Notes

[{"sample":4,"return_pct":-3.234324856460724,"drawdown_event_pct":5.6909671178765775,"win_pct":25,"avg_win_pct":2.604885434978854,"avg_loss_pct":1.9340604454165928,"mean_pct":-0.7993239753177311,"quarter_kelly_risk_unit":-0.0767139280469181,"quarter_kelly_notional_unconstrained":-3.966470036069326,"mode":"barrier","split":"train","filter":"both","slippage":0.001,"return_vectorbt_pct":-3.234324856460731,"drawdown_mtm_pct":5.891576708754032},{"sample":4,"return_pct":-4.388577343542311,"drawdown_event_pct":6.535943064630578,"win_pct":25,"avg_win_pct":2.2975310418775985,"avg_loss_pct":2.227818361600846,"mean_pct":-1.0964810107312344,"quarter_kelly_risk_unit":-0.11931079392894334,"quarter_kelly_notional_unconstrained":-5.355499172886342,"mode":"barrier","split":"train","filter":"both","slippage":0.0025,"return_vectorbt_pct":-4.388577343542337,"drawdown_mtm_pct":6.594997154748617}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":6,"return_pct":-1.3719136693115086,"drawdown_event_pct":5.690967117876589,"win_pct":33.33333333333333,"avg_win_pct":2.752754304614935,"avg_loss_pct":1.687658134904399,"mean_pct":-0.207520655064621,"quarter_kelly_risk_unit":-0.01884663795790975,"quarter_kelly_notional_unconstrained":-1.116733156325962,"mode":"barrier","split":"train","filter":"momentum","slippage":0.001,"return_vectorbt_pct":-1.3719136693115246,"drawdown_mtm_pct":5.891576708754009},{"sample":6,"return_pct":-3.131342576766405,"drawdown_event_pct":6.535943064630567,"win_pct":33.33333333333333,"avg_win_pct":2.4449569682123418,"avg_loss_pct":1.982154152713006,"mean_pct":-0.50645044573789,"quarter_kelly_risk_unit":-0.05178521057041212,"quarter_kelly_notional_unconstrained":-2.6125723117716593,"mode":"barrier","split":"train","filter":"momentum","slippage":0.0025,"return_vectorbt_pct":-3.1313425767664707,"drawdown_mtm_pct":6.594997154748594}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":4,"return_pct":-3.234324856460724,"drawdown_event_pct":5.6909671178765775,"win_pct":25,"avg_win_pct":2.604885434978854,"avg_loss_pct":1.9340604454165928,"mean_pct":-0.7993239753177311,"quarter_kelly_risk_unit":-0.0767139280469181,"quarter_kelly_notional_unconstrained":-3.966470036069326,"mode":"barrier","split":"train","filter":"trend","slippage":0.001,"return_vectorbt_pct":-3.234324856460731,"drawdown_mtm_pct":5.891576708754032},{"sample":4,"return_pct":-4.388577343542311,"drawdown_event_pct":6.535943064630578,"win_pct":25,"avg_win_pct":2.2975310418775985,"avg_loss_pct":2.227818361600846,"mean_pct":-1.0964810107312344,"quarter_kelly_risk_unit":-0.11931079392894334,"quarter_kelly_notional_unconstrained":-5.355499172886342,"mode":"barrier","split":"train","filter":"trend","slippage":0.0025,"return_vectorbt_pct":-4.388577343542337,"drawdown_mtm_pct":6.594997154748617}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":12,"return_pct":2.2226617121898107,"drawdown_event_pct":4.349099228957876,"win_pct":50,"avg_win_pct":1.8754675253674653,"avg_loss_pct":1.474828189166618,"mean_pct":0.2003196681004238,"quarter_kelly_risk_unit":0.0267026308628264,"quarter_kelly_notional_unconstrained":1.8105587524683315,"mode":"barrier","split":"train","filter":"all","slippage":0.001,"return_vectorbt_pct":2.222661712189719,"drawdown_mtm_pct":4.55256317598749},{"sample":12,"return_pct":-1.3919131425197295,"drawdown_event_pct":5.773160210235306,"win_pct":41.66666666666667,"avg_win_pct":1.8893644080460126,"avg_loss_pct":1.5206862584203023,"mean_pct":-0.09983181405933776,"quarter_kelly_risk_unit":-0.013209708729850597,"quarter_kelly_notional_unconstrained":-0.8686675937726243,"mode":"barrier","split":"train","filter":"all","slippage":0.0025,"return_vectorbt_pct":-1.3919131425198685,"drawdown_mtm_pct":5.83269625511652}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":4,"return_pct":-2.9088780108426526,"drawdown_event_pct":7.583937607892388,"win_pct":75,"avg_win_pct":1.6646037385198653,"avg_loss_pct":7.583937607892388,"mean_pct":-0.647531598083198,"quarter_kelly_risk_unit":-0.09725011170811304,"quarter_kelly_notional_unconstrained":-1.2823168746392066,"mode":"calendar","split":"holdout","filter":"neither","slippage":0.001,"return_vectorbt_pct":-2.908878010842699,"drawdown_mtm_pct":7.583937607892411},{"sample":4,"return_pct":-4.067012533888126,"drawdown_event_pct":7.860771236709585,"win_pct":50,"avg_win_pct":2.1384706735509296,"avg_loss_pct":4.028757332992594,"mean_pct":-0.9451433297208323,"quarter_kelly_risk_unit":-0.11049290287336772,"quarter_kelly_notional_unconstrained":-2.742605070017773,"mode":"calendar","split":"holdout","filter":"neither","slippage":0.0025,"return_vectorbt_pct":-4.067012533888146,"drawdown_mtm_pct":7.860771236709551}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":5,"return_pct":4.812912070575703,"drawdown_event_pct":2.3556663838838032,"win_pct":60,"avg_win_pct":2.40639046069923,"avg_loss_pct":1.1799218939431644,"mean_pct":0.971865518842272,"quarter_kelly_risk_unit":0.1009671471353692,"quarter_kelly_notional_unconstrained":8.557104301026953,"mode":"calendar","split":"holdout","filter":"both","slippage":0.001,"return_vectorbt_pct":4.81291207057572,"drawdown_mtm_pct":3.502189359155905},{"sample":5,"return_pct":3.2524460717132664,"drawdown_event_pct":3.002773645597212,"win_pct":40,"avg_win_pct":3.1818967003393483,"avg_loss_pct":1.0055930333642493,"mean_pct":0.6694028601171897,"quarter_kelly_risk_unit":0.05259464111812604,"quarter_kelly_notional_unconstrained":5.23021136514527,"mode":"calendar","split":"holdout","filter":"both","slippage":0.0025,"return_vectorbt_pct":3.2524460717132797,"drawdown_mtm_pct":3.791249922884221}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":6,"return_pct":3.580158103129949,"drawdown_event_pct":3.504107327713424,"win_pct":50,"avg_win_pct":2.40639046069923,"avg_loss_pct":1.178663610755152,"mean_pct":0.6138634249720387,"quarter_kelly_risk_unit":0.06377429546426011,"quarter_kelly_notional_unconstrained":5.410729141234868,"mode":"calendar","split":"holdout","filter":"momentum","slippage":0.001,"return_vectorbt_pct":3.580158103129932,"drawdown_mtm_pct":4.990914110748069},{"sample":6,"return_pct":1.7323890630376093,"drawdown_event_pct":4.43074285457562,"win_pct":33.33333333333333,"avg_win_pct":3.1818967003393483,"avg_loss_pct":1.1222386002561369,"mean_pct":0.3124731666090249,"quarter_kelly_risk_unit":0.024550857243079226,"quarter_kelly_notional_unconstrained":2.187668222914075,"mode":"calendar","split":"holdout","filter":"momentum","slippage":0.0025,"return_vectorbt_pct":1.732389063037587,"drawdown_mtm_pct":5.275515178317136}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":5,"return_pct":4.812912070575703,"drawdown_event_pct":2.3556663838838032,"win_pct":60,"avg_win_pct":2.40639046069923,"avg_loss_pct":1.1799218939431644,"mean_pct":0.971865518842272,"quarter_kelly_risk_unit":0.1009671471353692,"quarter_kelly_notional_unconstrained":8.557104301026953,"mode":"calendar","split":"holdout","filter":"trend","slippage":0.001,"return_vectorbt_pct":4.81291207057572,"drawdown_mtm_pct":3.502189359155905},{"sample":5,"return_pct":3.2524460717132664,"drawdown_event_pct":3.002773645597212,"win_pct":40,"avg_win_pct":3.1818967003393483,"avg_loss_pct":1.0055930333642493,"mean_pct":0.6694028601171897,"quarter_kelly_risk_unit":0.05259464111812604,"quarter_kelly_notional_unconstrained":5.23021136514527,"mode":"calendar","split":"holdout","filter":"trend","slippage":0.0025,"return_vectorbt_pct":3.2524460717132797,"drawdown_mtm_pct":3.791249922884221}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":10,"return_pct":0.5671376604719613,"drawdown_event_pct":8.528861931071363,"win_pct":60,"avg_win_pct":2.035497099609547,"avg_loss_pct":2.779982110039461,"mean_pct":0.10930541574994401,"quarter_kelly_risk_unit":0.013424904384647746,"quarter_kelly_notional_unconstrained":0.48291333732565533,"mode":"calendar","split":"holdout","filter":"all","slippage":0.001,"return_vectorbt_pct":0.5671376604718432,"drawdown_mtm_pct":9.34100291359734},{"sample":10,"return_pct":-2.4050799511800003,"drawdown_event_pct":10.218924888494174,"win_pct":40,"avg_win_pct":2.660183686945139,"avg_loss_pct":2.0910781778349556,"mean_pct":-0.19057343192291798,"quarter_kelly_risk_unit":-0.017909800069273188,"quarter_kelly_notional_unconstrained":-0.8564863934363514,"mode":"calendar","split":"holdout","filter":"all","slippage":0.0025,"return_vectorbt_pct":-2.4050799511800136,"drawdown_mtm_pct":10.958271038012468}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":4,"return_pct":2.9761936150034973,"drawdown_event_pct":0.38204986202644564,"win_pct":75,"avg_win_pct":1.1135466350491452,"avg_loss_pct":0.38204986202644564,"mean_pct":0.7396475107802475,"quarter_kelly_risk_unit":0.16605669836800413,"quarter_kelly_notional_unconstrained":43.46466649332532,"mode":"calendar","split":"train","filter":"neither","slippage":0.001,"return_vectorbt_pct":2.976193615003467,"drawdown_mtm_pct":1.0312330122894675},{"sample":4,"return_pct":1.7478600409960077,"drawdown_event_pct":0.6804568479789053,"win_pct":50,"avg_win_pct":1.2285060309494944,"avg_loss_pct":0.3527451021497485,"mean_pct":0.43788046439987294,"quarter_kelly_risk_unit":0.0891083261637392,"quarter_kelly_notional_unconstrained":25.26139289268165,"mode":"calendar","split":"train","filter":"neither","slippage":0.0025,"return_vectorbt_pct":1.7478600409959455,"drawdown_mtm_pct":1.3276953608855613}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":4,"return_pct":1.027423910288805,"drawdown_event_pct":2.051491827060692,"win_pct":25,"avg_win_pct":3.14340238027242,"avg_loss_pct":0.6883609918112394,"mean_pct":0.2695798512096753,"quarter_kelly_risk_unit":0.021440132267310334,"quarter_kelly_notional_unconstrained":3.1146640385441247,"mode":"calendar","split":"train","filter":"both","slippage":0.001,"return_vectorbt_pct":1.027423910288789,"drawdown_mtm_pct":4.259939859672556},{"sample":4,"return_pct":-0.17766410401919286,"drawdown_event_pct":2.9290761993871595,"win_pct":25,"avg_win_pct":2.8344348520051854,"avg_loss_pct":0.9858504184194575,"mean_pct":-0.030779100813296822,"quarter_kelly_risk_unit":-0.0027147475969964974,"quarter_kelly_notional_unconstrained":-0.27537114619770087,"mode":"calendar","split":"train","filter":"both","slippage":0.0025,"return_vectorbt_pct":-0.17766410401921462,"drawdown_mtm_pct":4.3673177678208}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":6,"return_pct":4.32348063929251,"drawdown_event_pct":2.051491827060692,"win_pct":33.33333333333333,"avg_win_pct":3.697355913324807,"avg_loss_pct":0.7533835447003839,"mean_pct":0.7301962746413464,"quarter_kelly_risk_unit":0.0493728688662221,"quarter_kelly_notional_unconstrained":6.553483841468477,"mode":"calendar","split":"train","filter":"momentum","slippage":0.001,"return_vectorbt_pct":4.3234806392925265,"drawdown_mtm_pct":4.259939859672568},{"sample":6,"return_pct":2.4624514498214234,"drawdown_event_pct":2.9290761993871484,"win_pct":33.33333333333333,"avg_win_pct":3.3867290093735014,"avg_loss_pct":1.050678195326965,"mean_pct":0.42845753957319044,"quarter_kelly_risk_unit":0.0316276810446999,"quarter_kelly_notional_unconstrained":3.0102158001725305,"mode":"calendar","split":"train","filter":"momentum","slippage":0.0025,"return_vectorbt_pct":2.4624514498213728,"drawdown_mtm_pct":4.367317767820767}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":4,"return_pct":1.027423910288805,"drawdown_event_pct":2.051491827060692,"win_pct":25,"avg_win_pct":3.14340238027242,"avg_loss_pct":0.6883609918112394,"mean_pct":0.2695798512096753,"quarter_kelly_risk_unit":0.021440132267310334,"quarter_kelly_notional_unconstrained":3.1146640385441247,"mode":"calendar","split":"train","filter":"trend","slippage":0.001,"return_vectorbt_pct":1.027423910288789,"drawdown_mtm_pct":4.259939859672556},{"sample":4,"return_pct":-0.17766410401919286,"drawdown_event_pct":2.9290761993871595,"win_pct":25,"avg_win_pct":2.8344348520051854,"avg_loss_pct":0.9858504184194575,"mean_pct":-0.030779100813296822,"quarter_kelly_risk_unit":-0.0027147475969964974,"quarter_kelly_notional_unconstrained":-0.27537114619770087,"mode":"calendar","split":"train","filter":"trend","slippage":0.0025,"return_vectorbt_pct":-0.17766410401921462,"drawdown_mtm_pct":4.3673177678208}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

[{"sample":13,"return_pct":9.429951747065314,"drawdown_event_pct":1.218057456555588,"win_pct":53.84615384615385,"avg_win_pct":1.9199970874889338,"avg_loss_pct":0.7040583702083474,"mean_pct":0.7088945685517272,"quarter_kelly_risk_unit":0.09230412029932479,"quarter_kelly_notional_unconstrained":13.11029372067686,"mode":"calendar","split":"train","filter":"all","slippage":0.001,"return_vectorbt_pct":9.429951747065275,"drawdown_mtm_pct":4.259939859672546},{"sample":13,"return_pct":5.244320354821541,"drawdown_event_pct":2.1368568290401457,"win_pct":46.15384615384615,"avg_win_pct":1.8879822277517129,"avg_loss_pct":0.862005429556997,"mean_pct":0.407219643047023,"quarter_kelly_risk_unit":0.0539226001523273,"quarter_kelly_notional_unconstrained":6.2554826574629905,"mode":"calendar","split":"train","filter":"all","slippage":0.0025,"return_vectorbt_pct":5.244320354821383,"drawdown_mtm_pct":4.259939859672556}] Rates/returns/drawdowns in percent; Kelly notional is unconstrained binary approximation, risk-unit fraction distinct. No adoption. Fees5bp,slip10/25bp eachside. Protocol note594. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/analyze.py

{"date":"2026-07-01","notice":"2026-06-03","source":"https://investors.generalmills.com/press-releases/press-release-details/2026/General-Mills-to-Webcast-Fiscal-2026-Fourth-Quarter-and-Full-Year-Earnings-Results-on-July-1-2026/default.aspx","entry":"2026-06-24","exit":"2026-06-29","entry_price":34.04,"exit_price":35.77,"atr":0.9200000000000005,"indicators_valid":true,"trend":true,"momentum":true,"mom20":0.022342995169082114,"atrpct":0.027027027027027042,"barrier_exit":"2026-06-26","barrier_price":35.42,"barrier_reason":"target","ambiguous":false,"split":"holdout","year":2026,"SPY_gross":0.00838437457465635,"XLP_gross":0.004285714285714226} https://investors.generalmills.com/press-releases/press-release-details/2026/General-Mills-to-Webcast-Fiscal-2026-Fourth-Quarter-and-Full-Year-Earnings-Results-on-July-1-2026/default.aspx ; Alpaca IEX daily bars

{"date":"2026-03-18","notice":"2026-02-25","source":"https://investors.generalmills.com/press-releases/press-release-details/2026/General-Mills-to-Webcast-Fiscal-2026-Third-Quarter-Earnings-Results-on-March-18-2026/default.aspx","entry":"2026-03-11","exit":"2026-03-16","entry_price":40.65,"exit_price":37.68,"atr":0.9992857142857134,"indicators_valid":true,"trend":false,"momentum":false,"mom20":-0.12115343232192799,"atrpct":0.024582674398172532,"barrier_exit":"2026-03-11","barrier_price":39.65071428571429,"barrier_reason":"stop","ambiguous":false,"split":"holdout","year":2026,"SPY_gross":-0.01286216565045184,"XLP_gross":-0.006394316163410352} https://investors.generalmills.com/press-releases/press-release-details/2026/General-Mills-to-Webcast-Fiscal-2026-Third-Quarter-Earnings-Results-on-March-18-2026/default.aspx ; Alpaca IEX daily bars

{"date":"2025-12-17","notice":"2025-11-19","source":"https://investors.generalmills.com/press-releases/press-release-details/2025/General-Mills-to-Webcast-Fiscal-2026-Second-Quarter-Earnings-Results-on-Dec--17-2025/default.aspx","entry":"2025-12-10","exit":"2025-12-15","entry_price":43.62,"exit_price":44.83,"atr":0.8414285714285705,"indicators_valid":true,"trend":false,"momentum":false,"mom20":-0.012942779291553186,"atrpct":0.019289971834676078,"barrier_exit":"2025-12-15","barrier_price":44.88214285714285,"barrier_reason":"target","ambiguous":false,"split":"holdout","year":2025,"SPY_gross":-0.002644486467320628,"XLP_gross":0.01880632101345192} https://investors.generalmills.com/press-releases/press-release-details/2025/General-Mills-to-Webcast-Fiscal-2026-Second-Quarter-Earnings-Results-on-Dec--17-2025/default.aspx ; Alpaca IEX daily bars

{"date":"2025-09-17","notice":"2025-08-27","source":"https://investors.generalmills.com/press-releases/press-release-details/2025/General-Mills-to-Webcast-Fiscal-2026-First-Quarter-Earnings-Results-on-Sept--17-2025/default.aspx","entry":"2025-09-10","exit":"2025-09-15","entry_price":46.98,"exit_price":46.1,"atr":0.7664285714285707,"indicators_valid":true,"trend":true,"momentum":true,"mom20":0.02068074105988793,"atrpct":0.016313932980599632,"barrier_exit":"2025-09-15","barrier_price":46.21357142857143,"barrier_reason":"stop","ambiguous":false,"split":"holdout","year":2025,"SPY_gross":0.011060749037018924,"XLP_gross":-0.012651757188498314} https://investors.generalmills.com/press-releases/press-release-details/2025/General-Mills-to-Webcast-Fiscal-2026-First-Quarter-Earnings-Results-on-Sept--17-2025/default.aspx ; Alpaca IEX daily bars

{"date":"2025-06-25","notice":"2025-06-04","source":"https://investors.generalmills.com/press-releases/press-release-details/2025/General-Mills-to-Webcast-Fiscal-2025-Fourth-Quarter-and-Full-Year-Earnings-Results-on-June-25-2025/default.aspx","entry":"2025-06-17","exit":"2025-06-23","entry_price":49.52,"exit_price":49.72,"atr":0.8385714285714282,"indicators_valid":true,"trend":false,"momentum":false,"mom20":-0.028866783694168174,"atrpct":0.016933994922686352,"barrier_exit":"2025-06-23","barrier_price":49.72,"barrier_reason":"time","ambiguous":false,"split":"holdout","year":2025,"SPY_gross":0.002737133781637535,"XLP_gross":0.012139023766930546} https://investors.generalmills.com/press-releases/press-release-details/2025/General-Mills-to-Webcast-Fiscal-2025-Fourth-Quarter-and-Full-Year-Earnings-Results-on-June-25-2025/default.aspx ; Alpaca IEX daily bars

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