ETF Iron Condor 信号线和交易线
信号图展示 daily range=(high-low)/open 与滚动分位数阈值。range 高于 threshold 后，按规则等待 1 或 2 个交易日进入 short iron condor。真实 PnL 使用 Alpaca 1Hour option bars 缓存，最近窗口到 2026-05-07。
22最近60天真实 option-bar 已执行回测交易
$981最近60天组合 realized PnL
77.3%最近60天胜率
3paper mleg 提交尝试；截至上次检查均未成交
信号线：range 突破 threshold 后才交易
蓝线是当天 range，黑线是该 ETF 的滚动 threshold。红点是触发日；绿色/红色三角是之后真实 option-bar 回测里的入场交易，颜色按最终 PnL 正负。
最近两个月怎么赚的
这张图按 exit date 累计 realized PnL。注意这是历史真实 option-bar 回测，不是 paper 已成交记录。
最近两个月交易明细
| symbol | signal_date_s | entry_date_s | exit_date_s | lots | entry_credit | exit_debit | pnl_per_lot | realized_pnl | risk_allocated | long_put | short_put | short_call | long_call |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DIA | 2026-04-30 | 2026-05-04 | 2026-05-07 | 2 | 36.0 | 14.0 | 19.4 | 38.8 | 765.906572 | DIA260508P00472000 | DIA260508P00477000 | DIA260508C00502000 | DIA260508C00507000 |
| QQQ | 2026-04-30 | 2026-05-01 | 2026-05-05 | 2 | 133.0 | 123.0 | 7.4 | 14.8 | 1032.133182 | QQQ260508P00651000 | QQQ260508P00658000 | QQQ260508C00691000 | QQQ260508C00697000 |
| SPY | 2026-04-23 | 2026-04-24 | 2026-04-29 | 1 | 105.0 | 61.0 | 41.4 | 41.4 | 571.303547 | SPY260501P00688000 | SPY260501P00696000 | SPY260501C00732000 | SPY260501C00739000 |
| SPY | 2026-04-13 | 2026-04-14 | 2026-04-17 | 1 | 33.0 | 0.0 | 30.4 | 30.4 | 545.314422 | SPY260417P00670000 | SPY260417P00677000 | SPY260417C00712000 | SPY260417C00719000 |
| QQQ | 2026-04-13 | 2026-04-14 | 2026-04-16 | 2 | 51.0 | 55.0 | -6.6 | -13.2 | 957.124928 | QQQ260417P00607000 | QQQ260417P00613000 | QQQ260417C00644000 | QQQ260417C00650000 |
| DIA | 2026-04-09 | 2026-04-13 | 2026-04-16 | 2 | 30.0 | 10.0 | 17.4 | 34.8 | 788.196019 | DIA260417P00464000 | DIA260417P00469000 | DIA260417C00494000 | DIA260417C00500000 |
| QQQ | 2026-04-07 | 2026-04-08 | 2026-04-10 | 1 | 44.0 | 0.0 | 41.4 | 41.4 | 534.266075 | QQQ260410P00582000 | QQQ260410P00589000 | QQQ260410C00623000 | QQQ260410C00630000 |
| SPY | 2026-04-02 | 2026-04-06 | 2026-04-09 | 1 | 73.0 | 143.0 | -72.6 | -72.6 | 681.250407 | SPY260410P00629000 | SPY260410P00637000 | SPY260410C00681000 | SPY260410C00689000 |
| QQQ | 2026-04-02 | 2026-04-06 | 2026-04-08 | 1 | 125.0 | 310.0 | -187.6 | -187.6 | 562.968045 | QQQ260410P00563000 | QQQ260410P00571000 | QQQ260410C00606000 | QQQ260410C00614000 |
| IWM | 2026-03-31 | 2026-04-02 | 2026-04-08 | 4 | 150.0 | 203.0 | -55.6 | -222.4 | 1026.302662 | IWM260410P00241000 | IWM260410P00245000 | IWM260410C00258000 | IWM260410C00261000 |
| SPY | 2026-03-31 | 2026-04-01 | 2026-04-07 | 1 | 175.0 | 130.0 | 42.4 | 42.4 | 687.811630 | SPY260410P00625000 | SPY260410P00633000 | SPY260410C00677000 | SPY260410C00686000 |
| QQQ | 2026-03-31 | 2026-04-01 | 2026-04-06 | 1 | 235.0 | 132.0 | 100.4 | 100.4 | 562.430539 | QQQ260410P00559000 | QQQ260410P00566000 | QQQ260410C00602000 | QQQ260410C00609000 |
| SPY | 2026-03-30 | 2026-03-31 | 2026-04-06 | 1 | 189.0 | 105.0 | 81.4 | 81.4 | 702.430671 | SPY260410P00619000 | SPY260410P00628000 | SPY260410C00673000 | SPY260410C00682000 |
| SPY | 2026-03-23 | 2026-03-24 | 2026-03-27 | 1 | 56.0 | 1.0 | 52.4 | 52.4 | 753.026095 | SPY260327P00620000 | SPY260327P00629000 | SPY260327C00677000 | SPY260327C00687000 |
| IWM | 2026-03-20 | 2026-03-24 | 2026-03-27 | 3 | 109.0 | 2.0 | 104.4 | 313.2 | 860.426680 | IWM260327P00238000 | IWM260327P00241000 | IWM260327C00256000 | IWM260327C00260000 |
| SPY | 2026-03-20 | 2026-03-23 | 2026-03-26 | 1 | 85.0 | 18.0 | 64.4 | 64.4 | 733.120500 | SPY260327P00623000 | SPY260327P00632000 | SPY260327C00679000 | SPY260327C00688000 |
| IWM | 2026-03-19 | 2026-03-23 | 2026-03-26 | 3 | 116.0 | 26.0 | 87.4 | 262.2 | 830.406775 | IWM260327P00237000 | IWM260327P00240000 | IWM260327C00255000 | IWM260327C00258000 |
| QQQ | 2026-03-20 | 2026-03-23 | 2026-03-25 | 1 | 147.0 | 33.0 | 111.4 | 111.4 | 574.611304 | QQQ260327P00562000 | QQQ260327P00570000 | QQQ260327C00606000 | QQQ260327C00614000 |
| SPY | 2026-03-13 | 2026-03-16 | 2026-03-19 | 1 | 77.0 | 29.0 | 45.4 | 45.4 | 670.962123 | SPY260320P00637000 | SPY260320P00646000 | SPY260320C00689000 | SPY260320C00697000 |
| QQQ | 2026-03-13 | 2026-03-16 | 2026-03-18 | 1 | 124.0 | 74.0 | 47.4 | 47.4 | 551.192172 | QQQ260320P00575000 | QQQ260320P00582000 | QQQ260320C00617000 | QQQ260320C00624000 |
| IWM | 2026-03-09 | 2026-03-11 | 2026-03-16 | 3 | 175.0 | 119.0 | 53.4 | 160.2 | 784.796819 | IWM260320P00242000 | IWM260320P00246000 | IWM260320C00259000 | IWM260320C00262000 |
| QQQ | 2026-03-09 | 2026-03-10 | 2026-03-12 | 1 | 91.0 | 94.0 | -5.6 | -5.6 | 579.397345 | QQQ260313P00581000 | QQQ260313P00589000 | QQQ260313C00625000 | QQQ260313C00633000 |
Paper 运行/提交情况
paper 运行是另一条线：它会每天 19:50 UTC 检查是否有当日候选。历史上曾向 Alpaca paper 提交过 mleg 订单，但检查到 filled_qty=0，所以还没有成功成交样本。
Paper submitted orders
| run_id | underlying | qty | limit_price | client_order_id | note |
|---|---|---|---|---|---|
| 20260513T195008Z_etf_ic_real_hourly_paper_v1 | QQQ | 1 | -0.70 | avopt_etficrealhourpapev_20260513T195008Z_QQQ_ic | submitted to Alpaca paper mleg; inspected as filled_qty=0 |
| 20260514T195027Z_etf_ic_real_hourly_paper_v1 | QQQ | 1 | -2.87 | avopt_etficrealhourpapev_20260514T195027Z_QQQ_ic | submitted to Alpaca paper mleg; inspected as filled_qty=0 |
| 20260519T195004Z_etf_ic_real_hourly_paper_v1 | QQQ | 1 | -1.43 | avopt_etficrealhourpapev_20260519T195004Z_QQQ_ic | submitted to Alpaca paper mleg; inspected as filled_qty=0 |
Recent monitor runs
| file | monitor_ts | candidate_count | option_order_count | submit_orders |
|---|---|---|---|---|
| monitor_20260529T195029Z.json | 2026-05-29T19:50:29.185899+00:00 | 0 | 0.0 | True |
| monitor_20260528T195024Z.json | 2026-05-28T19:50:24.116321+00:00 | 0 | 0.0 | True |
| monitor_20260528T052336Z.json | 2026-05-28T05:23:36.219894+00:00 | 0 | 0.0 | False |
| monitor_20260527T195010Z.json | 2026-05-27T19:50:10.675343+00:00 | 0 | 0.0 | True |
| monitor_20260526T195033Z.json | 2026-05-26T19:50:33.676514+00:00 | 0 | 0.0 | True |
| monitor_20260525T195030Z.json | 2026-05-25T19:50:30.269333+00:00 | 0 | 0.0 | True |
| monitor_20260522T195004Z.json | 2026-05-22T19:50:04.915637+00:00 | 0 | 0.0 | True |
| monitor_20260521T195030Z.json | 2026-05-21T19:50:30.688757+00:00 | 0 | 0.0 | True |
| monitor_20260520T195017Z.json | 2026-05-20T19:50:17.921082+00:00 | 0 | 0.0 | True |
| monitor_20260519T195003Z.json | 2026-05-19T19:50:03.995733+00:00 | 1 | 1.0 | True |
| monitor_20260518T195028Z.json | 2026-05-18T19:50:28.416799+00:00 | 0 | 0.0 | True |
| monitor_20260515T195007Z.json | 2026-05-15T19:50:07.863294+00:00 | 0 | 0.0 | True |
| monitor_20260514T195027Z.json | 2026-05-14T19:50:27.007835+00:00 | 1 | 1.0 | True |
| monitor_20260513T195007Z.json | 2026-05-13T19:50:07.817242+00:00 | 1 | 1.0 | True |
| monitor_20260513T174522Z.json | 2026-05-13T17:45:22.544683+00:00 | 1 | 0.0 | True |
| monitor_20260513T134002Z.json | 2026-05-13T13:40:02.587953+00:00 | 1 | 0.0 | False |
| monitor_20260512T134002Z.json | 2026-05-12T13:40:02.869322+00:00 | 0 | 0.0 | True |
| monitor_20260511T194841Z.json | 2026-05-11T19:48:41.763629+00:00 | 1 | 0.0 | True |
| monitor_20260511T194822Z.json | 2026-05-11T19:48:22.856781+00:00 | 1 | 0.0 | False |
| monitor_20260511T192249Z.json | 2026-05-11T19:22:49.754227+00:00 | 1 | NaN | False |
| monitor_20260511T134002Z.json | 2026-05-11T13:40:02.091635+00:00 | 0 | NaN | False |
| monitor_20260511T083945Z.json | 2026-05-11T08:39:45.636398+00:00 | 1 | NaN | False |