AI Trading Daily Report: March 01, 2026 | $-359.87

#trading #ai #machinelearning #python

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: Sunday, March 01, 2026

Day 124/90 of our AI Trading R&D Phase

TL;DR: Daily P/L $-359.87 (-0.36%), portfolio $100,162.89, trades: 0.

Today's Trades

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

Treasury & Fixed Income

Live Treasury Yields (FRED API):

Maturity	Yield
2-Year	3.42%
5-Year	3.57%
10-Year	4.02%
30-Year	4.67%

Yield Curve Spread (10Y-2Y): +0.59%

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: 2026-02-27T14:57:54Z

Technical interpretation: Paper Account: net liquidation value $100,522.76; daily P/L +0.00 (+0.0 bps) indicating a flat premium-decay session; cumulative P/L +522.76 (+0.52%); low capital deployment at 0.0% utilization with cash $100,522.76; open position proxy 0; win-rate estimate 100.0% (n=1); North Star gate LOW.

Brokerage Account

Alpaca Snapshot	PaperBanana Financial Diagram

Captured: 2026-02-27T14:57:54Z

Technical interpretation: Brokerage Account: net liquidation value $207.86; daily P/L +0.00 (+0.0 bps) indicating a flat premium-decay session; cumulative P/L +187.86 (+939.30%); 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.