Notes

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":45,"trend_filter":false,"slip_bp":5,"return_pct":-48.8913097357747,"drawdown_pct":55.14951767410654,"n":50,"win_pct":60,"avg_win_pct":1.15806156579439,"avg_loss_pct":4.818912533243362,"expectancy_pct":-1.2327280738207116,"ci_low_pct":-2.555765916025423,"ci_high_pct":-0.14086416927466633,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":45,"trend_filter":false,"slip_bp":15,"return_pct":-53.75494967200686,"drawdown_pct":58.18379397639648,"n":50,"win_pct":54,"avg_win_pct":1.0708966456941371,"avg_loss_pct":4.365977428253112,"expectancy_pct":-1.4300654283215977,"ci_low_pct":-2.725611407417706,"ci_high_pct":-0.319060446611972,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":45,"trend_filter":true,"slip_bp":5,"return_pct":-2.580772600149089,"drawdown_pct":10.06941839987283,"n":11,"win_pct":63.63636363636363,"avg_win_pct":0.7199616566523298,"avg_loss_pct":1.8560768441283995,"expectancy_pct":-0.2167796163588445,"ci_low_pct":-1.5431233022990916,"ci_high_pct":0.6922618786673367,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":45,"trend_filter":true,"slip_bp":15,"return_pct":-4.700594361168328,"drawdown_pct":10.249100016217971,"n":11,"win_pct":54.54545454545454,"avg_win_pct":0.6354944679816993,"avg_loss_pct":1.678116408320695,"expectancy_pct":-0.41614683942847996,"ci_low_pct":-1.7444917533767363,"ci_high_pct":0.4836586709932259,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":40,"trend_filter":false,"slip_bp":5,"return_pct":-31.971679232634344,"drawdown_pct":39.10741562120014,"n":22,"win_pct":59.09090909090909,"avg_win_pct":2.514712126538202,"avg_loss_pct":7.342850533037478,"expectancy_pct":-1.5179271432882129,"ci_low_pct":-4.327965135321372,"ci_high_pct":0.8803437686813917,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":40,"trend_filter":false,"slip_bp":15,"return_pct":-34.90003232452666,"drawdown_pct":39.699411421069186,"n":22,"win_pct":59.09090909090909,"avg_win_pct":2.30988737341967,"avg_loss_pct":7.527979841509926,"expectancy_pct":-1.7146946690515283,"ci_low_pct":-4.535143642256743,"ci_high_pct":0.7147021703083182,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":40,"trend_filter":true,"slip_bp":5,"return_pct":4.486466148934809,"drawdown_pct":5.6645663087276255,"n":5,"win_pct":80,"avg_win_pct":1.895584030087242,"avg_loss_pct":3.0733323098522227,"expectancy_pct":0.9018007620993487,"ci_low_pct":-1.1393301515380472,"ci_high_pct":2.06476940466497,"quarter_kelly":0.11893442176470606,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":40,"trend_filter":true,"slip_bp":15,"return_pct":3.446807319115635,"drawdown_pct":5.853048834945862,"n":5,"win_pct":80,"avg_win_pct":1.6919962970692672,"avg_loss_pct":3.2669921306565675,"expectancy_pct":0.7001986115241005,"ci_low_pct":-1.3190968895095916,"ci_high_pct":1.8604444751059945,"quarter_kelly":0.10345746807143213,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":35,"trend_filter":false,"slip_bp":5,"return_pct":-11.355135803173368,"drawdown_pct":19.90898588081581,"n":11,"win_pct":63.63636363636363,"avg_win_pct":3.43615757965262,"avg_loss_pct":8.350721050524866,"expectancy_pct":-0.8499801040482846,"ci_low_pct":-5.095449324493774,"ci_high_pct":2.8671235880185346,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":35,"trend_filter":false,"slip_bp":15,"return_pct":-13.284029278747411,"drawdown_pct":20.89141282975896,"n":11,"win_pct":63.63636363636363,"avg_win_pct":3.2294917752982997,"avg_loss_pct":8.533836630180858,"expectancy_pct":-1.0480821903304847,"ci_low_pct":-5.145616505109691,"ci_high_pct":2.6106157548151727,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":35,"trend_filter":true,"slip_bp":5,"return_pct":0,"drawdown_pct":0,"n":0,"win_pct":0,"avg_win_pct":0,"avg_loss_pct":0,"expectancy_pct":null,"ci_low_pct":null,"ci_high_pct":null,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"oos","threshold":35,"trend_filter":true,"slip_bp":15,"return_pct":0,"drawdown_pct":0,"n":0,"win_pct":0,"avg_win_pct":0,"avg_loss_pct":0,"expectancy_pct":null,"ci_low_pct":null,"ci_high_pct":null,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"train","threshold":45,"trend_filter":false,"slip_bp":5,"return_pct":-31.914609168880066,"drawdown_pct":46.408414986481425,"n":80,"win_pct":67.5,"avg_win_pct":2.818140049672439,"avg_loss_pct":6.818316791519704,"expectancy_pct":-0.31370842371500707,"ci_low_pct":-1.5579584478312858,"ci_high_pct":0.8652078652852035,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"train","threshold":45,"trend_filter":false,"slip_bp":15,"return_pct":-41.9814671404852,"drawdown_pct":53.14662111555604,"n":80,"win_pct":66.25,"avg_win_pct":2.665554864773651,"avg_loss_pct":6.7520357943743035,"expectancy_pct":-0.512881982688783,"ci_low_pct":-1.7455305840678015,"ci_high_pct":0.6556854764959404,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"train","threshold":45,"trend_filter":true,"slip_bp":5,"return_pct":-23.182713263285976,"drawdown_pct":29.584889411924074,"n":30,"win_pct":63.33333333333333,"avg_win_pct":1.958685873740438,"avg_loss_pct":5.452974284695071,"expectancy_pct":-0.7589228510192487,"ci_low_pct":-2.482829982627537,"ci_high_pct":0.7891224096475188,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"train","threshold":45,"trend_filter":true,"slip_bp":15,"return_pct":-27.656208487544404,"drawdown_pct":32.61598446881443,"n":30,"win_pct":60,"avg_win_pct":1.862921584399414,"avg_loss_pct":5.187399551627228,"expectancy_pct":-0.9572068700112432,"ci_low_pct":-2.691737506109095,"ci_high_pct":0.5648513975432973,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"train","threshold":40,"trend_filter":false,"slip_bp":5,"return_pct":-35.02223061575789,"drawdown_pct":38.18682556315027,"n":29,"win_pct":44.827586206896555,"avg_win_pct":3.871188740491849,"avg_loss_pct":5.5545361857299556,"expectancy_pct":-1.3292112188029404,"ci_low_pct":-3.275055221570147,"ci_high_pct":0.6506026536094527,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"train","threshold":40,"trend_filter":false,"slip_bp":15,"return_pct":-38.68373518871053,"drawdown_pct":41.61158723526353,"n":29,"win_pct":41.37931034482759,"avg_win_pct":3.9845078213850673,"avg_loss_pct":5.416377179192118,"expectancy_pct":-1.5263557996429387,"ci_low_pct":-3.3588898965327254,"ci_high_pct":0.4818460209684419,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"train","threshold":40,"trend_filter":true,"slip_bp":5,"return_pct":-17.012156281254462,"drawdown_pct":25.111383589866886,"n":9,"win_pct":33.33333333333333,"avg_win_pct":3.3023991488313973,"avg_loss_pct":4.592314709452937,"expectancy_pct":-1.960743423358159,"ci_low_pct":-4.561112319167923,"ci_high_pct":0.8577416072511131,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"train","threshold":40,"trend_filter":true,"slip_bp":15,"return_pct":-18.4925753294047,"drawdown_pct":26.373657454886345,"n":9,"win_pct":22.22222222222222,"avg_win_pct":4.737298494419072,"avg_loss_pct":4.1263189706649195,"expectancy_pct":-2.156626200646254,"ci_low_pct":-4.7093103285291225,"ci_high_pct":0.5711571753738236,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"train","threshold":35,"trend_filter":false,"slip_bp":5,"return_pct":3.945911681344341,"drawdown_pct":19.991472067451255,"n":15,"win_pct":53.333333333333336,"avg_win_pct":3.9539744378856434,"avg_loss_pct":3.6848145866074375,"expectancy_pct":0.3892062264555387,"ci_low_pct":-2.1774908431642066,"ci_high_pct":3.042521511306861,"quarter_kelly":0.02460854467888668,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"train","threshold":35,"trend_filter":false,"slip_bp":15,"return_pct":0.873842443383552,"drawdown_pct":20.310867308849755,"n":15,"win_pct":53.333333333333336,"avg_win_pct":3.7462740336387994,"avg_loss_pct":3.8772526636857227,"expectancy_pct":0.18862824155402255,"ci_low_pct":-2.3199759477475586,"ci_high_pct":2.905082075904758,"quarter_kelly":0.012587723152409483,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Hour","period":"train","threshold":35,"trend_filter":true,"slip_bp":5,"return_pct":-5.436428540394971,"drawdown_pct":15.133938507611989,"n":5,"win_pct":40,"avg_win_pct":1.5978268083625193,"avg_loss_pct":2.8585498084940557,"expectancy_pct":-1.0759991617514257,"ci_low_pct":-3.436142075170133,"ci_high_pct":1.18716019177952,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Hour","period":"train","threshold":35,"trend_filter":true,"slip_bp":15,"return_pct":-6.3773528119373,"drawdown_pct":15.810159242673084,"n":5,"win_pct":40,"avg_win_pct":1.3948339953142284,"avg_loss_pct":3.0526387654868117,"expectancy_pct":-1.2736496611663957,"ci_low_pct":-3.6290770007953825,"ci_high_pct":0.9849878920664394,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"oos","threshold":15,"trend_filter":false,"slip_bp":5,"return_pct":-12.112560104975998,"drawdown_pct":30.381365054055887,"n":21,"win_pct":61.904761904761905,"avg_win_pct":3.10511010057403,"avg_loss_pct":6.163353161047088,"expectancy_pct":-0.42573304671020584,"ci_low_pct":-3.2297356974445792,"ci_high_pct":1.9907619623941115,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"oos","threshold":15,"trend_filter":false,"slip_bp":15,"return_pct":-15.72739362719014,"drawdown_pct":30.866925206164264,"n":21,"win_pct":57.14285714285714,"avg_win_pct":3.1446670905222325,"avg_loss_pct":5.650482607586303,"expectancy_pct":-0.6246827800957112,"ci_low_pct":-3.2673979606808046,"ci_high_pct":1.8197174427232108,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"oos","threshold":15,"trend_filter":true,"slip_bp":5,"return_pct":-1.8822394689015878,"drawdown_pct":4.750432770631474,"n":3,"win_pct":66.66666666666666,"avg_win_pct":1.123532078403247,"avg_loss_pct":4.049949378904045,"expectancy_pct":-0.6009617406991835,"ci_low_pct":-4.049949378904045,"ci_high_pct":1.3427956253327313,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"oos","threshold":15,"trend_filter":true,"slip_bp":15,"return_pct":-2.469184073297214,"drawdown_pct":4.845729986468783,"n":3,"win_pct":66.66666666666666,"avg_win_pct":0.9214869078830635,"avg_loss_pct":4.241657915391158,"expectancy_pct":-0.7995613665416771,"ci_low_pct":-4.241657915391158,"ci_high_pct":1.1403123654794547,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"oos","threshold":10,"trend_filter":false,"slip_bp":5,"return_pct":-16.544050854119504,"drawdown_pct":30.381365054055887,"n":16,"win_pct":56.25,"avg_win_pct":3.7876489337366017,"avg_loss_pct":6.897981015001381,"expectancy_pct":-0.8873141688362652,"ci_low_pct":-4.204230106026758,"ci_high_pct":2.3002539483775664,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"oos","threshold":10,"trend_filter":false,"slip_bp":15,"return_pct":-19.17236674057665,"drawdown_pct":30.866925206164264,"n":16,"win_pct":50,"avg_win_pct":4.033769778625371,"avg_loss_pct":6.204453101678436,"expectancy_pct":-1.0853416615265326,"ci_low_pct":-4.488658192712223,"ci_high_pct":2.0328490471250515,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"oos","threshold":10,"trend_filter":true,"slip_bp":5,"return_pct":-3.758260817716291,"drawdown_pct":3.7582608177162857,"n":1,"win_pct":0,"avg_win_pct":0,"avg_loss_pct":3.7582608177162897,"expectancy_pct":-3.7582608177162897,"ci_low_pct":-3.7582608177162897,"ci_high_pct":-3.7582608177162897,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"oos","threshold":10,"trend_filter":true,"slip_bp":15,"return_pct":-3.9505521489681144,"drawdown_pct":3.950552148968134,"n":1,"win_pct":0,"avg_win_pct":0,"avg_loss_pct":3.9505521489681215,"expectancy_pct":-3.9505521489681215,"ci_low_pct":-3.9505521489681215,"ci_high_pct":-3.9505521489681215,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"oos","threshold":5,"trend_filter":false,"slip_bp":5,"return_pct":5.107570622850417,"drawdown_pct":16.238390425052195,"n":9,"win_pct":55.55555555555556,"avg_win_pct":6.876557942142352,"avg_loss_pct":6.491679261189744,"expectancy_pct":0.9351191851058647,"ci_low_pct":-4.66921626624681,"ci_high_pct":6.413979201922299,"quarter_kelly":0.033996630035467074,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"oos","threshold":5,"trend_filter":false,"slip_bp":15,"return_pct":3.232558058573886,"drawdown_pct":16.65623699101707,"n":9,"win_pct":44.44444444444444,"avg_win_pct":8.363710070080273,"avg_loss_pct":5.370757220495222,"expectancy_pct":0.733450464204998,"ci_low_pct":-5.2066043521377114,"ci_high_pct":6.167793817880543,"quarter_kelly":0.021923597842923498,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"oos","threshold":5,"trend_filter":true,"slip_bp":5,"return_pct":0,"drawdown_pct":0,"n":0,"win_pct":0,"avg_win_pct":0,"avg_loss_pct":0,"expectancy_pct":null,"ci_low_pct":null,"ci_high_pct":null,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"oos","threshold":5,"trend_filter":true,"slip_bp":15,"return_pct":0,"drawdown_pct":0,"n":0,"win_pct":0,"avg_win_pct":0,"avg_loss_pct":0,"expectancy_pct":null,"ci_low_pct":null,"ci_high_pct":null,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"train","threshold":15,"trend_filter":false,"slip_bp":5,"return_pct":2.789203249515552,"drawdown_pct":20.437024893656684,"n":31,"win_pct":54.83870967741935,"avg_win_pct":3.884413020849272,"avg_loss_pct":4.223374422638638,"expectancy_pct":0.22283159475795827,"ci_low_pct":-1.5952573938202566,"ci_high_pct":2.039249033302043,"quarter_kelly":0.014341394282863795,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"train","threshold":15,"trend_filter":false,"slip_bp":15,"return_pct":-3.3901934078578084,"drawdown_pct":21.54314682331825,"n":31,"win_pct":54.83870967741935,"avg_win_pct":3.6768516005567844,"avg_loss_pct":4.414736455282259,"expectancy_pct":0.022586026952055062,"ci_low_pct":-1.7678098201197538,"ci_high_pct":1.882527401514868,"quarter_kelly":0.00153569068089629,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"train","threshold":15,"trend_filter":true,"slip_bp":5,"return_pct":-4.413875059432868,"drawdown_pct":10.449255338511298,"n":10,"win_pct":50,"avg_win_pct":3.275571002884699,"avg_loss_pct":3.986348512857654,"expectancy_pct":-0.3553887549864774,"ci_low_pct":-3.2011614784756124,"ci_high_pct":2.171267199917893,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"train","threshold":15,"trend_filter":true,"slip_bp":15,"return_pct":-6.306609176748864,"drawdown_pct":10.98495169067184,"n":10,"win_pct":50,"avg_win_pct":3.0692260510720115,"avg_loss_pct":4.17818412409743,"expectancy_pct":-0.5544790365127091,"ci_low_pct":-3.2694367069609114,"ci_high_pct":2.031885405064543,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"train","threshold":10,"trend_filter":false,"slip_bp":5,"return_pct":-1.7435144194954262,"drawdown_pct":19.12706101576279,"n":24,"win_pct":54.166666666666664,"avg_win_pct":3.894220138498304,"avg_loss_pct":4.498505817077918,"expectancy_pct":0.04755407552586881,"ci_low_pct":-1.930027251299397,"ci_high_pct":2.025985859386973,"quarter_kelly":0.0030528625651994323,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"train","threshold":10,"trend_filter":false,"slip_bp":15,"return_pct":-6.348428663616418,"drawdown_pct":20.091737692475277,"n":24,"win_pct":54.166666666666664,"avg_win_pct":3.686639123550481,"avg_loss_pct":4.68931813623386,"expectancy_pct":-0.15234128718400822,"ci_low_pct":-2.0893582285951737,"ci_high_pct":1.7944722847026244,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"train","threshold":10,"trend_filter":true,"slip_bp":5,"return_pct":4.145470490534578,"drawdown_pct":8.630411563198859,"n":7,"win_pct":57.14285714285714,"avg_win_pct":5.0495093039388035,"avg_loss_pct":5.039158355886133,"expectancy_pct":0.7257945925852591,"ci_low_pct":-3.3632468333242365,"ci_high_pct":4.372157469466516,"quarter_kelly":0.03593391698571151,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"train","threshold":10,"trend_filter":true,"slip_bp":15,"return_pct":2.697591139234092,"drawdown_pct":8.904200968236797,"n":7,"win_pct":57.14285714285714,"avg_win_pct":4.839620017200684,"avg_loss_pct":5.228890449379948,"expectancy_pct":0.5245441029518417,"ci_low_pct":-3.555768922307946,"ci_high_pct":4.090238942500194,"quarter_kelly":0.027096347496680454,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"train","threshold":5,"trend_filter":false,"slip_bp":5,"return_pct":25.593155937018906,"drawdown_pct":11.48356788108693,"n":12,"win_pct":66.66666666666666,"avg_win_pct":5.100080990863989,"avg_loss_pct":4.069345846480575,"expectancy_pct":2.0436053784158013,"ci_low_pct":-1.0268120654486617,"ci_high_pct":4.769127924649313,"quarter_kelly":0.10017514339853649,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"train","threshold":5,"trend_filter":false,"slip_bp":15,"return_pct":22.614800196718832,"drawdown_pct":11.836926803378066,"n":12,"win_pct":66.66666666666666,"avg_win_pct":4.890090661718649,"avg_loss_pct":4.261015628757693,"expectancy_pct":1.8397218982265355,"ci_low_pct":-1.0465871346540203,"ci_high_pct":4.5354332463820874,"quarter_kelly":0.09405356799560617,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"ETH","tf":"1Day","period":"train","threshold":5,"trend_filter":true,"slip_bp":5,"return_pct":-3.065094423445572,"drawdown_pct":8.72795901016169,"n":3,"win_pct":33.33333333333333,"avg_win_pct":6.082211019883674,"avg_loss_pct":4.321775809632894,"expectancy_pct":-0.8537801997940381,"ci_low_pct":-8.396964271941354,"ci_high_pct":6.082211019883674,"quarter_kelly":0,"held_missing":0},{"symbol":"ETH","tf":"1Day","period":"train","threshold":5,"trend_filter":true,"slip_bp":15,"return_pct":-3.6449631393415847,"drawdown_pct":9.00145611381219,"n":3,"win_pct":33.33333333333333,"avg_win_pct":5.8702583915077895,"avg_loss_pct":4.512941235961385,"expectancy_pct":-1.0518746934716603,"ci_low_pct":-8.57998745747933,"ci_high_pct":5.8702583915077895,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars

MeasuredSep9 with vectorbt; notes1384 preregistered; fees creditedasset25bp/leg; slippage paired5/15bp perleg. Cash-basis returns. N1bootstrap is degenerate, not credible confidence interval. [{"symbol":"BTC","tf":"1Hour","period":"oos","threshold":45,"trend_filter":false,"slip_bp":5,"return_pct":-41.8796792795736,"drawdown_pct":45.756248887590345,"n":52,"win_pct":55.769230769230774,"avg_win_pct":0.6421514982617963,"avg_loss_pct":3.064947548415743,"expectancy_pct":-0.9975269262301929,"ci_low_pct":-1.8161280420556314,"ci_high_pct":-0.3043261800727003,"quarter_kelly":0,"held_missing":0},{"symbol":"BTC","tf":"1Hour","period":"oos","threshold":45,"trend_filter":false,"slip_bp":15,"return_pct":-47.62050257395007,"drawdown_pct":49.32221113038492,"n":52,"win_pct":48.07692307692308,"avg_win_pct":0.5287369985062954,"avg_loss_pct":2.791696446735144,"expectancy_pct":-1.1953342134459903,"ci_low_pct":-2.0302935972839036,"ci_high_pct":-0.5048322499429638,"quarter_kelly":0,"held_missing":0}] https://runway.adityaperswal.workers.dev/data/crypto-bars