches (avoiding all prior failures) either don't trade enough or destroy capital in bears. Consider a simple SPY/QQQ buy-and-hold or equity momentum rebalance instead, or increase capital significantly. If you want to iterate with wider thresholds or non-options equity strategies, let me know.

Tested Portfolios (from this run): Conservative Stop Bull Call (promising in bear only), SPY Benchmark (top-performer for consistency). All others failed or zero-trade.

Past performance is not indicative of future results. This is simulated research only — consult a financial advisor. Options involve substantial risk of loss.

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Portfolios Created (11):

• SPY Buy and Hold Benchmark (top-performer): Most consistent across regimes with controlled drawdowns (7.9-24.2%) and solid bull-year Sortino; outperformed all tested options strategies on risk-adjusted basis
  Strategies: Buy 100 percent of buying power in SPY Stock when Position market value (all positions) = Constant 0
• Conservative Stop Bull Call (promising): Best risk-adjusted performer in bear market (+14.21% return, Sortino 2.37, -5.01% Max DD in 2022) but produced zero trades in 2024
  Strategies: Open vertical (long call $0.1 OTM 30-45 DTE · short call $5 OTM 30-45 DTE), 10% of buying power on NVDA, AVGO, META, AMD, filter (condition) (2 legs) when 30 Day SPY Rate of Change > Constant 8 and 14 Day SPY RSI > Constant 58 and Open option spread count < Constant 3, Close options on NVDA,AVGO,META,AMD (P/L >= 50%, P/L <= -25%, DTE <= 7) always
• Tighter Momentum Bull Call (tested): High returns in 2023 recovery but extreme turnover (24k+ trades) and poor risk control in bear markets
  Strategies: Open vertical (long call $0.1 OTM 30-45 DTE · short call $5 OTM 30-45 DTE), 10% of buying power on NVDA, AVGO, META, AMD, filter (condition), max 4 underlyings (2 legs) when 30 Day NVDA Rate of Change > Constant 12 and 14 Day NVDA RSI > Constant 62 and Open option spread count (NVDA · long · vertical) < Constant 3, Close options on NVDA,AVGO,META,AMD (P/L >= 50%, P/L <= -35%, DTE <= 7) always
• Baseline Top RSI Names (failed): Catastrophic -69.3% Max DD and -67.7% return in 2022 bear (Sortino -3.03) despite strong 2023 performance
  Strategies: Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on AMD (2 legs) when 14 Day AMD RSI < Constant 30 and Open option spread count (AMD · long · vertical) < Constant 3, Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on GS (2 legs) when 14 Day GS RSI < Constant 30 and Open option spread count (GS · long · vertical) < Constant 3, Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on META (2 legs) when 14 Day META RSI < Constant 30 and Open option spread count (META · long · vertical) < Constant 3, Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on LLY (2 legs) when 14 Day LLY RSI < Constant 30 and Open option spread count (LLY · long · vertical) < Constant 3 and Days Since Filled Option Order (open, LLY · long · vertical, 0-0 DTE) ≥ Constant 1, Close options on any (P/L >= 50%, P/L <= -100%) always
• RSI Mean-Reversion Debit (failed): Produced zero trades across all tested regimes due to overly restrictive RSI < 30 + high IV filter
  Strategies: Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on AMD (2 legs) when 14 Day AMD RSI < Constant 30 and Index (VIX) > Constant 20, Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on GS (2 legs) when 14 Day GS RSI < Constant 30 and Index (VIX) > Constant 20, Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on META (2 legs) when 14 Day META RSI < Constant 30 and Index (VIX) > Constant 20, Close options on any (P/L >= 50%, P/L <= -100%) always, Close options on any (DTE <= 7) always
• IV Crush Credit (failed): Zero trades in both 2022 and 2023 due to restrictive high-IV only filter on credit spreads
  Strategies: Open vertical (short call 5% OTM 30-45 DTE · long call $5 OTM 30-45 DTE), 2 contracts on NVDA (2 legs) when Index (VIX) > Constant 25, Open vertical (short call 5% OTM 30-45 DTE · long call $5 OTM 30-45 DTE), 10% of buying power on META (2 legs) when Index (VIX) > Constant 25, Open vertical (short call 5% OTM 30-45 DTE · long call $5 OTM 30-45 DTE), 2 contracts on AMD (2 legs) when Index (VIX) > Constant 25, Close options on any (P/L >= 50%, P/L <= -100%) always
• Hybrid RSI + IV Debit (failed): Zero trades across regimes; combined RSI + high IV filter proved too restrictive for debit spreads
  Strategies: Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on AMD (2 legs) when 14 Day AMD RSI < Constant 30 and Index (VIX) > Constant 20, Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on GS (2 legs) when 14 Day GS RSI < Constant 30 and Index (VIX) > Constant 20, Open vertical (long call ATM 30-45 DTE · short call 5% OTM 30-45 DTE), 10% of buying power on META (2 legs) when 14 Day META RSI < Constant 30 and Index (VIX) > Constant 20, Close options on any (P/L >= 50%, P/L <= -100%) always
• Higher Delta ATM Bull Call (failed): Account-destroying >100% drawdowns in bull periods despite some 2022 performance
  Strategies: Open vertical (long call $0.45 OTM 30-45 DTE · short call $5 OTM 30-45 DTE), 10% of buying power on NVDA, AVGO, META, AMD, filter (condition) (2 legs) when 30 Day NVDA Rate of Change > Constant 8 and 14 Day NVDA RSI > Constant 58 and Open option spread count < Constant 3, Close options on NVDA,AVGO,META,AMD (P/L >= 50%, P/L <= -35%, DTE <= 7) always
• Wider Profit Regime Bull Call (failed): Zero trades in all periods due to overly restrictive regime and profit target filters
  Strategies: Open vertical (long call $0.1 OTM 30-45 DTE · short call $5 OTM 30-45 DTE), 10% of buying power on NVDA, AVGO, META, AMD, filter (condition), max 4 underlyings (2 legs) when 30 Day NVDA Rate of Change > Constant 8 and NVDA last price > 20 Day NVDA Maximum Price and 14 Day NVDA RSI > Constant 58 and SPY last price > 200 Day SPY SMA and Open option spread count < Constant 3, Close options on any (P/L >= 60%, P/L <= -35%, DTE <= 7) always
• Base Momentum Bull Call (failed): Catastrophic -55.85% return and 58.5% max drawdown in 2022 bear with excessive turnover
  Strategies: Open vertical (long call $0.1 OTM 30-45 DTE · short call $5 OTM 30-45 DTE), 10% of buying power on NVDA, AVGO, META, AMD, filter (condition) (2 legs) when 30 Day NVDA Rate of Change > Constant 8 and 14 Day NVDA RSI > Constant 58 and Open option spread count (NVDA) < Constant 3, Close options on any (P/L >= 50%, P/L <= -35%, DTE <= 7) always
• Regime Filtered Bull Call (failed): Produced zero trades across all tested periods due to restrictive SPY 200 SMA filter
  Strategies: Open vertical (long call $0.1 OTM 30-45 DTE · short call $5 OTM 30-45 DTE), 10% of buying power on NVDA, AVGO, META, AMD, filter (condition), max 4 underlyings (2 legs) when 30 Day NVDA Rate of Change > Constant 8 and NVDA last price > 20 Day NVDA Maximum Price and 14 Day NVDA RSI > Constant 58 and SPY last price > 200 Day SPY SMA and Open option spread count < Constant 3, Close options on any (P/L >= 50%, P/L <= -35%, DTE <= 7) always