Add QQQ 1DTE short-put backtest script#1
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Implements the strategy: at every T-1 close, sell 1 QQQ put expiring T struck at ~spot*0.98 (nearest listed strike). On T close, if QQQ > strike the put expires worthless; otherwise we are assigned 100 shares at the strike and hold for 10 trading days before selling. QQQ daily bars come from yfinance; the option chain and EOD prices come from Polygon via the PROXY_URL/PROXY_KEY environment variables (POLYGON_API_KEY supported as a direct fallback). Outputs qqq_put_premiums.csv, qqq_put_log.csv and a terminal summary comparing strategy PnL to QQQ buy-and-hold. Note: running the backtest still requires the proxy at 43.206.151.58:8080 to be reachable from the sandbox.
Three CLI tools that capture the lessons of the 2026-06-05 DRAM
short-put episode:
research/sec_monitor.py
edgartools + sec-edgar-downloader. List & dump SEC filings;
--risk prints the latest 10-K Item 1A. Read this BEFORE selling
puts on a company.
research/options_backtest.py
yfinance + Black-Scholes premium estimate + QuantStats tearsheet.
Backtests a weekly short-put strategy at K = round(spot * pct).
Output: per-trade CSV + HTML report + strategy vs buy-and-hold.
Tested on MU (2y, 813% vs 594% B&H) and DRAM (2-month sample).
research/realtime_options.py
Polygon (via PROXY_URL/PROXY_KEY or direct API key) with yfinance
fallback. Prints ATM straddle implied move, 25-delta skew, top-OI
strikes — fixing the "yfinance returns 0s for small ETF options"
issue we hit during the DRAM roll.
Includes setup.sh + requirements.txt so a fresh sandbox can be
re-provisioned in one command.
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Implements the strategy: at every T-1 close, sell 1 QQQ put expiring T
struck at ~spot*0.98 (nearest listed strike). On T close, if QQQ > strike
the put expires worthless; otherwise we are assigned 100 shares at the
strike and hold for 10 trading days before selling. QQQ daily bars come
from yfinance; the option chain and EOD prices come from Polygon via the
PROXY_URL/PROXY_KEY environment variables (POLYGON_API_KEY supported as
a direct fallback). Outputs qqq_put_premiums.csv, qqq_put_log.csv and a
terminal summary comparing strategy PnL to QQQ buy-and-hold.
Note: running the backtest still requires the proxy at 43.206.151.58:8080
to be reachable from the sandbox.