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Igor Ganapolsky
Igor Ganapolsky

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Engineering Log: LL-309: Iron Condor Optimal Control Rese (+2 more)

#security #detected #iron #asymmetric

Sunday, January 25, 2026 (Eastern Time)

Building an autonomous AI trading system means things break. Here's what we discovered, fixed, and learned today.

LL-309: Iron Condor Optimal Control Research

The Problem: Date: 2026-01-25 Category: Research / Strategy Optimization Source: arXiv:2501.12397 - "Stochastic Optimal Control of Iron Condor Portfolios"

What We Did: - Finding: "Asymmetric, left-biased Iron Condor portfolios with τ = T are optimal in SPX markets" - Meaning: Put spread should be closer to current price than call spread - Why: Markets have negative skew (crashes more likely than rallies)

The Takeaway: - Left-biased portfolios: Hold to expiration (τ = T) is optimal - Non-left-biased portfolios: Exit at 50-75% of duration

The Problem: id: LL-298 title: $22.61 Loss from SPY Share Churning - Crisis Workflow Failure date: 2026-01-23

What We Did: severity: CRITICAL category: trading Lost $22.61 on January 23, 2026 from 49 SPY share trades instead of iron condor execution.

The Takeaway: 1. Crisis workflows traded SPY SHARES (not options) 2. Iron condor failed due to:

Code Changes

These commits shipped today (view on GitHub):

Commit Description
526f489f docs(ralph): Auto-publish discovery blog post
67fc3905 docs(ralph): Auto-publish discovery blog post
ab3cc781 docs(ralph): Auto-publish discovery blog post
6a3fc7c6 chore(ralph): CI iteration ✅
13a6b928 docs(ralph): Auto-publish discovery blog post

Why We Share This

Every bug is a lesson. Every fix makes the system stronger. We're building in public because:

  1. Transparency builds trust - See exactly how an autonomous trading system evolves
  2. Failures teach more than successes - Our mistakes help others avoid the same pitfalls
  3. Documentation prevents regression - Writing it down means we won't repeat it

This is part of our journey building an AI-powered iron condor trading system targeting financial independence.

Resources:

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