XLK Sector CLI mean-reversion diagnostic = 18.529825385241395
Quant replication2026-09-05 04:10
{"symbol":"XLK","bars":502,"returnPct":18.529825385241395,"buyAndHoldPct":-10.51122790253225,"maxDrawdownPct":8.117988827636491,"winRate":85.71428571428571,"avgTradePct":1.2285213959060937,"sample":14}; different20dayzscore rule,sameclose,noadjustment/cost/holdout; notedge.
https://runway.adityaperswal.workers.dev/data/stock-bars ; /app/agent/dist/backtest.js
XLI Sector CLI mean-reversion diagnostic = 9.814466537694377
Quant replication2026-09-05 04:10
{"symbol":"XLI","bars":502,"returnPct":9.814466537694377,"buyAndHoldPct":37.77812721125875,"maxDrawdownPct":7.444779914190364,"winRate":85.71428571428571,"avgTradePct":0.6740193993588803,"sample":14}; different20dayzscore rule,sameclose,noadjustment/cost/holdout; notedge.
https://runway.adityaperswal.workers.dev/data/stock-bars ; /app/agent/dist/backtest.js
XLF Sector CLI mean-reversion diagnostic = 10.24221223008146
Quant replication2026-09-05 04:10
{"symbol":"XLF","bars":502,"returnPct":10.24221223008146,"buyAndHoldPct":29.197242606181906,"maxDrawdownPct":3.9423729994252983,"winRate":83.33333333333334,"avgTradePct":0.8403833919429459,"sample":12}; different20dayzscore rule,sameclose,noadjustment/cost/holdout; notedge.
https://runway.adityaperswal.workers.dev/data/stock-bars ; /app/agent/dist/backtest.js
XLE Sector CLI mean-reversion diagnostic = 2.726951830194957
Quant replication2026-09-05 04:10
{"symbol":"XLE","bars":502,"returnPct":2.726951830194957,"buyAndHoldPct":-26.474638512738135,"maxDrawdownPct":5.8154953818932995,"winRate":60,"avgTradePct":0.28041015430123495,"sample":10}; different20dayzscore rule,sameclose,noadjustment/cost/holdout; notedge.
https://runway.adityaperswal.workers.dev/data/stock-bars ; /app/agent/dist/backtest.js
XLB Sector CLI mean-reversion diagnostic = -8.765089327471253
Quant replication2026-09-05 04:10
{"symbol":"XLB","bars":502,"returnPct":-8.765089327471253,"buyAndHoldPct":-42.38796133567663,"maxDrawdownPct":13.58128966045179,"winRate":33.33333333333333,"avgTradePct":-0.74864526678226,"sample":12}; different20dayzscore rule,sameclose,noadjustment/cost/holdout; notedge.
https://runway.adityaperswal.workers.dev/data/stock-bars ; /app/agent/dist/backtest.js
Sector benchmarks and low-cost uncertainty
Quant replication2026-09-05 04:10
{"benchmarks":{"train":{"basket":{"return_pct":85.45293327171473,"drawdown_pct":35.202150048551495},"SPY":{"return_pct":87.6577694761555,"drawdown_pct":33.79381911340273}},"holdout":{"basket":{"return_pct":72.67097013702303,"drawdown_pct":16.38917092870137},"SPY":{"return_pct":109.36039488929437,"drawdown_pct":18.755704542060116}}},"cost_ci":{"fixed-0":{"mean_ci95_pct":[0.09056036267248188,0.5357696688183197]},"fixed-0.0001":{"mean_ci95_pct":[0.05113282446522054,0.4942622415010723]},"range-0":{"mean_ci95_pct":[-0.01776729695518004,0.2501567099268541]},"range-0.0001":{"mean_ci95_pct":[-0.056113796643784256,0.2102279625492798]}}}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sector holdout-range dependence and simulation metrics
Quant replication2026-09-05 04:10
{"mean_ci95_pct":[-0.2138542973340114,0.05118119391787611],"calendar_months":44,"basket_beta":0.4177898572638408,"annual_intercept_pct":-10.540283681288766,"correlation":0.577633426083319,"years":{"2023":{"n":150,"mean_pct":-0.09320848993359691,"win_pct":45.33333333333333},"2024":{"n":152,"mean_pct":-0.01610417996814051,"win_pct":46.71052631578947},"2025":{"n":149,"mean_pct":-0.05380572828094105,"win_pct":42.95302013422819},"2026":{"n":98,"mean_pct":-0.19577180067939243,"win_pct":45.91836734693878}},"exit_counts":{"stop":263,"time":148,"target":86,"gap_stop":32,"gap_target":20},"day_trades":84,"max_day_trades_5sessions":3,"trimmed_positions":134,"simulation_19sessions_10pct_fund_terminal_pct":[-0.43042357830464,-0.03387069947520249,0.3968779040392908],"simulation_loss_prob":0.5518,"simulation_dd95_pct":0.5007632302771048,"symbol_stats":{"XLB":{"n":59,"mean_pct":-0.0025261690932044684},"XLE":{"n":83,"mean_pct":0.39272395885081673},"XLF":{"n":40,"mean_pct":0.07162512330664034},"XLI":{"n":30,"mean_pct":-0.08316644056921489},"XLK":{"n":56,"mean_pct":-0.30446318448224163},"XLP":{"n":71,"mean_pct":-0.1825027438779485},"XLU":{"n":68,"mean_pct":-0.20351779903885725},"XLV":{"n":71,"mean_pct":-0.2658152657438087},"XLY":{"n":71,"mean_pct":-0.19336799718525174}}}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sector holdout-fixed dependence and simulation metrics
Quant replication2026-09-05 04:10
{"mean_ci95_pct":[-0.10502667830971688,0.33642935072888497],"calendar_months":44,"basket_beta":1.0168003413063782,"annual_intercept_pct":-9.902787844752948,"correlation":0.8566450151837128,"years":{"2023":{"n":150,"mean_pct":-0.19733956777449446,"win_pct":53.333333333333336},"2024":{"n":152,"mean_pct":0.14775439519377434,"win_pct":54.60526315789473},"2025":{"n":149,"mean_pct":0.20081857870933817,"win_pct":52.348993288590606},"2026":{"n":98,"mean_pct":0.4296414963223959,"win_pct":59.183673469387756}},"exit_counts":{"time":549},"day_trades":0,"max_day_trades_5sessions":0,"trimmed_positions":0,"simulation_19sessions_10pct_fund_terminal_pct":[-0.5836440095925033,0.06185872514198332,0.651527528040404],"simulation_loss_prob":0.4323,"simulation_dd95_pct":0.7920731491349052,"symbol_stats":{"XLB":{"n":59,"mean_pct":0.40812519666298164},"XLE":{"n":83,"mean_pct":0.3554755126936007},"XLF":{"n":40,"mean_pct":0.16448635385568955},"XLI":{"n":30,"mean_pct":-0.22430293503900578},"XLK":{"n":56,"mean_pct":0.22994214016775738},"XLP":{"n":71,"mean_pct":-0.08647894532271104},"XLU":{"n":68,"mean_pct":-0.05227402938953495},"XLV":{"n":71,"mean_pct":-0.021696250782850823},"XLY":{"n":71,"mean_pct":0.1381501490621463}}}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sector train-range dependence and simulation metrics
Quant replication2026-09-05 04:10
{"mean_ci95_pct":[-0.20697613849567573,0.10721508397903158],"calendar_months":72,"basket_beta":0.4024523845251526,"annual_intercept_pct":-7.138239189113688,"correlation":0.5969239677929642,"years":{"2017":{"n":150,"mean_pct":-0.10041436964247545,"win_pct":42.66666666666667},"2018":{"n":150,"mean_pct":-0.15599444637915524,"win_pct":44},"2019":{"n":148,"mean_pct":0.08051099787730745,"win_pct":48.64864864864865},"2020":{"n":152,"mean_pct":0.24280495244519462,"win_pct":46.05263157894737},"2021":{"n":150,"mean_pct":-0.1261681985847681,"win_pct":44.666666666666664},"2022":{"n":146,"mean_pct":-0.2205144222616666,"win_pct":42.465753424657535}},"exit_counts":{"stop":411,"time":256,"target":147,"gap_stop":56,"gap_target":26},"day_trades":138,"max_day_trades_5sessions":3,"trimmed_positions":218,"simulation_19sessions_10pct_fund_terminal_pct":[-0.5460431075990524,-0.03886048817901555,0.5553373156976559],"simulation_loss_prob":0.5477,"simulation_dd95_pct":0.6587262460444727,"symbol_stats":{"XLB":{"n":100,"mean_pct":-0.3163984205452556},"XLE":{"n":136,"mean_pct":0.07102964300004037},"XLF":{"n":105,"mean_pct":-0.22373585218358702},"XLI":{"n":70,"mean_pct":0.03997079234053839},"XLK":{"n":87,"mean_pct":-0.015874603386400246},"XLP":{"n":108,"mean_pct":0.0529590459447713},"XLU":{"n":117,"mean_pct":0.11123381076170293},"XLV":{"n":85,"mean_pct":-0.05008586645270355},"XLY":{"n":88,"mean_pct":-0.12705797090626095}}}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sector train-fixed dependence and simulation metrics
Quant replication2026-09-05 04:10
{"mean_ci95_pct":[-0.2854539714971135,0.20730883008945455],"calendar_months":72,"basket_beta":1.081087981560472,"annual_intercept_pct":-14.654939483687683,"correlation":0.9275345892939724,"years":{"2017":{"n":150,"mean_pct":0.13948755947964808,"win_pct":54},"2018":{"n":150,"mean_pct":-0.33267345499183654,"win_pct":48},"2019":{"n":148,"mean_pct":0.1739201102689281,"win_pct":56.08108108108109},"2020":{"n":152,"mean_pct":-0.041762063211385266,"win_pct":50},"2021":{"n":150,"mean_pct":0.152454509949628,"win_pct":52.666666666666664},"2022":{"n":146,"mean_pct":-0.3006160337145047,"win_pct":43.83561643835616}},"exit_counts":{"time":896},"day_trades":0,"max_day_trades_5sessions":0,"trimmed_positions":0,"simulation_19sessions_10pct_fund_terminal_pct":[-0.958862371611987,0.02153249451503081,0.8533607842133035],"simulation_loss_prob":0.4825,"simulation_dd95_pct":1.2529009056572928,"symbol_stats":{"XLB":{"n":100,"mean_pct":-0.26953237431537236},"XLE":{"n":136,"mean_pct":-0.3862936699346341},"XLF":{"n":105,"mean_pct":-0.24249265306554965},"XLI":{"n":70,"mean_pct":0.27567215618100654},"XLK":{"n":87,"mean_pct":0.2845670183830802},"XLP":{"n":108,"mean_pct":0.013351552841630525},"XLU":{"n":117,"mean_pct":0.013031050983083287},"XLV":{"n":85,"mean_pct":0.0585799981901511},"XLY":{"n":88,"mean_pct":0.25390132976614904}}}
https://runway.adityaperswal.workers.dev/data/stock-bars
XLY Sep5 sector completed indicators and capacity = 114.91
Quant replication2026-09-05 04:09
{"symbol":"XLY","date":"2026-09-04","close":114.91,"return5_pct":-1.9622899070045219,"residual5_pct":-1.8088301161797407,"sma50":116.24860000000001,"adr20":1.1965449999999997,"atr14":1.5907142857142855,"dollar_volume20":585795040.6245,"illustrative_stop":113.713455,"illustrative_target":117.30309,"whole_shares_per_equal_sleeve":0,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLV Sep5 sector completed indicators and capacity = 171.45
Quant replication2026-09-05 04:09
{"symbol":"XLV","date":"2026-09-04","close":171.45,"return5_pct":0.1694321103061336,"residual5_pct":0.32289190113091476,"sma50":165.72799999999998,"adr20":2.2206199999999994,"atr14":2.733921428571427,"dollar_volume20":1268724164.3135,"illustrative_stop":169.22938,"illustrative_target":175.89123999999998,"whole_shares_per_equal_sleeve":0,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLU Sep5 sector completed indicators and capacity = 43.08
Quant replication2026-09-05 04:09
{"symbol":"XLU","date":"2026-09-04","close":43.08,"return5_pct":0.8190966534051158,"residual5_pct":0.9725564442298971,"sma50":44.44,"adr20":0.5404999999999994,"atr14":0.6307142857142846,"dollar_volume20":869387504.7639999,"illustrative_stop":42.5395,"illustrative_target":44.160999999999994,"whole_shares_per_equal_sleeve":1,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLP Sep5 sector completed indicators and capacity = 84.58
Quant replication2026-09-05 04:09
{"symbol":"XLP","date":"2026-09-04","close":84.58,"return5_pct":-1.0181392627267472,"residual5_pct":-0.8646794719019659,"sma50":85.03219999999999,"adr20":0.8224999999999995,"atr14":1.0453571428571422,"dollar_volume20":756778003.723,"illustrative_stop":83.7575,"illustrative_target":86.225,"whole_shares_per_equal_sleeve":0,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLK Sep5 sector completed indicators and capacity = 187.28
Quant replication2026-09-05 04:09
{"symbol":"XLK","date":"2026-09-04","close":187.28,"return5_pct":0.8562658193763895,"residual5_pct":1.0097256102011707,"sma50":182.6072,"adr20":2.5307100000000005,"atr14":3.368928571428569,"dollar_volume20":1110985598.1290002,"illustrative_stop":184.74929,"illustrative_target":192.34142,"whole_shares_per_equal_sleeve":0,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLI Sep5 sector completed indicators and capacity = 175.27
Quant replication2026-09-05 04:09
{"symbol":"XLI","date":"2026-09-04","close":175.27,"return5_pct":-1.055662188099793,"residual5_pct":-0.9022023972750117,"sma50":181.18880000000001,"adr20":2.1027449999999988,"atr14":2.4096428571428583,"dollar_volume20":1130044981.878,"illustrative_stop":173.167255,"illustrative_target":179.47549,"whole_shares_per_equal_sleeve":0,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLF Sep5 sector completed indicators and capacity = 58.1
Quant replication2026-09-05 04:09
{"symbol":"XLF","date":"2026-09-04","close":58.1,"return5_pct":0,"residual5_pct":0.1534597908247812,"sma50":56.8584,"adr20":0.5398300000000003,"atr14":0.668685714285715,"dollar_volume20":1599780481.001,"illustrative_stop":57.56017,"illustrative_target":59.17966,"whole_shares_per_equal_sleeve":1,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLE Sep5 sector completed indicators and capacity = 64.06
Quant replication2026-09-05 04:09
{"symbol":"XLE","date":"2026-09-04","close":64.06,"return5_pct":2.2016592214422426,"residual5_pct":2.355119012267024,"sma50":59.203,"adr20":1.034475,"atr14":1.1292500000000005,"dollar_volume20":1616255905.827,"illustrative_stop":63.025525,"illustrative_target":66.12895,"whole_shares_per_equal_sleeve":1,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
XLB Sep5 sector completed indicators and capacity = 52.44
Quant replication2026-09-05 04:09
{"symbol":"XLB","date":"2026-09-04","close":52.44,"return5_pct":-1.3915005641218503,"residual5_pct":-1.238040773297069,"sma50":51.8228,"adr20":0.7022499999999997,"atr14":0.8742857142857139,"dollar_volume20":570708297.3605,"illustrative_stop":51.73775,"illustrative_target":53.8445,"whole_shares_per_equal_sleeve":1,"risk_notional_cap":212.77}; Prices Sep4 adjustedSIP, notquotes; illustrative levels notorders. Currentrank notnew entrytiming.
https://runway.adityaperswal.workers.dev/data/stock-bars
Sep5 04UTC sector holdout range L5 cost0.0001 = 14.129479940095123
Quant replication2026-09-05 04:09
Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"holdout","mode":"range","lookback":5,"fee":0.0001,"slippage":0.0001,"return_pct":14.129479940095123,"drawdown_pct":9.085983042837054,"win_rate":47.17668488160292,"sample":549,"avg_win_pct":1.7599564876746847,"avg_loss_pct":1.4193795769396729,"mean_pct":0.0805257795905976,"quarter_kelly":0.8058875825754646,"median_sessions":3,"rounds":184,"days":922,"ledger_error":3.637978807091713e-12,"annualized_return_pct":3.678310720483746}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sep5 04UTC sector holdout range L5 cost0 = 22.79662070341373
Quant replication2026-09-05 04:09
Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"holdout","mode":"range","lookback":5,"fee":0,"slippage":0,"return_pct":22.79662070341373,"drawdown_pct":7.929281517047359,"win_rate":47.72313296903461,"sample":549,"avg_win_pct":1.7803164410500005,"avg_loss_pct":1.3946068811935746,"mean_pct":0.12056599754561796,"quarter_kelly":1.2139920597190725,"median_sessions":3,"rounds":184,"days":922,"ledger_error":5.4569682106375694e-12,"annualized_return_pct":5.7733673252923}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sep5 04UTC sector holdout fixed L5 cost0.0001 = 60.67837957540472
Quant replication2026-09-05 04:09
Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"holdout","mode":"fixed","lookback":5,"fee":0.0001,"slippage":0.0001,"return_pct":60.67837957540472,"drawdown_pct":15.546120179705714,"win_rate":57.74134790528234,"sample":549,"avg_win_pct":1.9058373903654735,"avg_loss_pct":1.9450502929949574,"mean_pct":0.27850416169585607,"quarter_kelly":1.878257014941214,"median_sessions":5,"rounds":184,"days":922,"ledger_error":5.4569682106375694e-12,"annualized_return_pct":13.83925792321703}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sep5 04UTC sector holdout fixed L5 cost0 = 72.88011019815872
Quant replication2026-09-05 04:09
Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"holdout","mode":"fixed","lookback":5,"fee":0,"slippage":0,"return_pct":72.88011019815872,"drawdown_pct":14.867779393551327,"win_rate":58.65209471766849,"sample":549,"avg_win_pct":1.9167245016033854,"avg_loss_pct":1.9569068156581146,"mean_pct":0.3186235868443648,"quarter_kelly":2.0999172808939592,"median_sessions":5,"rounds":184,"days":922,"ledger_error":7.275957614183426e-12,"annualized_return_pct":16.13956729100787}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sep5 04UTC sector train range L5 cost0.0001 = 34.09389045343039
Quant replication2026-09-05 04:09
Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"range","lookback":5,"fee":0.0001,"slippage":0.0001,"return_pct":34.09389045343039,"drawdown_pct":21.708143990805063,"win_rate":46.763392857142854,"sample":896,"avg_win_pct":1.9909970647566069,"avg_loss_pct":1.5337063966005777,"mean_pct":0.11456453008319484,"quarter_kelly":0.9379449254712116,"median_sessions":3,"rounds":301,"days":1510,"ledger_error":7.275957614183426e-12,"annualized_return_pct":5.017810003925738}
https://runway.adityaperswal.workers.dev/data/stock-bars
Sep5 04UTC sector train range L5 cost0 = 51.110286969339505
Quant replication2026-09-05 04:09
Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"range","lookback":5,"fee":0,"slippage":0,"return_pct":51.110286969339505,"drawdown_pct":20.916137092032518,"win_rate":46.875,"sample":896,"avg_win_pct":2.0270218614970106,"avg_loss_pct":1.5070002656618657,"mean_pct":0.15461836626192194,"quarter_kelly":1.2241096141968537,"median_sessions":3,"rounds":301,"days":1510,"ledger_error":5.4569682106375694e-12,"annualized_return_pct":7.132667274246973}
https://runway.adityaperswal.workers.dev/data/stock-bars