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📈 PMCC ITM Rotation 🔴 MARKET CLOSED · siffrorna är stale

Paper-bot dashboard · PMCC ITM Momentum Rotation · Universe Medium_19 (top-5 ROC63d, SMA75 regim) · uppdaterad 2026-06-04T05:18:06 · auto-refresh 60s

Konto

$502,212

Init: $500,000

Total Return

+0.44%

Sedan start

Cash

$92,383

Free dollars

Realized P&L

+$0

From closed legs

Unrealized P&L

+$2,311

Open positions

Open Positions

5 / 5

5 with SC

Status

idle

2026-06-04T05:09:46 · next rebal: 2026-06-30

VIX

16.06 +1.8%

regim: calm

💡 Normal vol → optimal PMCC-regim. Sweet spot för extrinsic-grind.

🧮 Portfolio-Greeks

Net Δ (delta)	-266	Long+SC kombinerat
Θ (theta est./dag)	+$6,239	SC-ext÷DTE proxy
SC-ext kvar	$6,239	unrealized SC-värde
LEAP intrinsic	$389,532	in-the-money-värde

Net Δ<0 = svagt bearish · Net Δ≈0 = delta-neutral grind · Net Δ>0 = bullish bias

⏰ SC-roll countdown

DIA	1d — roll imorgon	2026-06-05	ROLL-WEEK
IWM	1d — roll imorgon	2026-06-05	ROLL-WEEK
MSFT	1d — roll imorgon	2026-06-05	ROLL-WEEK
VOO	1d — roll imorgon	2026-06-05	ROLL-WEEK
XBI	1d — roll imorgon	2026-06-05	ROLL-WEEK

Equity Development (live)

📊 Live equity från state/equity.csv · Backtest-target: CAGR 66.4% / Calmar 5.33 / DD −12.5%.

Sålt ext (vecka)

$3,796

SC-premie över intrinsic · exp 2026-06-05

Ext kvar (öppna)

$6,239

Återstående tidsvärde att skörda

Skördat

$-2,443

-64.4% av sålt · roll vid 80%

Open PMCC-positions (5/5) — LEAP + SC + per-leg P&L

Ticker	Lockd	LEAP (strike · exp)	LEAP entry	LEAP cur	LEAP P&L	SC (strike · exp)	SC entry	SC cur	SC P&L	Total Unr.	Spot
DIA	9	K 415.00 · 2027-06-17 Δ 0.85	$111.00	$112.00	+$900	K 490.00 · 2026-06-05 Δ 0.90 · ext entry $0.92	$17.55	$18.50	$-855	+$45	$508.26
IWM	13	K 230.00 · 2027-04-16 Δ 0.86	$72.47	$68.50	$-5,155	K 278.00 · 2026-06-05 Δ 0.91 · ext entry $0.65	$14.47	$9.74	+$6,149	+$994	$287.37
MSFT	7	K 310.00 · 2027-06-17 Δ 0.85	$136.72	$140.00	+$2,293	K 400.00 · 2026-06-05 Δ 0.91 · ext entry $1.12	$26.18	$27.80	$-1,138	+$1,155	$426.60
VOO	5	K 535.00 · 2027-06-17 Δ 0.85	$188.00	$188.00	+$0	K 677.50 · 2026-06-05 Δ 0.90 · ext entry $0.99	$16.65	$16.85	$-100	$-100	$690.61
XBI	24	K 100.00 · 2027-06-17 Δ 0.85	$41.40	$37.00	$-10,560	K 129.50 · 2026-06-05 Δ 0.89 · ext entry $0.35	$6.00	$1.51	+$10,776	+$216	$129.83
TOTAL (5 positions)					$-12,522				+$14,832	+$2,311

Legend: +P&L = profit · −P&L = loss
LEAP P&L = (current_mid − entry_price) × contracts × 100 · long position.
SC P&L = (entry_price − current_mid) × contracts × 100 · short position (positive = SC lost value = good for us).

📍 Spot Tracker

Ticker	LEAP entry spot	LEAP strike	SC entry spot	SC strike	Spot nu	Δ vs LEAP entry	Δ vs SC entry
DIA	$506.63	$415.00	$506.63	$490.00	$508.26	+0.32%	+0.32%
IWM	$291.82	$230.00	$291.82	$278.00	$287.37	-1.52%	-1.52%
MSFT	$425.05	$310.00	$425.05	$400.00	$426.60	+0.36%	+0.36%
VOO	$693.16	$535.00	$693.16	$677.50	$690.61	-0.37%	-0.37%
XBI	$135.15	$100.00	$135.15	$129.50	$129.83	-3.94%	-3.94%

💎 Extrinsic Grind Tracker

Mäter: tjänar PMCC verkligen pengar på extrinsic-grind enligt backtest?
Capture-mål: 80% av entry-ext per cykel (= cfg.sc_roll_extrinsic_pct).
Backtest säger ~28-34% CAGR från ren extrinsic-grind. Resten (~30-32 pp) från rotation + skip-filter + compound.

SC entry-ext sålt

$3,796

denna SC-cykel · target capture $3,036

SC harvested hittills

$-2,443

-64.4% av entry

LEAP P&L (theta + spot)

$-12,522

unrealized sedan entry

Ticker	Contracts	SC entry ext $/sh	SC nu ext $/sh	Harvest %	Ext decay $	SC target $	LEAP P&L $	Net P&L $
DIA	9	$0.92	$0.24	73.9%	$612	$662	+$900	+$45
IWM	13	$0.65	$0.37	43.1%	$364	$676	$-5,155	+$994
MSFT	7	$1.12	$1.20	-6.7%	$-52	$630	+$2,293	+$1,155
VOO	5	$0.99	$3.74	-277.8%	$-1,375	$396	+$0	$-100
XBI	24	$0.35	$1.18	-237.1%	$-1,992	$672	$-10,560	+$216
TOTAL (5 positioner)					$-2,443	$3,036	$-12,522	+$2,311

💰 Resultat hittills (ej annualiserat)

SC-ben P&L (orealiserat)

+$14,832

short call MtM (entry − now)

LEAP-ben P&L (orealiserat)

$-12,522

long LEAP MtM (now − entry)

Net position P&L

+$2,311

+0.46% of capital · realized $0

Honest read: deep-ITM short calls (Δ~0.90) sell almost pure intrinsic — the extrinsic harvest is small ($3,796 sold/cycle on $500,000 capital). Most P&L movement is LEAP delta, not theta-grind. A single week's MtM says little — do NOT annualise (×52 on a one-off LEAP move previously gave absurd >200%/yr). Let the track record build in equity.csv.

🎯 Alpha-attribution (live proxies)

Strategin har 3 källor till edge. Här syns hur MYCKET varje källa bidrar JUST NU (instant proxies, inte cumulative — varje rebalance recomputeras).

1️⃣ Extrinsic-grind

$-2,443

time-value decayed this cycle
of $3,796 sold

Deep-ITM SC → little extrinsic.
Shown in $ (not %/yr — annualising was the bug).

2️⃣ Momentum-rotation

+45.7%

ROC-spread × allokering × 4
Backtest: 18-22%

Picks avg ROC: +9.36%
Universe avg: -2.07%
Spread: +11.43 pp

3️⃣ Skip-filter (DD-undvikning)

+0.0%

Undvikna NB-DD × allokering
Backtest: 14-18%

Skippade nu: 0 ticker(s)
inga skippade

Σ Momentum + skip (proxy)

+45.7%

directional proxy-%/yr · extrinsic shown in $ above

⚠️ NOT realized return. Momentum/skip are annualised ROC proxies (direction OK, magnitude uncertain); the extrinsic edge is small and reported in $. Backtest reference 66.4% CAGR is the US universe, not a live guarantee.
Actual result: see Net position P&L above + the equity curve.

Metodologi (transparent):
• Extrinsic-grind reported in $ (time-value decayed this cycle). Do NOT annualise — ×52 on a snapshot MtM was the bug.
• Momentum är proxy: ROC-spread mellan picks och universe-genomsnitt, annualiserad. Riktning OK, magnitud osäker.
• Skip är proxy: negative-ROC av skippade tickers × deras "skulle-få" allocation, annualiserad. Underskattar vid regim-shift.
• Backtest mäter dessa exakt via kontrafaktiska universa (with/without filter, with/without rotation). Live har vi inte den lyxen.

📈 Alpha-attribution över tid (2 dagar)

Daily snapshots loggas av daily_run.py till state/alpha_history.csv. Trend visar om alla 3 edge-källor faktiskt levererar enligt prognos över tid.

Σ Snitt extrinsic

-0.3%

Backtest: 28-34%
Cum grind: $-2,832

Σ Snitt momentum

+45.7%

Backtest: 18-22%

Σ Snitt skip

+0.0%

Backtest: 14-18%

📋 Visa daglig data (sista 2 snapshots)

Datum	Extrinsic %	$/vecka	Momentum %	ROC-spread	Skip %	N-skippade	Total %	Market
2026-06-04	-0.5%	$-2,444	45.7%	11.43pp	0.0%	0	45.2%	no
2026-06-03	-0.1%	$-388	45.7%	11.43pp	0.0%	0	45.6%	yes

Inga stängda trades än

När bot:n rullar SC eller stänger LEAPs visas roundtrip-historik här:

Ticker, leg (LEAP/SC), open + close datum
Contracts, strike, entry vs exit mid
Net P&L (efter fees)
Reason: 80%-capture / monthly_rotation_drop / dropped_to_nb / expired

Selection (asof 2026-06-04)

Deploy-aktiva (top-5 BULL depth-first): MSFTSPYIWMXBIDIA

★ Aktiva positioner (deploy)

#	Ticker	Spot	SMA75	ROC63d	Regim	Status
1	MSFT	$460.52	$401.86	+15.80%	BULL	ACTIVE
2	SPY	$758.54	$696.08	+10.81%	BULL	ACTIVE
3	IWM	$288.98	$266.22	+9.74%	BULL	ACTIVE
4	XBI	$133.62	$129.24	+5.59%	BULL	ACTIVE
5	DIA	$511.44	$484.83	+4.88%	BULL	ACTIVE

📋 5 närmaste (next-in-line, ej deployade)

#	Ticker	Spot	SMA75	ROC63d	Regim	Comment
6	PNC	$216.07	$215.17	+1.63%	BULL	backup om någon ovan ramlar ur
7	USB	$53.55	$54.28	-0.96%	NB	backup om någon ovan ramlar ur
8	DIS	$102.85	$102.12	-1.42%	BULL	backup om någon ovan ramlar ur
9	COP	$115.58	$119.68	-1.52%	NB	backup om någon ovan ramlar ur
10	XLC	$115.61	$115.23	-1.60%	BULL	backup om någon ovan ramlar ur

Depth-first BULL-selection: Sortera Medium_19 på ROC63d desc. Plocka första top-5 som är BULL (spot > SMA75). NB-tickers i ranking-vägen ersätts av djupare BULL-picks så vi alltid har 5 aktiva positioner (om universe har 5+ BULL).

Medium_19 Universum — Live Stats

Alla 19 tickers · sorterat efter ROC63 desc. Selected/Active flag.

Rank	Ticker	Spot	SMA75	Δ vs SMA	ROC63d	Regim	Status
1	MSFT	$460.52	$401.86	+14.6%	+15.80%	BULL	ACTIVE
2	SPY	$758.54	$696.08	+9.0%	+10.81%	BULL	ACTIVE
3	IWM	$288.98	$266.22	+8.5%	+9.74%	BULL	ACTIVE
4	XBI	$133.62	$129.24	+3.4%	+5.59%	BULL	ACTIVE
5	DIA	$511.44	$484.83	+5.5%	+4.88%	BULL	ACTIVE
6	PNC	$216.07	$215.17	+0.4%	+1.63%	BULL
7	USB	$53.55	$54.28	-1.3%	-0.96%	NB
8	DIS	$102.85	$102.12	+0.7%	-1.42%	BULL
9	COP	$115.58	$119.68	-3.4%	-1.52%	NB
10	XLC	$115.61	$115.23	+0.3%	-1.60%	BULL
11	XLI	$172.40	$170.66	+1.0%	-3.36%	BULL
12	HON	$236.54	$227.27	+4.1%	-4.11%	BULL
13	MRK	$115.17	$116.82	-1.4%	-4.44%	NB
14	XLV	$147.84	$148.96	-0.8%	-6.36%	NB
15	XLP	$82.03	$84.15	-2.5%	-7.01%	NB
16	JNJ	$223.51	$234.57	-4.7%	-9.56%	NB
17	PEP	$141.52	$155.98	-9.3%	-14.64%	NB
18	HD	$310.69	$337.09	-7.8%	-15.65%	NB
19	MCD	$276.11	$305.38	-9.6%	-17.07%	NB

Daily log — sista 60 rader

2026-06-04 05:08:38,828 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=XBI+++260605C00129500&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:08:38,866 [INFO] Tastytrade session created (production, underlying=DIA)
2026-06-04 05:08:39,230 [INFO] HTTP Request: POST https://api.tastyworks.com/oauth/token "HTTP/1.1 200 OK"
2026-06-04 05:08:39,233 [DEBUG] Refreshed token, expires in 900s
2026-06-04 05:08:39,393 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=DIA&cryptocurrency=InstrumentType.EQUITY "HTTP/1.1 200 "
2026-06-04 05:08:39,394 [INFO] DIA spot: 508.26
2026-06-04 05:08:39,550 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=DIA+++270617C00415000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:08:39,707 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=DIA+++260605C00490000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:08:39,707 [INFO] Total equity: $502,212.26  cash: $92,383.26  realized: $+0.00  n_open: 5
2026-06-04 05:08:39,711 [INFO] Signal saved: /Users/svennestrunt/pmcc_rotation_paper/state/signals/signal_2026-06-04.json
2026-06-04 05:08:39,711 [INFO] State saved: 2026-06-04T05:08:39
2026-06-04 05:08:39,713 [INFO] Alpha-snapshot logged: extrinsic-decay=$-2,443 (-0.49% of capital)
2026-06-04 05:08:39,713 [INFO] ============================================================
2026-06-04 05:09:40,164 [INFO] ============================================================
2026-06-04 05:09:40,164 [INFO] PMCC ITM Rotation Paper-Bot — Daily Run
2026-06-04 05:09:40,164 [INFO] ============================================================
2026-06-04 05:09:40,169 [INFO] asof: 2026-06-04  cash: $92,383.26  open: 5
2026-06-04 05:09:40,195 [INFO] Signal: top-5=['MSFT', 'SPY', 'IWM', 'XBI', 'DIA']  active=['MSFT', 'SPY', 'IWM', 'XBI', 'DIA']  skipped_nb=[]  rebalance_day=False  friday=False  next_rebal=2026-06-30
2026-06-04 05:09:40,195 [INFO] --mtm-only mode: skipping rotation / roll logic
2026-06-04 05:09:40,195 [INFO] === Mark-to-market ===
2026-06-04 05:09:41,435 [INFO] Tastytrade session created (production, underlying=IWM)
2026-06-04 05:09:41,842 [INFO] HTTP Request: POST https://api.tastyworks.com/oauth/token "HTTP/1.1 200 OK"
2026-06-04 05:09:41,843 [DEBUG] Refreshed token, expires in 900s
2026-06-04 05:09:42,009 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=IWM&cryptocurrency=InstrumentType.EQUITY "HTTP/1.1 200 "
2026-06-04 05:09:42,009 [INFO] IWM spot: 287.37
2026-06-04 05:09:42,182 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=IWM+++270416C00230000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:42,349 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=IWM+++260605C00278000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:42,386 [INFO] Tastytrade session created (production, underlying=VOO)
2026-06-04 05:09:42,744 [INFO] HTTP Request: POST https://api.tastyworks.com/oauth/token "HTTP/1.1 200 OK"
2026-06-04 05:09:42,744 [DEBUG] Refreshed token, expires in 900s
2026-06-04 05:09:42,904 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=VOO&cryptocurrency=InstrumentType.EQUITY "HTTP/1.1 200 "
2026-06-04 05:09:42,905 [INFO] VOO spot: 690.61
2026-06-04 05:09:43,063 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=VOO+++270617C00535000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:43,223 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=VOO+++260605C00677500&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:43,258 [INFO] Tastytrade session created (production, underlying=MSFT)
2026-06-04 05:09:43,651 [INFO] HTTP Request: POST https://api.tastyworks.com/oauth/token "HTTP/1.1 200 OK"
2026-06-04 05:09:43,653 [DEBUG] Refreshed token, expires in 900s
2026-06-04 05:09:43,823 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=MSFT&cryptocurrency=InstrumentType.EQUITY "HTTP/1.1 200 "
2026-06-04 05:09:43,823 [INFO] MSFT spot: 426.60
2026-06-04 05:09:43,992 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=MSFT++270617C00310000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:44,168 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=MSFT++260605C00400000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:44,205 [INFO] Tastytrade session created (production, underlying=XBI)
2026-06-04 05:09:44,610 [INFO] HTTP Request: POST https://api.tastyworks.com/oauth/token "HTTP/1.1 200 OK"
2026-06-04 05:09:44,611 [DEBUG] Refreshed token, expires in 900s
2026-06-04 05:09:44,814 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=XBI&cryptocurrency=InstrumentType.EQUITY "HTTP/1.1 200 "
2026-06-04 05:09:44,814 [INFO] XBI spot: 129.83
2026-06-04 05:09:44,982 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=XBI+++270617C00100000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:45,149 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=XBI+++260605C00129500&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:45,186 [INFO] Tastytrade session created (production, underlying=DIA)
2026-06-04 05:09:45,578 [INFO] HTTP Request: POST https://api.tastyworks.com/oauth/token "HTTP/1.1 200 OK"
2026-06-04 05:09:45,579 [DEBUG] Refreshed token, expires in 900s
2026-06-04 05:09:45,753 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=DIA&cryptocurrency=InstrumentType.EQUITY "HTTP/1.1 200 "
2026-06-04 05:09:45,754 [INFO] DIA spot: 508.26
2026-06-04 05:09:45,925 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=DIA+++270617C00415000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:46,100 [INFO] HTTP Request: GET https://api.tastyworks.com/market-data/by-type?equity=DIA+++260605C00490000&cryptocurrency=InstrumentType.EQUITY_OPTION "HTTP/1.1 200 "
2026-06-04 05:09:46,101 [INFO] Total equity: $502,212.26  cash: $92,383.26  realized: $+0.00  n_open: 5
2026-06-04 05:09:46,103 [INFO] Signal saved: /Users/svennestrunt/pmcc_rotation_paper/state/signals/signal_2026-06-04.json
2026-06-04 05:09:46,103 [INFO] State saved: 2026-06-04T05:09:46
2026-06-04 05:09:46,104 [INFO] Alpha-snapshot logged: extrinsic-decay=$-2,443 (-0.49% of capital)
2026-06-04 05:09:46,104 [INFO] ============================================================

PMCC ITM Momentum Rotation — Strategi

Long ITM LEAP + Weekly DEEP-ITM Short Call på top-momentum tickers. Månatlig rotation från Medium_19-universumet, regim-filter SMA75, ROC63d ranking, 80%-extrinsic-roll på SC.

Strategi-spec

Universum	Medium_19 (sektor-ETFs + medium-vol stocks)
Ranking	ROC63d desc (3-month return)
Top-N selection	Top 5 per månad (first trading day of month)
Regim-filter	spot > SMA75 = BULL · annars STRICT_SKIP
LEAP leg	Long call, ~365 DTE, Δ 0.85, Friday preferred
LEAP roll	DTE<60 OR Δ>0.92 OR Δ<0.7
SC leg	Short call DEEP ITM Δ 0.9, weekly Friday ~7 DTE
SC roll	BTC när current_ext ≤ 20% av opening_ext (= 80% capture)
Sizing	Equity-equal-weight, `locked_contracts` frozen till nästa månad
NB drop	Om spot < SMA75 mid-månad → close LEAP + SC omedelbart
Friction	Tasty: $1/contract open (cap $10/leg) + $0.14 reg · $0.10 reg close

Backtest-resultat (2020-2026, $50k init)

CAGR	+66.4%
Max Drawdown	−12.5%
Calmar	5.33
Walk-forward IS Calmar	3.66
Walk-forward OOS Calmar	3.77 (time-stable)
Final equity ($50k start)	$1.30M (26×, 6.5 år)

Edge-attribution

Momentum rotation — Top-5 ROC fångar trend-vinnare, byter månadsvis.
STRICT_SKIP regim — Undviker bear-traps i 2022-typ ned-perioder.
DEEP-ITM SC — Δ0.90 maximerar premium-capture utan stor assignment-risk under hold.
80% extrinsic roll — Frigör kapital tidigt, sätter ny SC för nästa cykel.

Viktiga länkar & referenser

Research-rapport: ~/memory/pmcc_itm_dpmcc.md
Backtest-skript: ~/orats_optionsdata/backtests/pmcc_itm_rotation.py
Universe-svep: ~/orats_optionsdata/backtests/pmcc_itm_rotation_universes.py
Data-källa: ORATS Near-EOD parquets (utveckling) + Tastytrade live API (paper-bot)

Risk-disclosure

⚠️ Detta är PAPER-trading, INTE finansiell rådgivning.

Backtest har survivor-bias i universum-valet (Medium_19 valdes posterior). Real deploy förväntas ge lägre Calmar — typiskt 25-35% CAGR efter friktion på small accounts.

Strategi har explicit tail-risk: gap-down större än SC-strike − LEAP-strike (≈10% av spot) ger max-förlust på en ticker i en dag. Diversifiering över 5 tickers mildrar.

Om PMCC ITM Rotation paper-bot

Skapad: 2026-05-28

Bot ID: pmcc_rotation_paper

Status: SHADOW v1 (paper, no real orders)

Initial capital: $500,000

Backtest-resultat: Calmar 5.33 / CAGR 66.4% / DD −12.5% / 6.5 år

Källkod-paths

Utveckling (MacBook): /Users/matsahlgren/pmcc_rotation_paper/

Produktion (Mac Mini): /Users/svennestrunt/pmcc_rotation_paper/

Backtest-engine: ~/orats_optionsdata/backtests/pmcc_itm_rotation.py

Cron-schema (Mac Mini)

03:50 CET (Mon-Fri)	`com.matsahlgren.pmccrotation.plist` — daily_run.py
Var 5:e min, 15:30-22:00 CET	`mtm_loop.sh` — MtM update
Always-on	`com.matsahlgren.pmccrotation.dashboard.plist` — Flask app on :8881

State + loggar

Open positions	`state/positions.json`
Equity-historia	`state/equity.csv`
Trades-historia	`state/trades.csv`
Daily signals	`state/signals/signal_YYYY-MM-DD.json` + `latest.json`
Logs	`logs/daily.log`

Friktions-modell

Open commission	$1.00/contract (cap $10/leg)
Open reg fee	$0.14/contract
Close fee	$0.10/contract (no commission)
Slippage	10% av bid-ask spread (each side)
Data-källa MtM	Tastytrade live mid (chain_cache_ttl 60s)
Data-källa signal	ORATS parquet (dev) → yfinance fallback (Mini)

Strategi-detaljer

Universum-storlek	19 tickers (Medium_19)
Top-N selection	top-5 by ROC63 per månad
Regim-filter	SMA75 STRICT_SKIP
LEAP config	Δ0.85 entry · DTE 300-450 (target 365) · roll triggers
SC config	Δ0.9 DEEP ITM · DTE 4-9 (target 7, weekly Friday)
SC roll-rule	BTC + STO new när current_ext ≤ 20% av opening_ext

Dashboard-route + endpoints

Public URL: PMCCmomentumbot.ahlgrenonline.org

Port (Mini): 8881

JSON-snapshot: /api/state

Log tail: /api/log?n=100