AI Trading Daily Report: January 22, 2026 | $+25,013.61

Profitable Day: Thursday, January 22, 2026

Day 86/90 of our AI Trading R&D Phase

Today's Trades

No trades executed today (market closed or no signals).

Treasury & Fixed Income

Live Treasury Yields (FRED API):

Maturity	Yield
2-Year	3.60%
5-Year	3.83%
10-Year	4.26%
30-Year	4.87%

Yield Curve Spread (10Y-2Y): +0.65%

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	2.00	Excellent (institutional quality)
Sortino Ratio	3.74	Downside risk-adjusted
Profit Factor	1.60	Gross profit / Gross loss
Max Drawdown	4.6%	Worst peak-to-trough decline

Backtest Performance

Metric	Value
Total Trades	6
Win Rate	33.3%
Strategy	Iron Condors on SPY

Our Backtesting Methodology

1. Historical Data: We use Alpaca's historical options data with realistic IV estimation
2. Black-Scholes Pricing: Options priced using Black-Scholes with rolling historical volatility
3. Slippage & Costs: 0-5% slippage built into simulation
4. 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).

Market Context

US equity markets trade Monday-Friday, 9:30 AM - 4:00 PM ET.

Auto-generated by AI Trading System | View Source

Not financial advice. Paper trading only.

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All trades are paper trading - no real money at risk.