{
  "id": 11375,
  "rank": 1167,
  "name": "put credit spread with LSTM",
  "aka": [
    "put credit spread trading with LSTM",
    "volatility-based put credit spread"
  ],
  "family": "I",
  "subtype": "I1",
  "one_liner": "Trades SPY put credit spreads based on LSTM-predicted volatility changes.",
  "market_regime": "volatile",
  "timeframes": [
    "D1"
  ],
  "symbols": [
    "SPY"
  ],
  "sessions": [
    "any"
  ],
  "indicators": [
    {
      "name": "SPY close",
      "params": {},
      "applied_to": "close"
    },
    {
      "name": "VIX close",
      "params": {},
      "applied_to": "close"
    },
    {
      "name": "MACD",
      "params": {},
      "applied_to": "close"
    },
    {
      "name": "Bollinger Bands",
      "params": {},
      "applied_to": "close"
    },
    {
      "name": "Realized Volatility",
      "params": {
        "period": 20
      },
      "applied_to": "close"
    }
  ],
  "entry_long": [
    "model forecasts rising volatility",
    "model accuracy >= 50%"
  ],
  "entry_short": [],
  "exit_rules": [
    "model forecasts falling volatility",
    "model accuracy drops below 50%"
  ],
  "filters": [
    "model accuracy >= 50%",
    "strike within ±15 of underlying",
    "expiration between 50 and 100 days"
  ],
  "stop_loss": "-2.5% unrealized P&L triggers full liquidation",
  "take_profit": null,
  "position_size": "min net premium as % of max risk: 0.05",
  "evidence_type": "backtest_shown",
  "completeness": 80.0,
  "signal_warnings": null,
  "claim_warnings": [
    "THIN SAMPLE: 39 trades - below the ~100 needed before a win rate or profit factor carries much information."
  ],
  "opacity_warnings": [
    "UNDEFINED ENTRY TERM: the entry conditions are prose naming a concept with no numeric definition, so two readers would implement them differently. Advisory only -- this does not affect the score."
  ],
  "build_warnings": [
    "DAILY_LOW_COUNT: daily-or-slower timeframe on a single instrument. Expect well under 100 trades in five years, so a backtest will rarely reach statistical significance on its own."
  ],
  "canonical": "https://prismaticalgos.com/compendium/algo/11375-put-credit-spread-with-lstm",
  "snapshot": "2026-10-31 15:46 UTC",
  "source_url": "https://github.com/ikinikar/lstm-put-credit-spread",
  "limitations": "These are machine-extracted research records, not verified trading systems. Catalog rank measures specification detail and claimed evidence, not profitability. The catalog extraction pipeline did not independently backtest these records. Its separate selected testing ledger does not validate the wider corpus. Rules, labels and parameters can be incomplete or wrong; consult the original source and its reuse terms."
}