SPY QTM90800 all swing train 20bp shift0 = -10.686530888065704
Quant replication2026-09-08 00:10
{"rule":"swing","split":"train","cost":20,"shift":0,"return":-10.686530888065704,"drawdown":20.390339439487303,"sample":58,"win rate":43.103448275862064,"average win":1.0009619288012317,"average loss":1.087068395975567,"mean":-0.1870553249510848,"quarter Kelly":0,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all swing train 10bp shift0 = 0.2986697428200902
Quant replication2026-09-08 00:10
{"rule":"swing","split":"train","cost":10,"shift":0,"return":0.2986697428200902,"drawdown":15.383953056995004,"sample":58,"win rate":51.724137931034484,"average win":1.012761572413506,"average loss":1.0586484230236353,"mean":0.012770540133506765,"quarter Kelly":0.0031524053837946875,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all swing train 2bp shift0 = 10.051940581731422
Quant replication2026-09-08 00:10
{"rule":"swing","split":"train","cost":2,"shift":0,"return":10.051940581731422,"drawdown":11.590635401172822,"sample":58,"win rate":55.172413793103445,"average win":1.1025769454624703,"average loss":0.9712752297668843,"mean":0.1729190738079321,"quarter Kelly":0.039207937940195656,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay recent 20bp shift0 = 4.448897382231287
Quant replication2026-09-08 00:10
{"rule":"delay","split":"recent","cost":20,"shift":0,"return":4.448897382231287,"drawdown":3.7295118027269702,"sample":8,"win rate":62.5,"average win":1.5744708838414168,"average loss":1.136052941795914,"mean":0.5580244492274178,"quarter Kelly":0.08860507599002747,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay recent 10bp shift0 = 6.133522628773136
Quant replication2026-09-08 00:10
{"rule":"delay","split":"recent","cost":10,"shift":0,"return":6.133522628773136,"drawdown":3.5367779479271944,"sample":8,"win rate":62.5,"average win":1.7778233305701627,"average loss":0.9381269732664769,"mean":0.759341966631423,"quarter Kelly":0.10677972799298,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay recent 2bp shift0 = 7.500763530710386
Quant replication2026-09-08 00:10
{"rule":"delay","split":"recent","cost":2,"shift":0,"return":7.500763530710386,"drawdown":3.382313238253487,"sample":8,"win rate":62.5,"average win":1.9407982094675047,"average loss":0.7795010935653934,"mean":0.9206859708301679,"quarter Kelly":0.1185963031008226,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay later 20bp shift0 = -12.662850613328935
Quant replication2026-09-08 00:10
{"rule":"delay","split":"later","cost":20,"shift":0,"return":-12.662850613328935,"drawdown":16.40093086793203,"sample":59,"win rate":52.54237288135594,"average win":1.1660699978601732,"average loss":1.737522867328511,"mean":-0.2119062771446262,"quarter Kelly":0,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay later 10bp shift0 = -1.7243743861204863
Quant replication2026-09-08 00:10
{"rule":"delay","split":"later","cost":10,"shift":0,"return":-1.7243743861204863,"drawdown":10.923204629923411,"sample":59,"win rate":57.6271186440678,"average win":1.2555472919824462,"average loss":1.736171503554223,"mean":-0.012130163753430616,"quarter Kelly":0,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay later 2bp shift0 = 8.004840628900922
Quant replication2026-09-08 00:10
{"rule":"delay","split":"later","cost":2,"shift":0,"return":8.004840628900922,"drawdown":9.631218672870833,"sample":59,"win rate":61.016949152542374,"average win":1.3419418461111006,"average loss":1.720833701863035,"mean":0.14797849690084422,"quarter Kelly":0.027567978696260348,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay train 20bp shift0 = -1.2292043948954445
Quant replication2026-09-08 00:10
{"rule":"delay","split":"train","cost":20,"shift":0,"return":-1.2292043948954445,"drawdown":20.319864685602862,"sample":58,"win rate":51.724137931034484,"average win":1.362487663918508,"average loss":1.4584910082216906,"mean":0.0006358911611706989,"quarter Kelly":0.00011667833368522729,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay train 10bp shift0 = 10.919209690716535
Quant replication2026-09-08 00:10
{"rule":"delay","split":"train","cost":10,"shift":0,"return":10.919209690716535,"drawdown":13.463423963546163,"sample":58,"win rate":56.896551724137936,"average win":1.433327209702774,"average loss":1.4260488826612514,"mean":0.20083751471828035,"quarter Kelly":0.0350299487372335,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all delay train 2bp shift0 = 21.705245997334522
Quant replication2026-09-08 00:10
{"rule":"delay","split":"train","cost":2,"shift":0,"return":21.705245997334522,"drawdown":11.409582021416664,"sample":58,"win rate":62.06896551724138,"average win":1.4648608930410878,"average loss":1.4445606707343965,"mean":0.3612871964365938,"quarter Kelly":0.061658959931436316,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent recent 20bp shift0 = 6.690935178514601
Quant replication2026-09-08 00:10
{"rule":"parent","split":"recent","cost":20,"shift":0,"return":6.690935178514601,"drawdown":3.8605890541483334,"sample":8,"win rate":62.5,"average win":1.9218251352094964,"average loss":0.991158718748486,"mean":0.8294561899752528,"quarter Kelly":0.10789953971083258,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent recent 10bp shift0 = 8.411721586830234
Quant replication2026-09-08 00:10
{"rule":"parent","split":"recent","cost":10,"shift":0,"return":8.411721586830234,"drawdown":3.6681176164653495,"sample":8,"win rate":62.5,"average win":2.1258729863669945,"average loss":0.7929426714766522,"mean":1.031317114675627,"quarter Kelly":0.12128160069879032,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent recent 2bp shift0 = 9.80831086731051
Quant replication2026-09-08 00:10
{"rule":"parent","split":"recent","cost":2,"shift":0,"return":9.80831086731051,"drawdown":3.5138632184869123,"sample":8,"win rate":62.5,"average win":2.2894051905111024,"average loss":0.6340843109341725,"mean":1.1930966274691244,"quarter Kelly":0.13028456391360427,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent later 20bp shift0 = -18.39504844199943
Quant replication2026-09-08 00:10
{"rule":"parent","split":"later","cost":20,"shift":0,"return":-18.39504844199943,"drawdown":22.730307594822342,"sample":59,"win rate":40.67796610169492,"average win":1.241232933082622,"average loss":1.405638817022695,"mean":-0.3289452237595153,"quarter Kelly":0,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent later 10bp shift0 = -8.17449706256631
Quant replication2026-09-08 00:10
{"rule":"parent","split":"later","cost":10,"shift":0,"return":-8.17449706256631,"drawdown":14.774395812176856,"sample":59,"win rate":47.45762711864407,"average win":1.2527563244481812,"average loss":1.377805775057396,"mean":-0.12940342274966454,"quarter Kelly":0,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent later 2bp shift0 = 0.9161605278606988
Quant replication2026-09-08 00:10
{"rule":"parent","split":"later","cost":2,"shift":0,"return":0.9161605278606988,"drawdown":11.514338035311255,"sample":59,"win rate":50.847457627118644,"average win":1.3303077253619344,"average loss":1.3140931787053483,"mean":0.030517450481405625,"quarter Kelly":0.005735035943112851,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent train 20bp shift0 = -2.152160873159026
Quant replication2026-09-08 00:10
{"rule":"parent","split":"train","cost":20,"shift":0,"return":-2.152160873159026,"drawdown":16.675336367077453,"sample":58,"win rate":55.172413793103445,"average win":1.302856578164349,"average loss":1.6397862134561965,"mean":-0.016259156010378258,"quarter Kelly":0,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent train 10bp shift0 = 9.882733245217267
Quant replication2026-09-08 00:10
{"rule":"parent","split":"train","cost":10,"shift":0,"return":9.882733245217267,"drawdown":9.897452215149926,"sample":58,"win rate":58.620689655172406,"average win":1.4267684745785887,"average loss":1.5768094502788976,"mean":0.18390864360307702,"quarter Kelly":0.03222468236435423,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 all parent train 2bp shift0 = 20.56798022415012
Quant replication2026-09-08 00:10
{"rule":"parent","split":"train","cost":2,"shift":0,"return":20.56798022415012,"drawdown":9.545047927854377,"sample":58,"win rate":62.06896551724138,"average win":1.505504107092894,"average loss":1.5557698747077904,"mean":0.3443312174443585,"quarter Kelly":0.05717872435918775,"symbol":"SPY","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
QTM90800 dataset coverage and integrity = 21472
Quant replication2026-09-08 00:09
RetrievedSep8 00:04UTC,2pages peradjustment;4ETFs×2684bars×2adjustments=21472inputbars. Actual2016-01-04 through2026-09-04,requested2015 unavailable. Each zero duplicate dates/invalid OHLC. Files SHA256 all27e96737b7cda35ba4edb8aaed30b73eeeaee44f5af45f5b541f28e8b5861a0a raw4406742d98aeac534353aa3554d5d395f9e9427cd5e4d279e9f5e9593bd22810. US-listed surviving broadETF proxies,not fullCRSP/unbiasedcountrycensus. Adjustedprices approximate distributions; rawaudit alone doesn't model cashdividends. Next saved archive contains all inputs and code.
https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,IWM,EFA,EEM&timeframe=1Day&start=2015-01-01&end=2026-09-05&feed=sip&adjustment=all ; identical query adjustment=raw
SPY QTM90800 SPY wrapper economics and valuation vintage = 0.0945
Quant replication2026-09-08 00:06
Issuer factsheet asofJune30 2026 retrievedSep8:annual gross/netexpense0.0945%,FY1P/E22.50,504holdings,price/book5.49,indexdividendyield1.12%;forecast valuation not current executable valuation. SECJan27 prospectus incorporatesJan26USprospectus:unitinvestmenttrust trackingS&P500,creationunit50000shares,smallholders use secondarymarket. Annualexpense embedded in historical ETF prices; do not deduct again. Primary issuer/filing describe product,not independent alpha evidence.
https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-spy.pdf ; https://www.sec.gov/Archives/edgar/data/884394/000119312526023648/d935960d497.htm
SPY QTM90800 original paper rule and evidence = 4
Quant replication2026-09-08 00:06
Primary author-hosted McConnell/Xu Financial Analysts Journal64(2),Mar-Apr2008,49-64. Rule last trading day through next month's third, four daily returns. Original CRSP1926-2005,post1987-2005 check;2008table VW1987-2005mean0.15%TOM vs rounded0other,t-difference3.78. Effect in30/34non-US countries under their definition. Volume and fundflow tests do not substantiate payday mechanism,not proof of its impossibility; paper measures historical index gross returns,not our ETF costs or stop/target edge. One independent study, mirrors not corroboration. RetrievedSep8UTC.
https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf