The Lab: a backtester that is allowed to say "no"

gex.live has two halves. The terminal measures where SPX options dealers are positioned, every second, from the tape. The Lab is the half that asks the uncomfortable question: does any of that predict anything?

What it is

A browser-side conveyor with three stages and a credit meter.

1. Compile. You describe a rule in plain text — "short the first touch of the put wall when net gamma is below the 20th percentile" — and the compiler turns it into a deterministic rule over the archive's fields: flip, walls, hold band, gamma percentile, DEX/VEX/vanna/charm per strike, time of day. Compiling is free. If the text is ambiguous the compiler says which part, instead of guessing.
2. Backtest. The rule runs against the full session archive — 1,000+ finished SPX days, every one of them public at gex.live/sessions — with a fixed out-of-sample split. One credit per job; a job that fails refunds itself.
3. Quant optimize. Optional. A LightGBM pass over the same feature store to see whether there is structure the hand-written rule missed, reported as out-of-sample AUC plus feature importance, not as a new "signal".

The heavy part (DuckDB + LightGBM) runs in a scale-to-zero container that reads snapshots over HTTPS from the public archive. It depends on no machine and on no private data, which is the point: you are testing against the same files anyone can download.

The honest-stats rule

Every verdict comes with its baseline. "Your rule made 3% in-sample" means nothing next to "the unconditional drift over the same days was 2.8%". The report shows both, shows the out-of-sample half separately, and refuses to produce a headline number from the in-sample half. Most rules do not survive this. That includes our own: the site's own directional levels were tested three separate ways across the whole archive and none held out of sample — which is why the terminal sells measurement and not signals, and why the Lab exists at all.

The free Idea Feed

Next to the conveyor sits a rail of rule-shaped ideas, collected daily and published untested. One click compiles one into your session; the test is yours to run and pay a credit for. The feed produces mostly "no". That is what a feed of testable ideas should do.

Who it is for

Someone who has a hunch about dealer positioning — "the hold band pins price into the close", "the flip acts as a magnet after 2pm" — and would rather spend a credit to find out than a month trading it. And, through the MCP server, anyone who would rather ask their AI assistant to run the test than click through a UI.

https://gex.live/lab · archive: https://gex.live/sessions