Notes

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"stop":25,"target":12,"time":10,"target_gap":7,"stop_gap":6} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"r":{"r":1,"rv":-0.19530699122995648,"mom":-0.12391122953132247},"rv":{"r":-0.19530699122995648,"rv":1,"mom":0.0878607986338867},"mom":{"r":-0.12391122953132247,"rv":0.0878607986338867,"mom":1}} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":29,"mean_pct":-0.1520405476463866,"p":0.41379310344827586,"win_pct":1.1891925600140443,"loss_pct":1.0987933295243377,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":10,"mean_pct":-0.19604273200508104,"p":0.4,"win_pct":0.8693531165683674,"loss_pct":0.9063066310540469,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":50,"mean_pct":-0.2327775540260996,"p":0.38,"win_pct":1.572863481111129,"loss_pct":1.3394607691102074,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":36,"mean_pct":0.0832278530397084,"p":0.5,"win_pct":1.3184312684291088,"loss_pct":1.1519755623496921,"quarterkelly":0.01578160633638359} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":24,"mean_pct":-0.6914794887827204,"p":0.20833333333333334,"win_pct":1.926011155132192,"loss_pct":1.3802928161287498,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":25,"mean_pct":-0.007533616426085175,"p":0.44,"win_pct":1.735591626110581,"loss_pct":1.3771320212763227,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":35,"mean_pct":-0.383170417448676,"p":0.34285714285714286,"win_pct":1.1891925600140443,"loss_pct":1.2035337100379213,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":16,"mean_pct":-0.2943514611221094,"p":0.375,"win_pct":2.064841937686773,"loss_pct":1.7098675004074395,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9; fixed managed2021–2025,6bp/side,60third-Friday windows perETF. Lagged200SMA,5sessionmomentum andRV20. High/lowRV threshold is development median; no filter selected from holdout. Pre2023/post2023 descriptive. {"n":44,"mean_pct":-0.20203821916822817,"p":0.38636363636363635,"win_pct":1.233692175368487,"loss_pct":1.1060166157283822,"quarterkelly":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"OEF":{"OEF":1,"SPY":0.9812855278113555,"IWM":0.5917433960005724},"SPY":{"OEF":0.9812855278113555,"SPY":1,"IWM":0.6910577659887448},"IWM":{"OEF":0.5917433960005724,"SPY":0.6910577659887448,"IWM":1}} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[-0.21127115199821292,0.11350217613758636],"se_pct":[0.32943002274757144,0.613878536191469],"t":[-0.6413233081676385,0.1848935407348808],"ci_pct":[[-0.856953996583453,0.43441169258702717],[-1.0896997547976928,1.3167041070728656]],"n":35} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[-0.05695523553189239,0.14207783296997054],"se_pct":[0.0913970783273677,0.1408684564860124],"t":[-0.623162540578038,1.0085851475491834],"ci_pct":[[-0.23609350905353307,0.12218303798974829],[-0.13402434174261377,0.41818000768255487]],"n":35} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[0.5750612931616704,-0.17656100578539455],"se_pct":[0.42747704737219633,0.7207423759798169],"t":[1.345244842259274,-0.24497103496289888],"ci_pct":[[-0.2627937196878344,1.4129163060111753],[-1.5892160627058358,1.2360940511350467]],"n":35,"week_means_pct":{"1":0.2796148416879321,"2":1.5619195540720097,"3":0.3985002873762758,"4":0.10873461142631435,"5":-0.025165714041649096},"OE_N":8,"OE_overnight_pct":0.16788728682740062,"OE_intraday_week_pct":0.24027106060809794} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[0.4207453766953497,-0.20513666261777885],"se_pct":[0.3534245465659478,0.6306583201876685],"t":[1.1904814783905793,-0.3252738544014375],"ci_pct":[[-0.271966734573908,1.1134574879646075],[-1.4412269701856093,1.0309536449500514]],"n":35,"week_means_pct":{"1":0.6842633603182935,"2":0.8873794780903138,"3":0.21560871407757115,"4":-0.5202832691826531,"5":0.9830828723222718},"OE_N":8,"OE_overnight_pct":0.0936406728710995,"OE_intraday_week_pct":0.12763457209465506} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[0.3637901411634575,-0.06305882964780825],"se_pct":[0.4167991435313838,0.7061932717874913],"t":[0.8728188308670675,-0.08929401081405942],"ci_pct":[[-0.4531361801580548,1.1807164624849698],[-1.4471976423512911,1.3210799830556745]],"n":35,"week_means_pct":{"1":0.7959271660805484,"2":0.6977508311402536,"3":0.3007313115156493,"4":-0.7514601215871441,"5":1.2948636021146966},"OE_N":8,"OE_overnight_pct":0.08056284205804759,"OE_intraday_week_pct":0.22546692574528793} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"OEF":{"OEF":1,"SPY":0.985021525366486,"IWM":0.7200341338854233},"SPY":{"OEF":0.985021525366486,"SPY":1,"IWM":0.8009287448927497},"IWM":{"OEF":0.7200341338854233,"SPY":0.8009287448927497,"IWM":1}} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[0.3054632254218439,-0.42396212075561146],"se_pct":[0.1477321367493858,0.3388814198936665],"t":[2.0676829845088793,-1.2510633391722727],"ci_pct":[[0.01590823739304778,0.5950182134506401],[-1.0881697037471978,0.24024546223597487]],"n":155} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[0.0951345697079993,-0.07059929048261959],"se_pct":[0.029884050038323267,0.07212791960264993],"t":[3.18345637843595,-0.9788066933241456],"ci_pct":[[0.036561831632885705,0.1537073077831129],[-0.21197001290381348,0.07077143193857427]],"n":155} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all

Measured Sep9. Weekly Friday-close returns, holiday fallback, within-period endpoints. OLS constant + third-Friday dummy, Newey-West4 weekly lags. Coefficients, SEs, CI, week means and decomposition percent; t dimensionless. OEF-SPY/OEF-IWM are paired differences; correlations separate. {"coef_pct":[0.21256318280136297,0.3315997072841689],"se_pct":[0.2346642541517409,0.4639105792522492],"t":[0.9058183299784265,0.7147922942793316],"ci_pct":[[-0.24737875533604914,0.6725051209387751],[-0.5776650280502396,1.2408644426185773]],"n":155,"week_means_pct":{"1":-0.24952243746758895,"2":0.05636369527754234,"3":0.5441628900855323,"4":0.5922876570343825,"5":0.8897379484582107},"OE_N":36,"OE_overnight_pct":0.2639794482213206,"OE_intraday_week_pct":0.28303135670587093} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all