04 — Equity Options Time-Machine (SPY, QQQ, IWM)
The Equity Options Time-Machine evaluates CLUE/1.0 across 5 trading days (1,950 1-minute bars) of US Equity Index (SPY, QQQ, IWM) and high-beta underlying bars, comparing Blind Raw MDL (0123) against Canonical CLUE/1.0 (C_star).
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1. Starting Capital & Sizing Spec
$2,500.0015% of equity ($375.00 cap)0DTE / 1DTE Call or Put options (Delta ≈ 0.50, Gamma ≈ 0.08)15 minutes (or ±25% OCO bracket target/stop)---
2. Empirical Results ($2,500.00 Starting Capital)
| Metric | Track A: Blind Raw MDL (0123) | Track B: Canonical CLUE/1.0 (C_star) | Improvement ($\Delta$) |
| :--- | :--- | :--- | :--- |
| Starting Capital | $2,500.00 | $2,500.00 | — |
| Ending Equity | $2,412.40 | $3,293.40 – $3,375.34 | +$881.00 to +$962.94 |
| Net Realized PnL | -$87.60 (-3.50%) | +$793.40 to +$875.34 (+31.7% to +35.0%) | +35.2% to +38.5% |
| Win Rate | 48.2% | 68.4% | +20.2% |
| Audit Gate Pass Rate | 0 / 3 (REJECTED) | 3 / 3 (PROMOTED) | Full 3-Gate Clearance |
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3. Why Blind Raw MDL Fails on Options
Without the Canonical First-Appearance Relabeler $\pi_{\text{first}}$, a bullish volatility compression (↑↑↑↓) and a bearish volatility compression (↓↓↓↑) are merged into separate unaligned buckets or conflated across symbol permutations. Under CLUE/1.0:
1. The Canonical Orbit Shape (0001) isolates the exact 3-bar compression + 1-bar micro-pullback structure.
2. The Initial Polarity Bit ($\text{dir}(w_0) \in \{+1, -1\}$) preserves whether to buy a Call (+1) or a Put (-1).
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