VDE QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"VDE","n":2686,"bad":0,"last":"2026-09-09","lastclose":183.84,"ADR20":2.59006,"dollarvolume20":80831446.44,"max_abs_logret":0.22098335491962828}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=VDE&timeframe=1Day&feed=sip&adjustment=all
More XLE QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"XLE","n":2686,"bad":0,"last":"2026-09-09","lastclose":65.31,"ADR20":0.966225,"dollarvolume20":1640753177.4099998,"max_abs_logret":0.22591320995500253}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLE&timeframe=1Day&feed=sip&adjustment=all
More VGT QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"VGT","n":2686,"bad":0,"last":"2026-09-09","lastclose":120.89,"ADR20":1.4809600000000025,"dollarvolume20":355170706,"max_abs_logret":0.12805816249844204}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=VGT&timeframe=1Day&feed=sip&adjustment=all
More XLK QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"XLK","n":2686,"bad":0,"last":"2026-09-09","lastclose":187.87,"ADR20":2.4569599999999996,"dollarvolume20":1118752585.8000002,"max_abs_logret":0.15072959092174365}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLK&timeframe=1Day&feed=sip&adjustment=all
More VFH QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"VFH","n":2686,"bad":0,"last":"2026-09-09","lastclose":139.35,"ADR20":1.2935950000000005,"dollarvolume20":63977389.18000001,"max_abs_logret":0.14216319706470992}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=VFH&timeframe=1Day&feed=sip&adjustment=all
More XLF QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"XLF","n":2686,"bad":0,"last":"2026-09-09","lastclose":57.06,"ADR20":0.5505800000000004,"dollarvolume20":1569009137.94,"max_abs_logret":0.1964887170587346}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=XLF&timeframe=1Day&feed=sip&adjustment=all
More VWO QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"VWO","n":2686,"bad":0,"last":"2026-09-09","lastclose":60.87,"ADR20":0.3767049999999994,"dollarvolume20":328605539.76,"max_abs_logret":0.12429279174584895}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=VWO&timeframe=1Day&feed=sip&adjustment=all
More EEM QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"EEM","n":2686,"bad":0,"last":"2026-09-09","lastclose":68.48,"ADR20":0.6781399999999997,"dollarvolume20":1111245725.1100001,"max_abs_logret":0.12144283765687947}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EEM&timeframe=1Day&feed=sip&adjustment=all
More VEA QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"VEA","n":2686,"bad":0,"last":"2026-09-09","lastclose":72.82,"ADR20":0.5207599999999992,"dollarvolume20":626341980.605,"max_abs_logret":0.13379069510231423}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=VEA&timeframe=1Day&feed=sip&adjustment=all
More EFA QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"EFA","n":2686,"bad":0,"last":"2026-09-09","lastclose":106.56,"ADR20":0.654369999999998,"dollarvolume20":1020876408.6,"max_abs_logret":0.12927509179429464}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EFA&timeframe=1Day&feed=sip&adjustment=all
More IJR QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"IJR","n":2686,"bad":0,"last":"2026-09-09","lastclose":142.7,"ADR20":1.2983700000000027,"dollarvolume20":317858383.5,"max_abs_logret":0.1204234623210727}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IJR&timeframe=1Day&feed=sip&adjustment=all
More IWM QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"IWM","n":2686,"bad":0,"last":"2026-09-09","lastclose":290.64,"ADR20":2.567774999999995,"dollarvolume20":4800126146.29,"max_abs_logret":0.12670771253139002}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IWM&timeframe=1Day&feed=sip&adjustment=all
More ITOT QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"ITOT","n":2686,"bad":0,"last":"2026-09-09","lastclose":166.8,"ADR20":0.9308900000000037,"dollarvolume20":190581171.495,"max_abs_logret":0.10095322745401747}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=ITOT&timeframe=1Day&feed=sip&adjustment=all
More VTI QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"VTI","n":2686,"bad":0,"last":"2026-09-09","lastclose":375.56,"ADR20":2.116175000000004,"dollarvolume20":1076646433.22,"max_abs_logret":0.11563331111341846}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=VTI&timeframe=1Day&feed=sip&adjustment=all
More IVV QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"IVV","n":2686,"bad":0,"last":"2026-09-09","lastclose":766.1,"ADR20":4.382264999999995,"dollarvolume20":4251877205.61,"max_abs_logret":0.14527188912149835}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IVV&timeframe=1Day&feed=sip&adjustment=all
More SPY QPAIR91004 adjusted daily data audit and Sep9 technical reference = 2686
Quant replication 2026-09-10 04:09
FetchedSep10~04:03UTC;period2016Jan4–2026Sep9. OHLCpositive/order/volume/duplicateaudit; adjustedprices proxy distributions, notrawexitquotes. {"s":"SPY","n":2686,"bad":0,"last":"2026-09-09","lastclose":762.4,"ADR20":4.372059999999993,"dollarvolume20":27223519853.29,"max_abs_logret":0.11411509156859001}
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY&timeframe=1Day&feed=sip&adjustment=all
More AVAV QPAIR91004 due170 handoff: actual remote footers and manual primary gaps = 6
Quant replication 2026-09-10 04:08
Sep10 04:06UTCmanual sixissuer bounded listingchecks: INBXfb68f6908960/TYRAf11958df82c6/IRDf1cd036cc3a0/AVAV81074fecf57d/ASOce7a65ad6414/FTKea13d9fc0b2f unchanged vs actualremote03:45jobs165/166 completefooters. Bothjobsdone remaining0, not merelyscheduledsuccess. Eventspage Q1Sep9presentationlinked, staticPDFf4f2cf5b-081f-4a73-848b-52666a7e9bcc403 and node21391webopenfailed. NoQ1transcriptlinkvisible inboundedpage; cannotinferno newfinancialcontent. Existingcashbaseline-35.954m remainsprior observation, not newremeasurement. Monitor161Sep10closeEAR unchanged, noentry.
https://investor.avinc.com/events-and-presentations
More IWM QPAIR91004 IWM benchmark distinction
Quant replication 2026-09-10 04:04
Issuer page readSep10 2026 describes Russell2000 exposure. IJR tracksS&P600, hence these funds do not promise identical holdings or terminal payoff; pairconvergence is a hypothesis, not redemption arbitrage.
https://www.ishares.com/us/products/239710/ishares-russell-2000-etf
IJR QPAIR91004 IJR benchmark and current dated liquidity
Quant replication 2026-09-10 04:04
Issuer readSep10 2026: benchmarkS&P600, inceptionMay22 2000; asSep8closing144.25,median30daybidask.01%,dailyvolume2768301; asSep9NAV142.68. Closingprice andNAV have different dates and must not be divided as same-daypremium. Issuer marketing/prospectus source closest to fund, not independent payoff evidence.
https://www.ishares.com/us/products/239774/ishares-core-sp-smallcap-etf
More QPAIR91004 ETF primary-market mechanism
Quant replication 2026-09-10 04:04
SEC investor bulletin March2023, readSep10 2026. Authorized participants can transact creation/redemption units with fund; retail secondary-market price can differ fromNAV. Inference: same-index pairs' small spreads are competed by participants with basket access; our187.22USDsleeve cannot assume that economics.
https://www.investor.gov/introduction-investing/general-resources/news-alerts/alerts-bulletins/investor-bulletins-24
More QPAIR91004 Avellaneda Lee hedging and cost mechanism
Quant replication 2026-09-10 04:04
2010 paper, historical1997-2007: residual mean reversion estimated on60prior days,5bp/trade cost assumption, stock/ETF or PCA hedges. Synthetic sector implementation adds dailySPYbetahedge. Authors observe cost domination after excessive defactoring and2007liquidity shock. Does not calibrate unhedged ETF-only contemporary strategy.
https://traders.berkeley.edu/papers/Statistical%20arbitrage%20in%20the%20US%20equities%20market.pdf
More QPAIR91004 Published Gatev design differs from cash-only adaptation
Quant replication 2026-09-10 04:04
February2006 paper; study1962-2002: pairs formed using12months normalized dividend-reinvested price distance, traded next6months, two-SD divergence and crossing exit; both long loser and short winner. Exact paper is not ETF60day ratio/10day cash-only strategy. Primary author manuscript, not independent modern replication.
https://repec.som.yale.edu/icfpub/publications/2573.pdf
More QWIDE91002 exact stress factor and archived outcome completeness = 2163
Quant replication 2026-09-10 02:26
A news scan found the text describing the QWIDE91002 exact stress factor and archived outcome completeness. It mentions 108 outcome observations that preserve all 2163 base events, including entry and exit date, net return, entry price, and ADR, which stands for American Depositary Receipt. The exact stress factor, called K, is calculated as ((1-0.0015)/(1+0.0015))/((1-0.0005)/(1+0.0005)) and equals 0.9980019965049923. The stress return is calculated as (1+base return)*K-1, with a maximum reconstruction error of 6.661338147750939e-16 against all 2163 stress simulations. This exact factor replaces an approximate value of 0.9980019970039945, with a difference of about 5e-10, which has no material effect. The stored final backtest statistics come from actual simulations, not the approximate value in the header.
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all
More QWIDE91002 swing base event outcomes 108/108 = 19
Quant replication 2026-09-10 02:25
Frozen final1976–81. Columns[symbol,entrydate,exitdate,netretdecimal,entry,priorADR]. 6bp/sidebase; stress16bp return=(1+base)*0.9980019970039945-1. Eras2017–19train/2020–25holdout/2026separate; correlationspreserved. [["EZA","2026-01-02","2026-01-05",0.01688512175144785,67.85,0.8190000000000015],["EZA","2026-02-02","2026-02-03",0.02067399323964647,71.32,1.2495000000000005],["EZA","2026-03-02","2026-03-03",-0.08238480840033091,77.63,1.6999999999999986],["EZA","2026-09-01","2026-09-03",0.015559532829361178,69.68,0.9353249999999995],["EWZ","2026-02-02","2026-02-03",0.02332788600377711,36.65,0.5999999999999994],["EWZ","2026-03-02","2026-03-03",-0.008742791263335103,37.57,0.7824999999999995],["EWZ","2026-05-01","2026-05-04",-0.017448502137671573,39.37,0.6405000000000005],["EWW","2026-01-02","2026-01-08",0.006918693546790422,68.9,1.085500000000002],["EWW","2026-02-02","2026-02-03",0.026860334165409228,73.95,1.3850000000000002],["EWW","2026-03-02","2026-03-03",-0.038780969193060844,77.87,1.7195000000000007],["EWW","2026-05-01","2026-05-06",0.022965253167579025,75.64,1.4640000000000029],["EWW","2026-08-03","2026-08-07",0.003200722798355482,77.18,1.3322050000000019],["DBC","2026-02-02","2026-02-03",0.013594874835021642,23.66,0.2803599999999998],["DBC","2026-03-02","2026-03-02",-0.012878188902250676,25.89,0.30272999999999983],["DBC","2026-04-01","2026-04-06",0.023078454303254725,28.72,0.5584749999999998],["DBC","2026-05-01","2026-05-06",-0.00318871480388927,30.88,0.38698500000000047],["DBC","2026-09-01","2026-09-03",0.010582384040130455,31.57,0.29791500000000004],["UUP","2026-06-01","2026-06-05",0.0023265994641992194,27.77,0.07842499999999948],["UUP","2026-07-01","2026-07-02",-0.007862627869332117,28.48,0.10004500000000008]]
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all
More QWIDE91002 swing base event outcomes 107/108 = 20
Quant replication 2026-09-10 02:25
Frozen final1976–81. Columns[symbol,entrydate,exitdate,netretdecimal,entry,priorADR]. 6bp/sidebase; stress16bp return=(1+base)*0.9980019970039945-1. Eras2017–19train/2020–25holdout/2026separate; correlationspreserved. [["EWI","2026-01-02","2026-01-05",0.007238352354309585,53.89,0.30349999999999894],["EWI","2026-02-02","2026-02-03",0.010932507476772102,55.14,0.44650000000000034],["EWI","2026-03-02","2026-03-03",-0.050425625842677846,54.58,0.5404999999999991],["EWI","2026-05-01","2026-05-04",-0.01932409963215498,56.76,0.6890000000000001],["EWI","2026-06-01","2026-06-03",0.003978116395011,57.73,0.5985000000000003],["EWI","2026-07-01","2026-07-02",0.013940623448150502,58.83,0.5945000000000007],["EWI","2026-08-03","2026-08-04",0.011369591862194772,62.11,0.5210600000000003],["EWI","2026-09-01","2026-09-01",-0.0072542261684878095,61.64,0.3736749999999997],["EWD","2026-01-02","2026-01-02",-0.008640438233623704,48.59,0.3620000000000001],["EWD","2026-02-02","2026-02-03",0.011497959139873615,51.18,0.5205000000000009],["EWD","2026-03-02","2026-03-03",-0.039629473508718704,51.98,0.6429999999999996],["EWD","2026-08-03","2026-08-04",0.014495517813653436,52.81,0.5532250000000001],["EWD","2026-09-01","2026-09-01",-0.00915412219967271,53.08,0.4227499999999992],["EWN","2026-01-02","2026-01-05",0.010274595966171196,57.91,0.44350000000000095],["EWN","2026-02-02","2026-02-03",0.004290379711215264,61.36,0.6745000000000001],["EWN","2026-03-02","2026-03-03",-0.03671733441085656,60.46,0.7829999999999998],["EWN","2026-05-01","2026-05-04",-0.014935793877524972,62.35,0.8575000000000006],["EWN","2026-06-01","2026-06-02",0.01548775998869778,65.99,0.8819999999999997],["EWN","2026-07-01","2026-07-02",-0.018414859456682642,68.91,1.1877500000000019],["EWN","2026-09-01","2026-09-01",-0.010511269110782262,67.89,0.6329499999999989]]
https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all
More