{
  "run": {
    "name": "V4 trend+IV + SMH weekly put-spread sleeve, combined single-ledger public record",
    "window_start": "2021-01-04",
    "window_end": "2026-08-14",
    "initial_capital_usd": 25000,
    "evaluation": "hourly bars, one decision window per trading day at 15:00 ET",
    "nav_marking": "daily close",
    "pricing": "Black-Scholes mid pricing for every option mark and fill on both the QQQ LEAPS/PMCC core and the SMH weekly put-spread sleeve (MID_FILL=1: no slippage haircut beyond modeled spread mid, commissions charged)",
    "data": {
      "qqq_1h": "hourly QQQ bars",
      "qqq_1d": "daily QQQ bars",
      "vix_1d": "daily VIX close",
      "vix3m_1d": "daily VIX3M close",
      "irx_1d": "daily 13-week T-bill yield, used as the risk-free rate (forward-filled, 4.5% fallback)",
      "smh_1d": "daily SMH bars, 0.25-delta 14-DTE $30-wide put-spread sleeve priced off realized vol with regime-conditional skew"
    },
    "account_mode": "Strict cash account (IRA): no leverage. LEAPS purchases constrained to free cash; SMH sleeve collateral drawn from the same ledger. Sleeve activates only when NAV >= $25,000 (MIN_COMBINED).",
    "caps": "Scale-up-only caps (SCALE_CAPS=1, CAP_REF=20000): LEAPS 5 contracts and SMH 3 spreads at $20k reference, scaling up with NAV; smaller accounts keep base caps and skip unaffordable trades."
  },
  "entry_conditions_all_required": {
    "regime_not_bear": "3-state Gaussian HMM decoded causally (no look-ahead); BEAR and BEAR_SMA_FORCED block entry",
    "vix_below": 40.0,
    "price_above_sma100": true,
    "rsi14_below": 35.0,
    "gap_down_at_least": 0.003,
    "ml_confidence_at_least": 0.43,
    "put_demand_proxy_at_most": 1.5
  },
  "leaps_selection": {
    "bull_strong": {
      "delta": 0.85,
      "dte": 365,
      "size_multiplier": 1.0
    },
    "bull_moderate": {
      "delta": 0.8,
      "dte": 540,
      "size_multiplier": 0.85
    },
    "other": {
      "delta": 0.65,
      "dte": 730,
      "size_multiplier": 0.5
    },
    "max_positions": 3,
    "max_position_pct_of_nav": 0.33,
    "max_contracts": 5,
    "cash_reserve_pct": 0.05
  },
  "pmcc_overlay": {
    "short_call_dte": 32,
    "target_delta_bull_strong": 0.28,
    "target_delta_bull_moderate": 0.23,
    "target_delta_defensive": 0.15,
    "gates": {
      "skip_strong_trend": "regime BULL_STRONG and ADX14 >= 16",
      "skip_low_vrp": "implied vol below 0.7x realized vol",
      "skip_high_put_demand": "put demand proxy above 1.2 (never triggered in window)",
      "skip_trend_thinpremium_v4": "ADX14 >= 25 and implied vol below realized vol"
    },
    "management": {
      "profit_take_early_pct": 0.2,
      "profit_take_late_pct": 0.1,
      "gamma_manage_dte": 21,
      "loss_multiple_of_credit": 2.0,
      "roll_delta": 0.4
    }
  },
  "adaptive_exits": {
    "exit_delta_low_bull": 0.55,
    "exit_delta_low_bear": 0.7,
    "exit_dte_min_bull": 60,
    "exit_dte_min_bear": 120
  },
  "costs": {
    "commission_per_contract_usd": 1.0,
    "slippage_half_spread_of_premium_by_vix": {
      "vix_below_18": 0.0035,
      "vix_18_to_25": 0.006,
      "vix_25_to_35": 0.01,
      "vix_35_plus": 0.02
    }
  },
  "iv_model": {
    "base": "VIX close divided by 100",
    "multiplier_by_vix": {
      "vix_below_18": 1.3,
      "vix_18_to_25": 1.22,
      "vix_25_to_35": 1.1,
      "vix_35_plus": 0.65
    },
    "qqq_premium_longs": 1.1,
    "short_scale": 1.12
  },
  "ml_confidence": "precomputed walk-forward model output shipped as data; model internals are not published",
  "sensitivity_note": "entry_ml_min 0.45 instead of 0.43 excludes one trade (2026-07-28) and yields 35.3% CAGR instead of 36.3% over the same window"
}