Data Science — Strategy Inventory

This README is the authoritative inventory of all active research strategies and their pipeline status.

Status stages: research → backtested → walk-forward-pass → ready-for-feature-dev → in-product

Active Strategies

mc-regime-gate — Rolling-Income Monte Carlo + Regime-Aware Entry Gate

Documents: - Research package: docs/data-science/2026-05-06-rolling-income-monte-carlo-regime-gate.md - Reference impl: docs/data-science/reference-impl/mc_regime_gate/

Open questions before productization: 1. (OQ-1 — hard blocker) ORATS enterprise license confirmed? Production backtest blocked until yes. 2. (OQ-2) Minimum cycle count for "useful" output — 8/15 thresholds acceptable? 3. (OQ-3) HMM recalibration cadence — quarterly OK? Who owns the workflow? 4. (OQ-4) 3-state vs. 4-state HMM for initial ship — 3-state for all, or 4-state for credit spreads? 5. (OQ-5) Build the MC-vs-actual feedback loop in v1, or defer? 6. (OQ-6) Confirm CBOE free VIX data commercial use is in-scope with counsel.

Next step: Resolve OQ-1 (data licensing) with Matthew Crosby or contract counsel. Once resolved, this moves to backtested and the walk-forward validation can begin on real data.

lcc-income-cycle — Layered Covered Call Income Cycle

Documents: - Strategy spec: docs/data-science/2026-05-05-layered-covered-call-strategy.md - Data schema: docs/data-science/strategies/lcc-income-cycle/data-schema.md - Backtest config: docs/data-science/strategies/lcc-income-cycle/backtest-config.json - Failure modes: docs/data-science/strategies/lcc-income-cycle/failure-modes.md - Alert spec: docs/data-science/strategies/lcc-income-cycle/alert-spec.md - Model card: docs/data-science/strategies/lcc-income-cycle/model-card.md - Reference impl: docs/data-science/reference-impl/layered_covered_call/

Open questions before Phase 1 implementation: 1. Maximum acceptable debit on a roll? 2. Early assignment — same workflow as standard? 3. "Uncovered" shares — no call at all, or far-OTM allowed? 4. Sentiment label staleness threshold (proposed: 24 hours)? 5. LIFO default globally or configurable per account type?

Next step: Kristerpher resolves OQ-1 through OQ-5. Once confirmed, this moves to ready-for-feature-dev and the model card is handed to software-architect + feature-developer.

Prior Research (Pre-LCC)

Iron Condor / Credit Spread / CSP Framework (source brief)

Status: Source material ingested; not yet formalized into a strategy spec.

Source documents in docs/data-science/sources/: - strategy.md — core strategy description (iron condors, credit spreads, CSPs) - execution_workflow.md — current workflow gaps - strengths_weaknesses.md — Kristerpher's self-assessment - data_schema.json — original trade-tracking schema (iron condor oriented) - agent_prompt.txt — prior automation prompt - roadmap.md — original build plan

The LCC strategy (above) is the first formally specified and researched strategy. The iron condor / CSP strategies from the source brief are candidates for a second research sprint once LCC open questions are resolved.

Supporting Research

• docs/data-science/historical-options-data-vendors.md — vendor comparison for historical options data (ORATS, Tradier, CBOE DataShop, etc.)
• docs/data-science/markov-fit-analysis.md — prior Markov chain analysis (context for volatility regime modeling)

Backtest Artifacts

Run artifacts live under docs/data-science/backtests/<strategy-id>/<YYYY-MM-DD-run-id>/. No backtest runs have been executed yet. The lcc-income-cycle backtest config is ready; it requires confirmed access to historical options chain data (ORATS or Tradier subscription) before the run can produce valid results.

The mc-regime-gate demo runs on synthetic data and requires no historical options data. Production backtest is blocked on the ORATS enterprise licensing review.