Notes

A news scan found the headline 'EFA QIR90908 train IBS sweep rows13–18' and the following data. On September 9 at 08UTC, a retrieval was made. The train data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a betting strategy. The rows of data are: a threshold of 0.2 with a managed rule and costs of 0, 6, and 16 basis points, and a threshold of 0.2 with a green rule and costs of 0, 6, and 16 basis points. The data includes return percentages, such as -7.857155624620635 and -54.71664482534335, drawdown percentages, such as 20.605914161659257 and 55.492290483285586, sample sizes of 222, win probabilities, such as 0.5135135135135135 and 0.24774774774774774, average win percentages, such as 0.4053557174563565 and 0.33928562212405167, average loss percentages, such as 0.5140734917805913 and 0.5828588783226644, mean percentages, such as -0.03498722904025871 and -0.35439965523901856, and quarter Kelly values of 0. Costs are per side, and vbt trade P&L, or profit and loss, is divided by entry value, with win, loss, and mean divided by 1.0001 for a cash denominator when cost is greater than 0. Drawdown is synthetic, with open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. The train data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: a threshold of 0.1 with a green rule and a cost of 0 basis points, resulting in a return of -0.6393592912580175 percent, a drawdown of 10.752980349318332 percent, a sample size of 121, a win probability of 0.5950413223140496, an average win of 0.34367802915194107 percent, an average loss of 0.5250659991951756 percent, a mean of -0.0037880153919724966 percent, and a quarter Kelly of 0. A threshold of 0.1 with a green rule and a cost of 6 basis points, resulting in a return of -14.06801971756853 percent, a drawdown of 18.732043762926043 percent, a sample size of 121, a win probability of 0.4793388429752066, an average win of 0.29037210816608083 percent, an average loss of 0.5049551087979328 percent, a mean of -0.12372388083171143 percent, and a quarter Kelly of 0. A threshold of 0.1 with a green rule and a cost of 16 basis points, resulting in a return of -32.538585716177366 percent, a drawdown of 33.8493819793164 percent, a sample size of 121, a win probability of 0.256198347107438, an average win of 0.25197540977026284 percent, an average loss of 0.5214463985225926 percent, a mean of -0.32329700962111724 percent, and a quarter Kelly of 0. A threshold of 0.2 with an open rule and a cost of 0 basis points, resulting in a return of -0.9037251097082276 percent, a drawdown of 16.2108830631134 percent, a sample size of 222, a win probability of 0.536036036036036, an average win of 0.425467163918234 percent, an average loss of 0.5101008276413058 percent, a mean of -0.0017094155759492875 percent, and a quarter Kelly of 0. A threshold of 0.2 with an open rule and a cost of 6 basis points, resulting in a return of -24.07911337994981 percent, a drawdown of 29.952292470878206 percent, a sample size of 222, a win probability of 0.44144144144144143, an average win of 0.3824526037837376 percent, an average loss of 0.5200493134970382 percent, a mean of -0.1216475662289481 percent, and a quarter Kelly of 0. A threshold of 0.2 with an open rule and a cost of 16 basis points, resulting in a return of -51.2993999397144 percent, a drawdown of 52.14564446609339 percent, a sample size of 222, a win probability of 0.25675675675675674, an average win of 0.3841813973078844 percent, an average loss of 0.5649106357820276 percent, a mean of -0.3212248435021852 percent, and a quarter Kelly of 0. Costs are per side, and vbt trade P and L is divided by entry value. To get the cash denominator for costs greater than 0, divide win, loss, and mean by 1.0001. Drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline 'EFA QIR90908 train IBS sweep rows1–6' and the following data. On September 9 at 08UTC, a retrieval was made. The train data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a betting strategy. The rows of data are: a threshold of 0.1 with an open rule and 0 cost basis points, a return of 14.545341203037005 percent, a drawdown of 4.377208423165357 percent, a sample size of 121, a win probability of 0.628099173553719, an average win of 0.46285539917182084 percent, an average loss of 0.48489970472067234 percent, a mean of 0.11439192834172562 percent, and a quarter Kelly of 0.05962147841584585. Another row has a threshold of 0.1 with an open rule and 6 cost basis points, a return of -0.9355421674757167 percent, a drawdown of 10.584175335958722 percent, a sample size of 121, a win probability of 0.5041322314049587, an average win of 0.4395106289358828 percent, an average loss of 0.4582780988147208 percent, a mean of -0.005673864163590102 percent, and a quarter Kelly of 0. Another row has a threshold of 0.1 with an open rule and 16 cost basis points, a return of -22.228855791787907 percent, a drawdown of 24.784615710995094 percent, a sample size of 121, a win probability of 0.32231404958677684, an average win of 0.4264901469605962 percent, an average loss of 0.5060553837149769 percent, a mean of -0.20548285729888308 percent, and a quarter Kelly of 0. A row with a managed rule and 0 cost basis points has a return of 5.598569616422219 percent, a drawdown of 9.135435152416015 percent, a sample size of 121, a win probability of 0.5950413223140496, an average win of 0.4288750817085654 percent, an average loss of 0.52506599919518 percent, a mean of 0.046907751418579086 percent, and a quarter Kelly of 0.02481396379214508. Another row with a managed rule and 6 cost basis points has a return of -8.673151286020062 percent, a drawdown of 16.00391219400722 percent, a sample size of 121, a win probability of 0.47107438016528924, an average win of 0.4034496361118009 percent, an average loss of 0.4974964841065915 percent, a mean of -0.07308384896239009 percent, and a quarter Kelly of 0. The last row has a managed rule and 16 cost basis points, a return of -28.303312037260092 percent, a drawdown of 30.641966370627294 percent, a sample size of 121, a win probability of 0.30578512396694213, an average win of 0.36204014329018014 percent, an average loss of 0.5523716936183791 percent, a mean of -0.27275815671245607 percent, and a quarter Kelly of 0. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean are divided by 1.0001 for the cash denominator. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08 UTC, a retrieval was made. The train data is as follows: the data has several columns including threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: a threshold of 0.3 with a green rule and 0 cost had a return of -2.352335906034159 percent, a drawdown of 19.925093466256925 percent, a sample size of 332, a win probability of 0.5210843373493976, an average win of 0.4860071349325343 percent, an average loss of 0.5642445111625707 percent, a mean of -0.005078106486091296 percent, and a quarter Kelly of 0, a threshold of 0.3 with a green rule and 6 cost had a return of -34.44000301154902 percent, a drawdown of 40.80214676933351 percent, a sample size of 332, a win probability of 0.45180722891566266, an average win of 0.42969127512087707 percent, an average loss of 0.5821860388082251 percent, a mean of -0.12501255359929345 percent, and a quarter Kelly of 0, a threshold of 0.3 with a green rule and 16 cost had a return of -66.25052071504844 percent, a drawdown of 67.28388401505792 percent, a sample size of 332, a win probability of 0.35542168674698793, an average win of 0.31964448185063765 percent, an average loss of 0.6798114046116288 percent, a mean of -0.324583107616004 percent, and a quarter Kelly of 0, a threshold of 0 with a buyhold rule and 6 cost had a return of 82.88688917451275 percent, a drawdown of 38.19235225955959 percent, a sample size of 1, a win probability of 1, an average win of 82.89517786343019 percent, an average loss of 0 percent, a mean of 82.89517786343019 percent, and a quarter Kelly of 0.25, and a threshold of 0 with a buyhold rule and 16 cost had a return of 82.52148053075096 percent, a drawdown of 38.19235225955984 percent, a sample size of 1, a win probability of 1, an average win of 82.52973267880404 percent, an average loss of 0 percent, a mean of 82.52973267880404 percent, and a quarter Kelly of 0.25. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean are divided by 1.0001 for the cash denominator. The drawdown is calculated using synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. The train data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a measure of optimal bet size. The rows of data are: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 39.80838914084505, the drawdown percentage is 12.162086764148949, the sample size is 332, the win probability is 0.5271084337349398, the average win percentage is 0.6531529867082522, the average loss percentage is 0.5311831253538898, the mean percentage is 0.1042900719001827, and the quarter Kelly is 0.03563117278237879. For the same threshold and open rule but with a cost of 6, the return percentage is -6.133570566380808, the drawdown percentage is 26.56560240883984, the sample size is 332, the win probability is 0.45481927710843373, the average win percentage is 0.6257421621394176, the average loss percentage is 0.5509443013108709, the mean percentage is -0.015764614621131247, and the quarter Kelly is 0. For the same threshold and open rule but with a cost of 16, the return percentage is -51.67871779676334, the drawdown percentage is 56.5333363763149, the sample size is 332, the win probability is 0.3674698795180723, the average win percentage is 0.5532017584115204, the average loss percentage is 0.6621636130075438, the mean percentage is -0.215553446401743, and the quarter Kelly is 0. For a threshold of 0.3 and a managed rule with 0 cost, the return percentage is 26.087081170764087, the drawdown percentage is 12.232076423790305, the sample size is 332, the win probability is 0.5210843373493976, the average win percentage is 0.6353523728503137, the average loss percentage is 0.564244511162571, the mean percentage is 0.07274335785058278, and the quarter Kelly is 0.023942082704718384. For the same threshold and managed rule but with a cost of 6, the return percentage is -15.345966147400441, the drawdown percentage is 29.53076692186135, the sample size is 332, the win probability is 0.45180722891566266, the average win percentage is 0.6017467501561337, the average loss percentage is 0.5821860388082251, the mean percentage is -0.047276646203846084, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 16, the return percentage is -56.42114562026015, the drawdown percentage is 60.26149191665272, the sample size is 332, the win probability is 0.3674698795180723, the average win percentage is 0.5197878315759865, the average loss percentage is 0.6924711954360183, the mean percentage is -0.24700251683522131, and the quarter Kelly is 0. Costs are per side. The trade profit and loss is calculated by dividing the win, loss, and mean by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline 'EEM QIR90908 train IBS sweep rows13–18'. On September 9 at 08 UTC, a retrieval was made. The train data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: for a threshold of 0.2 and a managed rule with a cost of 0 basis points, the return percentage is 8.361609560949239, the drawdown percentage is 15.96769004876708, the sample is 225, the win probability is 0.49333333333333335, the average win percentage is 0.6479739670393704, the average loss percentage is 0.5803108740752743, the mean percentage is 0.038538778076290074, and the quarter Kelly is 0.009893522802999863. For the same threshold and rule with a cost of 6 basis points, the return percentage is -17.278970851260897, the drawdown percentage is 28.323022567727975, the sample is 225, the win probability is 0.44, the average win percentage is 0.5964649313005895, the average loss percentage is 0.6140860557591766, the mean percentage is -0.08144362145287944, and the quarter Kelly is 0. For the same threshold and rule with a cost of 16 basis points, the return percentage is -47.25476879698206, the drawdown percentage is 50.85399044173175, the sample is 225, the win probability is 0.3511111111111111, the average win percentage is 0.5254945560277607, the average loss percentage is 0.7175468894147861, the mean percentage is -0.2811012263482918, and the quarter Kelly is 0. For a threshold of 0.2 and a green rule with a cost of 0 basis points, the return percentage is -9.662391517508501, the drawdown percentage is 21.148335347338964, the sample is 225, the win probability is 0.49333333333333335, the average win percentage is 0.48257079771517375, the average loss percentage is 0.5803108740752738, the mean percentage is -0.04306011879031357, and the quarter Kelly is 0. For the same threshold and rule with a cost of 6 basis points, the return percentage is -31.038123420412887, the drawdown percentage is 36.31208244248645, the sample is 225, the win probability is 0.44, the average win percentage is 0.4112167789939504, the average loss percentage is 0.6140860557591754, the mean percentage is -0.16295280846779997, and the quarter Kelly is 0. For the same threshold and rule with a cost of 16 basis points, the return percentage is -56.02798754058133, the drawdown percentage is 57.35135799885137, the sample is 225, the win probability is 0.3333333333333333, the average win percentage is 0.31029113216373755, the average loss percentage is 0.6988169026658928, the mean percentage is -0.36244755772268256, and the quarter Kelly is 0. Costs are per side. The trade profit and loss is divided by the entry value, which is a measure of the initial investment, and then the win, loss, and mean are divided by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is a synthetic, or artificial, measure of the open and exit marks, which are the points at which a trade is started and ended. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08 UTC, a retrieval was made. The training data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: a threshold of 0.1 with a green rule and 0 cost, resulting in a return of -2.6089643440666124 percent, a drawdown of 11.467109134513498 percent, a sample size of 122, a win probability of 0.5081967213114754, an average win of 0.5523643530494654 percent, an average loss of 0.6418918277077879 percent, a mean of -0.01919052696948397 percent, and a quarter Kelly of 0, a threshold of 0.1 with a green rule and 6 cost, resulting in a return of -15.872444932406973 percent, a drawdown of 19.63764941790639 percent, a sample size of 122, a win probability of 0.48360655737704916, an average win of 0.4558775596764651 percent, an average loss of 0.6963195238838624 percent, a mean of -0.13910945888337609 percent, and a quarter Kelly of 0, a threshold of 0.1 with a green rule and 16 cost, resulting in a return of -34.08711832677213 percent, a drawdown of 34.91675397968604 percent, a sample size of 122, a win probability of 0.4098360655737705, an average win of 0.3148421976130295 percent, an average loss of 0.7924671561556514 percent, a mean of -0.338651847234061 percent, and a quarter Kelly of 0, a threshold of 0.2 with an open rule and 0 cost, resulting in a return of 18.422700798523806 percent, a drawdown of 12.85042737315808 percent, a sample size of 225, a win probability of 0.5022222222222222, an average win of 0.6742077642018787 percent, an average loss of 0.5466070842001111 percent, a mean of 0.07866008597955737 percent, and a quarter Kelly of 0.024663488548281348, a threshold of 0.2 with an open rule and 6 cost, resulting in a return of -9.59854025500382 percent, a drawdown of 25.05976428977035 percent, a sample size of 225, a win probability of 0.4444444444444444, an average win of 0.631497749154363 percent, an average loss of 0.5796577605930808 percent, a mean of -0.04136642292755015 percent, and a quarter Kelly of 0, and a threshold of 0.2 with an open rule and 16 cost, resulting in a return of -42.35751241964832 percent, a drawdown of 46.47786623573496 percent, a sample size of 225, a win probability of 0.3511111111111111, an average win of 0.5755128116643488 percent, an average loss of 0.6829721583408457 percent, a mean of -0.24110410220568854 percent, and a quarter Kelly of 0. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean are divided by 1.0001 for the cash denominator. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08 UTC, a retrieval was made. The train data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a betting strategy. The rows of data are: for a threshold of 0.1 and an open rule with 0 cost, the return percentage is 14.505130393496051, the drawdown percentage is 10.718636723786478, the sample size is 122, the win probability is 0.5163934426229508, the average win percentage is 0.8109762390907962, the average loss percentage is 0.6597892297599195, the mean percentage is 0.11592873931282513, and the quarter Kelly is 0.03073592331837023. For the same threshold and open rule but with a cost of 6, the return percentage is -1.0890828111460564, the drawdown percentage is 13.889027066998128, the sample size is 122, the win probability is 0.4918032786885246, the average win percentage is 0.7267204976997623, the average loss percentage is 0.7114218786945756, the mean percentage is -0.0041387427629340015, and the quarter Kelly is 0. For the same threshold and open rule but with a cost of 16, the return percentage is -22.50453997360031, the drawdown percentage is 26.001630404339515, the sample size is 122, the win probability is 0.4344262295081967, the average win percentage is 0.607954959747177, the average loss percentage is 0.827588562925951, the mean percentage is -0.20395080307614935, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage is 11.503832135860522, the drawdown percentage is 8.16929413794114, the sample size is 122, the win probability is 0.5081967213114754, the average win percentage is 0.7727135406290144, the average loss percentage is 0.641891827707787, the mean percentage is 0.09279020770209058, and the quarter Kelly is 0.024914142946136975. For the same threshold and managed rule but with a cost of 6, the return percentage is -3.6816405629241897, the drawdown percentage is 14.270537407552652, the sample size is 122, the win probability is 0.48360655737704916, the average win percentage is 0.6871763733753227, the average loss percentage is 0.6963195238838625, the mean percentage is -0.027251835865076124, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 16, the return percentage is -24.535776376306718, the drawdown percentage is 27.68950162758099, the sample size is 122, the win probability is 0.4344262295081967, the average win percentage is 0.5529814299167841, the average loss percentage is 0.826147494990782, the mean percentage is -0.22701771613749508, and the quarter Kelly is 0. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean percentages are divided by 1.0001 for the cash denominator. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A news scan found the data line: Sep 9 08UTC retrieval. This data is about a holdout period from 2021 to 2025. The data includes the following information: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,-17.694210951549998,20.387277297011064,342,0.5380116959064327,0.5206940418814712,0.7231892648499131,-0.053965497485659604,0],[0.3,"green",6,-45.39958861268552,45.399588612685484,342,0.45614035087719296,0.4822494504951884,0.7241199673131469,-0.1738461977865378,0],[0.3,"green",16,-72.44894920398808,72.44894920398805,342,0.3508771929824561,0.3958171201561711,0.7890685345345492,-0.37331918201148945,0],[0,"buyhold",6,94.41172901810967,26.288008161635858,1,1,94.4211701910115,0,94.4211701910115,0.25],[0,"buyhold",16,94.02329370406098,26.288008161635833,1,1,94.03269603343139,0,94.03269603343139,0.25]]}. This data uses costs per side, which means the costs are applied to both the buy and sell sides of a trade. The trade profit and loss is calculated by dividing the trade value by the entry value, which is a common method in trading. For costs greater than 0, the win, loss, and mean values are divided by 1.0001 to account for the cash denominator. The drawdown, which is a measure of the largest peak to trough decline in value, uses synthetic open and exit marks, meaning the marks are estimated or simulated rather than actual. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included the following information: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.3 and an open rule with 0 cost, the return was 28.33%, the drawdown was 8.41%, the sample size was 342, the win probability was 54.68%, the average win was 73.15%, the average loss was 70.80%, the mean was 7.91%, and the quarter Kelly was 2.70%. For the same threshold and rule with a cost of 6, the return was -14.87%, the drawdown was 25.14%, the sample size was 342, the win probability was 46.20%, the average win was 73.32%, the average loss was 70.58%, the mean was -4.09%, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return was -57.04%, the drawdown was 58.53%, the sample size was 342, the win probability was 35.67%, the average win was 71.90%, the average loss was 77.29%, the mean was -24.07%, and the quarter Kelly was 0. For a threshold of 0.3 and a managed rule with 0 cost, the return was 8.90%, the drawdown was 8.76%, the sample size was 342, the win probability was 53.22%, the average win was 68.66%, the average loss was 71.88%, the mean was 2.91%, and the quarter Kelly was 1.06%. For the same threshold and rule with a cost of 6, the return was -27.76%, the drawdown was 30.58%, the sample size was 342, the win probability was 45.03%, the average win was 67.92%, the average loss was 72.17%, the mean was -9.09%, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return was -63.55%, the drawdown was 63.55%, the sample size was 342, the win probability was 34.79%, the average win was 64.88%, the average loss was 79.17%, the mean was -29.05%, and the quarter Kelly was 0. Costs are per side, and the trade profit and loss is divided by the entry value, with a cash denominator of 1.0001 for costs greater than 0. The drawdown uses synthetic open and exit marks, which are artificial prices used for calculation purposes, also known as a basis point, which is one hundredth of a percent. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included the following information: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.2 and a managed rule with 0 cost, the return percentage was 10.53, the drawdown percentage was 8.77, the sample size was 242, the win probability was 0.54, the average win percentage was 0.70, the average loss percentage was 0.71, the mean percentage was 0.05, and the quarter Kelly was 0.02. For the same threshold and rule with a cost of 6, the return percentage was -17.33, the drawdown percentage was 20.61, the sample size was 242, the win probability was 0.47, the average win percentage was 0.67, the average loss percentage was 0.73, the mean percentage was -0.07, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return percentage was -49.05, the drawdown percentage was 49.86, the sample size was 242, the win probability was 0.36, the average win percentage was 0.64, the average loss percentage was 0.79, the mean percentage was -0.27, and the quarter Kelly was 0. For a threshold of 0.2 and a green rule with 0 cost, the return percentage was -11.05, the drawdown percentage was 14.77, the sample size was 242, the win probability was 0.55, the average win percentage was 0.51, the average loss percentage was 0.72, the mean percentage was -0.05, and the quarter Kelly was 0. For the same threshold and rule with a cost of 6, the return percentage was -33.47, the drawdown percentage was 34.98, the sample size was 242, the win probability was 0.48, the average win percentage was 0.46, the average loss percentage was 0.74, the mean percentage was -0.17, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return percentage was -58.99, the drawdown percentage was 59.28, the sample size was 242, the win probability was 0.36, the average win percentage was 0.37, the average loss percentage was 0.78, the mean percentage was -0.36, and the quarter Kelly was 0. Costs were per side, and the trade profit and loss was calculated by dividing the win, loss, and mean by 1.0001 for a cash denominator when the cost was greater than 0. The drawdown used synthetic open and exit marks, which are artificial marks used to calculate the drawdown, and basis points refer to a unit of measurement for costs, where 1 basis point is equal to 0.01%. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data includes the following information: a list of columns such as threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are as follows: for a threshold of 0.1 and a rule of green with a cost of 0 basis points, the return percentage was 0.5223706228855348, the drawdown percentage was 6.475926140462917, the sample size was 122, the win probability was 0.5983606557377049, the average win percentage was 0.48957329604418637, the average loss percentage was 0.7123250618088184, the mean percentage was 0.00684362772617623, and the quarter Kelly was 0.0034946900604432563. For the same threshold and rule but with a cost of 6 basis points, the return percentage was -13.167559897628053, the drawdown percentage was 13.599607295271877, the sample size was 122, the win probability was 0.5245901639344263, the average win percentage was 0.42956691338409136, the average loss percentage was 0.7119131283844047, the mean percentage was -0.11310392614519361, and the quarter Kelly was 0. For a threshold of 0.1 and a rule of green with a cost of 16 basis points, the return percentage was -31.967874910107653, the drawdown percentage was 31.967874910107565, the sample size was 122, the win probability was 0.36885245901639346, the average win percentage was 0.3685193442332674, the average loss percentage was 0.710812465905466, the mean percentage was -0.3126982736411791, and the quarter Kelly was 0. For a threshold of 0.2 and a rule of open with a cost of 0 basis points, the return percentage was 17.258992638794464, the drawdown percentage was 6.538030452624099, the sample size was 242, the win probability was 0.5537190082644629, the average win percentage was 0.7035706062069537, the average loss percentage was 0.7147716925693001, the mean percentage was 0.07059139848862553, and the quarter Kelly was 0.025083267360042807. For the same threshold and rule but with a cost of 6 basis points, the return percentage was -12.294458854853428, the drawdown percentage was 16.123486656089025, the sample size was 242, the win probability was 0.4834710743801653, the average win percentage was 0.6765705094075055, the average loss percentage was 0.7289591968666311, the mean percentage was -0.04942623970103617, and the quarter Kelly was 0. For a threshold of 0.2 and a rule of open with a cost of 16 basis points, the return percentage was -45.945945453775614, the drawdown percentage was 46.60782983375235, the sample size was 242, the win probability was 0.3677685950413223, the average win percentage was 0.6561996727262596, the average loss percentage was 0.7757878575713268, the mean percentage was -0.24914781543709047, and the quarter Kelly was 0. Costs are per side, and vbt trade P and L is divided by the entry value. To get the cash denominator for costs greater than 0, divide the win, loss, and mean by 1.0001. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: for a threshold of 0.1 and an open rule with 0 cost, the return percentage is 18.28333776487791, the drawdown percentage is 4.27925470280599, the sample size is 122, the win probability is 0.6065573770491803, the average win percentage is 0.7443093344222113, the average loss percentage is 0.7826556590631664, the mean percentage is 0.1435362222312431, and the quarter Kelly is 0.048211212594380076. For a threshold of 0.1 and an open rule with 6 cost, the return percentage is 2.1745784339776946, the drawdown percentage is 6.829124581766566, the sample size is 122, the win probability is 0.5245901639344263, the average win percentage is 0.7302336570497703, the average loss percentage is 0.7564736320097575, the mean percentage is 0.02343838848048656, and the quarter Kelly is 0.008024276974297681. For a threshold of 0.1 and an open rule with 16 cost, the return percentage is -19.947502421534487, the drawdown percentage is 21.271990731457468, the sample size is 122, the win probability is 0.3770491803278688, the average win percentage is 0.777844622106151, the average loss percentage is 0.7540152984662892, the mean percentage is -0.17642877103733637, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage is 15.789498688912454, the drawdown percentage is 4.0380035059893515, the sample size is 122, the win probability is 0.5901639344262295, the average win percentage is 0.6984015778223723, the average loss percentage is 0.7021753261761987, the mean percentage is 0.12439464995410544, and the quarter Kelly is 0.044528339391059976. For a threshold of 0.1 and a managed rule with 6 cost, the return percentage is 0.02037006377229318, the drawdown percentage is 7.210092116962041, the sample size is 122, the win probability is 0.5163934426229508, the average win percentage is 0.668925294167255, the average loss percentage is 0.7053477043591794, the mean percentage is 0.004317860453651555, and the quarter Kelly is 0.0016137304461729396. For a threshold of 0.1 and a managed rule with 16 cost, the return percentage is -21.635297595074938, the drawdown percentage is 22.588828650427107, the sample size is 122, the win probability is 0.36885245901639346, the average win percentage is 0.6977153017675118, the average loss percentage is 0.7175265235556455, the mean percentage is -0.19551109618234974, and the quarter Kelly is 0. Costs are per side, and vbt trade P&L is divided by entry value. To get the cash denominator for costs greater than 0, divide win, loss, and mean by 1.0001. Drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included the following information: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.3 and a rule of green with a cost of 0, the return percentage was -20.005844202037043, the drawdown percentage was 23.074845212725315, the sample size was 351, the win probability was 0.5299145299145299, the average win percentage was 0.7424139316528762, the average loss percentage was 0.960611706041431, the mean percentage was -0.058153675810259646, and the quarter Kelly was 0. For the same threshold and rule with a cost of 6, the return percentage was -47.50312993577969, the drawdown percentage was 47.79357963531028, the sample size was 351, the win probability was 0.48148148148148145, the average win percentage was 0.6897416974758117, the average loss percentage was 0.9838175643646151, the mean percentage was -0.1780297716266318, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return percentage was -73.98293186180847, the drawdown percentage was 74.06648231509382, the sample size was 351, the win probability was 0.4301994301994302, the average win percentage was 0.5578277120724862, the average loss percentage was 1.0836625894487595, the mean percentage was -0.3774943970564286, and the quarter Kelly was 0. For a threshold of 0 and a rule of buyhold with a cost of 6, the return percentage was 101.01307271487288, the drawdown percentage was 36.579971016703404, the sample size was 1, the win probability was 1, the average win percentage was 101.02317402214436, the average loss percentage was 0, the mean percentage was 101.02317402214436, and the quarter Kelly was 0.25. For the same threshold and rule with a cost of 16, the return percentage was 100.6114478930463, the drawdown percentage was 36.57997101670352, the sample size was 1, the win probability was 1, the average win percentage was 100.6215090378356, the average loss percentage was 0, the mean percentage was 100.6215090378356, and the quarter Kelly was 0.25. The costs are per side, and the trade profit and loss is divided by the entry value. To account for costs greater than 0, the win, loss, and mean percentages are divided by 1.0001 for the cash denominator. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data showed the following results for different thresholds and rules: a threshold of 0.3 with an open rule had a cost of 0 basis points, a return percentage of 39.680607094055155, a drawdown percentage of 10.916904882633006, and a sample size of 351. The win probability was 0.5384615384615384, the average win percentage was 0.9923743486479133, and the average loss percentage was 0.9305135775496066. The mean percentage was 0.1048876134798272 and the quarter Kelly was 0.026423398998254563. Other results included a threshold of 0.3 with an open rule and a cost of 6 basis points, which had a return percentage of -8.333370007328108 and a drawdown percentage of 23.937878510527778. A managed rule with a cost of 0 basis points had a return percentage of 13.519026229823739 and a drawdown percentage of 13.080063782604157. Costs are per side, and the trade profit and loss is divided by the entry value. For costs greater than 0, the win, loss, and mean are divided by 1.0001 for the cash denominator. The drawdown uses synthetic open and exit marks, which are artificial prices used to calculate the drawdown, a measure of the largest peak to trough decline in value. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data includes various metrics such as threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The data is as follows: a news scan found the data line {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,10.710629944569439,10.094120587383848,245,0.5265306122448979,0.9635765191341763,0.9679247859848288,0.04906977875130045,0.012731157769232518],[0.2,"managed",6,-17.489971847488974,23.217973846450434,245,0.47346938775510206,0.9433219883679789,0.9829595294469877,-0.07092419856316676,0],[0.2,"managed",16,-49.45220580137269,50.30168112613866,245,0.40408163265306124,0.8845543159404721,1.0538943047751053,-0.27060282130228014,0],[0.2,"green",0,-14.868485033255707,17.48113403473337,245,0.5306122448979592,0.7472236820473928,0.9729929619397113,-0.060224946762880524,0],[0.2,"green",6,-36.55348452006051,36.55348452006061,245,0.4775510204081633,0.7023331671013207,0.9866967037466735,-0.18009876542334574,0],[0.2,"green",16,-61.1310106309496,61.131010630949646,245,0.4122448979591837,0.5953466281914844,1.063347412579411,-0.3795592569963071,0]]}. The costs are per side, and the trade profit and loss is divided by the entry value, which is a measure of the initial investment, using vbt, or vectorized backtesting, a method of testing trading strategies. To account for costs greater than 0, the win, loss, and mean values are divided by 1.0001 for a cash denominator. The drawdown, or peak-to-trough decline, uses synthetic open and exit marks, which are artificially generated prices for the start and end of a trade. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, at 08UTC, a retrieval was made for the holdout period of 2021 to 2025. The data includes the following information: a list of rows with various trading metrics. The columns in the list are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows in the list are as follows: a threshold of 0.1 with a green rule and costs of 0, 6, and 16 basis points, and a threshold of 0.2 with an open rule and costs of 0, 6, and 16 basis points. Costs are per side. The trade profit and loss is calculated by dividing the trade profit and loss by the entry value, and for costs greater than 0, the win, loss, and mean are divided by 1.0001 for a cash denominator. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included the following information: a list of rows with various trading metrics. The columns in the list were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows in the list were as follows: for a threshold of 0.1 and an open rule with 0 cost, the return percentage was 24.303366815164146, the drawdown percentage was 4.93891539464153, the sample size was 132, the win probability was 0.5909090909090909, the average win percentage was 1.0008056082086827, the average loss percentage was 1.0195879421033993, the mean percentage was 0.1742809739901037, and the quarter Kelly was 0.043535171206235804. For the same threshold and open rule but with a cost of 6, the return percentage was 6.093955405427141, the drawdown percentage was 6.952218093566886, the sample size was 132, the win probability was 0.5378787878787878, the average win percentage was 0.9722978345050145, the average loss percentage was 1.0145153023352411, the mean percentage was 0.054149339450047906, and the quarter Kelly was 0.013923033027635687. For the same threshold and open rule but with a cost of 16, the return percentage was -18.522672833665958, the drawdown percentage was 21.221654295974247, the sample size was 132, the win probability was 0.45454545454545453, the average win percentage was 0.9298245249524235, the average loss percentage was 1.0421156019947913, the mean percentage was -0.1457791806551482, and the quarter Kelly was 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage was 12.540857345288032, the drawdown percentage was 7.059027759916214, the sample size was 132, the win probability was 0.5681818181818182, the average win percentage was 0.9687056673699561, the average loss percentage was 1.048496562421568, the mean percentage was 0.09764106814179788, and the quarter Kelly was 0.025198848172039268. For the same threshold and managed rule but with a cost of 6, the return percentage was -3.945444066420123, the drawdown percentage was 8.662200758656768, the sample size was 132, the win probability was 0.5227272727272727, the average win percentage was 0.9256646763496391, the average loss percentage was 1.0607697680192616, the mean percentage was -0.022406308462790774, and the quarter Kelly was 0. For the same threshold and managed rule but with a cost of 16, the return percentage was -26.2326637770272, the drawdown percentage was 26.76578049482814, the sample size was 132, the win probability was 0.4393939393939394, the average win percentage was 0.8799507385366292, the average loss percentage was 1.0860155363570596, the mean percentage was -0.2221818701158933, and the quarter Kelly was 0. The costs are per side, and the trade profit and loss is divided by the entry value, with a cash denominator used for costs greater than 0. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 08UTC, a retrieval was made. The holdout period is from 2021 to 2025. The data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: a threshold of 0.3 with a green rule and 0 cost, resulting in a return of -31.410321482914995 percent and a drawdown of 36.38386815636255 percent, a threshold of 0.3 with a green rule and 6 cost, resulting in a return of -57.251161245295826 percent and a drawdown of 57.86905498261328 percent, a threshold of 0.3 with a green rule and 16 cost, resulting in a return of -80.55983711775929 percent and a drawdown of 80.76403589484076 percent, a buy and hold rule with 0 threshold and 6 cost, resulting in a return of 32.349193734947974 percent and a drawdown of 32.24219736212096 percent, and a buy and hold rule with 0 threshold and 16 cost, resulting in a return of 32.084759583304105 percent and a drawdown of 32.24219736212067 percent. Costs are per side, and the trade profit and loss is divided by the entry value, using a cash denominator for costs greater than 0. Drawdown uses synthetic open and exit marks, which are artificial marks used to calculate drawdown, a measure of the decline in value from a peak. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2024, at 08:00 UTC, a retrieval was made for the period from 2021 to 2025. The data included the following information: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.3 and an open rule with 0 cost, the return percentage was 6.50, the drawdown percentage was 22.92, the sample size was 394, the win probability was 0.51, the average win percentage was 0.94, the average loss percentage was 0.93, the mean percentage was 0.02, and the quarter Kelly was 0.0065. For the same threshold and open rule but with a cost of 6, the return percentage was -33.62, the drawdown percentage was 44.80, the sample size was 394, the win probability was 0.46, the average win percentage was 0.91, the average loss percentage was 0.97, the mean percentage was -0.10, and the quarter Kelly was 0. For a cost of 16, the return percentage was -69.81, the drawdown percentage was 71.59, the sample size was 394, the win probability was 0.38, the average win percentage was 0.89, the average loss percentage was 1.02, the mean percentage was -0.30, and the quarter Kelly was 0. For a managed rule with 0 cost, the return percentage was 2.49, the drawdown percentage was 17.87, the sample size was 394, the win probability was 0.50, the average win percentage was 0.94, the average loss percentage was 0.93, the mean percentage was 0.01, and the quarter Kelly was 0.0035. For a managed rule with a cost of 6, the return percentage was -36.12, the drawdown percentage was 43.41, the sample size was 394, the win probability was 0.46, the average win percentage was 0.91, the average loss percentage was 0.97, the mean percentage was -0.11, and the quarter Kelly was 0. For a managed rule with a cost of 16, the return percentage was -70.95, the drawdown percentage was 71.74, the sample size was 394, the win probability was 0.37, the average win percentage was 0.89, the average loss percentage was 1.02, the mean percentage was -0.31, and the quarter Kelly was 0. The costs are per side, and the trade profit and loss is divided by the entry value. To account for costs greater than 0, the win, loss, and mean percentages should be divided by 1.0001 for a cash denominator. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made. The holdout period is from 2021 to 2025. The data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: for a threshold of 0.2 and a managed rule with 0 cost, the return percentage is 10.704860714895005, the drawdown percentage is 15.663088874359932, the sample size is 263, the win probability is 0.49809885931558934, the average win percentage is 0.9862772535568619, the average loss percentage is 0.8872877913826676, the mean percentage is 0.04593282035527292, and the quarter Kelly is 0.01164297873382536. For the same threshold and rule with 6 cost, the numbers are -19.257286272432747, 28.963460809534258, 263, 0.4524714828897338, 0.959286945939514, 0.9280022487484121, -0.07405770818619464, and 0. For 16 cost, the numbers are -52.283981662653254, 53.92641443716334, 263, 0.376425855513308, 0.929391736591429, 1.000004819360922, -0.27373007016212825, and 0. For a green rule with 0 cost, the numbers are -15.24481988001737, 22.347813822321438, 263, 0.49809885931558934, 0.778282381234291, 0.887287791382667, -0.05766918829209099, and 0. For 6 cost, the numbers are -38.18371477851978, 40.17931311182679, 263, 0.4524714828897338, 0.7305695295245418, 0.9280022487484105, -0.17754581675418504, and 0. For 16 cost, the numbers are -63.468815166070705, 63.86176222826073, 263, 0.38783269961977185, 0.6331035578175047, 1.0169600217262142, -0.37701140912750947, and 0. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean are divided by 1.0001 for the cash denominator. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included the following information: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.1 and a rule of green with a cost of 0 basis points, the return percentage was 8.833930212591383, the drawdown percentage was 8.348397289591315, the sample size was 136, the win probability was 0.5514705882352942, the average win percentage was 0.8491750218722562, the average loss percentage was 0.8927650103621732, the mean percentage was 0.06786368388475478, and the quarter Kelly was 0.019979298182584718. For the same threshold and rule with a cost of 6 basis points, the return percentage was -7.554143967412222, the drawdown percentage was 14.422332795448156, the sample size was 136, the win probability was 0.5073529411764706, the average win percentage was 0.7960655027618375, the average loss percentage was 0.925687307946262, the mean percentage was -0.05215095545465272, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16 basis points, the return percentage was -29.569751414954965, the drawdown percentage was 31.052552323354664, the sample size was 136, the win probability was 0.4485294117647059, the average win percentage was 0.6850031568626466, the average loss percentage was 1.01385488570267, the mean percentage was -0.25186708719910883, and the quarter Kelly was 0. For a threshold of 0.2 and a rule of open with a cost of 0 basis points, the return percentage was 21.393576213529503, the drawdown percentage was 20.308390981386903, the sample size was 263, the win probability was 0.5057034220532319, the average win percentage was 1.0103322706608135, the average loss percentage was 0.8667228521397933, the mean percentage was 0.0825103468430233, and the quarter Kelly was 0.0204166364964906. For the same threshold and rule with a cost of 6 basis points, the return percentage was -11.461459693107532, the drawdown percentage was 29.582823265871127, the sample size was 263, the win probability was 0.4600760456273764, the average win percentage was 0.9841442341436681, the average loss percentage was 0.9080937762495649, the mean percentage was -0.037520395042031744, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16 basis points, the return percentage was -47.676930613205506, the drawdown percentage was 52.34136759144806, the sample size was 263, the win probability was 0.3840304182509506, the average win percentage was 0.95570895298937, the average loss percentage was 0.9810339431439709, the mean percentage was -0.23726575869732652, and the quarter Kelly was 0. The costs are per side, and the trade profit and loss is divided by the entry value, with the win, loss, and mean percentages divided by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A news scan found the data for IWM QIR90908 holdout IBS sweep rows 1–6. The data was retrieved on September 9, 2023, at 08:00 UTC. The holdout period is from 2021 to 2025. The data includes the following information: threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The data is as follows: the threshold is 0.1, the rules are open and managed, the costs are 0, 6, and 16 basis points, the return percentages are 32.52656967232277, 12.570888108962436, -14.237414490934919, 27.37644706861978, 8.196264387830023, and -17.570239231470637, the drawdown percentages are 6.478142731946923, 11.6091461079872, 22.217580852898557, 5.621483776721359, 10.874002459513033, and 23.298276017759957, the sample size is 136, the win probabilities are 0.5588235294117647, 0.5147058823529411, 0.4411764705882353, 0.5514705882352942, 0.5073529411764706, and 0.4338235294117647, the average win percentages are 1.0473163638109144, 1.009985821443744, 0.9585168419213635, 1.063195165990236, 1.0284403400524518, and 0.9826047556149284, the average loss percentages are 0.8397607178370372, 0.8762509836783335, 0.9453399993564154, 0.8927650103621735, 0.9256873079462633, and 0.9899451478333031, the mean percentages are 0.21478235720152414, 0.09460619542861826, -0.1054031576162189, 0.18588949865569937, 0.06574510170014368, and -0.1342065867785557, and the quarter Kelly values are 0.051269693815340175, 0.023417703847906854, 0, 0.04371010718492267, 0.015981749047492264, and 0. The costs are per side, and the trade P&L is divided by the entry value using vbt. To calculate the win, loss, and mean for cash, divide by 1.0001 for cost greater than 0. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made for the period from 2021 to 2025. The data showed the following results: the columns included threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.3 and a rule of green with a cost of 0, the return was -35.583452026664624 percent, the drawdown was 38.29577773715142 percent, the sample size was 402, the win probability was 0.48507462686567165, the average win was 0.5595267255532927 percent, the average loss was 0.770261117627373 percent, and the mean was -0.10605405146691649 percent with a quarter Kelly of 0. For the same threshold and rule with a cost of 6, the return was -60.235660330779965 percent, the drawdown was 61.01439154838466 percent, the sample size was 402, the win probability was 0.43034825870646765, the average win was 0.5014018136820417 percent, the average loss was 0.7753068252251386 percent, and the mean was -0.22587748559592907 percent with a quarter Kelly of 0. For a cost of 16, the return was -82.20407227835312 percent, the drawdown was 82.2626306359266 percent, the sample size was 402, the win probability was 0.3407960199004975, the average win was 0.40251435504150157 percent, the average loss was 0.8531832608050294 percent, and the mean was -0.42524651112598766 percent with a quarter Kelly of 0. For a rule of buyhold with a cost of 6, the return was -8.807238477003567 percent, the drawdown was 60.86150041220113 percent, the sample size was 1, the win probability was 0, the average win was 0 percent, the average loss was 8.808119200851268 percent, and the mean was -8.808119200851268 percent with a quarter Kelly of 0. For a cost of 16, the return was -8.989441933245905 percent, the drawdown was 60.861500412201174 percent, the sample size was 1, the win probability was 0, the average win was 0 percent, the average loss was 8.990340877439229 percent, and the mean was -8.990340877439229 percent with a quarter Kelly of 0. Costs are per side, and the trade profit and loss is divided by the entry value, with a cash denominator used for costs greater than 0. The drawdown uses synthetic open and exit marks, which are artificial marks used to calculate the drawdown. Basis points refer to a unit of measurement, where 1 basis point equals 0.01 percent. A quarter Kelly refers to a betting strategy, in this case with a value of 0. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 2023, at 08:00 UTC, a retrieval was made for the period from 2021 to 2025. The data included the following information: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.3 and an open rule with a cost of 0 basis points, the return percentage was -3.0727, the drawdown percentage was 21.994, the sample size was 402, the win probability was 0.4900, the average win percentage was 0.7963, the average loss percentage was 0.8079, the mean percentage was -0.0017, and the quarter Kelly was 0. For the same threshold and open rule but with a cost of 6 basis points, the return percentage was -40.1667, the drawdown percentage was 42.6149, the sample size was 402, the win probability was 0.4303, the average win percentage was 0.7762, the average loss percentage was 0.7998, the mean percentage was -0.1216, and the quarter Kelly was 0. For the same threshold and open rule but with a cost of 16 basis points, the return percentage was -73.2225, the drawdown percentage was 73.6551, the sample size was 402, the win probability was 0.3383, the average win percentage was 0.7549, the average loss percentage was 0.8713, the mean percentage was -0.3212, and the quarter Kelly was 0. For a threshold of 0.3 and a managed rule with a cost of 0 basis points, the return percentage was -4.8290, the drawdown percentage was 21.5729, the sample size was 402, the win probability was 0.4826, the average win percentage was 0.7669, the average loss percentage was 0.7666, the mean percentage was -0.0075, and the quarter Kelly was 0. For the same threshold and managed rule but with a cost of 6 basis points, the return percentage was -41.2509, the drawdown percentage was 43.3603, the sample size was 402, the win probability was 0.4229, the average win percentage was 0.7445, the average loss percentage was 0.7663, the mean percentage was -0.1274, and the quarter Kelly was 0. For the same threshold and managed rule but with a cost of 16 basis points, the return percentage was -73.7078, the drawdown percentage was 73.9973, the sample size was 402, the win probability was 0.3308, the average win percentage was 0.7185, the average loss percentage was 0.8439, the mean percentage was -0.3270, and the quarter Kelly was 0. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean percentages are divided by 1.0001 for the cash denominator. The drawdown uses synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all