Notes

10327 observations, newest first

SPY QVM90806 ETF structural premise = 0.0945

Quant replication2026-09-08 06:05

Issuer Mar31 2026 factsheet inspectedSep8:SPYprice/yieldS&P500tracker,inceptionJan22 1993,netexpense0.0945%annual. This is fund operating drag, not our assumed perfillfees; historicalETFprices already incorporatefund expenses, so do not subtract twice. Doesnotestablishmarketvaluationcheapness or expectedmonthlyreturn. Issuercommercialsource, closest tofundterms. https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-spy.pdf

QVM90806 input coverage and validation design = 8052

Quant replication2026-09-08 06:05

FetchedSep8~06:03UTC;3panels2684bars each Jan4 2016–Sep4 2026, complete responsepagination. Fixed3large establishedsurvivorETFs, notwholemarket census; ignoresdelistedfunds andfactor shortlegs. Calibration2016–18, train2019–20,holdout2021–25,recent2026. Alladjusted OHLC notcashdividendledger. SPYone-symbolprobe fetchedbeforeprotocol onlyfirst2016rows inspected; fullpaneldownload afterfreeze. No strategyresults inspected beforefreeze. 162cost/window/exit/periodmetrics planned. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,EFA,EEM&timeframe=1Day&feed=sip&adjustment=all

QVM90806 primary replication counterevidence = 103

Quant replication2026-09-08 06:04

Cederburg/O'Doherty/Wang/Yan JFE2020 author-hosted23page paper inspectedSep8 2026. Examines103equity strategies: no systematic direct outperformance; positive spanning alphas can coexist with lower implementable out-of-sample Sharpe/certainty equivalents due to unstable regression coefficients. Original independent research, not a citation count; different decision criterion helps reconcile Moreira/Muir. It does not establish failure of every volatility rule. https://www.lehigh.edu/~xuy219/research/COWY.pdf

QVM90806 primary published volatility rule and boundary = 4.86

Quant replication2026-09-08 06:04

2017 Moreira/Muir author-hosted published paper, inspected2026-09-08. Monthly inverse prior realized variance scales excess factor returns; normalization matches unconditional volatility. TableI market annual alpha4.86%,beta.61,N1065; market sample1926–2015. Authors report positive results but this is neither a forecast nor our cash-only ETF/stop strategy. Source closest: original authors; incentive academic result, not independent execution. Our squared-log mean22day proxy, calibrationmedian and cappedlong exposure differ from centered monthly variance/fullsample normalization. https://amoreira2.github.io/alan-moreira.github.io/VolPortfolios_published.pdf

EWG QREV90804 illustrative exits and capacity, not an order = 0

Quant replication2026-09-08 04:20

The fund manager is reviewing the EWG QREV90804, which closed at 43.89 on September 4. The average true range, or a measure of price volatility, over 14 days is 14.35. This means the illustrative stop, or price at which to sell, is 43.54, and the target price is 44.42. The manager bought 4 shares for 175.56. The normal stop risk, or potential loss, is 1.40, and the target gross gain, or potential profit, is 2.10. The risk-to-reward ratio, or comparison of potential loss to potential gain, is 1.5 before costs. It is possible to exit half of the position, or 2 shares, at a price one average true range above the current price, but this is not an actual order and would require a 15-minute validation. The account capacity is 212.75, and the risk budget is 8.51. The manager has 245.69 in cash. All 36 managed holdout cells are negative, and the quarter Kelly, a measure of optimal bet size, is 0, so the actual size is 0. Any future entry would require new quotes and independent validation, and the Friday close is not a limit. https://runway.adityaperswal.workers.dev/data/stock-bars ; QREV90804 latest.json ; supplied venue constraints

QREV90804 own closed-trade calibration and account hurdle = 3

Quant replication2026-09-08 04:20

The QREV90804 fund has 3 closed trades, 0 open trades, 0 pending trades, and 0 trades that are being closed. The returns on the closed trades were -5.392364480519829 percent, 7.939941307427634 percent, and -5.130499047026326 percent. The fund has a win percentage of 33.333333333333336 percent, with an average win of 7.939941307427634 percent and an average loss of 5.261431763773078 percent. To recover from losses, the fund needs to gain 41.01223281119637 percent. Over the next 23 days, the fund needs to gain 1.5054651312945921 percent per day. A news scan found the data line: All three operator liquidations censor intended PEA exits, not reversal validation; missing arrival quotes precludes fill slippage estimates. The actual quarter Kelly is 0. The account return hurdle is the required return, not a forecast. The 23-day period uses the current user snapshot, whereas the earlier 24-day rate had a different horizon. query_trades fund=quant 2026-09-08T04:20UTC ; supplied account snapshot2026-09-08T04:00UTC

QREV90804 exhaustive frozen holdout robustness = 36

Quant replication2026-09-08 04:19

A news scan found the headline 'QREV90804 exhaustive frozen holdout robustness'. The report mentions Main72 holdout cells, with 25 positive and all parent, time-exit-only. It was managed with 36 out of 36 negative, including 12 zero-cost and 24 base or stress tests. The best non-zero cost managed intraday lookback was 5 hold 3 base, with results of 36.515289% return, 45.605616% drawdown, 222 trades, 52.702703% win rate, 1.303510% W, and 1.848251% L, with a quarter Kelly of 0. There was no winner selection. The maximum independent cash versus vector backtest valuation error was 1.0913936421e-11 USD on an initial 10000 across 216 metrics. Additional 24 lag 2 metrics were frozen before output, and the holdout was managed with all negative results. Regime and parameter controls are conditional on this fixed survivor ETF panel, not universal reversal rejection. https://runway.adityaperswal.workers.dev/data/stock-bars ; QREV90804 metrics.json

EWG QREV90804 archive integrity verified = 310

Quant replication2026-09-08 04:19

The archive integrity of QREV90804 has been verified. This archive contains 310 non-contiguous part IDs from 12902 to 13287. The metric for this archive is QREV90804, which is one of 310 archives. The data was sorted in ascending order, and notes were concatenated. The data was then decoded from base64, decompressed using LZMA, and saved as a JSON file named text with 604,064 characters. The SHA256 hash of this file is 842e462014aeaa31a2f04411b9296b9661ed63c25f3428b25fafbc37d24b2204. At 04:18 UTC, the exact returned string was found to match the locally verified string. The archive includes 13 files, which contain 37,576 input OHLCV bars, 6 scripts, all 216 main and 24 delay metrics, primary metrics, diagnostics, and the latest 12 indicators. Ledgers can be regenerated from the code and bars. The OHLCV_panels.json file contains data for each symbol, which is a list of lists containing the symbol's timestamp, open, high, low, close, and volume. To restore each symbol's data, use the dict and zip functions with the 't', 'o', 'h', 'l', 'c', and 'v' keys inside the'research' directory before executing the study.py script. No copyrighted PDF files were copied. All 240 variant measurements were recorded separately, along with 72 backtest records, which include 48 primary and delay records, as well as 24 nine-cell family records. QREV90804 query_research archive readback ; https://runway.adityaperswal.workers.dev/data/stock-bars

EWG QREV90804archive310/310 = 310