Summary

This project offers a Python-based quant trading research framework for short-term reversal option setups, focusing on identifying opportunities after large intraday drawdowns. It provides tools for backtesting, estimating option profitability, and live paper trading, aiming to systematically capitalize on market reversals for technically savvy users.

How It Works

The strategy analyzes large intraday drawdowns within a curated universe (qqq_plus_leverage_etfs: QQQ constituents, SOXL, UPRO) using a 60-day lookback and a minimum 0.5% drop threshold. It trades near-ATM calls (~30 DTE) with staged exits and estimates profitability via Black-Scholes/GBM simulations. A live paper trading pipeline includes no-lookahead scans and execution guards.

Quick Start & Requirements

• Install: pip install numpy pandas matplotlib scipy yfinance notebook.
• Run: Execute Jupyter notebooks (jupyter notebook Reversal3.2.2.ipynb). Market data refresh via update_reversal_csv.ipynb.
• Prerequisites: Python, Jupyter, and downloadable market data.
• Docs: RESEARCH_GUARDRAILS.md outlines research discipline.

Highlighted Details

• Backtest Performance: Official Reversal 3.2.2 (2025-03-31 to 2026-03-31) shows +1709.09% return, -44.30% max DD, 63.33% win rate, 4.28 Sharpe.
• Optimized Universe: qqq_plus_leverage_etfs (QQQ constituents + SOXL + UPRO) selected as optimal.
• Staged Optimization: Clear path documented: universe selection, factor refinement (60d window), minimum drop filter (> 0.5%).
• Live Execution: Robust pipeline with no-lookahead scans, option liquidity gates, share fallback, and NYSE holiday protection.

Maintenance & Community

Clear version history details incremental research and execution upgrades. RESEARCH_GUARDRAILS.md governs future development. No community channels are listed.

Licensing & Compatibility

Explicit "All Rights Reserved" copyright. Not open-source; reuse, modification, or distribution requires prior written permission, posing a significant adoption barrier.

Limitations & Caveats

The strict "All Rights Reserved" license prohibits reuse or modification without consent. The strategy is highly optimized for the qqq_plus_leverage_etfs universe, limiting generalizability. Adherence to RESEARCH_GUARDRAILS.md is crucial for any future development.