SPY · Adaptive synthetic + hedge · ATM synthetic, hedge 0.5 %

Adaptive by previous session

Only the previous completed session selects the synthetic direction: close versus open above +0.2% is bullish, below −0.2% is bearish. The inclusive neutral band carries forward the last known non-neutral direction.

The current entry day does not determine the direction. Missing signal data or no known direction means no trade; the opposite spread is never substituted. Entry quotes, strikes, fees and expiry risk follow the same historical model as the fixed strategies.

The signal assumes that the completed daily bar is available before the next entry; historical provider revisions are not simulated. The initial direction is taken from the 30 calendar days before the test starts; if it cannot be determined, the entry is skipped.

Adaptive is a separate scenario. Its selected overview and chart show the same adaptive trades; ordinary fixed-strategy totals remain unchanged.

Historical bid/ask model

Protected synthetic position: three options, no premium-ratio filter

Bullish: buy a Call and sell a Put at the same nearest ATM strike K; buy a protective Put below K. Bearish: buy a Put and sell a Call at K; buy a protective Call above K. All three have the same expiry. The hedge targets 0.5% from K on the listed strike grid, not from the underlying price.

The sold option is not assumed to pay for the bought option. Signed entry credit = sold premium − both bought premiums; a negative value is an actual opening debit. Signed exit debit is positive when paid and negative when received. P&L = (entry credit − exit debit) × 100 − all six commissions.

The bullish upside has no strike cap; bearish gains are not capped by the hedge width but have a natural limit at an underlying price of zero. Theoretical maximum expiry loss is (distance from K to the hedge − signed entry credit) × 100 + fees. This does not guarantee that quoted closing costs stay inside the expiry payoff bounds.

Stress lowers the sold entry premium by 10% and raises both bought entry premiums by 10%. It always worsens the entry, including a net debit. Exit quotes and displayed original leg quotes are unchanged. There is no take-profit rule or 0.5% stop in these new scenarios.

Average profitable trade: $+326.43; Average losing trade: $-271.38. One three-option set, after fees, under the selected price assumption.

Contracts and strikes are selected from the chain available that day. At 09:35 New York, short legs sell at bid and long legs buy at ask using the latest quote within the current regular session. A quote remains current until updated. Positions close at the opposite bid/ask 15 minutes before the stock session ends on expiry day, including shortened sessions.

The model reserves $0.65 per leg for entry and again for exit. This conservative fee estimate includes long options valued at zero with exercise waived; their price is marked with an asterisk.

Published data period: 2026-01-01 to 2026-09-04.

Displayed prices are historical quotes, not confirmed simultaneous fills. Commissions apply on entry and exit. Early assignment, stock delivery, intraday stops, and financing are not simulated. Risk at expiry is theoretical; quoted closing costs can exceed the spread width.

Data coverage: 170 entries; 170 closed; 0 still open; 0 missing an exit quote.

Skipped entry opportunities: 0 for market data or contract checks; 0 without an expiry in the selected window. Counts use the selected ticker, strategy and shape.

For 11 closed trades, exit quote size cannot support the budget-sized position. The scaled total is incomplete; these trades remain in the one-contract results.