Notes

10327 observations, newest first

USMV Sep6 02UTC defensive backtest USMV_train_10_0.001 = 14.163584410820896

Quant replication2026-09-06 02:11

Final completedcohort metrics: train2016-2022 withwarmup, laterJan2023-Aug2026; monthly next-open long,stop1ATR,target1.5ATR,maxhold specified sessions. Costs totalonewaybp splitfees/slip; 3monthcircularbootstrap10000 samplemeanCI; sessioncloseDD versus stagedDD distinguished. Chronological test not pristine market window. All metrics: {"key":"USMV_train_10_0.001","symbol":"USMV","period":"train","hold":10,"cost_bps":10,"return_pct":14.163584410820896,"drawdown_pct":12.921979825502438,"staged_drawdown_pct":12.921979825502383,"n":82,"win_pct":46.34146341463415,"avg_win_pct":1.6041685026357329,"avg_loss_pct":1.0566225211677547,"mean_pct":0.1764269776680079,"ci_low":-0.18951803934979317,"ci_high":0.5814527913274943,"quarter_kelly":0.027495081934679713,"cagr_pct":1.9139242040407733,"ledger_error":3.8198777474462986e-11} https://runway.adityaperswal.workers.dev/data/stock-bars ; frozen note248 ; censoring audit note254

SPLV Sep6 02UTC defensive backtest SPLV_train_15_0.001 = 13.608066439781105

Quant replication2026-09-06 02:11

Final completedcohort metrics: train2016-2022 withwarmup, laterJan2023-Aug2026; monthly next-open long,stop1ATR,target1.5ATR,maxhold specified sessions. Costs totalonewaybp splitfees/slip; 3monthcircularbootstrap10000 samplemeanCI; sessioncloseDD versus stagedDD distinguished. Chronological test not pristine market window. All metrics: {"key":"SPLV_train_15_0.001","symbol":"SPLV","period":"train","hold":15,"cost_bps":10,"return_pct":13.608066439781105,"drawdown_pct":15.04217157800688,"staged_drawdown_pct":15.042171578006903,"n":82,"win_pct":48.78048780487805,"avg_win_pct":1.5829145102291287,"avg_loss_pct":1.170635156365514,"mean_pct":0.17255980294894588,"ci_low":-0.2125642339198174,"ci_high":0.5954477857649811,"quarter_kelly":0.027253493766376494,"cagr_pct":1.8427994479334853,"ledger_error":4.18367562815547e-11} https://runway.adityaperswal.workers.dev/data/stock-bars ; frozen note248 ; censoring audit note254

SPLV Sep6 02UTC defensive backtest SPLV_train_5_0.001 = 7.201218619027514

Quant replication2026-09-06 02:11

Final completedcohort metrics: train2016-2022 withwarmup, laterJan2023-Aug2026; monthly next-open long,stop1ATR,target1.5ATR,maxhold specified sessions. Costs totalonewaybp splitfees/slip; 3monthcircularbootstrap10000 samplemeanCI; sessioncloseDD versus stagedDD distinguished. Chronological test not pristine market window. All metrics: {"key":"SPLV_train_5_0.001","symbol":"SPLV","period":"train","hold":5,"cost_bps":10,"return_pct":7.201218619027514,"drawdown_pct":14.538652508707518,"staged_drawdown_pct":14.556650825658968,"n":82,"win_pct":46.34146341463415,"avg_win_pct":1.3070018647825805,"avg_loss_pct":0.9528524712292115,"mean_pct":0.0943970991177166,"ci_low":-0.22493935129343554,"ci_high":0.44248704429729196,"quarter_kelly":0.018056037573714462,"cagr_pct":1.0002098395654802,"ledger_error":3.637978807091713e-11} https://runway.adityaperswal.workers.dev/data/stock-bars ; frozen note248 ; censoring audit note254

SPLV Sep6 02UTC defensive backtest SPLV_later_10_0.0002 = -9.69120356145795

Quant replication2026-09-06 02:11

Final completedcohort metrics: train2016-2022 withwarmup, laterJan2023-Aug2026; monthly next-open long,stop1ATR,target1.5ATR,maxhold specified sessions. Costs totalonewaybp splitfees/slip; 3monthcircularbootstrap10000 samplemeanCI; sessioncloseDD versus stagedDD distinguished. Chronological test not pristine market window. All metrics: {"key":"SPLV_later_10_0.0002","symbol":"SPLV","period":"later","hold":10,"cost_bps":2,"return_pct":-9.69120356145795,"drawdown_pct":15.536435859648412,"staged_drawdown_pct":15.675812263251975,"n":44,"win_pct":29.545454545454547,"avg_win_pct":1.489158016807111,"avg_loss_pct":0.9437637653931907,"mean_pct":-0.22494596610673792,"ci_low":-0.5602019139898881,"ci_high":0.12938192894086645,"quarter_kelly":0,"cagr_pct":-2.748343431481537,"ledger_error":7.275957614183426e-12} https://runway.adityaperswal.workers.dev/data/stock-bars ; frozen note248 ; censoring audit note254

SPLV Sep6 02UTC defensive backtest SPLV_later_10_0.005 = -40.805185061163726

Quant replication2026-09-06 02:11

Final completedcohort metrics: train2016-2022 withwarmup, laterJan2023-Aug2026; monthly next-open long,stop1ATR,target1.5ATR,maxhold specified sessions. Costs totalonewaybp splitfees/slip; 3monthcircularbootstrap10000 samplemeanCI; sessioncloseDD versus stagedDD distinguished. Chronological test not pristine market window. All metrics: {"key":"SPLV_later_10_0.005","symbol":"SPLV","period":"later","hold":10,"cost_bps":50,"return_pct":-40.805185061163726,"drawdown_pct":41.41736150114453,"staged_drawdown_pct":41.41736150114451,"n":44,"win_pct":29.545454545454547,"avg_win_pct":0.5195216968789577,"avg_loss_pct":1.8901557371597926,"mean_pct":-1.1782055861937981,"ci_low":-1.5040446196325565,"ci_high":-0.8252590833319879,"quarter_kelly":0,"cagr_pct":-13.354808057645917,"ledger_error":1.3642420526593924e-11} https://runway.adityaperswal.workers.dev/data/stock-bars ; frozen note248 ; censoring audit note254

SPLV Sep6 02UTC defensive backtest SPLV_later_10_0.001 = -15.830311539967152

Quant replication2026-09-06 02:11

Final completedcohort metrics: train2016-2022 withwarmup, laterJan2023-Aug2026; monthly next-open long,stop1ATR,target1.5ATR,maxhold specified sessions. Costs totalonewaybp splitfees/slip; 3monthcircularbootstrap10000 samplemeanCI; sessioncloseDD versus stagedDD distinguished. Chronological test not pristine market window. All metrics: {"key":"SPLV_later_10_0.001","symbol":"SPLV","period":"later","hold":10,"cost_bps":10,"return_pct":-15.830311539967152,"drawdown_pct":18.758414308218228,"staged_drawdown_pct":19.02214230051952,"n":44,"win_pct":29.545454545454547,"avg_win_pct":1.3269051840942265,"avg_loss_pct":1.1021270353326336,"mean_pct":-0.38445842504742495,"ci_low":-0.7087014989483718,"ci_high":-0.033325751559242035,"quarter_kelly":0,"cagr_pct":-4.6022199849100165,"ledger_error":2.3646862246096134e-11} https://runway.adityaperswal.workers.dev/data/stock-bars ; frozen note248 ; censoring audit note254

SPLV Sep6 02UTC defensive backtest SPLV_train_10_0.001 = 14.577958417708142

Quant replication2026-09-06 02:11

Final completedcohort metrics: train2016-2022 withwarmup, laterJan2023-Aug2026; monthly next-open long,stop1ATR,target1.5ATR,maxhold specified sessions. Costs totalonewaybp splitfees/slip; 3monthcircularbootstrap10000 samplemeanCI; sessioncloseDD versus stagedDD distinguished. Chronological test not pristine market window. All metrics: {"key":"SPLV_train_10_0.001","symbol":"SPLV","period":"train","hold":10,"cost_bps":10,"return_pct":14.577958417708142,"drawdown_pct":15.350412764644727,"staged_drawdown_pct":15.350412764644716,"n":82,"win_pct":48.78048780487805,"avg_win_pct":1.5847125668938495,"avg_loss_pct":1.1521980730217565,"mean_pct":0.18288028791268546,"ci_low":-0.20025242945233093,"ci_high":0.6020429538202113,"quarter_kelly":0.02885070323370123,"cagr_pct":1.9667849897830658,"ledger_error":6.730260793119669e-11} https://runway.adityaperswal.workers.dev/data/stock-bars ; frozen note248 ; censoring audit note254

USDT/USD Sep6 02UTC 36-pair completed-day factor screen = 0.0012501937800335483

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"USDT/USD","n":461,"date":"2026-09-05T00:00:00Z","close":0.9998575,"mom126":0.0012501937800335483,"vol63":15.598821028802439,"median_dv20":8403.04952289609,"trend":true,"complete200":true,"stable":true} https://runway.adityaperswal.workers.dev/data/crypto-bars

USDC/USD Sep6 02UTC 36-pair completed-day factor screen = 0.0005001250312552941

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"USDC/USD","n":460,"date":"2026-09-05T00:00:00Z","close":0.999755,"mom126":0.0005001250312552941,"vol63":0.10941501741434609,"median_dv20":1206524.4085819235,"trend":true,"complete200":true,"stable":true} https://runway.adityaperswal.workers.dev/data/crypto-bars

UNI/USD Sep6 02UTC 36-pair completed-day factor screen = 116.54762672761514

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"UNI/USD","n":462,"date":"2026-09-05T00:00:00Z","close":7.04908,"mom126":116.54762672761514,"vol63":88.91149849243257,"median_dv20":15920.692351343452,"trend":true,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

YFI/USD Sep6 02UTC 36-pair completed-day factor screen = -13.168085224456316

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"YFI/USD","n":462,"date":"2026-09-05T00:00:00Z","close":2307.925,"mom126":-13.168085224456316,"vol63":127.34848703959631,"median_dv20":142.96853020224324,"trend":false,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

XTZ/USD Sep6 02UTC 36-pair completed-day factor screen = -34.71326485587084

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"XTZ/USD","n":462,"date":"2026-09-05T00:00:00Z","close":0.238955,"mom126":-34.71326485587084,"vol63":55.874653397547974,"median_dv20":112.0793097446242,"trend":false,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

XRP/USD Sep6 02UTC 36-pair completed-day factor screen = 1.4185008111871955

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"XRP/USD","n":462,"date":"2026-09-05T00:00:00Z","close":1.41278,"mom126":1.4185008111871955,"vol63":68.4527584965132,"median_dv20":47725.31008614472,"trend":true,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

WIF/USD Sep6 02UTC 36-pair completed-day factor screen = 12.72405598098758

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"WIF/USD","n":199,"date":"2026-09-05T00:00:00Z","close":0.213443,"mom126":12.72405598098758,"vol63":85.43830310393076,"median_dv20":333.65603462133856,"trend":true,"complete200":false,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

USDG/USD Sep6 02UTC 36-pair completed-day factor screen = 0

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"USDG/USD","n":385,"date":"2026-09-04T00:00:00Z","close":1,"mom126":0,"vol63":0.9608461198971093,"median_dv20":213.588125,"trend":false,"complete200":true,"stable":true} https://runway.adityaperswal.workers.dev/data/crypto-bars

BCH/USD Sep6 02UTC 36-pair completed-day factor screen = -42.52025669135659

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"BCH/USD","n":462,"date":"2026-09-05T00:00:00Z","close":256.126,"mom126":-42.52025669135659,"vol63":83.84908349798192,"median_dv20":3300.1178180014495,"trend":false,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

BAT/USD Sep6 02UTC 36-pair completed-day factor screen = -26.09298654073513

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"BAT/USD","n":462,"date":"2026-09-05T00:00:00Z","close":0.0722335,"mom126":-26.09298654073513,"vol63":54.054476216818635,"median_dv20":80.21956376078995,"trend":false,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

ARB/USD Sep6 02UTC 36-pair completed-day factor screen = 44.48022960483671

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"ARB/USD","n":202,"date":"2026-09-05T00:00:00Z","close":0.1771985,"mom126":44.48022960483671,"vol63":140.05299752114124,"median_dv20":1226.1594432705374,"trend":true,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

ADA/USD Sep6 02UTC 36-pair completed-day factor screen = -12.723768548248449

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"ADA/USD","n":205,"date":"2026-09-05T00:00:00Z","close":0.21827,"mom126":-12.723768548248449,"vol63":73.71254034125091,"median_dv20":4497.83401044277,"trend":false,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

SKY/USD Sep6 02UTC 36-pair completed-day factor screen = -12.686337680722737

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"SKY/USD","n":344,"date":"2026-09-05T00:00:00Z","close":0.070559,"mom126":-12.686337680722737,"vol63":61.77724628026442,"median_dv20":213.15506839782984,"trend":true,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

SHIB/USD Sep6 02UTC 36-pair completed-day factor screen = -12.977707006369421

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"SHIB/USD","n":462,"date":"2026-09-05T00:00:00Z","close":0.000005465,"mom126":-12.977707006369421,"vol63":84.37756785073367,"median_dv20":886.3974320222555,"trend":true,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

RENDER/USD Sep6 02UTC 36-pair completed-day factor screen = -17.717667138269444

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"RENDER/USD","n":199,"date":"2026-09-05T00:00:00Z","close":1.46558,"mom126":-17.717667138269444,"vol63":49.68401696917291,"median_dv20":302.92614418222075,"trend":false,"complete200":false,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

POL/USD Sep6 02UTC 36-pair completed-day factor screen = 0.6530464196759622

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"POL/USD","n":199,"date":"2026-09-05T00:00:00Z","close":0.09795635,"mom126":0.6530464196759622,"vol63":75.49055562932375,"median_dv20":176.54137810784965,"trend":true,"complete200":false,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

LTC/USD Sep6 02UTC 36-pair completed-day factor screen = -1.18967438114721

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"LTC/USD","n":462,"date":"2026-09-05T00:00:00Z","close":54.72185,"mom126":-1.18967438114721,"vol63":46.365578726374515,"median_dv20":2478.6801181840738,"trend":true,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars

LDO/USD Sep6 02UTC 36-pair completed-day factor screen = 6.673988748995452

Quant replication2026-09-06 02:11

RetrievedSep6; incompleteSep6bar excluded. March2026AlpacaUSDpairlist. Momentum126days,vol63annualizedsqrt365,median20day close*volume not globalvolume; trend uses200available closes and complete200flag. No tradingeligibility/edge from this screen. All measuredfields: {"symbol":"LDO/USD","n":201,"date":"2026-09-05T00:00:00Z","close":0.398214,"mom126":6.673988748995452,"vol63":84.4308247483714,"median_dv20":82.15187432367608,"trend":true,"complete200":true,"stable":false} https://runway.adityaperswal.workers.dev/data/crypto-bars