Post-3:30 Trade Autopsy

Mandatory Forensic Review • 10 Diagnostic Questions • F01-F23 Failure Taxonomy • Counterfactual Replays

Reviewing Trade:TR-20260910-02

SESSION 1 BASELINE:0 Closed Trades Pending Autopsy. Automated forensic autopsy triggers post-15:30 IST.

Displaying Calibration Diagnostic Template

LOSS2026-09-10T15:48:22+05:30

NIFTY 24950 CE Forensic Breakdown

Realized Net Loss: ₹907.26 | Classification: AVOIDABLE_ERROR

Primary Failure Identified:F13: Theta decay

Time decay eroded option value while underlying moved sideways.

10-Point Post-Market Diagnostic Checklist

1. Was direction correct?NO (Directional Invalidation)

2. Was market regime classified correctly?YES (Range-Bound / Chop)

3. Was entry early/late/valid?LATE (Chased into resistance)

4. Was SL logically placed and realistically fillable?YES (Structure Low)

5. Was target consistent with volatility?YES (1.8x ATR)

6. For options: was strike/expiry/IV selection correct?NO (Same-week expiry suffered theta bleed)

7. Did spread/slippage materially affect outcome?YES (0.4 pts slippage exceeded threshold)

8. Which warnings were ignored?Critic Agent flagged intraday theta decay past 13:30; Bear Agent warned of 25,000 round number resistance wall; IV percent ranked 72nd percentile, exposing entry to volatility crush

9. Contributing Agent Attribution:Correct: bear, critic, theta_risk, iv | Miscalculated: bull, technical, options_direction

10. Outcome Classification:AVOIDABLE_ERROR

Counterfactual Replay Engine

Simulates plausible alternatives available at decision time (zero hindsight leakage):

CF-01: NO_TRADE+₹907.26 Edge

Followed Critic Agent theta veto to remain in NO_TRADE state.

Saved ₹907.26 total loss by avoiding low-velocity afternoon option buying.

CF-02: ALTERNATIVE_STRIKE+₹615.00 Edge

Selected Next-Week monthly expiry (Sep 24) instead of same-week weekly expiry.

Monthly option theta decay was -1.8 pts/day vs -8.4 pts/day on weekly.

CF-03: DELAYED_ENTRY+₹907.26 Edge

Wait for decisive 15-minute close above 25,000 resistance before buying.

Resistance held and market reversed; trade was never triggered.

Spawned Challenger Hypothesis

Candidate Hypothesis #HYP-THETA-01

"Tighten Theta Risk Agent veto threshold: prohibit options buying after 13:00 unless underlying RVOL exceeds 2.5x."

Bounded Parameter Adjustment:

Theta Risk Weight:0.12 → 0.20 (+0.08)

Consensus Threshold:0.75 → 0.78 (+0.03)

Max Allowed Spread:0.6% → 0.5% (-0.1%)