POD3 0DTE SPX Iron Condor Strategy Eval

FAIL / do not promote yet

Review links

Key metrics

Window: 2026-05-05 → 2026-05-26 · 16 trading days

Gross Sharpe14.886
Gross CAGR+71.43%
Gross MaxDD+0.00%
Net Sharpe14.886
Net CAGR+71.43%
Net MaxDD+0.00%

Main caveat

This evaluation uses net_premium_after_costs / $100k NAV from iron_condor_pnl_history.csv as a return proxy. It is not a full mark-to-market account equity curve, so treat this as a monitoring / data-quality gate, not promotion evidence.

Summary

# Professional Eval Report: POD3 0DTE SPX Iron Condor paper monitor

## Executive Decision

- 结论: FAIL / 先不要推进
- Bias: `BiasTest[POD3 0DTE SPX Iron Condor paper monitor]: FAIL | shift=✗ autocorr=⚠ truncate=—`
- Gross Sharpe: 14.886
- Net Sharpe: 14.886
- Gross MaxDD: +0.00%
- Net MaxDD: +0.00%
- TC Drag: 0.0000% NAV/yr
- Alpha t-stat: 3.751

## P0 Mandatory Gate

| Dimension | Status | Result |
|---|---:|---|
| Core return/risk | computed | CAGR net +71.43%, vol 3.63%, Calmar 0.000, Sortino 0.000 |
| Drawdown/recovery | computed | avg DD +0.00%, max recovery 0 days |
| Turnover | computed | annual turnover 23.625, holding 10.7 days, turnover-adj Sharpe 3.000 |
| Capacity/scalability | computed | max participation 1.00% |
| Statistical significance | partial | t-stat 3.751; DSR=needs_input; PBO=needs_input |
| Operational reliability | computed | lookahead pass=False |

## P1 Promotion Review

| Dimension | Status | Result |
|---|---:|---|
| Factor exposure | needs_input | Provide `--factor-returns` for market/size/value/momentum/quality/carry/vol regression |
| Out-of-sample | insufficient_data | Provide `--oos-start-date` for true unseen split metrics |
| Rolling Sharpe | computed | 252d latest 0.000, min 0.000, negative-window ratio 0.0% |
| Fee sensitivity | computed | see `summary.json` rows for 0x/0.5x/1x/2x/3x TC |
| Paper trading | needs_input | Requires paper/live return stream |
| Portfolio interaction | needs_input | max abs corr: needs_input; provide `--existing-returns` |

## P2 Live Readiness

| Dimension | Status | Result |
|---|---:|---|
| Short rolling Sharpe | computed | 126d latest 0.000, min 0.000 |
| Panda P&L correlation | needs_input | target < 0.8 when existing strategy P&L is supplied |
| Fill assumptions | needs_input | queue position, partial fills, latency, bid/ask crossing still required |

## 下一步 review 重点

- P0 fail 时不进入 promotion review；优先查 lookahead、时间戳对齐、label 泄露、全样本标准化。
- P1 缺输入时不能假定通过；补 factor、OOS、paper trading、existing strategy P&L 后再评估。
- P2 是 live readiness；没有 fill/latency/queue 假设时不要讨论上线。