Backtest and track record

There is no historical backtest of this strategy, and that is a deliberate choice, not an omission. The parameters in config/strategy.yaml are industry-conventional starting values for a short-vertical-spread strategy, not numbers fitted to past data. The code, the README and the config all say so in those words.

Why not

• The data to do it credibly does not exist here. A trustworthy options backtest needs historical option chains with quotes and Greeks at each entry time. The Basic Alpaca plan does not provide that history. A backtest built on synthetic IV, or on the VIX as a stand-in for contract IV, would be worse than none — it would carry the authority of a backtest with none of the validity, and the playbook explicitly forbids using the VIX that way.
• The edge is documented, not discovered by us. The volatility risk premium is well established in the academic literature. docs/playbook.md organises every claim behind the strategy by reliability tier — academic research, industry convention, or our own choice — with a source on each. The honest position is "a known effect, conventional parameters, to be tuned on real data", and pretending otherwise with a fitted curve would misrepresent it.
• The live log is a stronger artifact. Every cycle writes its inputs, the model's reasoning, each risk-check verdict and any fill — append-only, timestamped, in Supabase. That is reproducible and auditable in a way a backtest we ran ourselves is not.

What does exist

• Historical calibration of one gate. The VIX size taper's shape is set from VIX close base rates over 1990–2026: the 1-year percentile sits below 25 on about a third of days, below 3 on about 8%, and those deep-tail spells are usually short. That informs where the taper starts and where the hard block sits — it is calibration of a single rule, not a P&L backtest.
• A one-day parameter replay. The entry-slippage settings were tuned by replaying one day of real captured candidates to see how many would have been tradable versus no-trade. One session, one purpose — not a multi-period performance test.

Reading the track record

The live record is the paper-account equity curve (on the homepage and the dashboard, pulled straight from Alpaca) and the decision history behind it. Read it knowing the evaluation window is measured in market days: over a span that short, P&L is dominated by luck, not skill. What the log demonstrates is process — that the rules ran, that the rejections happened, and that the losses were the size they were declared to be in advance.