Strategy 3 is a realistic delta-hedging strategy using random walk deltas plus MSFT order book data. At regular intervals, it evaluates net delta and trades a portion to get flat, enforcing a minimum time between hedges. Hedge trades use fill-or-kill limit orders priced from synthetic mid and spread, with a fixed exchange delay before execution.
A synthetic book persists consumed liquidity. We track: Stock position and options delta; Net delta of the combined portfolio; Realized and unrealized P&L from stock trades; Equity and maximum drawdown.
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| Model | Mean MAE↓ | Best Run MAE↓ | Executable Passes↓ |
|---|---|---|---|
| gpt-5.2 | 1,369.59 | 1,365.42 | 5 |
| grok-4 | 1,482.33 | 1,013.33 | 5 |
| gemini-3-pro-preview | 4,595.52 | 1,013.99 | 5 |
| gpt-5.1-codex-max | 10,496.40 | 1,370.72 | 5 |
| deepseek-v3.2 | 14,724.36 | 1,127.14 | 5 |
| claude-sonnet-4.5 | 16,157.31 | 805.16 | 5 |
| claude-opus-4.5 | 18,945.34 | 1,370.72 | 2 |
| llama-4-maverick | 21,279.52 | 20,418.58 | 1 |
| nova-premier-v1 | 21,345.75 | 21,345.75 | 0 |
| llama-3.1-nemotron-ultra | 21,345.75 | 21,345.75 | 0 |
| command-a | 21,369.58 | 19,852.90 | 2 |
| mistral-large-2512 | 63,683.24 | 1,351.55 | 4 |
| qwen3-max | 329,700.43 | 1,087.64 | 5 |