AI Trading Daily Report: February 24, 2026 | $-340.17

#python #trading #ai #machinelearning

AI Disclosure: This daily report was generated by our AI trading system. All financial
data comes from live sources: Alpaca (broker), FRED (Treasury yields), and our RAG system
(lessons learned). Every number is verifiable. Human oversight: Igor Ganapolsky.

Learning Day: Tuesday, February 24, 2026

Day 119/90 of our AI Trading R&D Phase

TL;DR: Daily P/L $-340.17 (-0.34%), portfolio $100,897.26, trades: 14.

Today's Trades

Symbol	Action	Qty	Price	P/L
SPY	N/A	0.00	$0.00	N/A
SPY260327P00640000	buy	1.00	$4.48	N/A
SPY260327C00715000	sell_short	1.00	$1.28	N/A
SPY260327C00725000	buy	1.00	$0.44	N/A
SPY260327P00650000	sell_short	1.00	$5.76	N/A
SPY	N/A	0.00	$0.00	N/A
SPY	N/A	0.00	$0.00	N/A
SPY	N/A	0.00	$0.00	N/A
SPY	N/A	0.00	$0.00	N/A
SPY	N/A	0.00	$0.00	N/A

Treasury & Fixed Income

Live Treasury Yields (FRED API):

Maturity	Yield
2-Year	3.43%
5-Year	3.59%
10-Year	4.03%
30-Year	4.70%

Yield Curve Spread (10Y-2Y): +0.61%

Curve Status: Normal (positive slope)

Data source: Federal Reserve Economic Data (FRED) API

Backtesting & Risk-Adjusted Returns

Sharpe Ratio Analysis

The Sharpe Ratio measures risk-adjusted return: how much excess return we get per unit of risk.

Metric	Value	Interpretation
Sharpe Ratio	0.00	Negative (strategy losing money)
Sortino Ratio	0.00	Downside risk-adjusted
Profit Factor	0.00	Gross profit / Gross loss
Max Drawdown	0.0%	Worst peak-to-trough decline

Backtest Performance

Metric	Value
Total Trades	6
Win Rate	100.0%
Strategy	Iron Condors on SPY

Our Backtesting Methodology

Historical Data: We use Alpaca's historical options data with realistic IV estimation
Black-Scholes Pricing: Options priced using Black-Scholes with rolling historical volatility
Slippage & Costs: 0-5% slippage built into simulation
Exit Rules: 50% profit target, 200% stop loss, or 7 DTE exit (per LL-268)

Strategy: Iron Condors on SPY

Our strategy sells both put spreads and call spreads on SPY:

Bull Put Spread (downside protection)
  └── Sell 15-delta put
  └── Buy 20-delta put ($5 wide)

Bear Call Spread (upside protection)
  └── Sell 15-delta call
  └── Buy 20-delta call ($5 wide)

Why Iron Condors?

Collect premium from BOTH sides
15-delta = ~85% probability of profit
Defined risk on both directions
Profit when SPY stays within range

Risk Management:

Max 5% of capital per trade ($248 on $5K account)
Stop loss at 200% of credit received
Close at 7 DTE to avoid gamma risk (LL-268: improves win rate to 80%+)

Sharpe ratio calculated using annualized returns with 4.5% risk-free rate (current 3-month T-bill).

Alpaca Snapshot + PaperBanana Technical Narrative

Paper Account

Alpaca Snapshot	PaperBanana Financial Diagram

Captured: 2026-02-24T21:25:59Z

Technical interpretation: Paper Account: net liquidation value $100,897.26; daily P/L -258.32 (-25.5 bps) indicating a negative drift session; cumulative P/L +897.26 (+0.90%); low capital deployment at 0.0% utilization with cash $101,111.26; open position proxy 4; win-rate estimate 100.0% (n=1); North Star gate LOW.

Brokerage Account

Alpaca Snapshot	PaperBanana Financial Diagram

Captured: 2026-02-24T21:25:59Z

Technical interpretation: Brokerage Account: net liquidation value $209.15; daily P/L +0.00 (+0.0 bps) indicating a flat premium-decay session; cumulative P/L +189.15 (+945.75%); high capital deployment at 99.0% utilization with cash $4.00; open position proxy 0; win-rate estimate 0.0% (n=0); North Star gate LOW.