SPY 0DTE — KPI Dashboard

⚡ SPY 0DTE — KPI Dashboard (paper, gamma-explosion strategy)

2026-09-03 → 2026-11-02 | 41 trading days in last 60d | Generated 2026-11-02 13:00

30d 60d 90d 180d (all)360d (all)

Net P&L (actual)

+$749.60

+$704.00 booked, +$45.60 ghosts

Trades

192

91 W / 101 L

Win Rate

47.4%

EV +$3.67/trade

Profit Factor

1.16

avg W +$56.93 / L -$44.33

Green Days

24/41

avg hold 3.9 min

Ghost Events

net +$45.60

Equity Curve (cumulative, incl. ghosts)

Daily P&L

P&L by Exit Reason

Reason	N	Win%	P&L
peak_trail	72	100%	+$2,748.00
tp	19	100%	+$2,433.00
spy_stop	101	0%	-$4,477.00

P&L by Side

Side	N	Win%	P&L
call	91	51%	+$905.00
put	101	45%	-$201.00

P&L by Entry Hour

ORB Shadow Filter (observe-only, live since 2026-06-30)

Actual

+$704.00

If Filtered

+$728.00

Filter Effect

+$24.00

Blocked: 39 losses (-$1,645.00), 33 wins (+$1,621.00) over 41 shadow days

Entry	Trade	Bias	Exit	P&L
2026-09-03 10:03	put 768	call	peak_trail	+$38.00
2026-09-03 10:34	put 767	call	peak_trail	+$20.00
2026-09-03 10:41	put 768	call	spy_stop	-$57.00
2026-09-08 09:54	put 766	call	spy_stop	-$42.00
2026-09-08 11:23	put 767	call	spy_stop	-$52.00
2026-09-09 10:18	put 761	call	peak_trail	+$54.00
2026-09-09 10:39	put 763	call	spy_stop	-$21.00
2026-09-10 10:21	call 760	put	tp	+$155.00
2026-09-10 10:36	call 760	put	spy_stop	-$60.00
2026-09-10 10:55	call 761	put	spy_stop	-$42.00
2026-09-10 11:57	put 756	call	spy_stop	-$70.00
2026-09-11 10:07	put 765	call	spy_stop	-$36.00
2026-09-11 10:36	put 763	call	peak_trail	+$48.00
2026-09-11 10:55	put 764	call	peak_trail	+$10.00
2026-09-11 11:07	call 766	put	spy_stop	-$52.00
2026-09-11 11:18	call 767	put	peak_trail	+$48.00
2026-09-14 09:50	call 762	put	spy_stop	-$40.00
2026-09-14 10:21	put 759	call	tp	+$132.00
2026-09-14 11:35	call 761	put	peak_trail	+$30.00
2026-09-14 11:55	call 764	put	peak_trail	+$28.00
2026-09-16 09:48	call 760	put	spy_stop	-$25.00
2026-09-17 10:17	call 762	put	peak_trail	+$42.00
2026-09-17 11:19	call 762	put	spy_stop	-$36.00
2026-09-18 09:59	put 759	call	peak_trail	+$66.00
2026-09-22 10:13	call 776	put	spy_stop	-$70.00
2026-09-23 10:54	call 772	put	spy_stop	-$84.00
2026-09-24 10:57	put 764	call	peak_trail	+$27.00
2026-09-25 09:54	call 771	put	peak_trail	+$15.00
2026-09-25 10:02	put 768	call	peak_trail	+$32.00
2026-09-25 10:15	put 765	call	peak_trail	+$48.00
2026-09-25 10:32	put 767	call	spy_stop	-$14.00
2026-09-25 11:07	call 770	put	spy_stop	-$48.00
2026-09-25 11:56	call 770	put	tp	+$125.00
2026-09-29 10:53	call 767	put	spy_stop	-$40.00
2026-09-30 10:37	put 767	call	spy_stop	-$24.00
2026-10-02 09:57	put 768	call	spy_stop	-$34.00
2026-10-02 10:03	call 773	put	peak_trail	+$15.00
2026-10-02 10:20	call 773	put	spy_stop	-$60.00
2026-10-02 10:36	call 773	put	peak_trail	+$42.00
2026-10-02 10:49	call 774	put	spy_stop	-$50.00
2026-10-02 11:01	put 769	call	peak_trail	+$16.00
2026-10-02 11:05	put 769	call	peak_trail	+$18.00
2026-10-02 11:17	put 767	call	peak_trail	+$33.00
2026-10-02 11:55	put 767	call	spy_stop	-$56.00
2026-10-06 10:28	put 779	call	peak_trail	+$30.00
2026-10-07 11:14	call 777	put	spy_stop	-$63.00
2026-10-08 10:55	put 773	call	spy_stop	-$63.00
2026-10-09 10:53	call 778	put	spy_stop	-$24.00
2026-10-15 10:02	call 767	put	peak_trail	+$24.00
2026-10-15 10:34	call 768	put	spy_stop	-$11.00
2026-10-15 10:44	call 771	put	spy_stop	-$27.00
2026-10-15 10:56	call 771	put	spy_stop	-$40.00
2026-10-19 09:54	put 765	call	spy_stop	-$32.00
2026-10-19 10:15	call 770	put	peak_trail	+$48.00
2026-10-19 10:47	call 770	put	spy_stop	-$60.00
2026-10-19 10:55	call 768	put	peak_trail	+$22.00
2026-10-21 10:44	call 772	put	tp	+$112.00
2026-10-22 10:08	put 765	call	peak_trail	+$52.00
2026-10-22 10:25	put 764	call	tp	+$76.00
2026-10-22 10:33	put 761	call	spy_stop	-$22.00
2026-10-22 10:49	put 762	call	spy_stop	-$12.00
2026-10-23 10:18	put 758	call	peak_trail	+$16.00
2026-10-23 10:28	put 758	call	spy_stop	-$15.00
2026-10-26 10:09	put 761	call	spy_stop	-$66.00
2026-10-27 10:31	call 767	put	peak_trail	+$44.00
2026-10-27 10:58	call 770	put	tp	+$105.00
2026-10-28 10:05	call 773	put	spy_stop	-$34.00
2026-10-29 09:47	call 771	put	spy_stop	-$52.00
2026-10-29 10:00	call 770	put	peak_trail	+$50.00
2026-10-29 10:11	put 768	call	spy_stop	-$30.00
2026-10-29 10:49	put 766	call	spy_stop	-$57.00
2026-10-30 10:00	call 763	put	spy_stop	-$24.00

Daily Detail

Date	Trades	W/N	Booked	Ghosts	Actual
2026-11-02	1	1/1	+$136.00	—	+$136.00
2026-10-30	4	3/4	+$113.00	—	+$113.00
2026-10-29	7	2/7	-$187.00	—	-$187.00
2026-10-28	2	1/2	+$8.00	—	+$8.00
2026-10-27	4	2/4	+$61.00	—	+$61.00
2026-10-26	4	3/4	+$37.00	—	+$37.00
2026-10-23	4	2/4	+$127.00	—	+$127.00
2026-10-22	7	3/7	+$28.00	—	+$28.00
2026-10-21	6	2/6	+$39.00	—	+$39.00
2026-10-20	8	5/8	+$280.00	—	+$280.00
2026-10-19	7	4/7	+$25.00	—	+$25.00
2026-10-16	6	2/6	-$50.00	—	-$50.00
2026-10-15	7	1/7	-$175.00	—	-$175.00
2026-10-14	7	5/7	+$111.00	—	+$111.00
2026-10-12	2	0/2	-$96.00	—	-$96.00
2026-10-09	1	0/1	-$24.00	—	-$24.00
2026-10-08	1	0/1	-$63.00	—	-$63.00
2026-10-07	1	0/1	-$63.00	—	-$63.00
2026-10-06	2	2/2	+$144.00	—	+$144.00
2026-10-05	2	2/2	+$88.00	—	+$88.00
2026-10-02	12	6/12	-$158.00	—	-$158.00
2026-10-01	3	2/3	+$31.00	—	+$31.00
2026-09-30	7	3/7	+$36.00	—	+$36.00
2026-09-29	4	2/4	+$7.00	—	+$7.00
2026-09-28	5	4/5	+$319.00	—	+$319.00
2026-09-25	8	6/8	+$258.00	—	+$258.00
2026-09-24	4	2/4	-$4.00	—	-$4.00
2026-09-23	8	5/8	+$120.00	—	+$120.00
2026-09-22	3	0/3	-$140.00	—	-$140.00
2026-09-21	1	1/1	+$115.00	—	+$115.00
2026-09-18	3	2/3	+$12.00	—	+$12.00
2026-09-17	4	1/4	-$43.00	+$45.60	+$2.60
2026-09-16	2	0/2	-$55.00	—	-$55.00
2026-09-15	2	0/2	-$78.00	—	-$78.00
2026-09-14	5	3/5	+$106.00	—	+$106.00
2026-09-11	7	4/7	-$32.00	—	-$32.00
2026-09-10	7	1/7	-$179.00	—	-$179.00
2026-09-09	6	2/6	-$83.00	—	-$83.00
2026-09-08	6	1/6	-$194.00	—	-$194.00
2026-09-04	2	1/2	-$11.00	—	-$11.00
2026-09-03	10	5/10	+$138.00	—	+$138.00

Exit-Parameter Shadow Harness (observe-only — virtual twins, no orders)

Variant	Twin exits	Shadow P&L	vs Actual
baseline (mirrors live) (sanity check)	201	+$184.40	-$519.60
tight_trail (0.92)	193	-$665.10	-$1,369.10
wide_stop (0.25 / 1.0)	192	-$12.10	-$716.10
both	192	-$922.10	-$1,626.10
no_spy_stop (underlying stop OFF)	191	-$797.10	-$1,501.10

Twins run alternative exit rules on live quotes; they place no orders. Actual booked over the same 41 day(s): +$704.00. Baseline drift vs actual: -$519.60 — investigate before trusting variants.

Tight-Trail vs Baseline — Running Tally (apples-to-apples twins)

Cumulative Edge

-$849.50

tight_trail − baseline, 41 day(s)

Both series are twins fed the identical live quote stream — the only difference is the peak-trail giveback (0.92 vs live 0.88), so their delta is pure signal (immune to the baseline-vs-booked drift above). Tight_trail ahead on 12 day(s), behind on 18. Positive cumulative edge = the tighter trail is capturing more of the peak.

Date	Baseline	Tight_trail	Edge	Cum. Edge
2026-11-02	+$127.00	+$32.00	-$95.00	-$849.50
2026-10-30	+$74.50	+$107.00	+$32.50	-$754.50
2026-10-29	-$195.00	-$195.00	+$0.00	-$787.00
2026-10-28	+$0.00	+$8.00	+$8.00	-$787.00
2026-10-27	+$88.00	+$10.00	-$78.00	-$795.00
2026-10-26	+$17.00	+$4.00	-$13.00	-$717.00
2026-10-23	+$121.00	+$53.00	-$68.00	-$704.00
2026-10-22	+$7.00	-$4.00	-$11.00	-$636.00
2026-10-21	+$45.00	-$19.00	-$64.00	-$625.00
2026-10-20	+$254.00	+$66.00	-$188.00	-$561.00
2026-10-19	-$17.00	-$10.00	+$7.00	-$373.00
2026-10-16	-$69.00	-$95.00	-$26.00	-$380.00
2026-10-15	-$196.00	-$186.00	+$10.00	-$354.00
2026-10-14	+$66.00	+$146.00	+$80.00	-$364.00
2026-10-12	-$80.00	-$80.00	+$0.00	-$444.00
2026-10-09	-$30.00	-$30.00	+$0.00	-$444.00
2026-10-08	-$49.00	-$49.00	+$0.00	-$444.00
2026-10-07	-$49.00	-$49.00	+$0.00	-$444.00
2026-10-06	+$146.00	+$64.00	-$82.00	-$444.00
2026-10-05	+$66.00	+$88.00	+$22.00	-$362.00
2026-10-02	-$211.00	-$153.00	+$58.00	-$384.00
2026-10-01	+$9.00	+$9.00	+$0.00	-$442.00
2026-09-30	-$2.00	-$62.00	-$60.00	-$442.00
2026-09-29	-$19.00	-$46.00	-$27.00	-$382.00
2026-09-28	+$323.00	+$169.00	-$154.00	-$355.00
2026-09-25	+$226.00	+$201.00	-$25.00	-$201.00
2026-09-24	-$8.00	-$44.00	-$36.00	-$176.00
2026-09-23	+$124.00	+$51.00	-$73.00	-$140.00
2026-09-22	-$86.00	-$86.00	+$0.00	-$67.00
2026-09-21	+$125.00	+$70.00	-$55.00	-$67.00
2026-09-18	+$2.00	+$21.00	+$19.00	-$12.00
2026-09-17	-$55.00	-$46.00	+$9.00	-$31.00
2026-09-16	-$48.10	-$48.10	+$0.00	-$40.00
2026-09-15	-$78.00	-$78.00	+$0.00	-$40.00
2026-09-14	+$76.00	+$82.00	+$6.00	-$40.00
2026-09-11	-$68.00	-$40.00	+$28.00	-$46.00
2026-09-10	-$199.00	-$199.00	+$0.00	-$74.00
2026-09-09	-$121.00	-$151.00	-$30.00	-$74.00
2026-09-08	-$207.00	-$187.00	+$20.00	-$44.00
2026-09-04	-$25.00	-$25.00	+$0.00	-$64.00
2026-09-03	+$100.00	+$36.00	-$64.00	-$64.00

Fix #2 Shadow — Duplicate-Order Latch (observe-only, no order-flow change)

Shadow Events

would-latch fires

Ghosts Caught

0/1

same-day/symbol match

Shadow-log for the duplicate-order fix: logs where entry_pending would be latched on an ambiguous cancelled buy, without changing live order handling. Validates the fix before it ships.

When	Symbol	Outcome
No FIX2_SHADOW events yet — fires on the next ambiguous cancelled-buy race. Collecting.

Morning vs Afternoon — Cutoff What-If (entries before / at-or-after 12:00 ET)

Morning (<12:00)

+$752.00

191 trades · 91 W

Afternoon (12:00+)

-$48.00

1 trades · 0 W

If stopped at noon

+$48.00

effect vs booked +$704.00

Afternoon has been a net drag of -$48.00; stopping new entries at noon would have improved booked P&L by +$48.00. Observation only — not enforced by the bot.

Paper trading on Alpaca. Ghost events = duplicate fills recovered by the sweeper; included in actual P&L.

Disclaimer: Results are paper trading (simulated fills, no real money) and may differ materially from live trading. Past performance does not guarantee future results. 0DTE options carry a high risk of total loss. This is a personal project for educational purposes, not financial or investment advice.