Notes

On September 9, at 08 UTC, a retrieval was made for the period from 2021 to 2025. The data showed the following results for different trading strategies: a strategy is a set of rules to buy or sell, and cost_bps refers to the cost per trade in basis points, which is a unit of measurement for interest rates and investment returns. The results were as follows: the columns in the data represent threshold, rule, cost_bps, return_pct, drawdown_pct, sample, win_probability, average_win_pct, average_loss_pct, mean_pct, and quarter_kelly, which is a measure of the optimal fraction of a portfolio to invest in a trade. The rows in the data represent the specific results for each strategy, with costs per side, meaning the costs are applied to both the buy and sell sides of a trade. The tradeP&L, or 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, which is the peak-to-trough decline in value, uses synthetic open and exit marks, which are simulated prices used to estimate the performance of a trade. The data is as follows: {"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",0,1.8419007472709839,19.38599901885729,286,0.5,0.7733148018616527,0.7893935815636777,0.01128143207537122,0],[0.2,"managed",6,-27.743550163240844,29.673749070290732,286,0.44405594405594406,0.7418959688833197,0.7880546808423813,-0.10867100071943007,0],[0.2,"managed",16,-59.218808827706184,59.697904263872935,286,0.34965034965034963,0.7110018029643814,0.8562720590762813,-0.3082742052159097,0],[0.2,"green",0,-22.466182422961335,24.462937019935417,286,0.5034965034965035,0.5753647818414022,0.7948650263087456,-0.08550437051230333,0],[0.2,"green",6,-44.990044772334684,45.6096727816222,286,0.45104895104895104,0.5145163822135842,0.7968332919620007,-0.20535039696671942,0],[0.2,"green",16,-68.9526470566027,69.0548098673202,286,0.36013986013986016,0.4158643493077422,0.8666421452813964,-0.40476043569160175,0]]} 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 'FXI QIR90908 holdout IBS sweep rows7–12'. On September 9 at 08UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included the following columns: threshold, rule, cost in basis points, return as a percentage, drawdown as a percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which refers to a betting strategy. The rows of data were as follows: [0.1, 'green', 0, -2.8673032052941267, 10.175612070266837, 151, 0.5231788079470199, 0.62015917966028, 0.734096359766114, -0.015855430400436177, 0], [0.1, 'green', 6, -18.965252907290846, 19.87477870266272, 151, 0.47019867549668876, 0.5636094850437394, 0.7564844475637544, -0.1357780289204957, 0], [0.1, 'green', 16, -40.08794649692226, 40.242563571662245, 151, 0.3841059602649007, 0.4663397063765327, 0.8352913017774447, -0.33532707347989044, 0], [0.2, 'open', 0, 2.2052012632522064, 18.093535101634227, 286, 0.5104895104895105, 0.8051025544888228, 0.8531632660533087, 0.014245659336636594, 0], [0.2, 'open', 6, -27.4857897982434, 30.421427546609657, 286, 0.45454545454545453, 0.7754943951534375, 0.8400470552337909, -0.10571003233050515, 0], [0.2, 'open', 16, -59.07333012310135, 59.97688933853883, 286, 0.36013986013986016, 0.7483595031735427, 0.8983732597956114, -0.30531915285217476, 0]. The costs are per side, and the trade profit and loss is divided by the entry value, using a method called vbt. To calculate the cost, divide the win, loss, and mean 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

On September 9, 2023, at 08:00 UTC, a retrieval was made for the period from 2021 to 2025. The data includes the following information: 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 as follows: for a threshold of 0.1 and an open rule with 0 cost, the return percentage is 21.51674135296321, the drawdown percentage is 7.769772825192211, the sample size is 151, the win probability is 0.5364238410596026, the average win percentage is 0.8517565798827078, the average loss percentage is 0.7165163841241287, the mean percentage is 0.13423290629177878, and the quarter Kelly is 0.03661334294462519. For the same threshold and open rule but with a cost of 6, the return percentage is 1.3775868272218985, the drawdown percentage is 10.65653959571884, the sample size is 151, the win probability is 0.48344370860927155, the average win percentage is 0.8185494995992513, the average loss percentage is 0.7386945266504196, the mean percentage is 0.014145300609355163, and the quarter Kelly is 0.004320233723275266. For a threshold of 0.1 and an open rule with a cost of 16, the return percentage is -25.047715653919784, the drawdown percentage is 25.949627398632757, the sample size is 151, the win probability is 0.39072847682119205, the average win percentage is 0.7867871819753101, the average loss percentage is 0.8093656600086208, the mean percentage is -0.18570329128642263, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage is 13.752339421034856, the drawdown percentage is 7.922625605282585, the sample size is 151, the win probability is 0.5231788079470199, the average win percentage is 0.8227854078305354, the average loss percentage is 0.7340963597661134, the mean percentage is 0.09015431811247916, and the quarter Kelly is 0.02443868922384819. For the same threshold and managed rule but with a cost of 6, the return percentage is -5.100008953010104, the drawdown percentage is 12.57608621476789, the sample size is 151, the win probability is 0.47019867549668876, the average win percentage is 0.7888189696339585, the average loss percentage is 0.756484447563754, the mean percentage is -0.029884827556882525, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with a cost of 16, the return percentage is -29.8368472163665, the drawdown percentage is 30.19165576329632, the sample size is 151, the win probability is 0.37748344370860926, the average win percentage is 0.7557825652508756, the average loss percentage is 0.8271922205511449, the mean percentage is -0.2296454471027, 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 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 a rule of green with a cost of 0, the return percentage was -18.734906469563224, the drawdown percentage was 29.417760908875813, the sample size was 361, the win probability was 0.5346260387811634, the average win percentage was 0.7217382823157973, the average loss percentage was 0.9880417283008865, the mean percentage was -0.052053152468678573, and the quarter Kelly was 0. For the same threshold and rule with a cost of 6, the return percentage was -47.30521258300634, the drawdown percentage was 49.50832819435792, the sample size was 361, the win probability was 0.48476454293628807, the average win percentage was 0.6673782532530055, the average loss percentage was 0.9616133018671258, the mean percentage was -0.1719359552022422, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return percentage was -74.40196071829082, the drawdown percentage was 74.94045889388283, the sample size was 361, the win probability was 0.39335180055401664, the average win percentage was 0.5958275080837858, the average loss percentage was 0.9985731100432657, the mean percentage was -0.37141275609855284, 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 25.078625732984666, the drawdown percentage was 32.31410701876306, the sample size was 1, the win probability was 1, the average win percentage was 25.081133595557976, the average loss percentage was 0, the mean percentage was 25.081133595557976, and the quarter Kelly was 0.25. For the same threshold and rule with a cost of 16, the return percentage was 24.828718201619402, the drawdown percentage was 32.31410701876308, the sample size was 1, the win probability was 1, the average win percentage was 24.831201073439573, the average loss percentage was 0, the mean percentage was 24.831201073439573, and the quarter Kelly was 0.25. 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 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

A news scan found the headline 'EWZ QIR90908 holdout IBS sweep rows19–24'. 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 percentage was 12.773240299543387, the drawdown percentage was 27.35355669139883, the sample size was 361, the win probability was 0.5373961218836565, the average win percentage was 0.9434160010539591, the average loss percentage was 1.0551378054492402, the mean percentage was 0.04225981478681141, and the quarter Kelly was 0.005002368923229389. For the same threshold and open rule but with a cost of 6, the return percentage was -26.874360617277, the drawdown percentage was 41.83483217283522, the sample size was 361, the win probability was 0.48753462603878117, the average win percentage was 0.9110817971178341, the average loss percentage was 1.0184309524477508, the mean percentage was -0.0777266756512329, and the quarter Kelly was 0. For the same threshold and open rule but with a cost of 16, the return percentage was -64.47707484601453, the drawdown percentage was 66.80538637401926, the sample size was 361, the win probability was 0.39335180055401664, the average win percentage was 0.9018310901406383, the average loss percentage was 1.0420019225261812, the mean percentage was -0.2773917070173492, and the quarter Kelly was 0. For a threshold of 0.3 and a managed rule with 0 cost, the return percentage was 24.516683861233403, the drawdown percentage was 20.22621465602358, the sample size was 361, the win probability was 0.5318559556786704, the average win percentage was 0.9538126394016879, the average loss percentage was 0.9842974195060158, the mean percentage was 0.0683106432815943, and the quarter Kelly was 0.012187393038205221. For the same threshold and managed rule but with a cost of 6, the return percentage was -19.25955043072396, the drawdown percentage was 36.00956475767333, the sample size was 361, the win probability was 0.481994459833795, the average win percentage was 0.923560222552351, the average loss percentage was 0.9591700464801751, the mean percentage was -0.051704487445107083, and the quarter Kelly was 0. For the same threshold and managed rule but with a cost of 16, the return percentage was -60.77795734629622, the drawdown percentage was 63.64177095603595, the sample size was 361, the win probability was 0.39058171745152354, the average win percentage was 0.9122544821033038, the average loss percentage was 0.9972320342368852, the mean percentage was -0.25142151123420753, and the quarter Kelly was 0. The 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. 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 'EWZ QIR90908 holdout IBS sweep rows13–18'. On September 9, 2023, at 08:00 UTC, a retrieval was made for the holdout period of 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': [[0.2,'managed', 0, 5.579218576377673, 15.613967775440285, 244, 0.5163934426229508, 0.9399030881306194, 1.009895948502978, 0.03007883102102637, 0], [0.2,'managed', 6, -21.219812496862517, 30.28023199973745, 244, 0.46311475409836067, 0.9191085093307008, 0.9602554416678122, -0.08989426763981234, 0], [0.2,'managed', 16, -51.64058112840381, 54.6821739839632, 244, 0.3729508196721312, 0.9146503531795797, 1.0057497989497153, -0.28953498811460937, 0], [0.2, 'green', 0, -20.079422111580516, 23.607841911675052, 244, 0.5163934426229508, 0.7148292274775079, 1.0098959485029773, -0.08614783472607183, 0], [0.2, 'green', 6, -40.365554923537964, 41.911296163329496, 244, 0.46311475409836067, 0.6684171092219786, 0.9602554416678144, -0.20599315375573823, 0], [0.2, 'green', 16, -63.39324391030456, 64.16332911689801, 244, 0.3729508196721312, 0.6039742156728701, 1.0057497989497153, -0.4054019082503084, 0]]}. The costs are per side, and 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 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 Sep 9 08UTC retrieval. The data is for the years 2021 to 2025. It is presented in a table format with the following information: the 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 table has the following rows: a threshold of 0.1 with a rule of green and costs of 0, 6, and 16 basis points, and a threshold of 0.2 with a rule of open and costs of 0, 6, and 16 basis points. The costs are per side, and the trade profit and loss is divided by the entry value. To calculate the win, loss, and mean for cash, the denominator is 1.0001 for costs greater than 0. The drawdown is calculated using synthetic open and exit marks. The data is as follows: {[0.1, green, 0, -17.15254069585584, 18.940111308673192, 104, 0.49038461538461536, 0.6578174735477095, 1.0567640380324392, -0.17531487223708014, 0], [0.1, green, 6, -26.872750428333674, 26.87275042833377, 104, 0.4326923076923077, 0.6148093719196834, 0.9890319742420094, -0.2950621609989693, 0], [0.1, green, 16, -40.60554670607349, 40.605546706073504, 104, 0.3269230769230769, 0.5786130858819452, 1.0154187467398055, -0.4942929553057717, 0], [0.2, open, 0, 7.474689432013928, 18.354294263558568, 244, 0.5245901639344263, 0.9434217247165717, 1.0312054252627905, 0.038474568997294234, 0.0012360736805306638], [0.2, open, 6, -19.80546645957197, 30.430208483310594, 244, 0.4713114754098361, 0.9212783594804664, 0.9754643780287562, -0.08150775994039314, 0], [0.2, open, 16, -50.77238120892533, 54.33505265339915, 244, 0.3770491803278688, 0.9249704171816747, 1.0111947113968025, -0.28116523668688487, 0]}. 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 'EWZ QIR90908 holdout IBS sweep rows1–6'. On September 9, at 08:00 UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included columns for 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 an open rule with costs of 0, 6, and 16 basis points, the returns were -8.040575660021783, -18.829861160993165, and -34.07305691963459 percent, with drawdowns of 15.963932153874804, 22.44249986540362, and 34.10777703338559 percent. For a managed rule with the same costs, the returns were -7.647048900423886, -18.48250555342264, and -33.79093231449683 percent, with drawdowns of 16.311263536174515, 22.45142433545162, and 33.79093231449688 percent. The costs are per side, and the trade profit and loss is divided by the entry value. To calculate the win, loss, and mean for cash, divide by 1.0001 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

A news scan found the following data: Sep 9 08UTC retrieval. The data is about a holdout period from 2021 to 2025. It includes a table with the following information: 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 are as follows: for a threshold of 0.3 and a rule of green with a cost of 0, the return percentage is -9.615267988938115, the drawdown percentage is 13.448249167568594, the sample size is 332, the win probability is 0.5301204819277109, the average win percentage is 0.36851834244107273, the average loss percentage is 0.4903936463275061, the mean percentage is -0.02915845172334974, and the quarter Kelly is 0. For the same threshold and rule with a cost of 6, the return percentage is -39.31628766106502, the drawdown percentage is 39.74320845217703, the sample size is 332, the win probability is 0.46686746987951805, the average win percentage is 0.2890638757261211, the average loss percentage is 0.532739851997801, the mean percentage is -0.1490664248977772, and the quarter Kelly is 0. For the same threshold and rule with a cost of 16, the return percentage is -68.76077201654513, the drawdown percentage is 68.79455838992317, the sample size is 332, the win probability is 0.29819277108433734, the average win percentage is 0.19187225605890243, the average loss percentage is 0.5782269292822291, the mean percentage is -0.3485889191955664, and the quarter Kelly is 0. For a threshold of 0 and a rule of buyhold with a cost of 6, the return percentage is 34.56996272842857, the drawdown percentage is 34.174137669047255, the sample size is 1, the win probability is 1, the average win percentage is 34.573419724701424, the average loss percentage is 0, the mean percentage is 34.573419724701424, and the quarter Kelly is 0.25. For the same threshold and rule with a cost of 16, the return percentage is 34.30109147257412, the drawdown percentage is 34.17413766904737, the sample size is 1, the win probability is 1, the average win percentage is 34.30452158172138, the average loss percentage is 0, the mean percentage is 34.30452158172138, and the quarter Kelly is 0.25. The 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, which are artificial marks used to calculate the drawdown. 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 shows the following information: 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 as follows: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 24.657735635827997, the drawdown percentage is 5.901059973154899, the sample size is 332, the win probability is 0.536144578313253, the average win percentage is 0.5359680956178117, the average loss percentage is 0.4823545712893504, the mean percentage is 0.06942510640532508, and the quarter Kelly is 0.02967229116179465. For the same threshold and open rule with 6 cost, the return percentage is -16.305619302807, the drawdown percentage is 24.171403769712963, the sample size is 332, the win probability is 0.46686746987951805, the average win percentage is 0.4849375257315094, the average loss percentage is 0.5195571262323385, the mean percentage is -0.05059124956246979, and the quarter Kelly is 0. For the same threshold and open rule with 16 cost, the return percentage is -56.91516324955994, the drawdown percentage is 57.251140482819885, the sample size is 332, the win probability is 0.3072289156626506, the average win percentage is 0.4863974959920411, the average loss percentage is 0.5770244773737614, the mean percentage is -0.25031049760474977, and the quarter Kelly is 0. For a threshold of 0.3 and a managed rule with 0 cost, the return percentage is 14.37188606967286, the drawdown percentage is 6.674016851244224, the sample size is 332, the win probability is 0.5271084337349398, the average win percentage is 0.5067024776103305, the average loss percentage is 0.4875203454056333, the mean percentage is 0.04241662871911424, and the quarter Kelly is 0.01802975672735123. For the same threshold and managed rule with 6 cost, the return percentage is -23.2114707928321, the drawdown percentage is 26.150071911149574, the sample size is 332, the win probability is 0.463855421686747, the average win percentage is 0.446184190162026, the average loss percentage is 0.5307057113082192, the mean percentage is -0.07757003412021389, and the quarter Kelly is 0. For the same threshold and managed rule with 16 cost, the return percentage is -60.47021057283254, the drawdown percentage is 60.946286975164, the sample size is 332, the win probability is 0.3072289156626506, the average win percentage is 0.4242948552562965, the average loss percentage is 0.5883487864510959, the mean percentage is -0.2772353784566561, 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. Drawdown uses synthetic open and exit marks, which are artificial marks used to calculate the drawdown, a measure of the decrease in value from a peak to a trough. 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, 2008, at 08UTC, 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 0.2 and a managed rule with 0 cost, the return was 13.03%, the drawdown was 7.62%, the sample size was 239, the win probability was 52.72%, the average win was 52.89%, the average loss was 48.99%, the mean was 5.32%, and the quarter Kelly was 2.23%. For the same threshold and rule with a cost of 6, the return was -15.15%, the drawdown was 20.54%, the sample size was 239, the win probability was 46.86%, the average win was 46.67%, the average loss was 53.70%, the mean was -6.67%, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return was -47.39%, the drawdown was 48.03%, the sample size was 239, the win probability was 32.22%, the average win was 43.34%, the average loss was 59.90%, the mean was -26.64%, and the quarter Kelly was 0. For a threshold of 0.2 and a green rule with 0 cost, the return was -6.23%, the drawdown was 11.59%, the sample size was 239, the win probability was 53.14%, the average win was 37.58%, the average loss was 49.40%, the mean was -2.56%, and the quarter Kelly was 0. For the same threshold and rule with a cost of 6, the return was -29.61%, the drawdown was 30.27%, the sample size was 239, the win probability was 47.28%, the average win was 29.42%, the average loss was 53.99%, the mean was -14.55%, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return was -56.36%, the drawdown was 56.40%, the sample size was 239, the win probability was 30.96%, the average win was 18.92%, the average loss was 58.47%, the mean was -34.51%, 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 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 for the holdout period of 2021 to 2025. The data included columns for 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 costs of 0, 6, and 16 basis points, the returns were 2.456687409883625, -11.390405904108023, and -30.43650900191739 percent, and the drawdowns were 5.377905242812952, 13.225328262051118, and 30.436509001917457 percent, with sample sizes of 121, win probabilities of 0.6033057851239669, 0.5371900826446281, and 0.30578512396694213, average win percentages of 0.3347054982284103, 0.24625101366225277, and 0.1493433695722823, average loss percentages of 0.46556238272625, 0.4994606407059817, and 0.4957564460077401, mean percentages of 0.02109148250033227, -0.09887173546684755, and -0.2984945189295515, and quarter Kelly values of 0.012879874691233056, 0, and 0. For a threshold of 0.2 and a rule of open, with costs of 0, 6, and 16 basis points, the returns were 22.273266377746996, -8.21412596339187, and -43.09075019746655 percent, and the drawdowns were 7.374781547613529, 18.057537842914606, and 45.226181492348985 percent, with sample sizes of 239, win probabilities of 0.5355648535564853, 0.4686192468619247, and 0.32217573221757323, average win percentages of 0.5781603098972878, 0.5310032584004027, and 0.5267778787436312, average loss percentages of 0.4910982461289805, 0.5290958499926824, and 0.59275514341439, mean percentages of 0.08772346897457302, -0.032313004218517086, and -0.23206877225887684, and quarter Kelly values of 0.03526662694025817, 0, and 0. Costs are per side, and the trade profit and loss is divided by the entry value, with a cash denominator adjustment for costs greater than 0. Drawdown calculations use 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, 08:00 UTC, a retrieval was made for the period from 2021 to 2025. The data shows the following information for rows 1 to 6: a list of trading results with 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 criterion. The data provided is as follows: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,10.953217416625273,4.838973782428157,121,0.6198347107438017,0.4200354931741249,0.4648759234966979,0.0874648382703137,0.04977132280978672],[0.1,"open",6,-4.042187899469627,9.610318346529745,121,0.5371900826446281,0.3525939500607849,0.47963821740406354,-0.032571350584103646,0],[0.1,"open",16,-24.667746575757974,25.22110927398622,121,0.3140495867768595,0.33265065495620905,0.4909908889697131,-0.2323266024475227,0],[0.1,"managed",0,10.40870553642543,4.822927199598281,121,0.6033057851239669,0.43797146181747587,0.46556238272624784,0.0833924357400173,0.04540524878732276],[0.1,"managed",6,-4.51310861635618,8.65852081659032,121,0.5371900826446281,0.3620991306763219,0.49946064070598306,-0.036639275913835805,0],[0.1,"managed",16,-25.037445696763992,25.45611604196827,121,0.3140495867768595,0.34887703127315584,0.5043383324604293,-0.23638640004822895,0]]}. The 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. 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 08UTC, 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: a threshold of 0.3 with a green rule and 0 cost had a return of -6.9593435579778085 percent and a drawdown of 14.078339795496364 percent, a threshold of 0.3 with a green rule and 6 cost had a return of -37.23255570473156 percent and a drawdown of 37.610444884569546 percent, a threshold of 0.3 with a green rule and 16 cost had a return of -67.42856017356185 percent and a drawdown of 67.48843476946145 percent, a buy and hold rule with 0 threshold and 6 cost had a return of 50.608760610069446 percent and a drawdown of 30.603816576474163 percent, and a buy and hold rule with 0 threshold and 16 cost had a return of 50.307843779991735 percent and a drawdown of 30.603816576473918 percent. The costs were per side, and the trade profit and loss was calculated by dividing the trade profit and loss by the entry value, using a cash denominator of 1.0001 for costs greater than 0. The drawdown used 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 rows: for a threshold of 0.3 and an open rule with costs of 0, 6, and 16 basis points, the returns were 13.955394454770042 percent, -23.122974975544253 percent, and -60.10678110709053 percent, with drawdowns of 10.019006693102073 percent, 30.673460822017905 percent, and 60.28710204633807 percent. For a managed rule with the same costs, the returns were 11.392331215794286 percent, -24.85207852263628 percent, and -61.00405186217904 percent, with drawdowns of 9.589839558917369 percent, 28.614859355565127 percent, and 61.18031705687129 percent. The data also included win probabilities, average win and loss percentages, and mean percentages. 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. 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 is as follows: {"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",0,25.552618676283622,4.515387629333178,228,0.5921052631578947,0.5091762301729683,0.4944739383481618,0.10196135414613967,0.048997087299522776],[0.2,"managed",6,-4.500126405236222,13.560732368774552,228,0.5043859649122807,0.4647305340725491,0.5094575882821196,-0.018090772182177046,0],[0.2,"managed",16,-39.470888575908226,40.22098191942328,228,0.34649122807017546,0.426083473507248,0.5593025801450671,-0.21787495629185258,0],[0.2,"green",0,10.27258832898707,4.703115906262479,228,0.6008771929824561,0.4038064866340422,0.5021429995367711,0.04442376627436136,0.02613961519624476],[0.2,"green",6,-16.122671455080102,18.909857232032444,228,0.5131578947368421,0.3401844439331004,0.5137875988526548,-0.07556510321259624,0],[0.2,"green",16,-46.83741481173028,46.83741481173027,228,0.3333333333333333,0.26081881787550076,0.5432610890497502,-0.2752344534079999,0]]}. The costs are per side, and the trade profit and loss is divided by the entry value, which is a measure of the trade's performance. To account 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, which are artificial prices used to estimate the trade's performance. 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 holdout period is from 2021 to 2025. The data is as follows: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,10.932052874111957,3.6825675718194284,127,0.6299212598425197,0.3979497151110539,0.46279972302953953,0.08304873976004329,0.04988359360338088],[0.1,"green",6,-4.7487757499424905,7.022930013140649,127,0.5354330708661418,0.33589751566553694,0.46674272046811044,-0.03698259403434646,0],[0.1,"green",16,-26.11442654521917,26.114426545219118,127,0.3779527559055118,0.22652839362850113,0.5182018985550098,-0.23672903221793476,0],[0.2,"open",0,31.43809755341606,4.429853454318722,228,0.6008771929824561,0.5375407979989291,0.5061063144768831,0.12321719746900786,0.05627360443256514],[0.2,"open",6,-0.023417797031186183,11.543956476960526,228,0.5131578947368421,0.49660716088809,0.5169975645314243,0.0031417024601685445,0.0015815833457527018],[0.2,"open",16,-36.63349011704698,39.49644170420243,228,0.34649122807017546,0.48226167526410113,0.5566632919818766,-0.196684904208051,0]]}. The costs are per side, and the trade profit and loss is divided by the entry value, which is a measure of the trade's performance. To account for costs, the win, loss, and mean values are divided by 1.0001 when the cost is greater than 0. The drawdown, which is the maximum loss from a peak to a trough, uses synthetic open and exit marks, meaning they are estimated or simulated values. Costs are measured in basis points, or cost_bps, which is a unit of measurement equal to 0.01 percent. 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 holdout IBS sweep rows1–6'. This is a data line. On September 9, 08 UTC, a retrieval was made for the holdout period 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":[[0.1,"open",0,11.942125741162533,4.100214560386872,127,0.6220472440944882,0.44564183265601326,0.5038946101861672,0.09072959134704882,0.048672448866613344],[0.1,"open",6,-3.881481990604027,7.482760923373844,127,0.5275590551181102,0.3929402087564223,0.5008231284578497,-0.029310186777879454,0],[0.1,"open",16,-25.441674071253416,25.568369810972168,127,0.3700787401574803,0.31033757569275366,0.5459750534215345,-0.229071954457979,0],[0.1,"managed",0,16.29424428563407,3.682567571819406,127,0.6220472440944882,0.46578287004093016,0.4571371083656157,0.1205622255122012,0.06277749153357805],[0.1,"managed",6,-0.1445582728690738,6.691048826064061,127,0.5275590551181102,0.4166624871365358,0.4642366861141064,0.0004896493803269261,0.00029379257519190904],[0.1,"managed",16,-22.542973776160466,22.54297377616029,127,0.3779527559055118,0.334791454453342,0.5238621574719583,-0.19933165847656925,0]]}. The costs are per side, and the trade P&L 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. 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 a rule of green with a cost of 0, the return percentage was -18.324277375830604, the drawdown percentage was 20.903255632112494, the sample size was 356, the win probability was 0.5224719101123596, the average win percentage was 0.39198767712788735, the average loss percentage was 0.5543090951577349, the mean percentage was -0.05522446894818731, and the quarter Kelly was 0. For the same threshold and rule with a cost of 6, the return percentage was -46.720226499815055, the drawdown percentage was 47.28972485712607, the sample size was 356, the win probability was 0.44662921348314605, the average win percentage was 0.328742262200903, the average loss percentage was 0.5817612548130342, the mean percentage was -0.17510378513546113, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16, the return percentage was -73.8576657095831, the drawdown percentage was 73.9528864692069, the sample size was 356, the win probability was 0.3146067415730337, the average win percentage was 0.2272250032935636, the average loss percentage was 0.6508099825935696, the mean percentage was -0.374574256696494, 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 16.712587310781952, the drawdown percentage was 40.322580645161196, the sample size was 1, the win probability was 1, the average win percentage was 16.714258569513024, the average loss percentage was 0, the mean percentage was 16.714258569513024, and the quarter Kelly was 0.25. For the same threshold and rule with a cost of 16, the return percentage was 16.479395153423614, the drawdown percentage was 40.32258064516125, the sample size was 1, the win probability was 1, the average win percentage was 16.481043092938954, the average loss percentage was 0, the mean percentage was 16.481043092938954, 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 08UTC, a retrieval was made for the holdout period of 2021 to 2025. The data included columns for 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 costs of 0, 6, and 16 basis points, the returns were 5.719298679834583, -31.03580712497874, and -66.16192476491398 percent, respectively, with corresponding drawdowns of 9.644892235475089, 33.54998325166919, and 66.63437592911407 percent. For a managed rule with the same costs, the returns were 1.5826530336449767, -33.734277808778714, and -67.48596047404729 percent, with drawdowns of 11.908948994689538, 36.072623316010635, and 67.86852580759853 percent. 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 calculation 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 showed the following results for different threshold, rule, and cost combinations: 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. Basis points, or bps, are a unit of measurement for costs and returns, where 1 basis point equals 0.01%. The results included return percentages, drawdown percentages, sample sizes, win probabilities, average win and loss percentages, and mean percentages. For example, a threshold of 0.2 with a managed rule and 0 basis points cost had a return percentage of 6.040165990273567%, a drawdown percentage of 9.975284485373159%, and a win probability of 0.5277777777777778. The quarter Kelly, a measure of optimal bet size, was also calculated. Costs were given per side, meaning per trade. 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 artificially created marks for the purpose of calculation. 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 holdout IBS sweep rows7–12'. On September 9, 08UTC, a retrieval was made. The holdout period is from 2021 to 2025. The data is as follows: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,-3.854485289323304,9.700593467904051,125,0.568,0.40102539281218275,0.5957735381429862,-0.029591745360450252,0],[0.1,"green",6,-17.246789459935474,18.508710560272846,125,0.496,0.33224574181699246,0.6235974803828414,-0.14949924217172378,0],[0.1,"green",16,-35.551752284486184,35.66805412670955,125,0.336,0.24949479748732992,0.6518842223717293,-0.34902087169908536,0],[0.2,"open",0,12.449063823816255,7.154891475954017,252,0.5436507936507936,0.5592658331623342,0.5569084361224348,0.049900591226824546,0.02230629347794441],[0.2,"open",6,-16.89537701217195,21.457800137823558,252,0.46825396825396826,0.5210230712576382,0.5906304916279824,-0.07009429948312834,0],[0.2,"open",16,-49.79574490592431,50.80848817167693,252,0.32936507936507936,0.5056326409143816,0.650595878387553,-0.26977458036350305,0]]}. The costs are per side, and the trade profit and loss is divided by the entry value. To calculate 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 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 0.1 and an open rule with 0 cost, the return percentage was 4.677845750419589, the drawdown percentage was 6.984352504008506, the sample size was 125, the win probability was 0.576, the average win percentage was 0.48479747411382557, the average loss percentage was 0.5669847005511871, the mean percentage was 0.038841832055860094, and the quarter Kelly was 0.020029926995215983. For the same threshold and open rule but with a cost of 6, the return percentage was -9.902944153639964, the drawdown percentage was 14.061859045722858, the sample size was 125, the win probability was 0.496, the average win percentage was 0.43548115568754825, the average loss percentage was 0.5895626068888277, the mean percentage was -0.0811409006509452, and the quarter Kelly was 0. For the same threshold and open rule but with a cost of 16, the return percentage was -29.832361358192188, the drawdown percentage was 31.071842177824593, the sample size was 125, the win probability was 0.328, the average win percentage was 0.41507583504238504, the average loss percentage was 0.6204523575557737, the mean percentage was -0.28079911038357774, and the quarter Kelly was 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage was 1.4469706411953551, the drawdown percentage was 8.84528348967768, the sample size was 125, the win probability was 0.56, the average win percentage was 0.48489010976674435, the average loss percentage was 0.5858748898476578, the mean percentage was 0.013753509936407511, and the quarter Kelly was 0.00709104478488104. For the same threshold and managed rule but with a cost of 6, the return percentage was -12.683784101783532, the drawdown percentage was 15.697148768129754, the sample size was 125, the win probability was 0.48, the average win percentage was 0.4379610017332498, the average loss percentage was 0.608505618256722, the mean percentage was -0.10620164066153547, and the quarter Kelly was 0. For the same threshold and managed rule but with a cost of 16, the return percentage was -31.99808110085261, the drawdown percentage was 32.682755094985104, the sample size was 125, the win probability was 0.32, the average win percentage was 0.4134462066836737, the average loss percentage was 0.6442831839511993, the mean percentage was -0.30580977894804007, and the quarter Kelly was 0. Costs are per side. The trade profit and loss is divided 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

A research paper from the NAAIM 2014 collection was studied, using data up to December 5, 2013. The paper explains a trading method called the Internal Bar Strength, or IBS, which is calculated as the difference between the close and low prices, divided by the difference between the high and low prices, or IBS = (C-L)/(H-L), where C is the close price, L is the low price, and H is the high price, a concept also known as a technical indicator. If the IBS is less than or equal to 0.2, it predicts that the next day's close-to-close price change will be low. The reason why this method works is not fully understood, and it produces different results for foreign and local exchange-traded funds, or ETFs, compared to US listings. The method also involves costs, and it assumes that the signal to buy or sell is received near the close of the trading day, which is known as the closing auction. The next test of this method will be an adaptation, not an exact copy of the original strategy. The paper's abstract reports returns of 0.35% and -0.13%, while the body reports returns of 0.38% and -0.14% for the low and high buckets, respectively, but the original definitions will be retained, without trying to improve or optimize the method, also known as not importing an edge. https://www.naaim.org/wp-content/uploads/2014/04/00V_Alexander_Pagonidis_The-IBS-Effect-Mean-Reversion-in-Equity-ETFs-1.pdf

On April 10, the issuer noted that on September 11, Pixclara resubmitted its New Drug Application, or NDA, for PDUFA, which is a Food and Drug Administration decision deadline, beyond the expected two-session window of September 9-10. An early decision is possible. Looking at the FDA advisory calendar, there is no scheduled decision date for September 9-10, but this does not prove that there will be no FDA decisions or that it is a complete list of PDUFA deadlines. https://telixpharma.com/news-views/fda-accepts-nda-for-tlx101-px-pixclara/