对冲型标普 500 卖出跨式策略的回测设计

# setup.yaml


```yaml
strategy_id: sp500_options
setup_version: v1

universe:
  underlying: sp500_constituents
  strategy: atm_straddle
  # Distinct S&P 500 underlyings with listed options in the tradable price panel
  # over the full sample (includes index membership churn). Display metadata only
  # (read by 03_case_study_overview); the backtest counts assets from data.
  n_assets: 627

decision:
  entry_cadence: weekly_friday
  entry_time: friday_close
  # The AlgoSeek option chain is one end-of-session quote per contract per day
  # (LastBidPrice / LastAskPrice / LastMidPrice); it carries no open, high or low.
  # Every fill in this case study is therefore priced at a close, one session after
  # the signal. Read by backtest_loaders.get_backtest_config and resolved through
  # backtest_presets._EXECUTION_MODE_BY_DELAY, where this token maps to next_bar -
  # the same execution mode MONDAY_OPEN mapped to, so no fill moves.
  execution_delay: next_session_close
  holding_period_days: 10
  exit_time: 10_days_after_entry_or_expiry
  hedge_cadence: daily_close

# Read by case_studies.utils.backtest_runner: delta_threshold drives the
# per-position rehedge trigger in the HTM cohort engine.
hedging_protocol:
  hedge_instrument: underlying_stock
  hedge_frequency: daily_close
  delta_threshold: 0.1
  gamma_hedging: false
  vega_hedging: false

# Engine-level execution defaults. Single source of truth — Ch16-19 notebooks
# read these via get_backtest_config(); never declare a local INITIAL_CASH
# or share_type constant. Changing values here invalidates every existing
# backtest_hash for this case study (cash + share_type are spec-hash inputs).
#
# sp500_options runs through the HTM daily-MTM cohort path (_run_htm_daily_mtm)
# for ret_to_expiry and the simple vectorized path (_run_vectorized) for
# other labels; neither engages the integer-contract execution engine, so
# ``initial_cash`` and ``share_type`` are recorded for spec-hash provenance
# but do not constrain position sizing. The HTM path allocates fractional
# weights across n_roll concurrent cohorts; SPX-option-notional vs. cash
# is not a binding constraint in this CS.
#
# ``allocator_lookback`` is the bars-of-underlying-price window applied
# uniformly to every moment-based allocator (inverse_vol, risk_parity, hrp,
# mvo_ledoit_wolf). Daily underlying SPX returns → 63 ≈ 3 months. Option
# contracts cycle in/out of the per-expiry universe within the window;
# moment-based allocators include them anyway so the cross-method
# comparison is honest — early-window imputation effects are part of the
# observed concentration profile and not hidden behind a method filter.
execution:
  initial_cash: 100_000          # IBKR retail cohort default (not enforced by HTM path)
  share_type: integer            # Recorded for spec-hash; HTM path uses fractional cohort weights
  allocator_lookback: 63         # 3 months of daily underlying SPX bars

mapping:
  class: systematic_straddle_sell
  position_state_space: short_straddle_hedged
  entry_logic: sell_atm_straddle_weekly
  # Equal premium capital within each cohort, then 1/n_roll of portfolio capital
  # per concurrent cohort. The specialized path does not target a fixed vega.
  sizing: equal_premium_capital_with_fixed_cohort_fraction

# These components are what charges this case study. `_htm_backtest.py` reads this block
# directly; the `commission.rate` and `slippage.rate` in `config/backtest/base.yaml` are inert
# on this case study's path and are documented there.
costs:
  class: dominant
  components:
    option_spread:
      description: Bid-ask spread on straddle.
      estimate_pct_of_premium: [2.0, 5.0]
      note: ATM options have wide spreads relative to premium.
    hedge_spread:
      description: Bid-ask spread on underlying stock per hedge rebalance.
      estimate_bps_of_notional: 0.5
      hedges_per_holding: 10
    commission:
      description: Per-contract option commission and per-share equity commission.
      option_per_contract: 0.65
      equity_per_share: 0.005
    margin_opportunity_cost:
      description: Capital tied up in margin (15-20% of notional, ~5% annual opportunity cost).
      margin_pct_of_notional: [15, 20]
      opportunity_cost_annual_pct: 5.0
  cost_dominance_note: Total costs often exceed the expected VRP edge.

backtest:
  rebalance:
    # A rebalance is skipped when the per-asset weight change is below
    # min_weight_change AND the resulting trade notional is below
    # min_trade_value. The benchmark profile disables thresholds so that
    # full-universe equal-weight (1/N per asset) rebalances at all.
    default:
      min_weight_change: 0.005
      min_trade_value: 100.0
    benchmark:
      min_weight_change: 0.0
      min_trade_value: 0.0
  sweep:
    # Canonical strategy universe. sp500_options trades only the liquid
    # quintile (bottom 20% half-spread per rebalance date) — the option
    # round-trip cost on the full S&P 500 ATM straddle surface consumes
    # the VRP edge (O'Donovan & Yu 2024). The full-universe variant is
    # NOT a sweep candidate for the canonical rank-1 selector; it lives
    # only in the Ch18 ``htm_cost_cascade`` comparison table below, where
    # it serves to show the cost story (full universe → uneconomic;
    # liquid quintile → marginal-but-positive after costs).
    # Read by case_studies.utils.sweep_config.get_universe_filters_for.
    universe_filter: liquid
    # Iteration controls per stage. ``signal: 0`` means "all predictions";
    # downstream stages take the top-N from the upstream stage's rank-1.
    # Notebooks read these via get_top_n_predictions(case_study, stage).
    top_n_predictions:
      signal: 0                 # all signal predictions (eq-weight baseline)
      allocation: 10            # top-10 model configs by equal-weight baseline Sharpe
      cost_sensitivity: 1       # top-1 of {signal+allocation} per label
      risk_overlay: 1           # top-1 of {signal+allocation} per label
    # Skip MVO/HRP when allocator runtime is the bottleneck (intraday CSes).
    expensive_allocators_skip: false
    # All others (equal_weight, score_weighted, inverse_vol) take the cheap path.
    # Ch16 signal-stage selection. Long-only equal-weight top-k: the short
    # straddle sign convention is handled by the label construction, not
    # by long_short=True.
    top_k_grid:
      # sp500_options effectively has one label: `ret_to_expiry`. The
      # 5d/10d/dh_5d/dh_10d labels were dropped 2026-05-17 because the
      # vectorized backtest path treats their 5d/10d forward returns as
      # daily returns, inflating Sharpes (e.g. fwd_ret_10d Sharpe ~6.5)
      # to non-credible levels. A proper 10d short-vol comparison would
      # need a fixed-holding cost model (entry + exit half-spread + 2x
      # commission), not the HTM single-entry-leg cost. See
      # .agents/issues/2026-05-17-sp500-options-legacy-10d-5d-labels-cleanup.md
      ret_to_expiry:   [5, 10, 20]
    # Ch17 portfolio: reuses top_k_grid above and sweeps over allocators.
    # Moment-based allocators (IV/RP/HRP/MVO_LW) use the CS-level
    # ``execution.allocator_lookback`` on the underlying SPX series; option
    # contracts cycling in/out of the per-expiry universe are part of the
    # observed concentration profile, not hidden behind a method filter.
    # The six alternatives the shared menu declares. equal_weight is deliberately
    # not here: it is the signal stage's own weighting, so listing it would enter
    # the baseline into the comparison as a competitor against itself.
    # conformal_weighted sizes by the width of each prediction's conformal
    # interval, so it is the only entry that reads the model's own uncertainty;
    # widths are generated on demand from the prediction set, with no separate
    # bootstrap step.
    allocators:
      - {name: score_weighted,     method: score_weighted}
      - {name: inverse_vol,        method: inverse_vol}
      - {name: risk_parity,        method: risk_parity}
      - {name: mvo_ledoit_wolf,    method: mvo_ledoit_wolf}
      - {name: hrp,                method: hrp}
      - {name: conformal_weighted, method: conformal_weighted}
    # Ch18 cost analysis is the three-rung hold-to-maturity cascade
    # (O'Donovan & Yu 2024, anchored to Muravyev & Pearson 2020). The
    # standard cost_grid_bps regime does not apply: HTM avoids the
    # exit-leg spread entirely and only pays a fraction of the quoted
    # option half-spread on entry. The cascade rungs (rung-2 = full
    # universe; rung-3 = bottom-quintile half-spread "liquid" subset) are
    # dispatched inline by Ch18 cost notebooks and do not flow through the
    # standard run_backtest cost sweep.
    htm_cost_cascade:
      # Entry-cost fractions of the quoted option half-spread. 0.203 is the
      # best-case algo-execution anchor (Heston et al. 2023 "algo" case, from
      # Muravyev-Pearson 2020's $0.026/$0.128 ATM ratio); 0.75 approximates the
      # population-average effective/quoted ratio; 1.0 = full quote crossed.
      cost_fractions: [0.203, 0.5, 0.75, 1.0]
      # Universes (rung dispatch): full = rung-2, liquid = rung-3.
      universes: [full, liquid]
      # Liquid-universe selection: bottom 20% half-spread per rebalance date.
      # Stricter than O'Donovan & Yu (2024), who retain the bottom four deciles
      # (~40%, approximating Heston et al.'s "spread < 10%" filter); our quintile
      # is the tighter-spread half of their set.
      liquid_quantile: 0.20
      # Concentration for the cascade (single top_k; not swept).
      top_k: 20

evaluation:
  n_splits: 2
  train_size: 2Y
  val_size: 1Y
  holdout_start: '2021-01-01'
  holdout_end: '2021-12-31'
  calendar: NYSE
  periods_per_year: 252  # NYSE 5d/wk (daily MTM over overlapping weekly cohorts)

labels:
  primary: ret_to_expiry
  buffer: 35D
  # `ret_to_expiry` is the return of a straddle held to the expiration of its own
  # contracts, so its horizon is calendar time and the 35D buffer is 35 calendar days.
  # Without this declaration the buffer defaults to `sessions`
  # (`utils.artifact_specs.resolve_label_buffer_unit`), and a purge of 35 sessions is
  # about seven weeks where five is what the label reaches - the analysis frame ends
  # earlier than the outcome does, and the rows in between are discarded. Data loss, not
  # leakage: reading a calendar buffer as sessions trims more than it needs to, and the
  # error runs the other way only for a session-gridded label.
  #
  # This is the only calendar-anchored label declared anywhere in the nine case studies.
  # The four diagnostic variants below are fixed-horizon forward returns on the session
  # grid and correctly keep the default; they are not in `variants`, so the holdout
  # seal's one-unit-per-case-study rule does not see them.
  buffer_unit: calendar
  # Legacy 5d/10d/dh_5d/dh_10d variants were dropped from the sweep
  # 2026-05-17; the label-computation notebook (`02_labels.py`) still
  # demonstrates how they are constructed, but they no longer drive
  # backtests, cohort_metrics, or rank-1 selection. See
  # .agents/issues/2026-05-17-sp500-options-legacy-10d-5d-labels-cleanup.md
  variants: []
  # Diagnostic-only labels: the four fixed-horizon variants below are NOT in
  # the sweep, and their parquets are written by 02_labels.py for the notebooks
  # that read them (03_financial_features and 05_evaluation contrast the primary
  # against fwd_ret_dh_10d; 90_ic_diagnostic reads fwd_ret_10d and
  # fwd_ret_dh_10d for the IV-decay analysis). Declaring each here is what makes
  # the written label set equal the declared one, and gives
  # `resolve_label_buffer` / `resolve_label_horizon` a value for each without
  # re-introducing the variant into the sweep / cohort_metrics.
  variant_buffers:
    fwd_ret_5d: 5D
    fwd_ret_10d: 10D
    fwd_ret_dh_5d: 5D
    fwd_ret_dh_10d: 10D
  # Vectorized-backtest thinning step per label: number of schedule slots
  # to advance per trade so holding periods don't overlap.
  #
  # The primary label `ret_to_expiry` uses a multi-cohort daily-MTM
  # backtest path (5 concurrent cohorts at 1/5 capital each; weekly entry
  # at ~30-day DTE) that accrues per-cohort daily premium + hedge P&L with
  # transaction costs. The rebalance_step value below is the design-time
  # constant for the (weekly_friday, 30-day DTE) pair and is used by any
  # non-equal-weight allocation step that runs before the HTM dispatch.
  rebalance_step:
    ret_to_expiry: 5    # weekly_friday schedule, ~30d DTE -> ceil(30/7) = 5

# Read by 03_financial_features. Every window, threshold and ranked column the
# feature matrix is built from is declared here, and the notebook binds rather
# than retypes it: the register below, the warmup audit and the timing figure all
# have to agree on the same numbers, and a window typed in the notebook is a
# second source of truth for that agreement.
features:
  # The straddle selection targets this many calendar days to expiry, which is
  # also the divisor that puts `instr_dte` on a [0, 1] scale.
  target_dte: 30
  # Sessions a position is held: the primary label runs to the ~30-calendar-day
  # expiry, which is about 21 NYSE sessions. F6 reads the ordering out to twice
  # this, because a feature whose ordering has decayed inside the holding period
  # cannot be traded at this cadence.
  hold_sessions: 21
  windows:                       # all counted in NYSE sessions
    underlying_return: [1, 5, 10, 21]
    realized_volatility: [5, 10, 21, 42, 63]
    volume_zscore: 20
    instrument_return: [1, 5]
    instrument_cost_momentum: 5
    vrp: [5, 10, 21, 42, 63]
    vrp_reference: 21            # the VRP horizon the ratio, z-score and rank read
    vrp_zscore: 252
    vrp_momentum: [5, 10]
    iv_zscore: [63, 252]
    iv_momentum: [5, 10, 21]
  # A 30-day ATM straddle is not listed for every symbol on every session, so
  # every window above is counted on the underlying's own session grid rather
  # than on the straddle rows. This is the share of the sessions in a window
  # that must carry a straddle quote before the window produces a value.
  # 03_financial_features section C.4 measures what the setting buys: it prints
  # the share of quoted rows on which the longest z-score is defined under this
  # rule and under a rule requiring every session in the window.
  min_observations_fraction: 0.8
  thresholds:
    vega_floor: 0.001                # theta/vega is unreadable as vega goes to zero
    realized_volatility_floor: 0.01  # 1% annualized, the floor of the IV/RV ratio
  # Percentile within the decision date. The source column on the left, the
  # shipped column name on the right; every later stage reads these names.
  ranked:
    vrp_21d: vrp_21d_pctl
    iv_atm: iv_atm_pctl
    instr_rel_spread: spread_pctl
    iv_rv_ratio: iv_rv_ratio_pctl
  # The one null policy, applied once: a row is kept when the premium the thesis
  # is about can be measured on it at the reference horizon. Nothing else belongs
  # here. Requiring a column with a longer lookback - `iv_mom_10d`, say - drops
  # every symbol quoted in bursts shorter than that lookback, which is a liquidity
  # screen on the universe rather than a warmup rule, and 03_financial_features
  # prints what it would cost. Such columns are still shipped; they are null on
  # the rows where the quote cadence cannot support them.
  null_policy: [vrp_21d, rv_21d]
  # Columns written for the backtest and the reader to price a position against,
  # and excluded from the register because they are not features.
  metadata: [underlying_price, instr_mid, instr_bid, instr_ask]
  families:
    - name: instrument_state
      pattern: instr_rel_spread|instr_pct_of_S|instr_dte|dte_normalized|instr_delta|abs_net_delta|instr_gamma|instr_theta|instr_vega|theta_vega_ratio|instr_ret_*
      role: state
      hypothesis: What the straddle costs and how it is exposed decides whether a premium is collectable, not whether one is on offer
      inputs: straddle quotes and Greeks
      lookback: 5
      lag: 0
      frame: one symbol's own straddle series
      representation: level, ratio and change
      failure_mode: the 30-day ATM straddle is a different contract most days, so a change in its price is not a return anyone held
    - name: surface_level
      pattern: iv_atm|call_iv|put_iv|iv_skew_atm
      role: signal
      hypothesis: What the market charges for one month of variance today, and how asymmetrically
      inputs: straddle implied volatilities
      lookback: 0
      lag: 0
      frame: one symbol on one session
      representation: annualized volatility level
      failure_mode: an IV level that has not converged is a solver artefact, which is what the quality family flags
    - name: surface_dynamics
      pattern: iv_atm_z_*|iv_mom_*
      role: signal
      hypothesis: Implied volatility is mean-reverting, so where it sits against its own recent history ranks better than its level
      inputs: straddle implied volatilities
      lookback: 252
      lag: 0
      frame: one symbol's own session history
      representation: z-score and change
      failure_mode: a symbol quoted intermittently has fewer observations in the window than sessions, which the minimum-observation rule bounds
    - name: variance_risk_premium
      pattern: vrp_5d|vrp_10d|vrp_21d|vrp_42d|vrp_63d|iv_rv_ratio|vrp_zscore_252|vrp_mom_*|instr_cost_mom_5d
      role: signal
      hypothesis: Implied variance exceeds subsequently realized variance, and the gap is wider for some names than others
      inputs: straddle implied volatility and underlying realized volatility
      lookback: 252
      lag: 0
      frame: one symbol's own session history
      representation: difference, ratio, z-score and change
      failure_mode: it contrasts a forward-looking quote with a backward-looking estimate, so it is a premium only if realized volatility persists
    - name: realized_volatility
      pattern: rv_*
      role: state
      hypothesis: What the underlying has actually done sets the scale the premium is read against
      inputs: underlying adjusted closes
      lookback: 63
      lag: 0
      frame: one security identity's own session history
      representation: annualized volatility level
      failure_mode: a return that spans a security identity change is a corporate action, not a move
    - name: cross_sectional
      pattern: '*_pctl'
      role: signal
      hypothesis: The strategy sells some straddles and not others, so only relative standing within the date can drive it
      inputs: the level features named in features.ranked
      # The percentile is a within-date operation and adds no lookback of its own, so this is the
      # longest window any of its four ranked sources reads: vrp_21d and iv_rv_ratio both read
      # rv_21d, and iv_atm and instr_rel_spread are contemporaneous.
      lookback: 21
      lag: 0
      frame: every symbol quoted on the decision date
      representation: percentile in (0, 100)
      failure_mode: on a thin date the percentile is an ordering of a few dozen names and moves for reasons the level did not
    - name: underlying
      pattern: ret_*|volume_zscore
      role: state
      hypothesis: Direction and participation in the underlying condition what a short-volatility position earns
      inputs: underlying adjusted closes and volume
      lookback: 21
      lag: 0
      frame: one security identity's own session history
      representation: return and z-score
      failure_mode: volume is not adjusted for splits, so its z-score restarts with the security identity
    - name: quality
      pattern: qc_*
      role: state
      hypothesis: Nothing - these should not predict, and are carried so a model can be checked for leaning on them
      inputs: solver convergence codes
      lookback: 0
      lag: 0
      frame: one symbol on one session
      representation: indicator
      failure_mode: a control that does predict is evidence the panel is contaminated, not evidence of a signal

model_based:
  # `04_model_based_features` fits two volatility models. Both were previously fitted
  # once per cross-validation fold and then run forward from the START of that fold's
  # training window, so a training row carried parameters estimated from its own future
  # while a validation row carried parameters estimated only from its past. The model was
  # fitted on one version of the column and scored on another.
  #
  # The schedule below replaces the fold as the thing that bounds an estimate. A value at
  # session t is produced by parameters estimated from sessions ending at or before t, so
  # there is one value per (symbol, session) whichever fold later selects the row - which
  # is why `model_based.parquet` no longer carries a `fold` column.
  garch:
    # Sessions a segment spends before its first fit. They carry no GARCH value at all.
    # 252 rather than the 504 used where histories are long: this panel has 1,238
    # sessions but the median symbol only 373 of them, and the tenth percentile 71, so
    # every session added to the burn-in is taken off a large part of the cross-section.
    # 04 reports how many symbols clear it and what fraction of rows carry a value.
    burnin: 252
    # Sessions between refits. One month. Each refit re-estimates on everything from the
    # segment's first return through the refit session, expanding rather than rolling,
    # and the parameters then speak for the following month and no earlier session.
    refit_every: 21
    # The specification, declared for the same reason the schedule is: what was fitted is part of
    # what the feature means, and a reader comparing this chapter's model-based features against
    # another chapter's should not have to read two notebooks to find where they differ.
    #
    # `o: 1` is this case study's declared deviation from the shared GARCH(1,1)-Normal default,
    # and it is what makes the recursion a GJR. It is justified by a property of the underlying,
    # not by preference: a fall raises next session's variance by more than a rise of the same
    # size, and that asymmetry is what index options are priced around - section C.1 of the
    # notebook carries it. `sp500_equity_option_analytics` declares the same deviation.
    #
    # `rescale: true` is not a model choice. `arch` warns and rescales on its own when returns
    # are in units it considers poorly scaled, so declaring it makes the scaling explicit and
    # keeps the fit deterministic rather than dependent on the library's threshold.
    mean: Constant
    vol: GARCH
    p: 1
    o: 1
    q: 1
    dist: Normal
    rescale: true
  stochastic_volatility:
    # The same burn-in as GARCH, so the two columns start on the same session and the
    # variance risk premium built from each covers the same rows.
    burnin: 252
    # One quarter, not one month. `sigma_eta` is a property of how equity volatility
    # behaves rather than of any one company: it is estimated once per refit from a pool
    # of symbols and shared by every segment, and each estimate costs a four-chain MCMC
    # run per pool symbol. A monthly cadence would price this notebook at roughly three
    # times a quarterly one for a parameter that is not a per-symbol quantity and is not
    # expected to move monthly.
    refit_every: 63
    # Sessions of each pool symbol's returns the sampler reads, taken as the trailing
    # window ending at the refit. This one rolls where GARCH expands, and deliberately:
    # the sampler carries one latent state per observation, so an expanding window makes
    # the last refit five times the cost of the first for a single scalar parameter.
    calibration_window: 252

modeling:
  gbm:
    libraries: [lightgbm]
    preset: default
    device: cpu
    # LightGBM's own CPU default. 63 is the GPU default and was carried over with the
    # device when these runs moved off the GPU, so every CPU fit was quantizing the design
    # matrix into a quarter of the bins the library would have used. Coarser bins are
    # faster and lose split points; the reader running this on a CPU gets what the
    # documentation describes.
    max_bin: 255
  dl:
    # The device every deep-learning fit in this case study is registered under, read by
    # `research_workflow.declared_dl_device`. It is not a runtime convenience: the device
    # enters the training identity through `sequence_identity_params`, so one configuration
    # fitted on a GPU and the same configuration fitted on a CPU are two different runs
    # rather than one run on two machines. `cuda` is what the published `tabular_dl` and
    # sequence populations were fitted on. A reader with no NVIDIA card passes DEVICE="cpu"
    # together with a POPULATION_NAME, which records the change with the run instead of
    # substituting a different fit under the published population's name.
    device: cuda

causal:
  treatment: vrp_21d
  # Bars the treatment's own construction window spans, which is what the placebo block has
  # to cover: permuting vrp_21d in blocks shorter than this destroys the serial
  # dependence the refutation exists to preserve, and the resulting p-value reads like a
  # refutation without being one. Declared here rather than inferred, because guessing which
  # element of a window list a column was built from puts a wrong number behind a right-looking
  # one. Derived from the construction, not chosen:
  #
  # `iv_atm - rv_21d` in 03_financial_features. The realized leg spans 21 sessions.
  treatment_window: 21
  confounders: [rv_21d, vrp_mom_5d, spread_pctl]
  method: walk_forward_dml

```