ETF IC Review Package

etf_ic_real_hourly_paper_v1 review/export package generated 2026-06-03. This package uses existing real Alpaca option-bar backtest/eval artifacts and does not submit orders.

1.53net Sharpe, generic eval daily-return

1.53gross Sharpe

3.49%total return net

-1.56%max drawdown

2.42%CAGR

102validated executed trades

0current option positions

0current open strategy orders

Code Management Status

BLOCKED: canonical GitHub repo is not cleanly established. A prior repo when2buy/etf-iron-condor-strategy exists, but it was created during an earlier boundary mistake by git-initializing the historical root directory. Per Steve's boundary correction, no new push/PR was made for this review package.

Current isolated folder: /workspace/iron_condor_research/paper_rollouts/etf_ic_real_hourly_paper_v1_20260602

Root git status remains ?? paper_rollouts/; review files are intentionally isolated and uncommitted.

Backtest / Eval Artifacts

Eval report: /workspace/iron_condor_research/eval/report_20260527
Curve source: /workspace/iron_condor_research/report/assets/real_hourly_portfolio_curve.csv
Timeframe: 2025-05-12 to 2026-05-07, 361 days
Original research ann-ret/ann-vol Sharpe note: 3.37 on real_hourly_portfolio_curve; generic eval net Sharpe is 1.53.

OOS/correlation note: generic strategy-eval input uses a single synthetic portfolio-return asset because native option-leg position/mark matrices are not available. Strategy matrix correlation is therefore limited and should not be treated as a full option-leg exposure audit.

Paper / Runtime Status

paper account is shared; latest read-only account snapshot had 33 total positions.
Strategy option positions: 0
Open strategy option orders: 0
Runtime config submit_orders=False, schedule_enabled=True
Schedule registry enabled=True, entrypoint /workspace/iron_condor_research/paper_rollouts/etf_ic_real_hourly_paper_v1_20260602/run_etf_ic_real_hourly_paper.sh
Latest dry-run metrics run_id: 20260602T193004Z_etf_ic_real_hourly_paper_v1, event_ts 2026-06-02T19:30:06.241338Z
Latest no-trade reason: no_eligible_candidates; open_risk=0.0; open_positions=0

By Symbol Contribution

symbol	trades	pnl	win_rate
IWM	17	1354.4	0.764706
SPY	27	822.8	0.851852
QQQ	39	693.8	0.692308
DIA	19	620.2	0.736842

Real Option-Bar Coverage

status	count
ok	102
missing_entry_long_put	47
missing_entry_short_put	17
missing_entry_short_call	8
missing_entry_long_call	8
missing_exit_long_put	3
missing_exit_long_call	3
missing_exit_short_put	2

Coverage risk remains material: candidates without complete entry/exit option bars are excluded from realized validation.

Review Entrypoints

/workspace/iron_condor_research/paper_rollouts/etf_ic_real_hourly_paper_v1_20260602/run_etf_ic_real_hourly_paper.sh isolated observe wrapper
/workspace/iron_condor_research/paper_rollouts/etf_ic_real_hourly_paper_v1_20260602/runtime_config.template.json config template
/workspace/iron_condor_research/paper_rollouts/etf_ic_real_hourly_paper_v1_20260602/strategy_manifest.json isolated manifest
/workspace/iron_condor_research/paper_rollouts/etf_ic_real_hourly_paper_v1_20260602/runbook.md runbook and gating checklist
/workspace/iron_condor_research/monitor_open.py existing signal builder called by wrapper
/workspace/iron_condor_research/close_manager.py existing close manager called by wrapper
/workspace/iron_condor_research/option_execution.py option mleg adapter, requires careful review before paper submit

Known Risks / Review Checklist

Lookahead/timestamp: P0 eval bias shift gate failed; true option-leg timestamp audit is still missing.
Duplicate-submit guard: isolated wrapper has state-key guard, but it must be reviewed with a real scheduled run before submit mode.
Schedule guard: wrapper only runs scheduled mode in the 19:30 UTC minute; dry-run uses --dry-run-now.
Order client_order_id: old paper attempts used avopt_...; revised adapter should use AlphaVault av_... path, but no successful fill has validated this yet.
Sizing/cap: first-week open-risk cap is $500, max 1 lot; risk cap should be enforced against actual spread max loss, not notional.
Broker/fill assumptions: prior Alpaca paper mleg submits did not fill (filled_qty=0 when inspected).
Shared-account isolation: Alpaca paper account is shared; attribution depends on strategy-scoped client_order_id/event logs.
Do not promote live: live approval absent and option mleg adapter is not live-reviewed.