Shared agent run
Optimization Round 5: The Collapse (Score: 27)
Long directional options. -6.30% avg return. Evaluator said go back to Round 1.
Read the conversation below. Open the interactive view for charts, attachments, and continuing this run.
User
OPTIMIZATION ROUND 5 — Continuation
You are iterating on a previous agent run. Do NOT start from scratch. Build directly on the findings below.
Prior Run History — do NOT repeat strategies without meaningful improvement:
Round 1 — Score: 71/100 (mixed) | Goal: 100%+ avg annual return across ALL regimes
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
DEPLOYED:
Always-On Iron Condors [volatility] on SPY, QQQ
2022 Bear : 14.61% | maxDD: -15.00% | Sharpe: 0.8 | Sortino: 1.2
2023 Recovery : 63.56% | maxDD: -8.00% | Sharpe: 4.5 | Sortino: 9.1
2024 Trend : 116.40% | maxDD: -59.00% | Sharpe: 1.8 | Sortino: 3.2
2025 Current : 22.78% | maxDD: -12.00% | Sharpe: 1.2 | Sortino: 2.1
→ Average return: 54.34% avg (2022: 14.61%, 2023: 63.56%, 2024: 116.40%, 2025: 22.78%)
→ Insight: Only strategy to remain profitable across all regimes (2022-2026) with a 54% average annual return.
PROMISING — massive alpha exists here, but drawdown is too high. Do NOT ignore:
Mean-Reversion Bull Call Spreads (META, NVDA, AMD) [mean-reversion | signals: RSI] on META, NVDA, AMD
2023 Recovery : 500.76%
2024 Trend : 2565.06%
2022 Bear : -78.22% | maxDD: -78.00%
2025 Current : -80.78% | maxDD: -83.00%
→ Note: Achieved +2565% in 2024 but suffered terminal drawdowns (>95%) in 2022 and 2025.
→ Fix ideas: reduce position size to 2-3% of BP, add VIX ceiling (only enter VIX < 20), tighten stop loss to -20%, test single ticker before scaling.
TESTED/FAILED (do NOT recreate these exact configurations):
Refined Momentum Spreads (COP, XOM) [momentum] — Powerful hedge for inflationary bear markets (+80% in 2022) but inconsistent in tech-led bull markets.
Trend-Filtered BPS [hybrid] — Zero trades executed; the combination of VIX and SMA filters was too restrictive for the tested periods.
Direction for Round 2: Test variations of the Iron Condor strategy with stricter entry filters (e.g., only entering when VIX > 20) or tighter stop-losses to reduce the 59% maximum drawdown to a more manageable level for a $25,000 account.
Round 2 — Score: 51/100 (weak) | Goal: 100%+ avg annual return across ALL regimes
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
DEPLOYED:
Macro IV Crush Condors [options:iron-condor] on SPY, QQQ
2022 Bear : 102.50% | maxDD: -14.18% | Sharpe: 1.8 | Sortino: 3.8
2023 Bull : 5.13% | maxDD: -6.83% | Sharpe: 0.1 | Sortino: 0.2
2024-2025 Trend : 2.10% | maxDD: -8.60% | Sharpe: -0.2 | Sortino: -0.4
→ Average return: unknown
→ Insight: Best defensive alpha: +102.5% in 2022 bear market with only 14.1% max drawdown.
PROMISING — massive alpha exists here, but drawdown is too high. Do NOT ignore:
Regime-Switching Champion [options:bull-call-spread | signals: SMA] on NVDA, META, AMD, SPY
2022 Bear : -31.60% | maxDD: -35.87%
2023 Bull : 102.65% | maxDD: -13.61%
2024 Bull : -12.49% | maxDD: -24.19%
→ Note: Achieved 102% return in 2023 by avoiding bear market wipeouts via cash positioning.
→ Fix ideas: reduce position size to 2-3% of BP, add VIX ceiling (only enter VIX < 20), tighten stop loss to -20%, test single ticker before scaling.
TESTED/FAILED (do NOT recreate these exact configurations):
Round 2 Final: Sovereign Alpha [hybrid] — Total wipeout (-101%) in 2025 due to over-leverage and tight stops on high-priced tech.
Round 2 Hybrid: Regime Master [hybrid] — Death by a thousand cuts; 50% stop-losses locked in losses during normal tech volatility.
Direction for Round 3: Test 'Stop-Loss Free' defined-risk structures using lower-priced Sector ETFs (like XLK or SMH) instead of high-priced individual tech stocks to allow for better position sizing and survival of normal volatility.
Round 3 — Score: 66/100 (mixed) | Goal: 100%+ avg annual return across ALL regimes
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
DEPLOYED:
Gated SMH Equity [trend-following] on SMH, SPY
2022-2026 : 73.92% | maxDD: -30.15% | Sharpe: 0.7 | Sortino: 0.9
→ Average return: 20.73% avg (across 2022-2026)
→ Insight: The most robust performer; achieved 73.9% total return with a controlled 30.1% drawdown, passing the risk mandate.
PROMISING — massive alpha exists here, but drawdown is too high. Do NOT ignore:
SMH Alpha-Guard IC [options:iron-condor | signals: SMA] on SMH, SPY
2022-2026 : 159.50% | maxDD: -65.53%
→ Note: Massive alpha potential (159% avg return) but failed the risk bar due to a 65.5% drawdown in 2022.
→ Fix ideas: reduce position size to 2-3% of BP, add VIX ceiling (only enter VIX < 20), tighten stop loss to -20%, test single ticker before scaling.
XLK Always-On Iron Condor [options:iron-condor] on XLK
2022-2026 : 20.00% | maxDD: -37.43%
→ Note: Safest options strategy tested (37.4% DD) but 20% return is insufficient for the 100% growth goal.
→ Fix ideas: reduce position size to 2-3% of BP, add VIX ceiling (only enter VIX < 20), tighten stop loss to -20%, test single ticker before scaling.
TESTED/FAILED (do NOT recreate these exact configurations):
SMH Always-On BCS [options:bull-call-spread] — Exhibited binary performance: +491% in 2023 but suffered a terminal 94% drawdown in 2022.
Gated SMH Momentum - No Stop [options:bull-call-spread] — Zero trades executed; 10% allocation in a $25k account was insufficient for high SMH option premiums.
Direction for Round 4: Test leveraged ETFs (e.g., SOXL, TECL) with the SPY 200-day SMA regime filter to boost returns closer to the 100% goal without the complex margin requirements and sizing constraints of options on a $25k account.
Round 4 — Score: 51/100 (weak) | Goal: 100%+ avg annual return across ALL regimes
━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━
DEPLOYED:
SOXL 10 SMA Dual - 70% Size [trend-following] on SOXL, SPY
2022 Bear : -41.90% | maxDD: -45.70%
2023 Recovery : 26.70% | maxDD: -27.70%
2024 Trend/Chop : -30.50% | maxDD: -54.70%
2025 Current : 71.20% | maxDD: -20.60%
→ Average return: 6.38% avg (2022: -41.90%, 2023: 26.70%, 2024: -30.50%, 2025: 71.20%)
→ Insight: Best 'survival' balance; achieved 71.2% return in 2025 with a controlled 20.6% drawdown.
Optimized XLK Bull Call - Trend Filtered [options:bull-call-spread] on XLK
2022 Bear : -20.80% | maxDD: -31.80% | Sharpe: -0.5
2023 Recovery : 13.10% | maxDD: -19.20% | Sharpe: 0.4
2024 Trend : 15.90% | maxDD: -28.00% | Sharpe: 0.5
→ Average return: 6.38% avg (2022: -41.90%, 2023: 26.70%, 2024: -30.50%, 2025: 71.20%)
→ Insight: The most robust options strategy; successfully kept drawdowns under 32% across all regimes.
PROMISING — massive alpha exists here, but drawdown is too high. Do NOT ignore:
SOXL Trend Leader (Aggressive) [trend-following | signals: SMA] on SOXL, SPY
2022 Bear : -85.33% | maxDD: -90.07%
2023 Recovery : 233.05% | maxDD: -48.41%
2024 Trend : 0.70% | maxDD: -61.51%
2025 Current : 53.38% | maxDD: -75.80%
→ Note: Massive 233% return in 2023, but terminal 90% drawdown in 2022 proves 100% sizing is uninvestable.
→ Fix ideas: reduce position size to 2-3% of BP, add VIX ceiling (only enter VIX < 20), tighten stop loss to -20%, test single ticker before scaling.
TESTED/FAILED (do NOT recreate these exact configurations):
Alpha Gamma Dual-Gated [options:long-call] — High trade count (1,700+) led to 'death by a thousand cuts' and 99% drawdown.
AI Gamma Leader (50d Gated) [options:bull-call-spread] — Zero trades; 12% allocation was insufficient for high-priced NVDA/AVGO options premiums.
Leveraged Trend Leader (Fast Gated) [trend-following] — Zero trades executed due to conflicting rebalance logic and restrictive VIX filters.
Direction for Round 5: Abandon the 10-day SMA on SOXL as it causes severe whipsaw losses in choppy markets (e.g., 2024). Test a longer-term trend filter (like a 50-day or 100-day SMA on SOXL) or add a volatility filter (VIX < 20) to prevent entering leveraged ETFs during high-chop periods.
Your goal: Find a strategy averaging 80%+ across ALL regimes (2022, 2023, 2024, 2025) — not just one banner year.
Minimum bar for deployment: avg annual return ≥ 80% AND max drawdown in any single year ≤ 40%.
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.
Aurora
This is Round 5 of our optimization. We have established that Iron Condors provide robust baseline alpha but suffer from high drawdowns, while high-beta tech spreads provide massive upside but terminal risk. Our goal is to bridge this gap: targeting 80%+ average annual returns while keeping maximum drawdowns under 40% on your $25,000 account.
Following the direction from Round 4, I will pivot away from fast SMAs on leveraged ETFs to avoid whipsaws and focus on longer-term trend filters (50-day SMA) and volatility gates (VIX < 20 for momentum, VIX > 20 for income). I will also test 'Stop-Loss Free' defined-risk structures on Sector ETFs to allow for better survival of normal tech volatility.
The Core Question
Can we achieve an 80%+ average annual return across all regimes (2022-2025) by combining regime-gated leveraged momentum (SOXL/TECL) with high-theta volatility harvesting, while maintaining a drawdown below 40%?
Competing Hypotheses for Round 5
- Hypothesis A (Regime-Gated Leveraged Momentum): Trading SOXL/TECL using a 50-day SMA filter (instead of 10-day) and a VIX < 25 ceiling to avoid choppy bear market volatility.
- Hypothesis B (Volatility-Gated Iron Condors): Entering Iron Condors on SPY/QQQ only when VIX > 20 (high premium) but with a 25% portfolio-level stop to protect against the 2024-style tail events.
- Hypothesis C (Low-Sized High-Alpha Tech): Re-testing the 2000%+ alpha Bull Call Spreads on NVDA/META but with strictly capped 2% position sizing and a VIX < 20 'calm market' entry gate.
- Hypothesis D (Sector ETF Bull Spreads): Using Bull Call Spreads on lower-priced Sector ETFs (XLK, SMH) to allow for survive-and-advance sizing without the terminal risk of individual stocks.
The Adaptive Execution Plan
Step 1: Current Regime Analysis
I will query current market conditions (VIX level, SPY vs 200-day SMA, SOXL vs 50-day SMA, and RSI for NVDA/META) to determine which strategies are eligible for deployment this Monday.
Tool: Stock Screener
Step 2: Real-Time Options Pricing
I will pull current option chain data for SPY, XLK, SOXL, and NVDA to ensure our candidate structures (30-45 DTE) are priced appropriately for a $25,000 account.
Tool: Options Chain Viewer
Step 3: Parallel Strategy Exploration (3 Subagents)
I will spawn three specialized optionsStrategy subagents to test our hypotheses in parallel across the 2022-2025 regimes.
- Subagent 1 (Income/Volatility): Focuses on gated Iron Condors and Bull Put Spreads on SPY/QQQ/XLK.
- Subagent 2 (Leveraged Growth): Focuses on SOXL/TECL trend-following with 50-day SMA and VIX filters.
- Subagent 3 (High-Alpha Recovery): Focuses on low-sized (2%) Bull Call Spreads on NVDA/META/AMD with VIX < 20 gates.
Tool:createSubagents
Step 4: Synthesis and Goal Feasibility Check
I will aggregate results, identifying the portfolio that hits the 80% return / 40% DD target. I will explicitly compare the average return across all four regimes to your 100% growth goal.
Tool: Read Backtest / NexusTrade Agent Planner V4
Step 5: Attach Portfolio Monitor and Deploy
I will deploy the winning strategy to your Public Portfolio and attach a LaunchAgent Monitor. This monitor will review your positions weekly and propose defensive rebalances if the VIX spikes or SPY crosses below its 200-day SMA.
Tool: Edit Portfolio
User
What are the current values for the following metrics as of the most recent close:
- VIX (Price)
- SPY (Price vs 200-day SMA)
- SOXL (Price vs 50-day SMA and 100-day SMA)
- NVDA, META, AMD, SMH, and XLK (Price and 14-day RSI)
This data is required to set the entry gates for our Round 5 options strategies.
User
Show me the options chains for SPY, QQQ, SOXL, NVDA, META, XLK, and SMH for the 30-45 DTE expiration window. I need to see the bid/ask and implied volatility for At-The-Money (ATM) and 5% Out-Of-The-Money (OTM) strikes for both calls and puts to calibrate our Round 5 strategy entries.
Aurora
Options Chain: SPY
Underlying Price: $657.66
Data Source: Brokerage
2026-05-08 (33 DTE)
Calls:
| Strike | Bid | Ask | Mid | Volume | OI | IV | Delta |
|---|---|---|---|---|---|---|---|
| $530.00 | $128.76 | $132.08 | $130.42 | 0 | 0 | N/A | N/A |
| $535.00 | $123.84 | $127.17 | $125.50 | 0 | 0 | N/A | N/A |
| $540.00 | $118.93 | $122.22 | $120.58 | 12 | 10 | N/A | N/A |
| $545.00 | $114.03 | $117.36 | $115.69 | 2 | 0 | 38.0% | 0.960 |
| $550.00 | $109.14 | $112.47 | $110.81 | 4 | 4 | 37.0% | 0.956 |
| $555.00 | $104.28 | $107.57 | $105.92 | 4 | 12 | 36.0% | 0.952 |
| $560.00 | $99.46 | $102.74 | $101.10 | 2 | 3 | 35.3% | 0.947 |
| $565.00 | $94.64 | $97.90 | $96.27 | 2 | 2 | 34.4% | 0.941 |
| $570.00 | $89.80 | $93.08 | $91.44 | 1 | 1 | 33.5% | 0.936 |
| $575.00 | $85.16 | $88.28 | $86.72 | 1 | 9 | 32.9% | 0.927 |
| $580.00 | $80.40 | $83.50 | $81.95 | 2 | 10 | 32.1% | 0.919 |
| $585.00 | $76.27 | $78.65 | $77.46 | 3 | 5 | 32.0% | 0.905 |
| $590.00 | $72.36 | $72.77 | $72.56 | 2 | 3 | 30.6% | 0.899 |
| $595.00 | $67.74 | $69.46 | $68.60 | 0 | 0 | 31.5% | 0.875 |
| $600.00 | $63.14 | $63.51 | $63.33 | 11 | 13 | 29.0% | 0.874 |
| $605.00 | $58.61 | $58.93 | $58.77 | 5 | 7 | 28.2% | 0.859 |
| $610.00 | $54.15 | $54.48 | $54.31 | 4 | 29 | 27.5% | 0.841 |
| $615.00 | $49.76 | $50.06 | $49.91 | 20 | 87 | 26.8% | 0.822 |
| $620.00 | $45.48 | $45.78 | $45.63 | 2 | 52 | 26.1% | 0.800 |
| $625.00 | $41.27 | $42.96 | $42.12 | 4 | 23 | 26.6% | 0.766 |
| $626.00 | $40.41 | $40.77 | $40.59 | 1 | 1 | 25.3% | 0.770 |
| $627.00 | $39.59 | $39.94 | $39.77 | 1 | 2 | 25.2% | 0.764 |
| $628.00 | $38.77 | $40.22 | $39.50 | 5 | 6 | 25.9% | 0.752 |
| $629.00 | $37.96 | $39.37 | $38.66 | 2 | 53 | 25.7% | 0.747 |
| $630.00 | $37.18 | $37.44 | $37.31 | 10 | 293 | 24.7% | 0.747 |
| $631.00 | $36.33 | $38.11 | $37.22 | 26 | 151 | 25.7% | 0.733 |
| $632.00 | $35.53 | $35.86 | $35.70 | 1 | 7 | 24.4% | 0.736 |
| $633.00 | $34.74 | $35.05 | $34.89 | 6 | 92 | 24.3% | 0.729 |
| $634.00 | $33.95 | $34.26 | $34.11 | 2 | 125 | 24.1% | 0.723 |
| $635.00 | $33.18 | $33.43 | $33.30 | 1 | 278 | 24.0% | 0.717 |
| $636.00 | $32.37 | $34.16 | $33.27 | 1 | 137 | 24.9% | 0.703 |
| $637.00 | $31.60 | $31.89 | $31.75 | 2 | 117 | 23.7% | 0.704 |
| $638.00 | $30.81 | $31.11 | $30.96 | 50 | 40 | 23.5% | 0.697 |
| $639.00 | $30.04 | $30.34 | $30.19 | 1 | 18 | 23.4% | 0.690 |
| $640.00 | $29.31 | $29.52 | $29.41 | 2 | 220 | 23.2% | 0.683 |
| $641.00 | $28.52 | $28.81 | $28.66 | 1 | 63 | 23.1% | 0.676 |
| $642.00 | $27.78 | $28.05 | $27.91 | 5 | 54 | 22.9% | 0.669 |
| $643.00 | $27.02 | $27.29 | $27.16 | 2 | 51 | 22.7% | 0.661 |
| $644.00 | $26.28 | $26.54 | $26.41 | 82 | 211 | 22.6% | 0.654 |
| $645.00 | $25.60 | $25.75 | $25.68 | 15 | 812 | 22.4% | 0.646 |
| $646.00 | $24.82 | $25.08 | $24.95 | 2 | 47 | 22.3% | 0.638 |
| $647.00 | $24.10 | $24.35 | $24.23 | 162 | 90 | 22.1% | 0.630 |
| $648.00 | $23.38 | $23.63 | $23.50 | 7 | 33 | 22.0% | 0.622 |
| $649.00 | $22.67 | $22.92 | $22.80 | 1 | 62 | 21.8% | 0.613 |
| $650.00 | $22.00 | $22.16 | $22.08 | 8 | 262 | 21.6% | 0.605 |
| $651.00 | $21.27 | $21.49 | $21.38 | 2 | 20 | 21.5% | 0.596 |
| $652.00 | $20.58 | $20.81 | $20.70 | 4 | 87 | 21.3% | 0.587 |
| $653.00 | $19.89 | $20.13 | $20.01 | 2 | 173 | 21.1% | 0.578 |
| $654.00 | $19.22 | $19.45 | $19.34 | 2 | 72 | 21.0% | 0.569 |
| $655.00 | $18.58 | $18.69 | $18.63 | 43 | 324 | 20.7% | 0.559 |
| $656.00 | $17.92 | $18.03 | $17.98 | 16 | 255 | 20.6% | 0.550 |
| $657.00 | $17.32 | $17.37 | $17.34 | 273 | 237 | 20.4% | 0.540 |
| $658.00 | $16.67 | $16.73 | $16.70 | 428 | 291 | 20.3% | 0.530 |
| $659.00 | $16.04 | $16.09 | $16.06 | 16 | 484 | 20.1% | 0.520 |
| $660.00 | $15.41 | $15.46 | $15.44 | 335 | 282 | 19.9% | 0.510 |
| $661.00 | $14.79 | $14.85 | $14.82 | 28 | 74 | 19.7% | 0.500 |
| $662.00 | $14.18 | $14.24 | $14.21 | 261 | 116 | 19.6% | 0.489 |
| $663.00 | $13.59 | $13.64 | $13.62 | 15 | 103 | 19.4% | 0.478 |
| $664.00 | $13.00 | $13.05 | $13.03 | 6 | 162 | 19.2% | 0.467 |
| $665.00 | $12.42 | $12.47 | $12.45 | 19 | 193 | 19.0% | 0.456 |
| $666.00 | $11.85 | $11.90 | $11.88 | 12 | 163 | 18.8% | 0.445 |
| $667.00 | $11.29 | $11.34 | $11.31 | 11 | 157 | 18.6% | 0.433 |
| $668.00 | $10.75 | $10.80 | $10.78 | 1 | 200 | 18.5% | 0.422 |
| $669.00 | $10.21 | $10.26 | $10.23 | 30 | 182 | 18.3% | 0.410 |
| $670.00 | $9.69 | $9.74 | $9.71 | 28 | 194 | 18.1% | 0.398 |
| $671.00 | $9.18 | $9.23 | $9.21 | 17 | 368 | 17.9% | 0.386 |
| $672.00 | $8.68 | $8.73 | $8.71 | 1 | 393 | 17.7% | 0.374 |
| $673.00 | $8.21 | $8.25 | $8.23 | 12 | 259 | 17.5% | 0.362 |
| $674.00 | $7.73 | $7.78 | $7.76 | 7 | 143 | 17.4% | 0.350 |
| $675.00 | $7.28 | $7.32 | $7.30 | 49 | 643 | 17.2% | 0.337 |
| $676.00 | $6.84 | $6.89 | $6.87 | 12 | 107 | 17.0% | 0.325 |
| $677.00 | $6.42 | $6.46 | $6.44 | 14 | 234 | 16.8% | 0.312 |
| $678.00 | $6.01 | $6.05 | $6.03 | 181 | 145 | 16.6% | 0.300 |
| $679.00 | $5.61 | $5.66 | $5.63 | 105 | 227 | 16.5% | 0.287 |
| $680.00 | $5.24 | $5.28 | $5.26 | 60 | 538 | 16.3% | 0.275 |
| $681.00 | $4.88 | $4.92 | $4.90 | 7 | 96 | 16.1% | 0.263 |
| $682.00 | $4.53 | $4.58 | $4.55 | 79 | 93 | 16.0% | 0.250 |
| $683.00 | $4.20 | $4.25 | $4.22 | 13 | 140 | 15.8% | 0.238 |
| $684.00 | $3.89 | $3.93 | $3.91 | 155 | 261 | 15.6% | 0.226 |
| $685.00 | $3.59 | $3.63 | $3.61 | 533 | 1646 | 15.5% | 0.214 |
| $690.00 | $2.34 | $2.36 | $2.35 | 438 | 956 | 14.7% | 0.159 |
| $695.00 | $1.46 | $1.47 | $1.46 | 267 | 903 | 14.1% | 0.112 |
| $700.00 | $0.89 | $0.90 | $0.90 | 151 | 3118 | 13.7% | 0.076 |
| $705.00 | $0.54 | $0.56 | $0.55 | 162 | 2122 | 13.4% | 0.051 |
| $710.00 | $0.34 | $0.36 | $0.35 | 90 | 646 | 13.4% | 0.034 |
| $715.00 | $0.23 | $0.25 | $0.24 | 831 | 430 | 13.6% | 0.024 |
| $720.00 | $0.17 | $0.18 | $0.17 | 514 | 438 | 13.9% | 0.018 |
| $725.00 | $0.13 | $0.14 | $0.14 | 2 | 97 | 14.3% | 0.014 |
| $730.00 | $0.10 | $0.11 | $0.11 | 2 | 803 | 14.7% | 0.011 |
| $735.00 | $0.08 | $0.09 | $0.08 | 100 | 94 | 15.1% | 0.009 |
| $740.00 | $0.07 | $0.08 | $0.08 | 5 | 606 | 15.7% | 0.008 |
| $745.00 | $0.07 | $0.08 | $0.08 | 0 | 0 | 16.5% | 0.007 |
| $750.00 | $0.06 | $0.07 | $0.07 | 13 | 14 | 17.0% | 0.006 |
| $755.00 | $0.05 | $0.06 | $0.06 | 1 | 1 | 17.5% | 0.005 |
| $760.00 | $0.05 | $0.06 | $0.06 | 3 | 28 | 18.2% | 0.005 |
| $765.00 | $0.04 | $0.05 | $0.04 | 6 | 2 | 18.6% | 0.004 |
| $770.00 | $0.04 | $0.05 | $0.04 | 14 | 14 | 19.3% | 0.004 |
| $775.00 | $0.03 | $0.04 | $0.04 | 2 | 1 | 19.6% | 0.003 |
| $780.00 | $0.02 | $0.03 | $0.03 | 0 | 0 | 19.6% | 0.002 |
| $785.00 | $0.02 | $0.03 | $0.03 | 0 | 0 | 20.3% | 0.002 |
Puts:
| Strike | Bid | Ask | Mid | Volume | OI | IV | Delta |
|---|---|---|---|---|---|---|---|
| $530.00 | $0.94 | $0.95 | $0.94 | 67 | 1424 | N/A | N/A |
| $535.00 | $1.00 | $1.02 | $1.01 | 6 | 288 | N/A | N/A |
| $540.00 | $1.07 | $1.09 | $1.08 | 27 | 342 | N/A | N/A |
| $545.00 | $1.15 | $1.17 | $1.16 | 590 | 200 | 37.4% | -0.038 |
| $550.00 | $1.25 | $1.26 | $1.25 | 52 | 360 | 36.5% | -0.042 |
| $555.00 | $1.35 | $1.37 | $1.36 | 58 | 197 | 35.6% | -0.046 |
| $560.00 | $1.47 | $1.49 | $1.48 | 9 | 185 | 34.7% | -0.050 |
| $565.00 | $1.60 | $1.63 | $1.61 | 526 | 209 | 33.8% | -0.055 |
| $570.00 | $1.76 | $1.79 | $1.77 | 52 | 273 | 32.9% | -0.061 |
| $575.00 | $1.95 | $1.97 | $1.96 | 312 | 333 | 32.1% | -0.068 |
| $580.00 | $2.17 | $2.19 | $2.18 | 33 | 409 | 31.3% | -0.076 |
| $585.00 | $2.42 | $2.44 | $2.43 | 64 | 585 | 30.6% | -0.085 |
| $590.00 | $2.71 | $2.72 | $2.71 | 403 | 443 | 29.8% | -0.096 |
| $595.00 | $3.04 | $3.06 | $3.05 | 160 | 376 | 29.1% | -0.108 |
| $600.00 | $3.43 | $3.45 | $3.44 | 174 | 881 | 28.4% | -0.121 |
| $605.00 | $3.87 | $3.90 | $3.88 | 133 | 737 | 27.7% | -0.137 |
| $610.00 | $4.39 | $4.41 | $4.40 | 163 | 508 | 27.0% | -0.154 |
| $615.00 | $4.98 | $5.00 | $4.99 | 110 | 454 | 26.3% | -0.174 |
| $620.00 | $5.65 | $5.69 | $5.67 | 58 | 465 | 25.6% | -0.196 |
| $625.00 | $6.42 | $6.47 | $6.45 | 55 | 498 | 25.0% | -0.221 |
| $626.00 | $6.59 | $6.63 | $6.61 | 12 | 185 | 24.8% | -0.227 |
| $627.00 | $6.76 | $6.81 | $6.79 | 39 | 68 | 24.7% | -0.232 |
| $628.00 | $6.94 | $6.98 | $6.96 | 9 | 158 | 24.6% | -0.238 |
| $629.00 | $7.12 | $7.17 | $7.14 | 6 | 22 | 24.4% | -0.244 |
| $630.00 | $7.31 | $7.35 | $7.33 | 155 | 802 | 24.3% | -0.249 |
| $631.00 | $7.50 | $7.54 | $7.52 | 22 | 41 | 24.2% | -0.255 |
| $632.00 | $7.69 | $7.74 | $7.71 | 15 | 124 | 24.0% | -0.262 |
| $633.00 | $7.89 | $7.94 | $7.92 | 72 | 97 | 23.9% | -0.268 |
| $634.00 | $8.09 | $8.14 | $8.12 | 12 | 52 | 23.8% | -0.274 |
| $635.00 | $8.30 | $8.35 | $8.32 | 35 | 294 | 23.6% | -0.281 |
| $636.00 | $8.51 | $8.56 | $8.54 | 9 | 124 | 23.5% | -0.287 |
| $637.00 | $8.73 | $8.78 | $8.75 | 13 | 96 | 23.3% | -0.294 |
| $638.00 | $8.96 | $9.01 | $8.98 | 9 | 229 | 23.2% | -0.301 |
| $639.00 | $9.19 | $9.24 | $9.21 | 23 | 156 | 23.0% | -0.308 |
| $640.00 | $9.42 | $9.48 | $9.45 | 251 | 249 | 22.9% | -0.315 |
| $641.00 | $9.66 | $9.72 | $9.69 | 30 | 250 | 22.8% | -0.322 |
| $642.00 | $9.91 | $9.96 | $9.94 | 14 | 86 | 22.6% | -0.330 |
| $643.00 | $10.16 | $10.22 | $10.19 | 52 | 131 | 22.5% | -0.337 |
| $644.00 | $10.42 | $10.48 | $10.45 | 7 | 219 | 22.3% | -0.345 |
| $645.00 | $10.69 | $10.74 | $10.71 | 99 | 484 | 22.2% | -0.353 |
| $646.00 | $10.96 | $11.01 | $10.98 | 120 | 433 | 22.0% | -0.361 |
| $647.00 | $11.24 | $11.29 | $11.27 | 1 | 118 | 21.9% | -0.369 |
| $648.00 | $11.52 | $11.58 | $11.55 | 14 | 186 | 21.7% | -0.377 |
| $649.00 | $11.81 | $11.87 | $11.84 | 5 | 340 | 21.6% | -0.386 |
| $650.00 | $12.10 | $12.16 | $12.13 | 222 | 862 | 21.4% | -0.395 |
| $651.00 | $12.41 | $12.47 | $12.44 | 3 | 97 | 21.3% | -0.403 |
| $652.00 | $12.72 | $12.78 | $12.75 | 23 | 105 | 21.1% | -0.412 |
| $653.00 | $13.04 | $13.10 | $13.07 | 12 | 453 | 20.9% | -0.422 |
| $654.00 | $13.37 | $13.43 | $13.40 | 51 | 337 | 20.8% | -0.431 |
| $655.00 | $13.71 | $13.77 | $13.74 | 56 | 1811 | 20.6% | -0.440 |
| $656.00 | $14.05 | $14.11 | $14.08 | 165 | 67 | 20.5% | -0.450 |
| $657.00 | $14.40 | $14.47 | $14.44 | 86 | 122 | 20.3% | -0.460 |
| $658.00 | $14.77 | $14.83 | $14.80 | 133 | 66 | 20.1% | -0.470 |
| $659.00 | $15.14 | $15.20 | $15.17 | 27 | 21 | 20.0% | -0.480 |
| $660.00 | $15.52 | $15.58 | $15.55 | 48 | 169 | 19.8% | -0.490 |
| $661.00 | $15.91 | $15.97 | $15.94 | 4 | 77 | 19.7% | -0.501 |
| $662.00 | $16.31 | $16.37 | $16.34 | 8 | 32 | 19.5% | -0.511 |
| $663.00 | $16.72 | $16.78 | $16.75 | 13 | 14 | 19.3% | -0.522 |
| $664.00 | $17.14 | $17.20 | $17.17 | 1 | 132 | 19.2% | -0.533 |
| $665.00 | $17.57 | $17.64 | $17.61 | 7 | 67 | 19.0% | -0.544 |
| $666.00 | $17.92 | $18.17 | $18.05 | 130 | 65 | 18.8% | -0.555 |
| $667.00 | $18.35 | $18.61 | $18.48 | 369 | 180 | 18.7% | -0.567 |
| $668.00 | $18.82 | $19.07 | $18.95 | 1 | 6 | 18.5% | -0.578 |
| $669.00 | $19.30 | $19.59 | $19.45 | 1 | 3 | 18.4% | -0.589 |
| $670.00 | $19.81 | $20.04 | $19.92 | 2 | 40 | 18.2% | -0.601 |
| $671.00 | $20.29 | $20.60 | $20.45 | 6 | 28 | 18.0% | -0.613 |
| $672.00 | $20.82 | $21.13 | $20.98 | 6 | 16 | 17.9% | -0.625 |
| $673.00 | $21.34 | $21.63 | $21.48 | 2 | 3 | 17.7% | -0.637 |
| $674.00 | $21.89 | $22.23 | $22.06 | 3 | 7 | 17.6% | -0.648 |
| $675.00 | $22.48 | $22.75 | $22.62 | 1 | 10 | 17.4% | -0.660 |
| $676.00 | $23.03 | $23.39 | $23.21 | 16 | 17 | 17.3% | -0.672 |
| $677.00 | $23.63 | $23.99 | $23.81 | 1 | 1 | 17.2% | -0.684 |
| $678.00 | $23.01 | $24.62 | $23.82 | 6 | 4 | 16.1% | -0.706 |
| $679.00 | $24.87 | $25.26 | $25.07 | 0 | 0 | 16.9% | -0.707 |
| $680.00 | $25.55 | $25.87 | $25.71 | 7 | 15 | 16.8% | -0.718 |
| $681.00 | $24.78 | $26.60 | $25.69 | 5 | 6 | 15.6% | -0.745 |
| $682.00 | $26.86 | $27.25 | $27.05 | 11 | 12 | 16.6% | -0.741 |
| $683.00 | $27.56 | $28.01 | $27.79 | 1 | 13 | 16.5% | -0.751 |
| $684.00 | $27.00 | $28.74 | $27.87 | 1 | 1 | 15.4% | -0.778 |
| $685.00 | $29.05 | $29.43 | $29.24 | 2 | 4 | 16.4% | -0.772 |
| $690.00 | $31.68 | $34.73 | $33.20 | 4 | 4 | 16.3% | -0.816 |
| $695.00 | $36.07 | $39.29 | $37.68 | 20 | 12 | 16.8% | -0.845 |
| $700.00 | $40.82 | $44.14 | $42.48 | 4 | 5 | 17.9% | -0.861 |
| $705.00 | $45.79 | $49.11 | $47.45 | 0 | 0 | 19.3% | -0.869 |
| $710.00 | $50.79 | $54.11 | $52.45 | 0 | 0 | 20.8% | -0.876 |
| $715.00 | $55.78 | $59.11 | $57.45 | 0 | 0 | 22.2% | -0.882 |
| $720.00 | $60.78 | $64.11 | $62.45 | 0 | 0 | 23.6% | -0.887 |
| $725.00 | $65.78 | $69.11 | $67.44 | 0 | 0 | 24.9% | -0.891 |
| $730.00 | $70.78 | $74.11 | $72.44 | 0 | 0 | 26.3% | -0.895 |
| $735.00 | $75.78 | $79.11 | $77.44 | 0 | 0 | 27.6% | -0.899 |
| $740.00 | $80.78 | $84.11 | $82.44 | 0 | 0 | 28.9% | -0.902 |
| $745.00 | $85.78 | $89.11 | $87.44 | 0 | 0 | 30.2% | -0.905 |
| $750.00 | $90.78 | $94.11 | $92.44 | 2 | 2 | 31.4% | -0.907 |
| $755.00 | $95.78 | $99.11 | $97.44 | 0 | 0 | 32.7% | -0.910 |
| $760.00 | $100.78 | $104.11 | $102.44 | 0 | 0 | 33.9% | -0.912 |
| $765.00 | $105.78 | $109.11 | $107.44 | 0 | 0 | 35.1% | -0.914 |
| $770.00 | $110.78 | $114.11 | $112.44 | 0 | 0 | 36.3% | -0.916 |
| $775.00 | $115.80 | $119.11 | $117.45 | 0 | 0 | 37.5% | -0.917 |
| $780.00 | $120.80 | $124.11 | $122.45 | 0 | 0 | 38.7% | -0.919 |
| $785.00 | $125.78 | $129.11 | $127.45 | 0 | 0 | 39.8% | -0.921 |
2026-05-15 (40 DTE)
Calls:
| Strike | Bid | Ask | Mid | Volume | OI | IV | Delta |
|---|---|---|---|---|---|---|---|
| $530.00 | $131.02 | $131.48 | $131.25 | 25 | 157 | N/A | N/A |
| $535.00 | $126.13 | $126.59 | $126.36 | 1 | 218 | 39.0% | 0.956 |
| $540.00 | $120.12 | $122.90 | $121.51 | 1 | 47 | 38.2% | 0.952 |
| $545.00 | $115.25 | $118.05 | $116.65 | 1 | 38 | 37.3% | 0.949 |
| $550.00 | $110.39 | $113.20 | $111.80 | 1 | 56 | 36.4% | 0.944 |
| $555.00 | $105.55 | $108.33 | $106.94 | 1 | 9 | 35.4% | 0.940 |
| $560.00 | $100.72 | $103.51 | $102.12 | 2 | 47 | 34.5% | 0.935 |
| $565.00 | $97.02 | $97.48 | $97.25 | 5 | 343 | 33.5% | 0.930 |
| $570.00 | $92.27 | $92.73 | $92.50 | 6 | 359 | 32.7% | 0.923 |
| $575.00 | $87.50 | $87.96 | $87.73 | 1 | 306 | 31.9% | 0.915 |
| $580.00 | $82.88 | $83.29 | $83.09 | 1 | 434 | 31.3% | 0.906 |
| $585.00 | $78.19 | $78.61 | $78.40 | 1 | 208 | 30.5% | 0.896 |
| $590.00 | $73.58 | $73.97 | $73.78 | 6 | 197 | 29.8% | 0.885 |
| $595.00 | $69.00 | $69.37 | $69.19 | 1 | 207 | 29.1% | 0.873 |
| $600.00 | $64.47 | $64.83 | $64.65 | 1 | 968 | 28.4% | 0.859 |
| $605.00 | $60.01 | $60.35 | $60.18 | 8 | 510 | 27.7% | 0.843 |
| $610.00 | $55.62 | $55.92 | $55.77 | 1 | 547 | 27.0% | 0.826 |
| $615.00 | $51.29 | $51.61 | $51.45 | 16 | 213 | 26.4% | 0.806 |
| $620.00 | $47.07 | $47.27 | $47.17 | 2 | 8158 | 25.6% | 0.785 |
| $625.00 | $42.92 | $43.20 | $43.06 | 56 | 610 | 25.0% | 0.761 |
| $630.00 | $38.87 | $39.14 | $39.00 | 26 | 1807 | 24.4% | 0.735 |
| $635.00 | $34.92 | $35.09 | $35.01 | 24 | 8201 | 23.6% | 0.706 |
| $640.00 | $31.09 | $31.24 | $31.16 | 50 | 8009 | 22.9% | 0.675 |
| $645.00 | $27.38 | $27.51 | $27.45 | 19 | 2935 | 22.2% | 0.640 |
| $650.00 | $23.83 | $23.91 | $23.87 | 243 | 8480 | 21.4% | 0.602 |
| $651.00 | $23.10 | $23.31 | $23.20 | 136 | 1177 | 21.3% | 0.594 |
| $652.00 | $22.41 | $22.64 | $22.52 | 58 | 1433 | 21.2% | 0.586 |
| $653.00 | $21.73 | $21.93 | $21.83 | 65 | 1190 | 21.0% | 0.578 |
| $654.00 | $21.05 | $21.24 | $21.14 | 12 | 1588 | 20.8% | 0.569 |
| $655.00 | $20.40 | $20.49 | $20.45 | 261 | 3176 | 20.6% | 0.561 |
| $656.00 | $19.72 | $19.83 | $19.77 | 76 | 1623 | 20.5% | 0.552 |
| $657.00 | $19.11 | $19.16 | $19.13 | 146 | 1248 | 20.3% | 0.543 |
| $658.00 | $18.46 | $18.51 | $18.48 | 99 | 1616 | 20.2% | 0.534 |
| $659.00 | $17.82 | $17.87 | $17.84 | 78 | 844 | 20.0% | 0.525 |
| $660.00 | $17.19 | $17.24 | $17.21 | 1167 | 8809 | 19.9% | 0.516 |
| $661.00 | $16.57 | $16.61 | $16.59 | 16 | 938 | 19.7% | 0.506 |
| $662.00 | $15.97 | $16.00 | $15.98 | 20 | 1316 | 19.5% | 0.497 |
| $663.00 | $15.34 | $15.39 | $15.37 | 5 | 1210 | 19.4% | 0.487 |
| $664.00 | $14.74 | $14.79 | $14.77 | 2 | 1393 | 19.2% | 0.477 |
| $665.00 | $14.15 | $14.20 | $14.18 | 120 | 8857 | 19.0% | 0.467 |
| $666.00 | $13.58 | $13.62 | $13.60 | 11 | 1284 | 18.9% | 0.457 |
| $667.00 | $13.01 | $13.05 | $13.03 | 15 | 3594 | 18.7% | 0.447 |
| $668.00 | $12.45 | $12.50 | $12.47 | 18 | 1610 | 18.5% | 0.436 |
| $669.00 | $11.90 | $11.95 | $11.93 | 9 | 1533 | 18.3% | 0.426 |
| $670.00 | $11.36 | $11.41 | $11.38 | 301 | 11018 | 18.2% | 0.415 |
| $671.00 | $10.83 | $10.88 | $10.86 | 69 | 6805 | 18.0% | 0.404 |
| $672.00 | $10.32 | $10.36 | $10.34 | 93 | 2224 | 17.8% | 0.393 |
| $673.00 | $9.81 | $9.86 | $9.84 | 26 | 2279 | 17.7% | 0.382 |
| $674.00 | $9.32 | $9.37 | $9.34 | 82 | 2916 | 17.5% | 0.371 |
| $675.00 | $8.85 | $8.88 | $8.87 | 250 | 7473 | 17.3% | 0.360 |
| $676.00 | $8.38 | $8.42 | $8.40 | 47 | 1607 | 17.2% | 0.348 |
| $677.00 | $7.93 | $7.97 | $7.95 | 195 | 3221 | 17.0% | 0.337 |
| $678.00 | $7.49 | $7.53 | $7.51 | 85 | 3010 | 16.8% | 0.326 |
| $679.00 | $7.06 | $7.11 | $7.08 | 53 | 2590 | 16.7% | 0.314 |
| $680.00 | $6.65 | $6.69 | $6.67 | 1034 | 12723 | 16.5% | 0.303 |
| $681.00 | $6.25 | $6.29 | $6.27 | 61 | 1774 | 16.3% | 0.291 |
| $682.00 | $5.87 | $5.92 | $5.89 | 75 | 1632 | 16.2% | 0.280 |
| $683.00 | $5.51 | $5.54 | $5.53 | 15 | 1347 | 16.0% | 0.269 |
| $684.00 | $5.15 | $5.19 | $5.17 | 85 | 1934 | 15.9% | 0.257 |
| $685.00 | $4.83 | $4.85 | $4.84 | 574 | 9321 | 15.7% | 0.246 |
| $686.00 | $4.49 | $4.53 | $4.51 | 173 | 2139 | 15.6% | 0.235 |
| $687.00 | $4.18 | $4.22 | $4.20 | 137 | 3251 | 15.4% | 0.224 |
| $688.00 | $3.89 | $3.92 | $3.91 | 43 | 1755 | 15.3% | 0.213 |
| $689.00 | $3.60 | $3.62 | $3.61 | 87 | 2255 | 15.1% | 0.202 |
| $690.00 | $3.34 | $3.36 | $3.35 | 306 | 13770 | 15.0% | 0.192 |
| $691.00 | $3.09 | $3.11 | $3.10 | 177 | 1884 | 14.9% | 0.182 |
| $692.00 | $2.85 | $2.87 | $2.86 | 50 | 1863 | 14.7% | 0.172 |
| $693.00 | $2.63 | $2.65 | $2.64 | 32 | 2492 | 14.6% | 0.162 |
| $694.00 | $2.42 | $2.44 | $2.43 | 74 | 1634 | 14.5% | 0.153 |
| $695.00 | $2.22 | $2.25 | $2.24 | 109 | 5869 | 14.4% | 0.144 |
| $696.00 | $2.04 | $2.06 | $2.05 | 5 | 1405 | 14.2% | 0.135 |
| $697.00 | $1.87 | $1.90 | $1.89 | 47 | 1522 | 14.2% | 0.127 |
| $698.00 | $1.72 | $1.74 | $1.73 | 7 | 1386 | 14.1% | 0.119 |
| $699.00 | $1.57 | $1.59 | $1.58 | 14 | 2070 | 13.9% | 0.111 |
| $700.00 | $1.44 | $1.46 | $1.45 | 459 | 25959 | 13.9% | 0.104 |
| $701.00 | $1.32 | $1.34 | $1.33 | 156 | 2799 | 13.8% | 0.097 |
| $702.00 | $1.20 | $1.22 | $1.21 | 17 | 977 | 13.7% | 0.090 |
| $703.00 | $1.10 | $1.12 | $1.11 | 36 | 3436 | 13.6% | 0.084 |
| $704.00 | $1.00 | $1.02 | $1.01 | 30 | 1413 | 13.6% | 0.078 |
| $705.00 | $0.92 | $0.94 | $0.93 | 1625 | 11391 | 13.5% | 0.073 |
| $706.00 | $0.84 | $0.86 | $0.85 | 252 | 2228 | 13.5% | 0.068 |
| $707.00 | $0.77 | $0.79 | $0.78 | 796 | 861 | 13.4% | 0.063 |
| $708.00 | $0.70 | $0.72 | $0.71 | 7 | 2158 | 13.4% | 0.058 |
| $709.00 | $0.64 | $0.66 | $0.65 | 9 | 1203 | 13.3% | 0.054 |
| $710.00 | $0.59 | $0.61 | $0.60 | 496 | 9959 | 13.3% | 0.051 |
| $711.00 | $0.54 | $0.56 | $0.55 | 60 | 1094 | 13.3% | 0.047 |
| $712.00 | $0.50 | $0.52 | $0.51 | 57 | 1252 | 13.3% | 0.044 |
| $713.00 | $0.46 | $0.48 | $0.47 | 50 | 915 | 13.3% | 0.041 |
| $714.00 | $0.42 | $0.44 | $0.43 | 14 | 2271 | 13.3% | 0.038 |
| $715.00 | $0.40 | $0.41 | $0.41 | 53 | 5091 | 13.3% | 0.036 |
| $720.00 | $0.28 | $0.29 | $0.29 | 108 | 11070 | 13.5% | 0.026 |
| $725.00 | $0.21 | $0.22 | $0.21 | 37 | 5537 | 13.7% | 0.020 |
| $730.00 | $0.16 | $0.17 | $0.17 | 20 | 8091 | 14.0% | 0.016 |
| $735.00 | $0.12 | $0.14 | $0.13 | 1 | 4782 | 14.4% | 0.012 |
| $740.00 | $0.11 | $0.12 | $0.11 | 3 | 5625 | 14.9% | 0.011 |
| $745.00 | $0.09 | $0.10 | $0.10 | 3 | 1716 | 15.3% | 0.009 |
| $750.00 | $0.08 | $0.09 | $0.08 | 5 | 5555 | 15.9% | 0.008 |
| $755.00 | $0.07 | $0.08 | $0.08 | 297 | 1279 | 16.3% | 0.007 |
| $760.00 | $0.06 | $0.07 | $0.07 | 2 | 2621 | 16.8% | 0.006 |
| $765.00 | $0.06 | $0.07 | $0.07 | 18 | 1192 | 17.5% | 0.006 |
| $770.00 | $0.05 | $0.06 | $0.06 | 2 | 1537 | 17.8% | 0.005 |
| $775.00 | $0.04 | $0.06 | $0.05 |
Message shortened in this preview.
User
Launching 3 subagents to explore strategies in parallel
User
Waiting for subagents to complete...
Aurora
All 3 subagents complete.
Subagent 1: Explore low-sized High-Alpha Tech strategies on NVDA, META, AMD, XLK, and SMH. Use an initialValue of $25,000. Use Bull Call Spreads (30-45 DTE) with strictly capped 2% position sizing. Entry condition: VIX < 20. Test variations on exit rules (e.g., 50% TP / 25% SL). Backtest across four regimes: 2022 Bear, 2023 Recovery, 2024 Chop, and 2025 Current. Goal: Capture 100%+ alpha in bull years without terminal drawdown in bear years.
- Status: completed
- Summary:
High-Alpha Tech Options Strategy: Feasibility Analysis Complete
This exploration aimed to design a high-alpha options strategy for a $25,000 account using NVDA, META, AMD, XLK, and SMH. The goal was to capture 100%+ alpha in bull years while avoiding terminal drawdown in bear years using a VIX < 20 regime filter.
Approach & Methodology
Over 13 iterations, we tested three generations of portfolios. We began with 2% position sizing ($500) and Bull Call Spreads, refined to 8% sizing ($2,000), and finally conducted a troubleshooting phase using 10% sizing ($2,500) and Long Calls to isolate execution bottlenecks. We tested across four regimes: 2022 Bear, 2023 Recovery, 2024 Chop, and 2025 Current.
Key Discoveries
The Zero-Trade Diagnosis: The primary reason for initial failure was a compounded bottleneck. First, the 2% sizing was insufficient for high-priced premiums (META spreads averaged $1,297). Second, and most critically, the VIX < 20 filter acted as a total kill-switch. Even with sufficient capital, the VIX-filtered portfolios executed zero trades in 2023-2024, while the unfiltered baseline executed hundreds.
Alpha vs. Survival: The 'Baseline Long Call' (unfiltered) proved the high-alpha potential, generating a massive 386.24% return in 2023 (360% alpha over SPY). However, it suffered a 98.97% drawdown in 2024. This confirms that while the account size can support the strategy, the current risk management and regime filtering are inadequate for survival.
Top Performers
- Baseline Long Call: The only strategy to achieve the 100%+ alpha goal, though it requires a trend-following filter to prevent the 2024 wipeout.
- SPY Benchmark: The only strategy to survive all regimes with acceptable drawdowns, though it lacks the requested alpha.
Next Steps
To make this strategy viable, we must replace the VIX filter with a Trend-Following Filter (e.g., Price > SMA 50) and implement a Time-Based Exit (e.g., Close if DTE < 21) to mitigate the terminal drawdown caused by theta decay and choppy price action.
Subagent 2: Explore regime-gated Leveraged Momentum strategies on SOXL and TECL. Use an initialValue of $25,000. Entry conditions: Price > 50-day SMA AND VIX < 25. Test both Equity and Bull Call Spread structures (30-45 DTE). Backtest across four regimes: 2022 Bear, 2023 Recovery, 2024 Chop, and 2025 Current. Goal: Outperform the Round 4 benchmark and achieve 80%+ avg return with drawdown < 40%.
- Status: completed
- Summary:
Leveraged Momentum Strategy Analysis: SOXL/TECL
Designed and tested 13 portfolios for SOXL and TECL to achieve 80%+ returns with <40% drawdown. The research spanned 52 backtests across four distinct market regimes (2022-2025).
Key Discoveries
What Worked: The Hybrid Champion: Macro Gated + Fast Exit proved that combining a macro filter (SPY > 200-day SMA) with a fast technical exit (5-day SMA) is essential. It delivered 95.4% in 2023 and limited 2022 losses to -28.7%, far outperforming raw momentum which lost 70%.
What Failed: The 2024 'Chop' regime was the primary failure point. Volatility decay caused a 46.6% loss and 65.6% drawdown while the benchmark rose 25%. Standard trend-following (50-day SMA) and restrictive VIX gates (<25) were either too slow or too restrictive to be viable.
Top Performers
- Hybrid Champion - Best balance of alpha and macro protection.
- Fast-Exit Gated - Best at mitigating chop via 5-day SMA exits.
- Momentum Leader (ROC 20) - Highest raw alpha (+162% in 2023).
Next Steps
To hit the 40% drawdown limit, the Hybrid Champion needs a 'Chop Filter' (ADX) to stay in cash during sideways markets and volatility-adjusted position sizing to manage the extreme ATR of 3x ETFs.
Subagent 3: Explore volatility-gated Income strategies (Iron Condors and Bull Put Spreads) on SPY, QQQ, and XLK. Use an initialValue of $25,000. Entry condition: VIX > 20. Implement a 25% portfolio-level stop-loss to protect against tail events. Test 30-45 DTE structures. Backtest across four regimes: 2022 Bear, 2023 Recovery, 2024 Chop, and 2025 Current. Goal: Maintain drawdown < 30% while maximizing return.
- Status: completed
- Summary:
Volatility-Gated Income Strategy Exploration: 18 Iterations Complete
Designed and tested volatility-gated income strategies (Iron Condors and Bull Put Spreads) for SPY and QQQ on a $25,000 account. The goal was to maximize returns while maintaining a drawdown < 30% across four regimes (2022-2025).
Approach
Tested the hypothesis that a VIX > 20 gate would capture overpriced premium. Created 12 portfolios and ran 48 backtests. Methodology evolved from strict delta-based filters to percentage-based offsets to solve execution issues.
Key Discoveries
The Zero-Trade Wall: Every attempt to use a VIX gate (VIX > 15, 18, or 20) on a $25,000 account resulted in 0 trades. On high-priced indices like SPY ($500+), the margin requirements for spreads exceeded the restrictive 7.5-10% allocation limits allowed by the budget. The strategy effectively became a cash-only portfolio.
Execution vs. Risk: To force execution, 'Debug' versions were run with no VIX filter and 30% allocation. While these traded, they failed the risk goal spectacularly. 'Debug Bull Puts (MVT)' and 'Debug Iron Condors (MVT)' suffered catastrophic drawdowns of -83% to -86% in 2022 and 2025. The 25% portfolio stop-loss was bypassed by overnight gaps and rapid intraday moves.
Asset Insights: Research confirmed a statistical edge (Straddles $37 vs. Actual $23 move), but it is unharvestable on small accounts. XLK was excluded due to a persistent 200%+ IV anomaly that contaminated pricing data.
Final Verdict
I cannot recommend these income strategies for a $25,000 account. The risk-to-reward ratio for index-based credit spreads is broken at this capital level. The strategies are either non-functional (gated) or catastrophic (over-leveraged).
Next Steps
- Abandon options for this account size and switch to Trend-Following Equity (e.g., QQQ with a 50-day SMA filter).
- If options are required, test Cash-Secured Puts on lower-priced ETFs (e.g., IWM) to improve capital efficiency.
- Re-evaluate volatility gates only for accounts >$100,000 where 1-2% allocations are viable.
User
Create two portfolios for a $25,000 account:
- 'Round 5 Leveraged Alpha': Weekly rebalance into the top 1 asset from [SOXL, TECL] based on 20-day Price Rate of Change. Condition: Price(Asset) > SimpleMovingAverage(Asset, 50) AND Price(SPY) > SimpleMovingAverage(SPY, 200). Exit: Sell position when Price(Asset) < SimpleMovingAverage(Asset, 10).
- 'Round 5 Tech Gamma': OpenOption: Long Call (ATM, 30-45 DTE) on [NVDA, META, AVGO, SMH] at 10% of buying power. Condition: Price(Asset) > SimpleMovingAverage(Asset, 50) AND Price(SPY) > SimpleMovingAverage(SPY, 200). CloseOption: Close at 50% profit, 25% loss, or when DTE < 14.
Aurora
I've created two portfolios for your $25,000 account, incorporating the findings from our Round 5 research.
The 'Round 5 Leveraged Alpha' portfolio uses a dual-regime filter (Asset > 50-day SMA and SPY > 200-day SMA) to capture momentum in SOXL and TECL while using a fast 10-day SMA exit to mitigate the volatility decay identified in our 2024 backtests.
The 'Round 5 Tech Gamma' portfolio focuses on high-alpha tech options with 10% position sizing to ensure capital feasibility, gated by the same trend-following filters to avoid the terminal drawdowns seen in un-gated tech strategies.
User
Backtest the portfolios 'Round 5 Leveraged Alpha' (ID: 69d3d292401165fca5d8bb38) and 'Round 5 Tech Gamma' (ID: 69d3d292401165fca5d8bb39) across the following four periods:
- 2022 Bear: Jan 1, 2022 to Dec 31, 2022
- 2023 Recovery: Jan 1, 2023 to Dec 31, 2023
- 2024 Chop: Jan 1, 2024 to Dec 31, 2024
- 2025-26 Current: Jan 1, 2025 to April 6, 2026.
Use an initial value of $25,000 for each period and benchmark against SPY.
Aurora
I'll create 8 backtest configurations to evaluate the performance of your Round 5 portfolios across the four specified market regimes, using SPY as the baseline and an initial account value of $25,000.
User
Analyze the backtest results for the two portfolios 'Round 5 Leveraged Alpha' (ID: 69d3d292401165fca5d8bb38) and 'Round 5 Tech Gamma' (ID: 69d3d292401165fca5d8bb39) across the four tested regimes: 2022 Bear, 2023 Recovery, 2024 Chop, and 2025-26 Current. Please provide a comparison of total returns, maximum drawdowns, and Sortino ratios for each period, and calculate the average annual return across all regimes to evaluate feasibility against the 100% growth goal.
Aurora
Based on the backtest results for the four tested regimes, here is the analysis of the Round 5 Leveraged Alpha and Round 5 Tech Gamma portfolios.
1. Backtest Summary and Comparison
The following table compares the performance of the two portfolios against the SPY baseline across different market regimes.
| Regime | Portfolio | Total Return | SPY Return | Max Drawdown | Sortino Ratio |
|---|---|---|---|---|---|
| 2022 Bear | Leveraged Alpha | -25.46% | -18.38% | 29.56% | -1.58 |
| Tech Gamma | -78.39% | -18.38% | 79.46% | -3.76 | |
| 2023 Recovery | Leveraged Alpha | -35.15% | 26.19% | 46.78% | -1.11 |
| Tech Gamma | +468.20% | 26.19% | 98.77% | 3.91 | |
| 2024 Chop | Leveraged Alpha | 11.58% | 25.34% | 37.05% | 0.51 |
| Tech Gamma | -65.73% | 25.34% | 97.06% | 1.11 | |
| 2025-26 Current | Leveraged Alpha | -33.89% | 8.74% | 44.04% | -0.63 |
| Tech Gamma | -61.17% | 8.74% | 72.32% | 0.25 |
2. Trends
- Leveraged Alpha Whipsaws: The "Leveraged Alpha" strategy is suffering from severe whipsaws. It lost money in 2023 while the market was up 26%, suggesting the 50-day SMA entry and 10-day SMA exit are poorly calibrated for 3x leveraged ETFs, causing the strategy to buy high and sell low during periods of volatility.
- Tech Gamma's "Glass Cannon" Profile: The "Tech Gamma" portfolio shows extreme binary outcomes. It achieved a massive 468% return in 2023, which would easily meet your goal. However, it suffered near-total wipeouts (97-98% drawdowns) in 2024 and 2022.
- Failure of the SPY 200-day Filter: While the SPY 200-day SMA filter was intended to provide safety, it did not prevent the "Tech Gamma" portfolio from losing 65% in 2024, a year where SPY was technically in an uptrend but tech options were crushed by theta and chop.
3. Summary of Results
The average annual return for Leveraged Alpha is -20.73%, making it uninvestable in its current form.
The average annual return for Tech Gamma is +65.73%. While this looks high on paper, the 98% maximum drawdown means that in a live $25,000 account, you would have likely been liquidated or hit a margin call before seeing the recovery.
4. Is this portfolio feasible for a 100% growth goal?
No, neither portfolio is currently ready for live deployment on a $25,000 account.
- Round 5 Leveraged Alpha: This strategy is currently a "wealth destroyer." It fails to capture bull runs and loses more than the baseline in bear markets. It requires a complete overhaul of its entry/exit logic.
- Round 5 Tech Gamma: While this strategy has the "Gamma" to double your account (as seen in 2023), the risk management is non-existent. A 98% drawdown is a terminal event for a $25,000 account.
Recommendation:
I suggest we focus on optimizing the Round 5 Tech Gamma portfolio. The alpha is clearly there (+468% in 2023), but we must implement a Volatility Cap (e.g., only trading when VIX is below a certain level) or a Trailing Stop-Loss on the total portfolio value to prevent the 2024-style wipeout. We should also consider reducing the position size from 10% to 3-5% to allow the account to survive the high variance of tech options.
User
Create two portfolios for a $25,000 account:
- 'Round 5 Final Gamma': OpenOption: Long Call (ATM, 30-45 DTE) on [NVDA, META, AVGO, SMH] at 4% of buying power. Condition: Price(Asset) > SimpleMovingAverage(Asset, 50) AND Price(SPY) > SimpleMovingAverage(SPY, 200). CloseOption: Close at 50% profit, 20% loss, OR when Price(Asset) < SimpleMovingAverage(Asset, 10) OR when DTE < 14.
- 'Round 5 Final Leveraged': Dynamic rebalance SOXL, TECL (Top 1 by 20-day ROC). Condition: Price(Asset) > SimpleMovingAverage(Asset, 50) AND Price(SPY) > SimpleMovingAverage(SPY, 200). Exit: Sell position when Price(Asset) < SimpleMovingAverage(Asset, 10).
Aurora
I have generated the two portfolios based on your Round 5 optimization requirements.
Capital Feasibility Note:
On a $25,000 account, a 4% allocation ($1,000) is sufficient for NVDA options (currently $8.70/contract), but it is insufficient for META ($31.65/contract) and AVGO (~$80+/contract) which require $3,100 to $8,000+ per single contract. To trade the full list, you would need to increase the allocation per position to ~15% or raise the initialValue to $100,000. I have proceeded with your requested 4% sizing, but be aware that META and AVGO trades may fail to execute due to insufficient buying power.
User
Backtest the portfolios 'Round 5 Final Gamma' (ID: 69d3d4a5401165fca5dc6f23) and 'Round 5 Final Leveraged' (ID: 69d3d4a5401165fca5dc6f24) across the following four periods:
- 2022 Bear: Jan 1, 2022 to Dec 31, 2022
- 2023 Recovery: Jan 1, 2023 to Dec 31, 2023
- 2024 Chop: Jan 1, 2024 to Dec 31, 2024
- 2025-26 Current: Jan 1, 2025 to April 6, 2026.
Use an initial value of $25,000 for each period and benchmark against SPY.
Aurora
I'll create 8 backtest configurations to evaluate the performance of your Round 5 Final portfolios across the four specified market regimes, using SPY as the baseline and an initial account value of $25,000.
User
Analyze the backtest results for the eight backtests just initiated (IDs: 69d3d4dd401165fca5dc7359, 69d3d4dd401165fca5dc735a, 69d3d4dd401165fca5dc735b, 69d3d4dd401165fca5dc735c, 69d3d4dd401165fca5dc735d, 69d3d4dd401165fca5dc735e, 69d3d4dd401165fca5dc735f, 69d3d4dd401165fca5dc7360). Provide a summary table comparing 'Round 5 Final Gamma' and 'Round 5 Final Leveraged' across the 2022 Bear, 2023 Recovery, 2024 Chop, and 2025-26 Current regimes. Calculate the average annual return across all regimes and check if they meet the deployment bar (avg return >= 80%, max DD <= 40%).
Aurora
Based on the backtest results for the four tested regimes, here is the analysis of the Round 5 Final Gamma, Round 5 Final Leveraged, and the high-variance Tech Gamma portfolios.
1. Backtest Summary and Comparison
The following table summarizes the performance of the portfolios against the SPY baseline across the tested market regimes.
| Regime | Portfolio | Total Return | SPY Return | Max Drawdown | Sortino Ratio |
|---|---|---|---|---|---|
| 2022 Bear | Final Gamma | -22.80% | -18.38% | 23.30% | -2.35 |
| Final Leveraged | -26.08% | -18.38% | 30.15% | -1.08 | |
| Tech Gamma | -78.39% | -18.38% | 79.46% | -3.76 | |
| 2023 Recovery | Final Gamma | -20.11% | 26.19% | 42.68% | -1.03 |
| Final Leveraged | -34.14% | 26.19% | 46.77% | -1.06 | |
| Tech Gamma | +468.20% | 26.19% | 98.77% | 3.91 | |
| 2024 Chop | Final Gamma | -10.40% | 25.34% | 55.99% | 0.13 |
| Final Leveraged | -0.22% | 25.34% | 43.71% | 0.17 | |
| Tech Gamma | -65.73% | 25.34% | 97.06% | 1.11 | |
| 2025-26 Current | Final Gamma | -18.17% | 8.74% | 25.59% | -0.93 |
| Final Leveraged | -16.55% | 8.74% | 35.03% | -0.12 | |
| Tech Gamma | -61.17% | 8.74% | 72.32% | 0.25 |
2. Trends
- The "Final" Versions are Over-Restricted: Both the "Final Gamma" and "Final Leveraged" portfolios significantly underperformed the SPY baseline in every single regime. The 20% stop-loss and 10-day SMA exit on the "Final Gamma" portfolio appear to be triggering too frequently, locking in losses before the tech assets can recover.
- Capital Bottleneck in Gamma: As noted during creation, the 4% sizing ($1,000) for the "Final Gamma" portfolio is likely preventing the strategy from buying higher-priced contracts (META, AVGO), leaving the portfolio under-diversified and unable to capture the broad tech move.
- Tech Gamma's Extreme Volatility: The original "Tech Gamma" (10% sizing) remains the only strategy that showed the potential to double the account (+468% in 2023). However, its 98% drawdown in 2023 and 2024 confirms it is a "total loss" risk.
3. Summary of Results
- Round 5 Final Gamma: Average Annual Return: -17.87%. This strategy failed to provide alpha and lost money even in bull markets.
- Round 5 Final Leveraged: Average Annual Return: -19.25%. This strategy suffered from severe whipsaws in the leveraged ETFs.
- Tech Gamma: Average Annual Return: +65.73%. While the average is high, the sequence of returns (losing 78%, then 65%, then 61%) would result in a $0 balance.
4. Does this meet the deployment bar?
No. None of these portfolios meet your deployment criteria.
- Deployment Bar: Avg Return $\ge$ 80% AND Max DD $\le$ 40%.
- Actual Performance: The "Final" versions have negative average returns. The "Tech Gamma" has a high average return but a 98.7% Max Drawdown, which is more than double your 40% limit.
Recommendation
The "Final" versions are currently too defensive and are "bleeding out" due to tight stops. The "Tech Gamma" version has the necessary alpha but lacks a survival mechanism.
I suggest we optimize the "Tech Gamma" portfolio one last time with the following changes:
- Increase Sizing to 12%: This ensures buying power for META and AVGO.
- Implement a VIX Ceiling: Only enter trades when VIX < 22 to avoid high-premium/high-chop environments.
- Trailing Stop: Replace the fixed 20% stop-loss with a Trailing Stop of 30% to allow the options more "room to breathe" during intraday volatility while still protecting against a total wipeout.
Disclaimer: Past performance is not indicative of future results. Options trading involves significant risk.
User
Create a portfolio for a $25,000 account named 'Round 5 Gamma Shield':
- OpenOption: Long Call (ATM, 30-45 DTE) on [NVDA, META, AVGO, SMH] at 12% of buying power.
- Condition: Price(Asset) > SimpleMovingAverage(Asset, 50) AND Price(SPY) > SimpleMovingAverage(SPY, 200) AND Price(VIX) < 22.
- CloseOption: Close at 50% profit, 30% loss, OR when Price(Asset) < SimpleMovingAverage(Asset, 10) OR when DTE < 14.
Aurora
I have generated the 'Round 5 Gamma Shield' portfolio. This structure incorporates a "Shield" logic: a VIX ceiling to avoid high-premium environments, a dual-trend filter for entry, and a fast 10-day SMA exit to protect against the volatility decay that plagued previous rounds.
⚠️ Capital Feasibility Warning:
On a $25,000 account, your 12% allocation ($3,000) is sufficient for NVDA and SMH options. However, it is insufficient for META ($3,165/contract) and AVGO ($8,000/contract). AVGO contracts alone would require ~32% of your total account value. I have included them as requested, but expect execution failures on those two underlyings unless you increase the allocation per position or raise the initial capital.
User
Backtest the portfolio 'Round 5 Gamma Shield' (ID: 69d3d6ba401165fca5df3e7c) across the following four periods using an initial value of $25,000 and benchmarking against SPY:
- 2022 Bear: Jan 1, 2022 to Dec 31, 2022
- 2023 Recovery: Jan 1, 2023 to Dec 31, 2023
- 2024 Chop: Jan 1, 2024 to Dec 31, 2024
- 2025-26 Current: Jan 1, 2025 to April 6, 2026.
Aurora
I'll create four backtest configurations for the 'Round 5 Gamma Shield' portfolio across the requested market regimes, using SPY as the baseline and an initial account value of $25,000.
User
Analyze the backtest results for the 'Round 5 Gamma Shield' portfolio (IDs: 69d3d6eb401165fca5df41a3, 69d3d6eb401165fca5df41a4, 69d3d6eb401165fca5df41a5, 69d3d6eb401165fca5df41a6). Please provide a summary of the Total Return, Maximum Drawdown, and Sortino Ratio for each of the four regimes (2022 Bear, 2023 Recovery, 2024 Chop, and 2025-26 Current) and calculate the average annual return across all periods.
Aurora
Based on the backtest results for the four tested regimes (2022 Bear, 2023 Recovery, 2024 Chop, and 2025-26 Current), here is the analysis of your Round 5 portfolios.
1. Backtest Summary and Comparison
The following table summarizes the performance of the Round 5 portfolios against the SPY baseline.
| Portfolio | Regime | Total Return | SPY Return | Max Drawdown | Sortino Ratio |
|---|---|---|---|---|---|
| Leveraged Alpha | 2022 Bear | -25.46% | -18.38% | 29.56% | -1.58 |
| 2023 Recovery | -35.15% | 26.19% | 46.78% | -1.11 | |
| 2024 Chop | 11.58% | 25.34% | 37.05% | 0.51 | |
| 2025-26 Current | -33.89% | 8.74% | 44.04% | -0.63 | |
| Tech Gamma | 2022 Bear | -78.39% | -18.38% | 79.46% | -3.76 |
| 2023 Recovery | +468.20% | 26.19% | 98.77% | 3.91 | |
| 2024 Chop | -65.73% | 25.34% | 97.06% | 1.11 | |
| 2025-26 Current | -61.17% | 8.74% | 72.32% | 0.25 | |
| Final Gamma | 2022 Bear | -22.80% | -18.38% | 23.30% | -2.35 |
| 2023 Recovery | -20.11% | 26.19% | 42.68% | -1.03 | |
| 2024 Chop | -10.40% | 25.34% | 55.99% | 0.13 | |
| 2025-26 Current | -18.17% | 8.74% | 25.59% | -0.93 | |
| Final Leveraged | 2022 Bear | -26.08% | -18.38% | 30.15% | -1.08 |
| 2023 Recovery | -34.14% | 26.19% | 46.77% | -1.06 | |
| 2024 Chop | -0.22% | 25.34% | 43.71% | 0.17 | |
| 2025-26 Current | -16.55% | 8.74% | 35.03% | -0.12 | |
| Gamma Shield | All Regimes | 0.00% | N/A | 0.00% | N/A |
2. Trends
- The "Zero-Trade" Bottleneck: The Gamma Shield portfolio executed zero trades across all regimes. This indicates that the combination of the VIX < 22 ceiling and the SMA filters is too restrictive, effectively keeping the strategy in cash permanently.
- Whipsaw in Leveraged Strategies: Both Leveraged Alpha and Final Leveraged suffered significantly in 2023 and 2025. While the market was up, these portfolios were down over 30%. This suggests the 50-day SMA entry and 10-day SMA exit are causing the strategy to "buy high and sell low" during periods of normal tech volatility.
- Tech Gamma's "Glass Cannon" Profile: The Tech Gamma portfolio is the only one that showed the potential to meet your 100% growth goal (achieving +468% in 2023). However, it is extremely fragile, suffering near-total wipeouts (97-98% drawdowns) in 2022 and 2024.
- Defensive Bleed: The Final Gamma portfolio, which used tighter stops (20%), ended up "bleeding out." It lost money in every regime, including bull markets, because the stops were likely hit by standard intraday noise before the options could move into profit.
3. Summary of Results
- Round 5 Leveraged Alpha: Avg Annual Return: -20.73%. Uninvestable due to consistent underperformance.
- Round 5 Tech Gamma: Avg Annual Return: +65.73%. High average, but the 98.7% Max Drawdown makes it a "total loss" risk for a $25,000 account.
- Round 5 Final Gamma/Leveraged: Both averaged -18% to -19% annual returns, failing to provide any alpha.
4. How is this portfolio? Should I invest?
Based on these results, you should not invest in these portfolios in their current form.
None of the strategies met the deployment bar of 80%+ average return and <40% drawdown.
- The Leveraged strategies are too slow to exit and too slow to enter, missing the meat of the moves.
- The Gamma strategies are either too aggressive (leading to 98% losses) or too defensive (leading to a slow bleed of capital).
- The Shield strategy is non-functional due to overly restrictive filters.
Suggested Next Step:
The only strategy that showed a "spark" of the alpha you need is the Tech Gamma (+468% in 2023). To make this viable for a $25,000 account, we should optimize it by:
- Loosening the Stop-Loss: Moving from 20-30% to a Trailing Stop or a Time-Based Exit (e.g., exit at 21 DTE) to avoid theta decay.
- Dynamic Sizing: Reducing position size to 3-5% to ensure the account can survive the 70%+ drawdowns inherent in long tech options.
- Trend Strength Filter: Adding an ADX filter to ensure we only enter when a trend is strong, avoiding the "Chop" of 2024.
Disclaimer: Past performance is not indicative of future results. High-leverage and options strategies carry a risk of total capital loss.
User
Create a portfolio for a $25,000 account named 'Round 5 Gamma Survivor':
- OpenOption: Long Call (ATM, 30-45 DTE) on [NVDA, SMH, XLK] at 8% of buying power.
- Condition: Price(Asset) > SimpleMovingAverage(Asset, 50) AND Price(SPY) > SimpleMovingAverage(SPY, 200) AND AverageDirectionalIndex(14) > 20.
- CloseOption: Close at 50% profit, 40% loss, OR when DTE < 14.
Aurora
I have generated the 'Round 5 Gamma Survivor' portfolio.
Note on Indicators: Since AverageDirectionalIndex (ADX) is not currently a supported indicator, I have substituted it with PriceRateOfChange(asset, 14) > 0 to confirm positive trend momentum as requested.
Capital Feasibility: On a $25,000 account, an 8% allocation ($2,000) is sufficient to cover the premiums for ATM options on NVDA ($870/contract), SMH ($1,950/contract), and XLK (~$605/contract). This sizing allows for proper execution and diversification across these three tech leaders.
User
Backtest the portfolio 'Round 5 Gamma Survivor' (ID: 69d3d8be401165fca5e009e0) across the following four periods using an initial value of $25,000 and benchmarking against SPY:
- 2022 Bear: Jan 1, 2022 to Dec 31, 2022
- 2023 Recovery: Jan 1, 2023 to Dec 31, 2023
- 2024 Chop: Jan 1, 2024 to Dec 31, 2024
- 2025-26 Current: Jan 1, 2025 to April 6, 2026.
Aurora
I'll create four backtest configurations for the 'Round 5 Gamma Survivor' portfolio across the specified market regimes, using SPY as the baseline and an initial account value of $25,000.
User
Analyze the backtest results for the 'Round 5 Gamma Survivor' portfolio (IDs: 69d3d8e1401165fca5e0d87a, 69d3d8e1401165fca5e0d87b, 69d3d8e1401165fca5e0d87c, 69d3d8e1401165fca5e0d87d). Please provide a summary table of the Total Return, Maximum Drawdown, and Sortino Ratio for each of the four regimes (2022 Bear, 2023 Recovery, 2024 Chop, and 2025-26 Current) and calculate the average annual return across all periods.
Aurora
Here is the analysis of the Round 5 backtest results across the four tested market regimes.
1. Backtest Summary and Comparison
The following table summarizes the performance of the Round 5 portfolios against the SPY baseline.
| Portfolio | Regime | Total Return | SPY Return | Max Drawdown | Sortino Ratio |
|---|---|---|---|---|---|
| Leveraged Alpha | 2022 Bear | -25.46% | -18.38% | 29.56% | -1.58 |
| 2023 Recovery | -35.15% | 26.19% | 46.78% | -1.11 | |
| 2024 Chop | 11.58% | 25.34% | 37.05% | 0.51 | |
| 2025-26 Current | -33.89% | 8.74% | 44.04% | -0.63 | |
| Tech Gamma | 2022 Bear | -78.39% | -18.38% | 79.46% | -3.76 |
| 2023 Recovery | +468.20% | 26.19% | 98.77% | 3.91 | |
| 2024 Chop | -65.73% | 25.34% | 97.06% | 1.11 | |
| 2025-26 Current | -61.17% | 8.74% | 72.32% | 0.25 | |
| Final Gamma | 2022 Bear | -22.80% | -18.38% | 23.30% | -2.35 |
| 2023 Recovery | -20.11% | 26.19% | 42.68% | -1.03 | |
| 2024 Chop | -10.40% | 25.34% | 55.99% | 0.13 | |
| 2025-26 Current | -18.17% | 8.74% | 25.59% | -0.93 | |
| Final Leveraged | 2022 Bear | -26.08% | -18.38% | 30.15% | -1.08 |
| 2023 Recovery | -34.14% | 26.19% | 46.77% | -1.06 | |
| 2024 Chop | -0.22% | 25.34% | 43.71% | 0.17 | |
| 2025-26 Current | -16.55% | 8.74% | 35.03% | -0.12 | |
| Gamma Shield | All Regimes | 0.00% | N/A | 0.00% | N/A |
| Gamma Survivor | 2022 Bear | -81.51% | -18.38% | 81.70% | -4.08 |
| 2023 Recovery | 41.17% | 26.19% | 97.19% | 1.83 | |
| 2024 Chop | -67.24% | 25.34% | 95.33% | 0.73 | |
| 2025-26 Current | 45.45% | 8.74% | 71.07% | 5.45 |
2. Trends
- The "Zero-Trade" Bottleneck: The Gamma Shield portfolio failed to execute any trades across all tested periods. This confirms that the combination of the VIX < 22 ceiling and the SMA filters is too restrictive for the current market environment, effectively keeping the strategy in cash.
- Extreme Gamma Volatility: The Tech Gamma and Gamma Survivor portfolios demonstrate massive alpha potential (e.g., +468% in 2023 and +45% in 2025), but they suffer from catastrophic drawdowns (70% to 98%). These are "glass cannon" strategies that can double an account in months but wipe it out in weeks.
- Leveraged Underperformance: Both the Leveraged Alpha and Final Leveraged strategies consistently underperformed the SPY baseline. They failed to capture the 2023 recovery and suffered significant losses in 2025, suggesting the 50-day SMA entry and 10-day SMA exit are causing the strategy to "buy high and sell low" during choppy periods.
- Defensive Bleed: The Final Gamma portfolio, which used tighter stops, resulted in a slow bleed of capital, losing money in every regime including bull markets.
3. Summary of Results
None of the portfolios currently meet the deployment bar of 80%+ average annual return and ≤ 40% maximum drawdown.
- Round 5 Leveraged Alpha/Final: Average returns are negative, making them uninvestable.
- Round 5 Tech Gamma: While it has the highest average return (+65%), the 98.7% drawdown is a terminal risk for a $25,000 account.
- Round 5 Gamma Survivor: This is the most interesting performer, showing a very high 5.45 Sortino Ratio in the current 2025 regime, but its 2022 and 2024 performance remains unacceptable.
4. Recommendation
The Round 5 Gamma Survivor portfolio is the most promising candidate for further refinement. It successfully captured alpha in 2025 with a high risk-adjusted return, but it needs a much more robust "off-switch" to survive bear markets and chop.
Suggested Optimization for Gamma Survivor:
- Implement a Portfolio-Level Stop: A hard 25% portfolio-level stop-loss to prevent the 70%+ drawdowns.
- Volatility-Adjusted Sizing: Reduce position sizing from 8% to 3-4% when the VIX is rising.
- Trend Strength Filter: Replace the simple SMA with a trend-strength indicator (like ADX) to stay in cash during the "Chop" regimes that killed performance in 2024.
Disclaimer: Past performance is not indicative of future results. Options trading involves significant risk of loss.
User
Create a portfolio for a $25,000 account named 'Round 5 Alpha Guard':
- OpenOption: Long Call (ATM, 30-45 DTE) on [QQQ, NVDA, SMH] at 8% of buying power.
- Condition: Price(Asset) > SimpleMovingAverage(Asset, 50) AND Price(SPY) > SimpleMovingAverage(SPY, 200) AND PriceRateOfChange(Asset, 14) > 0.
- CloseOption: Close at 50% profit, 30% loss, OR when Price(Asset) < SimpleMovingAverage(Asset, 20) OR when DTE < 14.
Aurora
I have generated the 'Round 5 Alpha Guard' portfolio. This structure uses a triple-filter entry (Asset > 50-day SMA, SPY > 200-day SMA, and positive 14-day momentum) to ensure we only enter during strong uptrends. To protect capital, it implements a 30% stop-loss and a fast 20-day SMA exit to catch trend reversals early.
Capital Feasibility: On a $25,000 account, an 8% allocation ($2,000) is sufficient to cover the premiums for ATM options on QQQ ($1,200/contract), NVDA ($870/contract), and SMH (~$1,950/contract).
User
Backtest the portfolio 'Round 5 Alpha Guard' (ID: 69d3dafc401165e4900e) across the following four periods using an initial value of $25,000 and benchmarking against SPY:
- 2022 Bear: Jan 1, 2022 to Dec 31, 2022
- 2023 Recovery: Jan 1, 2023 to Dec 31, 2023
- 2024 Chop: Jan 1, 2024 to Dec 31, 2024
- 2025-26 Current: Jan 1, 2025 to April 6, 2026.
Aurora
I'll create four backtest configurations for the Round 5 Alpha Guard portfolio across the specified market regimes, using SPY as the baseline and an initial account value of $25,000.
User
Analyze the backtest results for the 'Round 5 Alpha Guard' portfolio (IDs: 69d3db34401165fca5e494ce, 69d3db34401165fca5e494cf, 69d3db34401165fca5e494d0, 69d3db34401165fca5e494d1). Provide a summary of the Total Return, Maximum Drawdown, and Sortino Ratio for each of the four regimes (2022 Bear, 2023 Recovery, 2024 Chop, and 2025-26 Current) and calculate the average annual return across all periods to evaluate if it meets the deployment bar.
Aurora
This analysis covers the backtest results for the Round 5 optimization series across four distinct market regimes. The goal is to find a strategy averaging 80%+ annual return with a maximum drawdown ≤ 40%.
1. Backtest Summary and Comparison
The following table summarizes the performance of the candidate portfolios against the SPY baseline.
| Portfolio | Regime | Total Return | SPY Return | Max Drawdown | Sortino Ratio |
|---|---|---|---|---|---|
| Leveraged Alpha | 2022 Bear | -25.46% | -18.38% | 29.56% | -1.58 |
| 2023 Recovery | -35.15% | 26.19% | 46.78% | -1.11 | |
| 2024 Chop | 11.58% | 25.34% | 37.05% | 0.51 | |
| 2025-26 Current | -33.89% | 8.74% | 44.04% | -0.63 | |
| Tech Gamma | 2022 Bear | -78.39% | -18.38% | 79.46% | -3.76 |
| 2023 Recovery | +468.20% | 26.19% | 98.77% | 3.91 | |
| 2024 Chop | -65.73% | 25.34% | 97.06% | 1.11 | |
| 2025-26 Current | -61.17% | 8.74% | 72.32% | 0.25 | |
| Final Gamma | 2022 Bear | -22.80% | -18.38% | 23.30% | -2.35 |
| 2023 Recovery | -20.11% | 26.19% | 42.68% | -1.03 | |
| 2024 Chop | -10.40% | 25.34% | 55.99% | 0.13 | |
| 2025-26 Current | -18.17% | 8.74% | 25.59% | -0.93 | |
| Final Leveraged | 2022 Bear | -26.08% | -18.38% | 30.15% | -1.08 |
| 2023 Recovery | -34.14% | 26.19% | 46.77% | -1.06 | |
| 2024 Chop | -0.22% | 25.34% | 43.71% | 0.17 | |
| 2025-26 Current | -16.55% | 8.74% | 35.03% | -0.12 | |
| Gamma Shield | All Regimes | 0.00% | N/A | 0.00% | N/A |
| Gamma Survivor | 2022 Bear | -81.51% | -18.38% | 81.70% | -4.08 |
| 2023 Recovery | 41.17% | 26.19% | 97.19% | 1.83 | |
| 2024 Chop | -67.24% | 25.34% | 95.33% | 0.73 | |
| 2025-26 Current | 45.45% | 8.74% | 71.07% | 5.45 | |
| Alpha Guard | 2022 Bear | -61.88% | -18.38% | 62.60% | -3.26 |
| 2023 Recovery | 137.01% | 26.19% | 92.67% | 2.60 | |
| 2024 Chop | -49.19% | 25.34% | 88.68% | 0.46 | |
| 2025-26 Current | -51.15% | 8.74% | 66.70% | -0.40 |
2. Trends
- The "Zero-Trade" Bottleneck: The Gamma Shield portfolio failed to execute any trades. This confirms that the combination of a VIX < 22 ceiling and SMA filters is too restrictive for a $25,000 account, effectively acting as a permanent "Off" switch.
- The "Glass Cannon" Problem: Tech Gamma, Gamma Survivor, and Alpha Guard all demonstrate the ability to generate massive alpha (up to +468% in a single year). However, they all suffer from terminal drawdowns (70% to 98%). These strategies are currently "all or nothing."
- Defensive Bleed: The Final Gamma and Final Leveraged portfolios were designed to be safer, but they resulted in a "slow bleed." By using tight stops (20-30%) and lagging SMA exits, they locked in losses during normal volatility and failed to participate in bull runs.
- Leveraged ETF Whipsaws: The Leveraged Alpha strategies consistently underperformed SPY. The 50-day SMA entry is too slow for 3x ETFs, causing the strategy to buy near local tops and sell after the majority of a drawdown has already occurred.
3. Summary of Results
None of the portfolios meet the deployment bar.
- Average Annual Return Goal (80%+): Only Tech Gamma (+65% avg) and Alpha Guard (~-6% avg) showed the necessary "burst" potential, but their averages are dragged down by catastrophic losses.
- Max Drawdown Goal (≤ 40%): Only the Final Gamma and Leveraged versions stayed near this range, but they failed to produce positive returns.
4. How is this portfolio? Should I invest?
Based on these results, you should not invest in these portfolios in their current form.
The strategies are currently polarized: they are either so restrictive they don't trade (Shield), so defensive they lose money slowly (Final Gamma), or so aggressive they suffer total account wipeouts (Tech Gamma).
Suggested Portfolio for Optimization:
I recommend optimizing Round 5 Alpha Guard. It showed the best balance of "burst" alpha (+137% in 2023) and a slightly better (though still poor) resilience than the raw Tech Gamma.
To make it viable for your $25,000 account, we must:
- Implement a Portfolio-Level Circuit Breaker: A hard stop at -25% of total account value to prevent the 90% wipeouts.
- Volatility-Adjusted Sizing: Reduce position sizing from 8% to 2-3% when the VIX is above 20.
- Time-Based Exits: Close all options positions at 21 DTE to avoid the "Theta Cliff" that caused the 2024 underperformance.
Disclaimer: Past performance is not indicative of future results. High-gamma options and leveraged ETFs carry a risk of total capital loss.
User
Round 5 Optimization Results: Feasibility & Regime Analysis
I have completed the Round 5 exploration to find a strategy capable of averaging 80%+ annual returns with a maximum drawdown ≤ 40% on your $25,000 account. After testing 24 variations across four distinct market regimes (2022–2026), I have determined that your goal is currently not feasible under the requested risk constraints.
1. Performance Summary Across Regimes
The following table summarizes the performance of the most refined candidate, 'Round 5 Alpha Guard', which used a triple-filter entry (Asset > 50 SMA, SPY > 200 SMA, and positive momentum) to protect capital.
| Regime | Market Condition | Strategy Return | SPY Return | Max Drawdown |
|---|---|---|---|---|
| 2022 | Bear Market | -61.88% | -18.38% | 62.60% |
| 2023 | AI Recovery | +137.01% | +26.19% | 92.67% |
| 2024 | Choppy/Sideways | -49.19% | +25.34% | 88.68% |
| 2025-26 | Current Regime | -51.15% | +8.74% | 66.70% |
Average Annual Return: -6.3%
Worst Regime Drawdown: 92.67% (2023)
2. Goal Feasibility Check: THE GAP
Your goal is to double your account (100% return) while keeping losses under 40%.
- The Alpha Gap: While we saw "burst" alpha (+137% in 2023), the strategy failed to provide a positive average return across all regimes.
- The Risk Gap: The maximum drawdown (92.6%) is more than double your 40% limit. High-gamma tech options are currently too volatile for a $25,000 account to survive without a much larger capital cushion.
3. Current-Regime Eligibility: ARMED BUT INACTIVE
The current market conditions as of the last close are:
- SPY Price: $655.83
- SPY 200-day SMA: $662.57
- VIX Level: 23.87 (Elevated)
Status: FILTER FAILING. Because SPY is currently trading below its long-term trend ($6.74 / ~1% below the 200-day SMA), no new positions will be opened on Monday morning. The strategy is designed to stay in cash during bearish regimes to prevent the catastrophic wipeouts seen in the 2022 and 2024 backtests.
4. Final Recommendation
I have saved the 'Round 5 Alpha Guard' (ID: 69d3dafc401165fca5e4900e) to your account as a paper-trading portfolio. However, I do not recommend deploying it live. You have three paths forward:
- Accept Lower Alpha: Switch to a Trend-Following Equity strategy (e.g., QQQ with a 50-day SMA filter). Our research shows this consistently keeps drawdowns under 25% but targets more realistic 15-20% returns.
- Accept Higher Risk: If you must pursue the 100% goal, you must be prepared for the 90%+ drawdown risk inherent in long tech options.
- Increase Capital: Volatility-gated options strategies typically require $100,000+ to allow for the 1-2% position sizing necessary to survive the high variance of the tech sector.
Monday Open Action: Do nothing. The market is currently in a defensive regime. Wait for SPY to reclaim its 200-day SMA ($662.57) before re-engaging with aggressive tech momentum.
Aurora
Round 5 Optimization Results: Feasibility & Regime Analysis
I have completed the Round 5 exploration to find a strategy capable of averaging 80%+ annual returns with a maximum drawdown ≤ 40% on your $25,000 account. After testing 24 variations across four distinct market regimes (2022–2026), I have determined that your goal is currently not feasible under the requested risk constraints.
1. Performance Summary Across Regimes
The following table summarizes the performance of the most refined candidate, 'Round 5 Alpha Guard', which used a triple-filter entry (Asset > 50 SMA, SPY > 200 SMA, and positive momentum) to protect capital.
| Regime | Market Condition | Strategy Return | SPY Return | Max Drawdown |
|---|---|---|---|---|
| 2022 | Bear Market | -61.88% | -18.38% | 62.60% |
| 2023 | AI Recovery | +137.01% | +26.19% | 92.67% |
| 2024 | Choppy/Sideways | -49.19% | +25.34% | 88.68% |
| 2025-26 | Current Regime | -51.15% | +8.74% | 66.70% |
Average Annual Return: -6.3%
Worst Regime Drawdown: 92.67% (2023)
2. Goal Feasibility Check: THE GAP
Your goal is to double your account (100% return) while keeping losses under 40%.
- The Alpha Gap: While we saw "burst" alpha (+137% in 2023), the strategy failed to provide a positive average return across all regimes.
- The Risk Gap: The maximum drawdown (92.6%) is more than double your 40% limit. High-gamma tech options are currently too volatile for a $25,000 account to survive without a much larger capital cushion.
3. Current-Regime Eligibility: ARMED BUT INACTIVE
The current market conditions as of the last close are:
- SPY Price: $655.83
- SPY 200-day SMA: $662.57
- VIX Level: 23.87 (Elevated)
Status: FILTER FAILING. Because SPY is currently trading below its long-term trend ($6.74 / ~1% below the 200-day SMA), no new positions will be opened on Monday morning. The strategy is designed to stay in cash during bearish regimes to prevent the catastrophic wipeouts seen in the 2022 and 2024 backtests.
4. Final Recommendation
I have saved the 'Round 5 Alpha Guard' (ID: 69d3dafc401165fca5e4900e) to your account as a paper-trading portfolio. However, I do not recommend deploying it live. You have three paths forward:
- Accept Lower Alpha: Switch to a Trend-Following Equity strategy (e.g., QQQ with a 50-day SMA filter). Our research shows this consistently keeps drawdowns under 25% but targets more realistic 15-20% returns.
- Accept Higher Risk: If you must pursue the 100% goal, you must be prepared for the 90%+ drawdown risk inherent in long tech options.
- Increase Capital: Volatility-gated options strategies typically require $100,000+ to allow for the 1-2% position sizing necessary to survive the high variance of the tech sector.
Monday Open Action: Do nothing. The market is currently in a defensive regime. Wait for SPY to reclaim its 200-day SMA ($662.57) before re-engaging with aggressive tech momentum.
Portfolios Created (5):
- Round 5 Alpha Guard (promising): Best balance of burst alpha (+137% in 2023) but still suffered a 92% drawdown in chop.
Strategies: Open long call ATM 30-45 DTE (8% BP) on QQQ, NVDA, SMH, Condition: Price > 50 SMA AND SPY > 200 SMA AND ROC(14) > 0, Close at 50% profit, 30% loss, or Price < 20 SMA - Round 5 Tech Gamma (promising): Highest raw alpha (+468% in 2023) but represents a total-loss risk due to 98% drawdowns.
Strategies: Open long call ATM 30-45 DTE (10% BP) on NVDA, META, AVGO, SMH, Condition: Price > 50 SMA AND SPY > 200 SMA, Close at 50% profit or 25% loss - Round 5 Gamma Survivor (promising): Strongest risk-adjusted performance in 2025 (5.45 Sortino) but failed in 2022/2024.
Strategies: Open long call ATM 30-45 DTE (8% BP) on NVDA, SMH, XLK, Condition: Price > 50 SMA AND ROC(14) > 0, Close at 50% profit or 40% loss - Round 5 Gamma Shield (failed): Zero trades executed; the VIX < 22 filter combined with SMA gates acted as a total kill-switch.
Strategies: VIX < 22 Entry Gate, Price > 50 SMA AND SPY > 200 SMA, Close at 30% loss or Price < 10 SMA - Round 5 Leveraged Alpha (tested): Suffered severe whipsaws; lost money in 2023 bull market due to lagging SMA entries.
Strategies: Top 1 SOXL/TECL by 20-day ROC, Condition: Price > 50 SMA AND SPY > 200 SMA, Exit: Price < 10 SMA
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