Notes

Sep10comparison;offset_hours,mean/maxabsoluteOHLCbp,materialdaycount>.01bp;only24hourdays. [{"offset":-12,"n":364,"mean_bp":195.773955825936,"max_bp":2173.3577709472906,"material_days":364},{"offset":-11,"n":364,"mean_bp":188.89995835695984,"max_bp":2173.3577709472906,"material_days":364},{"offset":-10,"n":364,"mean_bp":176.73960432884547,"max_bp":2173.3577709472906,"material_days":364},{"offset":-9,"n":364,"mean_bp":161.60917046578413,"max_bp":2173.3577709472906,"material_days":364},{"offset":-8,"n":364,"mean_bp":137.2536980694916,"max_bp":1624.6111495425075,"material_days":364},{"offset":-7,"n":364,"mean_bp":120.90710794996157,"max_bp":1624.6111495425075,"material_days":364},{"offset":-6,"n":364,"mean_bp":101.14369786125792,"max_bp":1624.6111495425075,"material_days":364},{"offset":-5,"n":364,"mean_bp":89.08358315628458,"max_bp":1567.79940237197,"material_days":364}] https://runway.adityaperswal.workers.dev/data/crypto-bars

ReadSep10~04:07. EmpiricalsplitJuly13chosenafterseeingseries,notprospectivetradingthreshold;full24hourdays. {"pre20250713":{"n":285,"mean_signed_bp":0.25750882220246385,"min_bp":-9.220802437385212,"max_bp":9.02301262236671,"positive":150,"negative":135,"zero":0},"post20250713":{"n":422,"mean_signed_bp":0.007688003487765797,"min_bp":0,"max_bp":3.2443374718371665,"positive":1,"negative":0,"zero":421}} July12control {"daily_close":2943.12,"last_minute":{"c":2944.0465,"h":2944.0465,"l":2944.0465,"n":0,"o":2944.0465,"t":"2025-07-12T23:58:00Z","v":0,"vw":2944.0465},"daily_close_matched_fields":{"o":["2025-07-12T23:57:00Z"],"h":["2025-07-12T23:57:00Z"],"l":["2025-07-12T23:57:00Z"],"c":["2025-07-12T23:57:00Z"]}} https://runway.adityaperswal.workers.dev/data/crypto-bars

Sep10audit;OHLo1bp dates ["2024-12-05","2024-12-22","2024-12-31","2025-01-13","2025-01-19","2025-02-02","2025-02-06","2025-02-25","2025-06-05","2025-06-12","2025-07-10","2025-07-11","2025-11-23","2025-11-26","2025-11-29","2025-12-02","2025-12-03","2025-12-07","2025-12-08","2025-12-13","2025-12-14","2025-12-18"];volumeover1%dates ["2025-11-23","2025-11-26","2025-11-29","2025-12-02","2025-12-03","2025-12-07","2025-12-08","2025-12-13","2025-12-14","2025-12-18","2026-03-06","2026-03-12","2026-04-10"];2025monthlyclosematerialcount {"1":31,"2":28,"3":31,"4":30,"5":31,"6":30,"7":12,"8":0,"9":0,"10":0,"11":1,"12":0} https://runway.adityaperswal.workers.dev/data/crypto-bars

Sep10comparison;offset_hours,mean/maxabsoluteOHLCbp,materialdaycount>.01bp;only24hourdays. [{"offset":4,"n":364,"mean_bp":43.15613907629519,"max_bp":514.2629932538267,"material_days":364},{"offset":5,"n":364,"mean_bp":48.57168660556382,"max_bp":519.6482647358081,"material_days":364},{"offset":6,"n":364,"mean_bp":52.080343283905734,"max_bp":567.7550909533269,"material_days":364},{"offset":7,"n":364,"mean_bp":57.93056854262454,"max_bp":639.4353115044937,"material_days":364},{"offset":8,"n":364,"mean_bp":62.54566047085622,"max_bp":663.5721752303169,"material_days":364},{"offset":9,"n":364,"mean_bp":66.36234348055464,"max_bp":696.1804748706446,"material_days":364},{"offset":10,"n":364,"mean_bp":69.9747451097581,"max_bp":680.2274389796015,"material_days":364},{"offset":11,"n":364,"mean_bp":72.6850170242419,"max_bp":658.8421442227532,"material_days":364}] https://runway.adityaperswal.workers.dev/data/crypto-bars

Sep10comparison;offset_hours,mean/maxabsoluteOHLCbp,materialdaycount>.01bp;only24hourdays. [{"offset":-4,"n":364,"mean_bp":44.51253559027486,"max_bp":1222.6002216925847,"material_days":364},{"offset":-3,"n":364,"mean_bp":36.219131425311595,"max_bp":990.789851966718,"material_days":364},{"offset":-2,"n":364,"mean_bp":28.03303584402337,"max_bp":565.6372751528482,"material_days":364},{"offset":-1,"n":364,"mean_bp":16.942451111695508,"max_bp":548.1953357513303,"material_days":364},{"offset":0,"n":364,"mean_bp":2.21300062121337,"max_bp":584.3715455711418,"material_days":203},{"offset":1,"n":364,"mean_bp":21.145471346899043,"max_bp":556.9232904352051,"material_days":364},{"offset":2,"n":364,"mean_bp":30.085412712392518,"max_bp":564.8604346949148,"material_days":364},{"offset":3,"n":364,"mean_bp":37.70728890066419,"max_bp":554.3279326462525,"material_days":364}] https://runway.adityaperswal.workers.dev/data/crypto-bars

Sep10comparison;offset_hours,mean/maxabsoluteOHLCbp,materialdaycount>.01bp;only24hourdays. [{"offset":-12,"n":364,"mean_bp":114.47441238580575,"max_bp":1593.1635351610018,"material_days":364},{"offset":-11,"n":364,"mean_bp":110.86720625166056,"max_bp":1593.1635351610018,"material_days":364},{"offset":-10,"n":364,"mean_bp":104.1209114319296,"max_bp":1593.1635351610018,"material_days":364},{"offset":-9,"n":364,"mean_bp":95.7826473271058,"max_bp":1593.1635351610018,"material_days":364},{"offset":-8,"n":364,"mean_bp":81.0427649144887,"max_bp":1468.0434326580216,"material_days":364},{"offset":-7,"n":364,"mean_bp":70.68261845787178,"max_bp":1449.1370917760182,"material_days":364},{"offset":-6,"n":364,"mean_bp":59.25106029150293,"max_bp":1383.001191895208,"material_days":364},{"offset":-5,"n":364,"mean_bp":52.24854859309989,"max_bp":1352.446231942883,"material_days":364}] https://runway.adityaperswal.workers.dev/data/crypto-bars

ReadSep10~04:07. EmpiricalsplitJuly13chosenafterseeingseries,notprospectivetradingthreshold;full24hourdays. {"pre20250713":{"n":284,"mean_signed_bp":0.2112958889617597,"min_bp":-8.223116490733151,"max_bp":9.475313838558376,"positive":142,"negative":142,"zero":0},"post20250713":{"n":423,"mean_signed_bp":0.020910855892694192,"min_bp":-0.2113274200699066,"max_bp":3.1982457520962626,"positive":5,"negative":1,"zero":417}} July12control {"daily_close":117451.894,"last_minute":{"c":117447.2,"h":117451.894,"l":117447.2,"n":0,"o":117451.894,"t":"2025-07-12T23:57:00Z","v":0,"vw":117449.547},"daily_close_matched_fields":{"o":["2025-07-12T23:57:00Z"],"h":["2025-07-12T23:57:00Z"],"l":[],"c":[]}} https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"daily_matched","slow":50,"year":2025,"slip":0.002,"return":-21.664653,"drawdown":35.512542,"n":23,"win_rate":65.217391,"avg_win":3.141705,"avg_loss":8.136202,"mean":-0.781045,"ci":[-3.823593,1.990877],"quarter_kelly":0,"exposure_bars":63},{"s":"SOL","source":"daily_matched","slow":50,"year":2026,"slip":0.001,"return":-18.976834,"drawdown":25.808865,"n":8,"win_rate":62.5,"avg_win":1.097891,"avg_loss":8.431733,"mean":-2.475718,"ci":[-5.986695,0.352542],"quarter_kelly":0,"exposure_bars":28},{"s":"SOL","source":"daily_matched","slow":50,"year":2026,"slip":0.002,"return":-20.262892,"drawdown":26.400028,"n":8,"win_rate":62.5,"avg_win":0.895897,"avg_loss":8.614687,"mean":-2.670572,"ci":[-6.204927,0.292999],"quarter_kelly":0,"exposure_bars":28}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"ETH","source":"daily_matched","slow":50,"year":2026,"slip":0.001,"return":-3.418903,"drawdown":14.50495,"n":14,"win_rate":57.142857,"avg_win":2.197373,"avg_loss":3.318307,"mean":-0.166489,"ci":[-2.326406,1.74843],"quarter_kelly":0,"exposure_bars":39},{"s":"ETH","source":"daily_matched","slow":50,"year":2026,"slip":0.002,"return":-6.085671,"drawdown":15.124605,"n":14,"win_rate":57.142857,"avg_win":1.993182,"avg_loss":3.511477,"mean":-0.365957,"ci":[-2.597658,1.551507],"quarter_kelly":0,"exposure_bars":39},{"s":"SOL","source":"daily_matched","slow":50,"year":2025,"slip":0.001,"return":-17.977054,"drawdown":34.01204,"n":23,"win_rate":65.217391,"avg_win":3.348196,"avg_loss":7.95229,"mean":-0.582408,"ci":[-3.729553,2.176683],"quarter_kelly":0,"exposure_bars":63}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"BTC","source":"daily_matched","slow":50,"year":2026,"slip":0.002,"return":-13.166593,"drawdown":14.35173,"n":14,"win_rate":28.571429,"avg_win":1.316967,"avg_loss":1.892296,"mean":-0.975364,"ci":[-2.251517,0.205154],"quarter_kelly":0,"exposure_bars":38},{"s":"ETH","source":"daily_matched","slow":50,"year":2025,"slip":0.001,"return":14.298593,"drawdown":25.680036,"n":19,"win_rate":52.631579,"avg_win":5.147839,"avg_loss":3.787318,"mean":0.915396,"ci":[-1.866492,4.221504],"quarter_kelly":0.044455,"exposure_bars":66},{"s":"ETH","source":"daily_matched","slow":50,"year":2025,"slip":0.002,"return":10.036725,"drawdown":26.419534,"n":19,"win_rate":52.631579,"avg_win":4.937753,"avg_loss":3.979551,"mean":0.713767,"ci":[-2.040559,3.790024],"quarter_kelly":0.036138,"exposure_bars":66}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"BTC","source":"daily_matched","slow":50,"year":2025,"slip":0.001,"return":-4.325501,"drawdown":17.108647,"n":20,"win_rate":65,"avg_win":1.060627,"avg_loss":2.533264,"mean":-0.197235,"ci":[-1.210766,0.671887],"quarter_kelly":0,"exposure_bars":51},{"s":"BTC","source":"daily_matched","slow":50,"year":2025,"slip":0.002,"return":-8.076961,"drawdown":18.587347,"n":20,"win_rate":55,"avg_win":1.023554,"avg_loss":2.132436,"mean":-0.396641,"ci":[-1.396139,0.482787],"quarter_kelly":0,"exposure_bars":51},{"s":"BTC","source":"daily_matched","slow":50,"year":2026,"slip":0.001,"return":-10.700893,"drawdown":12.359118,"n":14,"win_rate":35.714286,"avg_win":1.218008,"avg_loss":1.885518,"mean":-0.777116,"ci":[-1.98453,0.416487],"quarter_kelly":0,"exposure_bars":38}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"hourly","slow":60,"year":2025,"slip":0.002,"return":-67.450414,"drawdown":74.156798,"n":151,"win_rate":27.81457,"avg_win":1.179548,"avg_loss":1.426688,"mean":-0.701775,"ci":[-1.161838,-0.31618],"quarter_kelly":0,"exposure_bars":1894},{"s":"SOL","source":"hourly","slow":60,"year":2026,"slip":0.001,"return":-54.820787,"drawdown":55.599883,"n":100,"win_rate":10,"avg_win":0.489437,"avg_loss":0.919848,"mean":-0.778919,"ci":[-1.121438,-0.516978],"quarter_kelly":0,"exposure_bars":986},{"s":"SOL","source":"hourly","slow":60,"year":2026,"slip":0.002,"return":-63.010406,"drawdown":63.271205,"n":100,"win_rate":7,"avg_win":0.46154,"avg_loss":1.085453,"mean":-0.977163,"ci":[-1.309908,-0.713378],"quarter_kelly":0,"exposure_bars":986}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"hourly","slow":50,"year":2026,"slip":0.001,"return":-50.162226,"drawdown":51.021656,"n":82,"win_rate":10.97561,"avg_win":0.536507,"avg_loss":0.999209,"mean":-0.830655,"ci":[-1.242319,-0.512101],"quarter_kelly":0,"exposure_bars":960},{"s":"SOL","source":"hourly","slow":50,"year":2026,"slip":0.002,"return":-57.700603,"drawdown":57.998839,"n":82,"win_rate":8.536585,"avg_win":0.46154,"avg_loss":1.167894,"mean":-1.028796,"ci":[-1.429943,-0.723867],"quarter_kelly":0,"exposure_bars":960},{"s":"SOL","source":"hourly","slow":60,"year":2025,"slip":0.001,"return":-55.974661,"drawdown":65.693685,"n":151,"win_rate":33.112583,"avg_win":1.172093,"avg_loss":1.332223,"mean":-0.502979,"ci":[-0.960899,-0.107224],"quarter_kelly":0,"exposure_bars":1894}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"hourly","slow":40,"year":2026,"slip":0.002,"return":-59.862831,"drawdown":60.145823,"n":84,"win_rate":8.333333,"avg_win":0.46154,"avg_loss":1.20523,"mean":-1.066333,"ci":[-1.466521,-0.755795],"quarter_kelly":0,"exposure_bars":1028},{"s":"SOL","source":"hourly","slow":50,"year":2025,"slip":0.001,"return":-55.640835,"drawdown":65.433555,"n":152,"win_rate":32.894737,"avg_win":1.176987,"avg_loss":1.3145,"mean":-0.494932,"ci":[-0.942369,-0.09342],"quarter_kelly":0,"exposure_bars":1744},{"s":"SOL","source":"hourly","slow":50,"year":2025,"slip":0.002,"return":-67.269131,"drawdown":74.012867,"n":152,"win_rate":27.631579,"avg_win":1.185363,"avg_loss":1.411221,"mean":-0.693744,"ci":[-1.151029,-0.312175],"quarter_kelly":0,"exposure_bars":1744}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"hourly","slow":40,"year":2025,"slip":0.001,"return":-65.667978,"drawdown":71.489278,"n":167,"win_rate":29.341317,"avg_win":1.173412,"avg_loss":1.333443,"mean":-0.597899,"ci":[-1.054125,-0.220483],"quarter_kelly":0,"exposure_bars":1867},{"s":"SOL","source":"hourly","slow":40,"year":2025,"slip":0.002,"return":-75.416445,"drawdown":79.559059,"n":167,"win_rate":24.550898,"avg_win":1.186233,"avg_loss":1.441682,"mean":-0.796505,"ci":[-1.225361,-0.4178],"quarter_kelly":0,"exposure_bars":1867},{"s":"SOL","source":"hourly","slow":40,"year":2026,"slip":0.001,"return":-52.520255,"drawdown":53.339023,"n":84,"win_rate":9.52381,"avg_win":0.58422,"avg_loss":1.02116,"mean":-0.868267,"ci":[-1.261582,-0.559771],"quarter_kelly":0,"exposure_bars":1028}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"reconstructed","slow":60,"year":2025,"slip":0.002,"return":-19.768572,"drawdown":35.037341,"n":25,"win_rate":64,"avg_win":3.053037,"avg_loss":7.190669,"mean":-0.634697,"ci":[-3.401789,1.79988],"quarter_kelly":0,"exposure_bars":70},{"s":"SOL","source":"reconstructed","slow":60,"year":2026,"slip":0.001,"return":-20.19826,"drawdown":25.808865,"n":11,"win_rate":54.545455,"avg_win":0.8132,"avg_loss":5.241374,"mean":-1.938879,"ci":[-4.528745,0.293883],"quarter_kelly":0,"exposure_bars":32},{"s":"SOL","source":"reconstructed","slow":60,"year":2026,"slip":0.002,"return":-21.934731,"drawdown":26.400028,"n":11,"win_rate":45.454545,"avg_win":0.735396,"avg_loss":4.526641,"mean":-2.134806,"ci":[-4.75029,0.039266],"quarter_kelly":0,"exposure_bars":32}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"reconstructed","slow":50,"year":2026,"slip":0.001,"return":-18.976834,"drawdown":25.808865,"n":8,"win_rate":62.5,"avg_win":1.097891,"avg_loss":8.431733,"mean":-2.475718,"ci":[-6.124449,0.332667],"quarter_kelly":0,"exposure_bars":28},{"s":"SOL","source":"reconstructed","slow":50,"year":2026,"slip":0.002,"return":-20.262892,"drawdown":26.400028,"n":8,"win_rate":62.5,"avg_win":0.895897,"avg_loss":8.614687,"mean":-2.670572,"ci":[-6.174534,0.238789],"quarter_kelly":0,"exposure_bars":28},{"s":"SOL","source":"reconstructed","slow":60,"year":2025,"slip":0.001,"return":-15.655009,"drawdown":33.392699,"n":25,"win_rate":64,"avg_win":3.25935,"avg_loss":7.004864,"mean":-0.435767,"ci":[-3.188681,2.1419],"quarter_kelly":0,"exposure_bars":70}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"reconstructed","slow":40,"year":2026,"slip":0.002,"return":-20.033281,"drawdown":26.18809,"n":10,"win_rate":70,"avg_win":0.681042,"avg_loss":8.614687,"mean":-2.107677,"ci":[-4.996672,0.501851],"quarter_kelly":0,"exposure_bars":30},{"s":"SOL","source":"reconstructed","slow":50,"year":2025,"slip":0.001,"return":-17.977054,"drawdown":33.978454,"n":23,"win_rate":65.217391,"avg_win":3.348196,"avg_loss":7.95229,"mean":-0.582408,"ci":[-3.594398,2.148634],"quarter_kelly":0,"exposure_bars":63},{"s":"SOL","source":"reconstructed","slow":50,"year":2025,"slip":0.002,"return":-21.664653,"drawdown":35.479721,"n":23,"win_rate":65.217391,"avg_win":3.141705,"avg_loss":8.136202,"mean":-0.781045,"ci":[-3.817432,1.899104],"quarter_kelly":0,"exposure_bars":63}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"reconstructed","slow":40,"year":2025,"slip":0.001,"return":-21.903716,"drawdown":32.311406,"n":22,"win_rate":59.090909,"avg_win":3.283346,"avg_loss":6.828936,"mean":-0.853497,"ci":[-3.874657,1.984555],"quarter_kelly":0,"exposure_bars":63},{"s":"SOL","source":"reconstructed","slow":40,"year":2025,"slip":0.002,"return":-25.26546,"drawdown":33.982746,"n":22,"win_rate":59.090909,"avg_win":3.076985,"avg_loss":7.015093,"mean":-1.051592,"ci":[-4.185479,1.690504],"quarter_kelly":0,"exposure_bars":63},{"s":"SOL","source":"reconstructed","slow":40,"year":2026,"slip":0.001,"return":-18.417842,"drawdown":25.297009,"n":10,"win_rate":70,"avg_win":0.882606,"avg_loss":8.431733,"mean":-1.911696,"ci":[-4.852016,0.732463],"quarter_kelly":0,"exposure_bars":30}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"daily","slow":60,"year":2025,"slip":0.002,"return":-24.653876,"drawdown":37.235858,"n":26,"win_rate":61.538462,"avg_win":3.053037,"avg_loss":7.080504,"mean":-0.844479,"ci":[-3.657219,1.554986],"quarter_kelly":0,"exposure_bars":74},{"s":"SOL","source":"daily","slow":60,"year":2026,"slip":0.001,"return":-19.647695,"drawdown":25.297009,"n":13,"win_rate":61.538462,"avg_win":0.695998,"avg_loss":5.241374,"mean":-1.587606,"ci":[-3.969521,0.385507],"quarter_kelly":0,"exposure_bars":34},{"s":"SOL","source":"daily","slow":60,"year":2026,"slip":0.002,"return":-21.709934,"drawdown":26.18809,"n":13,"win_rate":53.846154,"avg_win":0.566399,"avg_loss":4.526641,"mean":-1.784235,"ci":[-4.186604,0.145511],"quarter_kelly":0,"exposure_bars":34}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"daily","slow":50,"year":2026,"slip":0.001,"return":-21.46016,"drawdown":28.082793,"n":12,"win_rate":66.666667,"avg_win":0.876814,"avg_loss":7.455688,"mean":-1.900687,"ci":[-4.454017,0.26402],"quarter_kelly":0,"exposure_bars":40},{"s":"SOL","source":"daily","slow":50,"year":2026,"slip":0.002,"return":-23.322681,"drawdown":29.224314,"n":12,"win_rate":66.666667,"avg_win":0.675262,"avg_loss":7.640592,"mean":-2.09669,"ci":[-4.664461,0.107894],"quarter_kelly":0,"exposure_bars":40},{"s":"SOL","source":"daily","slow":60,"year":2025,"slip":0.001,"return":-20.632211,"drawdown":34.017864,"n":26,"win_rate":61.538462,"avg_win":3.25935,"avg_loss":6.894478,"mean":-0.645969,"ci":[-3.29935,1.781258],"quarter_kelly":0,"exposure_bars":74}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"daily","slow":40,"year":2026,"slip":0.002,"return":-19.525652,"drawdown":25.719532,"n":11,"win_rate":72.727273,"avg_win":0.675262,"avg_loss":8.614687,"mean":-1.858361,"ci":[-4.500148,0.567952],"quarter_kelly":0,"exposure_bars":35},{"s":"SOL","source":"daily","slow":50,"year":2025,"slip":0.001,"return":-22.817232,"drawdown":35.834373,"n":24,"win_rate":62.5,"avg_win":3.348196,"avg_loss":7.724369,"mean":-0.804016,"ci":[-3.824844,1.927908],"quarter_kelly":0,"exposure_bars":67},{"s":"SOL","source":"daily","slow":50,"year":2025,"slip":0.002,"return":-26.434504,"drawdown":38.719141,"n":24,"win_rate":62.5,"avg_win":3.141705,"avg_loss":7.908736,"mean":-1.00221,"ci":[-4.070232,1.701489],"quarter_kelly":0,"exposure_bars":67}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"SOL","source":"daily","slow":40,"year":2025,"slip":0.001,"return":-21.903716,"drawdown":32.345839,"n":22,"win_rate":59.090909,"avg_win":3.283346,"avg_loss":6.828936,"mean":-0.853497,"ci":[-3.980385,1.921748],"quarter_kelly":0,"exposure_bars":63},{"s":"SOL","source":"daily","slow":40,"year":2025,"slip":0.002,"return":-25.26546,"drawdown":34.016329,"n":22,"win_rate":59.090909,"avg_win":3.076985,"avg_loss":7.015093,"mean":-1.051592,"ci":[-4.198708,1.670667],"quarter_kelly":0,"exposure_bars":63},{"s":"SOL","source":"daily","slow":40,"year":2026,"slip":0.001,"return":-17.735594,"drawdown":24.672289,"n":11,"win_rate":72.727273,"avg_win":0.876814,"avg_loss":8.431733,"mean":-1.66188,"ci":[-4.334827,0.73719],"quarter_kelly":0,"exposure_bars":35}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py

MeasuredSep10~04:06–04:08.2025train/2026Jan1–Sep9holdout,reanalysis of previouslyseenholdout notnewindependentvalidation. Fees25bp,slip10/20bp;SMA50base40/60neighbors;nextopen;exitSMA5or5days;wholecapitalpayoffsdividevbtReturnby1.0025. Reconstructed dropsincompletedays;daily_matchedsamemask. CI5000IIDresamples,notserialrobust. [{"s":"ETH","source":"hourly","slow":60,"year":2025,"slip":0.002,"return":-70.823383,"drawdown":73.905686,"n":136,"win_rate":17.647059,"avg_win":0.581889,"avg_loss":1.205544,"mean":-0.890115,"ci":[-1.16062,-0.648848],"quarter_kelly":0,"exposure_bars":1743},{"s":"ETH","source":"hourly","slow":60,"year":2026,"slip":0.001,"return":-52.862748,"drawdown":53.234556,"n":99,"win_rate":7.070707,"avg_win":0.414832,"avg_loss":0.835402,"mean":-0.747002,"ci":[-1.046562,-0.525983],"quarter_kelly":0,"exposure_bars":949},{"s":"ETH","source":"hourly","slow":60,"year":2026,"slip":0.002,"return":-61.330038,"drawdown":61.59673,"n":99,"win_rate":5.050505,"avg_win":0.358085,"avg_loss":1.014639,"mean":-0.94531,"ci":[-1.24097,-0.719831],"quarter_kelly":0,"exposure_bars":949}] https://runway.adityaperswal.workers.dev/data/crypto-bars ; vectorbt local test_rule.py and test_matched.py