XLI QSEC90808 L63 H20 parent base holdout = 25.85969447297569
Quant replication2026-09-08 08:07
{"lb":63,"H":20,"managed":false,"cost":"base","period":"holdout","return":25.85969447297569,"drawdown":29.612784605050468,"sample":51,"win rate":62.745098039215684,"avg_win":4.246490685538321,"avg_loss":5.462121858147606,"mean":0.6295566006357206,"kelly":0.037063345198172296,"reconcile":3.637978807091713e-12,"exits":{"time":51},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H20 parent base train = 28.552665614608586
Quant replication2026-09-08 08:07
{"lb":63,"H":20,"managed":false,"cost":"base","period":"train","return":28.552665614608586,"drawdown":21.464973935476273,"sample":39,"win rate":53.84615384615385,"avg_win":4.029619351285367,"avg_loss":3.0816555922909075,"mean":0.7474924542501635,"kelly":0.04637487992580046,"reconcile":1.8189894035458565e-12,"exits":{"time":39},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H20 parent zero recent = -4.187122947604783
Quant replication2026-09-08 08:07
{"lb":63,"H":20,"managed":false,"cost":"zero","period":"recent","return":-4.187122947604783,"drawdown":21.69812155510904,"sample":8,"win rate":25,"avg_win":9.221198005894838,"avg_loss":3.4867671580053683,"mean":-0.3097758670303166,"kelly":0,"reconcile":0,"exits":{"time":7,"boundary":1},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H20 parent zero holdout = 39.374946600787375
Quant replication2026-09-08 08:07
{"lb":63,"H":20,"managed":false,"cost":"zero","period":"holdout","return":39.374946600787375,"drawdown":26.273643139913084,"sample":51,"win rate":62.745098039215684,"avg_win":4.455192316364806,"avg_loss":5.272856884206211,"mean":0.831017123995211,"kelly":0.04663194453709216,"reconcile":1.8189894035458565e-12,"exits":{"time":51},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H20 parent zero train = 38.98120053176895
Quant replication2026-09-08 08:07
{"lb":63,"H":20,"managed":false,"cost":"zero","period":"train","return":38.98120053176895,"drawdown":21.150204686181095,"sample":39,"win rate":56.41025641025641,"avg_win":4.048386065286096,"avg_loss":3.06153641806091,"mean":0.9491890853656065,"kelly":0.058615277178272765,"reconcile":1.8189894035458565e-12,"exits":{"time":39},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed stress recent = -11.357116649829146
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"stress","period":"recent","return":-11.357116649829146,"drawdown":11.864696664356023,"sample":9,"win rate":33.33333333333333,"avg_win":1.0391057976546638,"avg_loss":2.4881217629331336,"mean":-1.3123792427372014,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"stop":4,"samebar_BE":2,"gap_stop":1,"target":1,"boundary":1},"partial":3}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed stress holdout = -30.699147707285725
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"stress","period":"holdout","return":-30.699147707285725,"drawdown":37.50314541880451,"sample":58,"win rate":44.827586206896555,"avg_win":1.4840876463711692,"avg_loss":2.3058752564128393,"mean":-0.606926368957939,"kelly":0,"reconcile":3.637978807091713e-12,"exits":{"samebar_BE":7,"gap_target":4,"target":10,"stop":28,"BE":6,"gap_stop":3},"partial":27}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed stress train = -19.91270017036696
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"stress","period":"train","return":-19.91270017036696,"drawdown":22.857546619202964,"sample":46,"win rate":39.130434782608695,"avg_win":1.1020783337468538,"avg_loss":1.480332365629915,"mean":-0.4698238310911793,"kelly":0,"reconcile":3.637978807091713e-12,"exits":{"stop":23,"target":9,"samebar_BE":6,"gap_stop":2,"gap_target":3,"BE":1,"time":2},"partial":20}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed base recent = -8.931151398901127
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"base","period":"recent","return":-8.931151398901127,"drawdown":9.994281398159522,"sample":9,"win rate":33.33333333333333,"avg_win":1.342678778091274,"avg_loss":2.1951463721603766,"mean":-1.0158713220764928,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"stop":4,"samebar_BE":2,"gap_stop":1,"target":1,"boundary":1},"partial":3}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed base holdout = -17.528109900212186
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"base","period":"holdout","return":-17.528109900212186,"drawdown":29.337682760600337,"sample":58,"win rate":46.55172413793103,"avg_win":1.730983297776252,"avg_loss":2.0844479263949283,"mean":-0.30829890824627526,"kelly":0,"reconcile":3.637978807091713e-12,"exits":{"samebar_BE":7,"gap_target":4,"target":10,"stop":28,"BE":6,"gap_stop":3},"partial":27}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed base train = -8.061715704956585
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"base","period":"train","return":-8.061715704956585,"drawdown":13.507714224589584,"sample":46,"win rate":45.65217391304348,"avg_win":1.2341114923039294,"avg_loss":1.3508970313511237,"mean":-0.17078444446512114,"kelly":0,"reconcile":3.637978807091713e-12,"exits":{"stop":23,"target":9,"samebar_BE":6,"gap_stop":2,"gap_target":3,"BE":1,"time":2},"partial":20}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed zero recent = -7.277069912829304
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"zero","period":"recent","return":-7.277069912829304,"drawdown":8.725339363734907,"sample":9,"win rate":33.33333333333333,"avg_win":1.5455669731204345,"avg_loss":1.9993409083922997,"mean":-0.817704947888055,"kelly":0,"reconcile":0,"exits":{"stop":4,"samebar_BE":2,"gap_stop":1,"target":1,"boundary":1},"partial":3}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed zero holdout = -7.384406955627143
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"zero","period":"holdout","return":-7.384406955627143,"drawdown":23.87219970838258,"sample":58,"win rate":46.55172413793103,"avg_win":1.9346488790366638,"avg_loss":1.8884208441722752,"mean":-0.1087159730232863,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"samebar_BE":7,"gap_target":4,"target":10,"stop":28,"BE":6,"gap_stop":3},"partial":27}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 managed zero train = 0.7979014763345837
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":true,"cost":"zero","period":"train","return":0.7979014763345837,"drawdown":9.855751010797164,"sample":46,"win rate":47.82608695652174,"avg_win":1.3758862238780292,"avg_loss":1.2055042649567222,"mean":0.029073794920767605,"kelly":0.00528273966557008,"reconcile":1.8189894035458565e-12,"exits":{"stop":23,"target":9,"samebar_BE":6,"gap_stop":2,"gap_target":3,"BE":1,"time":2},"partial":20}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent stress recent = -8.575314487694975
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"stress","period":"recent","return":-8.575314487694975,"drawdown":18.62615383812335,"sample":9,"win rate":33.33333333333333,"avg_win":3.518444600873516,"avg_loss":3.1250897507199538,"mean":-0.9105783001887975,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"time":8,"boundary":1},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent stress holdout = 18.244566472423983
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"stress","period":"holdout","return":18.244566472423983,"drawdown":29.518853091584706,"sample":58,"win rate":51.724137931034484,"avg_win":3.6748297629069073,"avg_loss":3.1214627671899224,"mean":0.39386095527395504,"kelly":0.026794503465814884,"reconcile":3.637978807091713e-12,"exits":{"time":58},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent stress train = -25.650035760899147
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"stress","period":"train","return":-25.650035760899147,"drawdown":33.766922402827014,"sample":46,"win rate":41.30434782608695,"avg_win":2.238086434745703,"avg_loss":2.580684695919269,"mean":-0.5903227071663458,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"time":46},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent base recent = -6.073217288828947
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"base","period":"recent","return":-6.073217288828947,"drawdown":17.42263328938232,"sample":9,"win rate":33.33333333333333,"avg_win":3.829466778965466,"avg_loss":2.8340281364891586,"mean":-0.6128631646709503,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"time":8,"boundary":1},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent base holdout = 40.71764730714638
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"base","period":"holdout","return":40.71764730714638,"drawdown":22.433270514169134,"sample":58,"win rate":55.172413793103445,"avg_win":3.7467876381319036,"avg_loss":3.0599414433111276,"mean":0.6954952912781309,"kelly":0.04640610560630114,"reconcile":3.637978807091713e-12,"exits":{"time":58},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent base train = -14.6480382772056
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"base","period":"train","return":-14.6480382772056,"drawdown":27.267324304832343,"sample":46,"win rate":47.82608695652174,"avg_win":2.222726403196973,"avg_loss":2.5964861440625775,"mean":-0.2916453605906185,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"time":46},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent zero recent = -4.367227208627522
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"zero","period":"recent","return":-4.367227208627522,"drawdown":16.75936476375115,"sample":9,"win rate":33.33333333333333,"avg_win":4.037333527305043,"avg_loss":2.6395017149722295,"mean":-0.41388996754647195,"kelly":0,"reconcile":0,"exits":{"time":8,"boundary":1},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent zero holdout = 58.02533858980614
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"zero","period":"holdout","return":58.02533858980614,"drawdown":22.122382208224256,"sample":58,"win rate":58.620689655172406,"avg_win":3.7270784621992887,"avg_loss":3.112065580127111,"mean":0.8970878239952611,"kelly":0.06017366102522993,"reconcile":1.8189894035458565e-12,"exits":{"time":58},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
XLI QSEC90808 L63 H10 parent zero train = -6.423110954117551
Quant replication2026-09-08 08:07
{"lb":63,"H":10,"managed":false,"cost":"zero","period":"train","return":-6.423110954117551,"drawdown":22.769786432688765,"sample":46,"win rate":52.17391304347826,"avg_win":2.2344690261095717,"avg_loss":2.6300270242672936,"mean":-0.09202908494023335,"kelly":0,"reconcile":1.8189894035458565e-12,"exits":{"time":46},"partial":0}
https://runway.adityaperswal.workers.dev/data/stock-bars ; QSEC90808 study.py corrected partial path
QPRE90808 StateStreet sector vehicle scope = 11
Quant replication2026-09-08 08:05
Issuer page retrievedSep8 lists11S&P500sector ETFs inclXLC/XLRE. Frozen9establishedETFsubset excludes2laterlaunches; changingsectorclassification/universecoverage limits cross-time comparability. SponsorbenefitsfromAUM, not independent proof of alpha.
https://www.ssga.com/us/en/intermediary/capabilities/equities/sector-investing/select-sector-etfs
QPRE90808 MoskowitzGrinblatt primary research method = 20
Quant replication2026-09-08 08:05
1999JournalFinance primaryfull43pagepaper methods/tradingfrictions/TableIII readSep8. 20valueweightedindustries, equalweighttop3minusbottom3, monthlyoverlappingcohorts;1963-95. 6/1 TableIII rawmonthlylong1.76%,spread.49%(t2.35), DGTW.12%(t.63). 6/6spread.43%monthly;longminusmiddle.36%,middleminuslosers.07%. Costsqualification explicit. Frozen9ETFtop1cash20sessionATR adaptation is not exact replication and source cannot validate it.
https://spinup-000d1a-wp-offload-media.s3.amazonaws.com/faculty/wp-content/uploads/sites/3/2019/09/DoIndustriesExplainMomentum.pdf