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research: books without leveraged ETFs vs QQQ for the $10k IBKR account (none beats QQQ on the gates)

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QQQ trend held in QQQ (no TQQQ), with Reg T margin above 1x, and its blends
with the momentum sleeve, at $1 an order on $10k, compared with QQQ raw and
at QQQ's design-period volatility. No construction raises Sharpe by 0.10 in
both periods. The trend's gain is crash avoidance (MaxDD -28% vs -83% since
1990); exploratory: at 2x margin it earns 17.0% vs 14.9% with MaxDD -50%.
The single-phase momentum series behind us_momentum_qqq_trend's 27.9% was 6pp
a year above the phase-averaged, delisting-aware stream.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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Gahow Wang
2026-10-12 23:44:35 -07:00
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@@ -122,6 +122,7 @@ PYTHONPATH=. uv run python -m research.lab.fetch_options snapshot|status # dail
PYTHONPATH=. uv run python -m research.lab.fetch_options backfill # OPRA daily option bars since 2024-02 for every S&P 500 member since then (resumable, ~2-3 h; pauses 16:10-16:55 NY); then builds volume_panel.csv.gz
PYTHONPATH=. uv run python -m research.lab.fetch_options volume-panel # date x underlying option volume (all 0-100 DTE strikes and the 5-100 DTE / 0.7-1.3 band), os_volume, pc_volume
PYTHONPATH=. uv run python -m research.lab.auction_audit [fetch] # overnight sleeve: Yahoo open/close vs the primary exchange's opening/closing cross prints (Alpaca SIP trades), 800 nights 2016-26 (preregistered; PASS 2026-10-12: +0.20 bp a side incl. SEC fee, the 1 bp backtest cost is conservative)
PYTHONPATH=. uv run python -m research.lab.no_letf_book # books without leveraged ETFs for the $10k IBKR account: QQQ trend held in QQQ (+ Reg T margin), momentum blends, vs QQQ at matched risk (preregistered; NONE BEATS QQQ 2026-10-13: Sharpe gain < 0.10; trend's gain is crashes, MaxDD -28% vs -83% since 1990; x2 margin 17.0% vs 14.9%)
PYTHONPATH=. uv run python -m research.lab.option_overlay [fetch] # leverage routes (Reg T margin, box, MES futures, calls) and S&P 500 puts (Cboe PPUT3M/PPUT held to expiry) for $10k-$100k accounts (preregistered; 2026-10-12: no route reaches 50% under Reg T, cap L 1.71 -> 36%/yr; puts B FAIL +1.0pp)
PYTHONPATH=. uv run --with numba python -m research.lab.option_volume # Johnson-So O/S and put/call volume on OPRA bars 2024-03..2026-09 (preregistered; STOP 2026-10-12: O/S sign reversed, t -1.6, corr -0.65 with momentum; put/call t 0.4)
uv run python -m research.lab.fetch_us_fundamentals --universe mid # EDGAR PIT facts for S&P 400 ever-members (name-checked CIKs)