{
  "strategy_label": "POD3 0DTE SPX Iron Condor paper monitor",
  "window": {
    "start": "2026-05-05",
    "end": "2026-05-26",
    "n_days": 16,
    "n_assets": 1
  },
  "bias": {
    "strategy_label": "POD3 0DTE SPX Iron Condor paper monitor",
    "overall_pass": false,
    "shift": {
      "test": "shift_lookahead",
      "sh_same": 14.885966328418265,
      "sh_lag1": 12.31523393050153,
      "sh_lead1": 13.175967954709952,
      "sh_lead5": 10.693866439339093,
      "lead1_gain": -1.7099983737083129,
      "lag1_drop": 2.5707323979167356,
      "threshold": 0.3,
      "asymmetry_min": 0.8,
      "passed": false,
      "verdict": "FAILED \u2014 lead-1 gain -1.710 < 0.3 threshold; strategy may have built-in lookahead (no room to cheat further)"
    },
    "autocorr": {
      "test": "autocorrelation",
      "n_assets_checked": 0,
      "mean_autocorr": 0.0,
      "median_autocorr": 0.0,
      "min_autocorr": 0.0,
      "max_autocorr": 0.0,
      "threshold": 0.5,
      "passed": false,
      "verdict": "WARN \u2014 mean AC 0.000 < 0.5; positions jumpy, shift test less informative"
    },
    "truncate": null
  },
  "gross_metrics": {
    "sharpe": 14.885966328418265,
    "cagr": 0.7143481160152552,
    "annual_vol": 0.036290892245851435,
    "max_drawdown": 0.0,
    "calmar": 0.0,
    "sortino": 0.0,
    "win_rate": 0.6875,
    "var_95": 0.0,
    "cvar_95": 0.0,
    "n_days": 16
  },
  "net_metrics": {
    "sharpe": 14.885966328418265,
    "cagr": 0.7143481160152552,
    "annual_vol": 0.036290892245851435,
    "max_drawdown": 0.0,
    "calmar": 0.0,
    "sortino": 0.0,
    "win_rate": 0.6875,
    "var_95": 0.0,
    "cvar_95": 0.0,
    "n_days": 16
  },
  "tc_annual": {
    "fee_signal": 0.0,
    "fee_roll": 0.0,
    "slip_signal": 0.0,
    "slip_roll": 0.0,
    "total": 0.0
  },
  "eval_matrix": {
    "p0": {
      "core_metrics": {
        "status": "computed",
        "gross": {
          "sharpe": 14.885966328418265,
          "cagr": 0.7143481160152552,
          "annual_vol": 0.036290892245851435,
          "max_drawdown": 0.0,
          "calmar": 0.0,
          "sortino": 0.0,
          "win_rate": 0.6875,
          "var_95": 0.0,
          "cvar_95": 0.0,
          "n_days": 16
        },
        "net": {
          "sharpe": 14.885966328418265,
          "cagr": 0.7143481160152552,
          "annual_vol": 0.036290892245851435,
          "max_drawdown": 0.0,
          "calmar": 0.0,
          "sortino": 0.0,
          "win_rate": 0.6875,
          "var_95": 0.0,
          "cvar_95": 0.0,
          "n_days": 16
        },
        "total_return_gross": 0.03481670165144424,
        "total_return_net": 0.03481670165144424,
        "drawdown": {
          "average_drawdown": 0.0,
          "max_drawdown": 0.0,
          "max_time_to_recovery_days": 0,
          "average_time_to_recovery_days": 0.0
        },
        "t_stat_alpha": 3.7509109457024734
      },
      "turnover": {
        "status": "computed",
        "average_daily_turnover": 0.09375,
        "annual_turnover": 23.625,
        "active_day_ratio": 0.6875,
        "trade_day_ratio": 0.1875,
        "estimated_holding_period_days": 10.666666666666666,
        "turnover_adjusted_sharpe": 2.999776597643335
      },
      "capacity_scalability": {
        "status": "computed",
        "aum_scaling": {
          "5000000.0": {
            "signal_mi_pct": 0.03834285620721121,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 0.03834285620721121
          },
          "25000000.0": {
            "signal_mi_pct": 0.08573723293082401,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 0.08573723293082401
          },
          "100000000.0": {
            "signal_mi_pct": 0.17147446586164802,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 0.17147446586164802
          },
          "500000000.0": {
            "signal_mi_pct": 0.38342856207211207,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 0.38342856207211207
          },
          "1000000000.0": {
            "signal_mi_pct": 0.542249872683595,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 0.542249872683595
          },
          "2500000000.0": {
            "signal_mi_pct": 0.8573723293082404,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 0.8573723293082404
          },
          "5000000000.0": {
            "signal_mi_pct": 1.2125075761111248,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 1.2125075761111248
          },
          "10000000000.0": {
            "signal_mi_pct": 1.7147446586164807,
            "roll_mi_pct": 0.0,
            "total_mi_pct": 1.7147446586164807
          }
        },
        "participation_top": {
          "SPX_0DTE_IRON_CONDOR": {
            "100000000.0": 0.0001,
            "500000000.0": 0.0005,
            "1000000000.0": 0.001,
            "2500000000.0": 0.0025,
            "5000000000.0": 0.005,
            "10000000000.0": 0.01
          }
        }
      },
      "statistical_significance": {
        "status": "partial",
        "t_stat_alpha": 3.7509109457024734,
        "deflated_sharpe_ratio": {
          "status": "needs_input",
          "reason": "requires trial count / candidate family distribution; do not infer from one backtest"
        },
        "pbo": {
          "status": "needs_input",
          "reason": "requires combinatorial or walk-forward trial panel; do not infer from one equity curve"
        }
      },
      "operational_reliability": {
        "status": "computed",
        "lookahead_bias": {
          "strategy_label": "POD3 0DTE SPX Iron Condor paper monitor",
          "overall_pass": false,
          "shift": {
            "test": "shift_lookahead",
            "sh_same": 14.885966328418265,
            "sh_lag1": 12.31523393050153,
            "sh_lead1": 13.175967954709952,
            "sh_lead5": 10.693866439339093,
            "lead1_gain": -1.7099983737083129,
            "lag1_drop": 2.5707323979167356,
            "threshold": 0.3,
            "asymmetry_min": 0.8,
            "passed": false,
            "verdict": "FAILED \u2014 lead-1 gain -1.710 < 0.3 threshold; strategy may have built-in lookahead (no room to cheat further)"
          },
          "autocorr": {
            "test": "autocorrelation",
            "n_assets_checked": 0,
            "mean_autocorr": 0.0,
            "median_autocorr": 0.0,
            "min_autocorr": 0.0,
            "max_autocorr": 0.0,
            "threshold": 0.5,
            "passed": false,
            "verdict": "WARN \u2014 mean AC 0.000 < 0.5; positions jumpy, shift test less informative"
          },
          "truncate": null
        }
      }
    },
    "p1": {
      "factor_exposure": {
        "status": "needs_input",
        "required_input": "--factor-returns"
      },
      "out_of_sample": {
        "status": "insufficient_data",
        "in_sample_days": 11,
        "oos_days": 5
      },
      "rolling_sharpe": {
        "status": "needs_more_history",
        "window": 252
      },
      "fee_sensitivity": {
        "status": "computed",
        "rows": [
          {
            "tc_multiplier": 0.0,
            "sharpe": 14.885966328418265,
            "cagr": 0.7143481160152552,
            "max_drawdown": 0.0
          },
          {
            "tc_multiplier": 0.5,
            "sharpe": 14.885966328418265,
            "cagr": 0.7143481160152552,
            "max_drawdown": 0.0
          },
          {
            "tc_multiplier": 1.0,
            "sharpe": 14.885966328418265,
            "cagr": 0.7143481160152552,
            "max_drawdown": 0.0
          },
          {
            "tc_multiplier": 2.0,
            "sharpe": 14.885966328418265,
            "cagr": 0.7143481160152552,
            "max_drawdown": 0.0
          },
          {
            "tc_multiplier": 3.0,
            "sharpe": 14.885966328418265,
            "cagr": 0.7143481160152552,
            "max_drawdown": 0.0
          }
        ]
      },
      "capacity": {
        "status": "computed",
        "annual_tc_drag_pct_nav": {
          "fee_signal": 0.0,
          "fee_roll": 0.0,
          "slip_signal": 0.0,
          "slip_roll": 0.0,
          "total": 0.0
        },
        "max_participation": 0.01
      },
      "paper_trading": {
        "status": "needs_input",
        "reason": "requires live or paper trading return stream"
      },
      "portfolio_interaction": {
        "status": "needs_input",
        "required_input": "--existing-returns"
      }
    },
    "p2": {
      "rolling_sharpe": {
        "status": "needs_more_history",
        "window": 126
      },
      "panda_pnl_correlation": {
        "status": "needs_input",
        "required_input": "--existing-returns"
      },
      "fill_assumptions": {
        "status": "needs_input",
        "required_inputs": [
          "queue position",
          "partial fills",
          "latency",
          "bid/ask spread crossing"
        ]
      }
    }
  },
  "reports": {
    "bias_html": "/app/steve/clawd/projects/pod3-strategy-eval/2026-05-27-iron-condor/eval/bias_report.html",
    "internal_html": "/app/steve/clawd/projects/pod3-strategy-eval/2026-05-27-iron-condor/eval/internal_report.html"
  }
}