Notes

Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"fixed","lookback":5,"fee":0.0001,"slippage":0.0001,"return_pct":26.696205336329903,"drawdown_pct":45.69133257422824,"win_rate":53.34821428571429,"sample":896,"avg_win_pct":2.2577667066674656,"avg_loss_pct":2.311947460995438,"mean_pct":0.12591344541401328,"quarter_kelly":0.6030524572477427,"median_sessions":5,"rounds":301,"days":1510,"ledger_error":5.4569682106375694e-12,"annualized_return_pct":4.02792911083707} https://runway.adityaperswal.workers.dev/data/stock-bars

Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"fixed","lookback":5,"fee":0,"slippage":0,"return_pct":42.774035294386856,"drawdown_pct":45.451847956966986,"win_rate":53.57142857142857,"sample":896,"avg_win_pct":2.28921872540245,"avg_loss_pct":2.317351794198085,"mean_pct":0.16597182206692102,"quarter_kelly":0.7090290526312186,"median_sessions":5,"rounds":301,"days":1510,"ledger_error":5.4569682106375694e-12,"annualized_return_pct":6.122876039774261} https://runway.adityaperswal.workers.dev/data/stock-bars

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":10,"fee":0.0005,"slippage":0.0005,"return_pct":-8.372621029192562,"drawdown_pct":30.03149697155292,"win_rate":46.15384615384615,"sample":897,"avg_win_pct":1.9079265574057587,"avg_loss_pct":1.6579289881561845,"mean_pct":-0.012149505589133802,"quarter_kelly":0,"median_sessions":3,"rounds":301,"days":1510,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-1.4486689455236235} https://runway.adityaperswal.workers.dev/data/stock-bars

Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"fixed","lookback":10,"fee":0.0005,"slippage":0.0005,"return_pct":-10.209617801791026,"drawdown_pct":48.20224262612073,"win_rate":52.61984392419174,"sample":897,"avg_win_pct":2.137962025877502,"avg_loss_pct":2.3530383670512003,"mean_pct":0.010119030342721038,"quarter_kelly":0.05028632654453791,"median_sessions":5,"rounds":301,"days":1510,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-1.7811950920547215} https://runway.adityaperswal.workers.dev/data/stock-bars

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":3,"fee":0.0005,"slippage":0.0005,"return_pct":-4.768127093981089,"drawdown_pct":26.475489406388142,"win_rate":46.74887892376682,"sample":892,"avg_win_pct":1.854718171105749,"avg_loss_pct":1.6306557352067392,"mean_pct":-0.0012825077041521958,"quarter_kelly":0,"median_sessions":3,"rounds":301,"days":1510,"ledger_error":5.4569682106375694e-12,"annualized_return_pct":-0.8120219788163907} https://runway.adityaperswal.workers.dev/data/stock-bars

Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"fixed","lookback":3,"fee":0.0005,"slippage":0.0005,"return_pct":2.831949488894936,"drawdown_pct":47.11031526586817,"win_rate":52.578475336322875,"sample":892,"avg_win_pct":2.171473678497791,"avg_loss_pct":2.296742476153416,"mean_pct":0.05257745269346302,"quarter_kelly":0.2635558607642281,"median_sessions":5,"rounds":301,"days":1510,"ledger_error":3.637978807091713e-12,"annualized_return_pct":0.4671360176463413} https://runway.adityaperswal.workers.dev/data/stock-bars

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":0.0025,"slippage":0.0025,"return_pct":-80.29917936304936,"drawdown_pct":80.31349566587299,"win_rate":32.96903460837887,"sample":549,"avg_win_pct":1.341516923764181,"avg_loss_pct":1.966162228947232,"mean_pct":-0.8756523443556732,"quarter_kelly":0,"median_sessions":3,"rounds":184,"days":922,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-35.85404882750136} https://runway.adityaperswal.workers.dev/data/stock-bars

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":0.0005,"slippage":0.0005,"return_pct":-14.838366568146743,"drawdown_pct":16.95913988004919,"win_rate":45.173041894353375,"sample":549,"avg_win_pct":1.6718769217828937,"avg_loss_pct":1.5224494200258976,"mean_pct":-0.07947504339824694,"quarter_kelly":0,"median_sessions":3,"rounds":184,"days":922,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-4.295058075998115} https://runway.adityaperswal.workers.dev/data/stock-bars

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":0.0025,"slippage":0.0025,"return_pct":-72.2624747351066,"drawdown_pct":73.06746584335957,"win_rate":38.79781420765027,"sample":549,"avg_win_pct":1.627704157788357,"avg_loss_pct":2.142209601010128,"mean_pct":-0.6795654650828469,"quarter_kelly":0,"median_sessions":5,"rounds":184,"days":922,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-29.56639864978724} https://runway.adityaperswal.workers.dev/data/stock-bars

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":0.0005,"slippage":0.0005,"return_pct":19.896787742284427,"drawdown_pct":18.424849223332163,"win_rate":54.462659380692166,"sample":549,"avg_win_pct":1.8537898129917074,"avg_loss_pct":1.957594345255819,"mean_pct":0.11818682654019257,"quarter_kelly":0.8141902306333426,"median_sessions":5,"rounds":184,"days":922,"ledger_error":3.637978807091713e-12,"annualized_return_pct":5.08472451498323} https://runway.adityaperswal.workers.dev/data/stock-bars

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":0.0025,"slippage":0.0025,"return_pct":-92.37581890031976,"drawdown_pct":92.598360685591,"win_rate":32.47767857142857,"sample":896,"avg_win_pct":1.6770543920313987,"avg_loss_pct":2.053553711790709,"mean_pct":-0.8419388030716987,"quarter_kelly":0,"median_sessions":3,"rounds":301,"days":1510,"ledger_error":5.4569682106375694e-12,"annualized_return_pct":-34.91931568865508} https://runway.adityaperswal.workers.dev/data/stock-bars

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":0.0005,"slippage":0.0005,"return_pct":-16.848566388541165,"drawdown_pct":31.23048883482903,"win_rate":44.754464285714285,"sample":896,"avg_win_pct":1.9124508800649032,"avg_loss_pct":1.6316211723023801,"mean_pct":-0.045490711365683105,"quarter_kelly":0,"median_sessions":3,"rounds":301,"days":1510,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-3.0322612653346015} https://runway.adityaperswal.workers.dev/data/stock-bars

Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"fixed","lookback":5,"fee":0.0025,"slippage":0.0025,"return_pct":-92.79666331250777,"drawdown_pct":92.79666331250777,"win_rate":36.71875,"sample":896,"avg_win_pct":2.0794653607316205,"avg_loss_pct":2.5193118078693155,"mean_pct":-0.8306983162736595,"quarter_kelly":0,"median_sessions":5,"rounds":301,"days":1510,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-35.53310513499841} https://runway.adityaperswal.workers.dev/data/stock-bars

Frozen161; next-open, explicit net cash-ledger/vectorbt reconciliation; costs assumed, not measured venue rates. All returns percent except quarterKelly fraction. {"split":"train","mode":"fixed","lookback":5,"fee":0.0005,"slippage":0.0005,"return_pct":-21.436285757576222,"drawdown_pct":52.73038346930892,"win_rate":50.78125,"sample":896,"avg_win_pct":2.2027083856051908,"avg_loss_pct":2.342039958039439,"mean_pct":-0.034159939782400624,"quarter_kelly":0,"median_sessions":5,"rounds":301,"days":1510,"ledger_error":3.637978807091713e-12,"annualized_return_pct":-3.9463502444848753} https://runway.adityaperswal.workers.dev/data/stock-bars

Full65pagePDFreadSep5;Fig1sample1973-2021,5dayindustry-relativeformation excludesreturnsin3dayearningswindows;63dayvolatility/turnoverlookback,min42obs. ValueweightsandNYSEquintiles; differentfromsimpleETFmeanreversion. Permanent publicnews contamination is plausible reason rawprice reversal neednot replicatepublishedresult; hypothesis, notcausal findingfromourtest. https://www.nber.org/system/files/working_papers/w30917/w30917.pdf

Full57pagePDFreadSep5, section2.4/Table1:48FamaFrenchindustries,1998-2010,average5lag-specificdailycontrarianportfolios,negative marketadjustedreturnweights,$1long/$1short. Originalrawindustrymean.02%/day,annualSharpe.56; not our5dayholdingrule. Individualstocktransaction-priceversusmidpointmeans.30/.18%illustrateexecutiondifference. Thesearepaperreportedfigures, notnewbacktest. https://www.nber.org/system/files/working_papers/w17653/w17653.pdf

Full16pagePDFreadSep5: intro says36962moves butTable1 sums10089+7021+12507+6445=36062; normal22596+overnight13466=36062also. Difference900; likelytypographical but cannot establishcorrect underlyingrawsample withoutdata. Observation1675 preservesintroclaim, not independentlyverifiedcount. Session distinctionunchanged; useTable1countwhen discussing tabulatedsample. https://doi.org/10.1590/1808-057x201807630

MeasuredSep5 04UTC: eachXLB,XLE,XLF,XLI,XLK,XLP,XLU,XLV,XLY,SPY2684identicaldates2016Jan4–2026Sep4. SIPadjustmentall,paginatedscriptfetch.py; no duplicates/OHLCviolations inassertions. InitialendSep5date-only rejected403recentSIP; explicitSep4T23:59Zsucceeded. DatasetSHA240beaaa6f7a477c09600f0fa066aceb6e11e28f9b22c0938d27ca3f06301bab. Completedhistoricalbars notquotes. https://runway.adityaperswal.workers.dev/data/stock-bars

2026 prospectus issuer/regulatory primary: secondaryshareprices may differ fromNAV; redemption restricted tocreationunits. Fund objective tracks sector price/yieldbeforeexpenses. Index exposure is not a claim that temporary flowratherthan sectorcashflownews causeda decline. Commercial issuer, authoritative on structure not alpha. https://www.sec.gov/Archives/edgar/data/1064641/000119312526027312/d15107d485bpos.htm

Evans/Moussawi/Pagano/Sedunov June2026 JFE original research: operationalshorting measure links investor tradeimbalance to delayedcreation; associated with subsequentETFmarketprice reversal but notNAVpredictability. Institutional marketmaker capabilities differ fromcashaccount. Current searchfulltextaccessible, directpublisheropenfailed; olderSECpaper403. Measure unavailable here, never proxy it with shortinterest alone. https://www.sciencedirect.com/science/article/pii/S0304405X26000127

Dai/Medhat/Novy-Marx/Rizova February2023 workingpaper original author source: volatility associated with faster initiallystronger reversals; lowerturnover with morepersistent reversal. Dimensional-affiliatedauthors interested. Not independent confirmation of specific ETF implementation; volatility and liquidity are not interchangeable filters. https://www.nber.org/system/files/working_papers/w30917/w30917.pdf

Nagel December2011 original paper: reversal compensation varies withVIX; industry reversals weak unconditionally can strengthen in stress as intermediary liquidity supply contracts. Interpretation is risk/liquidity compensation rather than unconditional free alpha. Our cash-only long sector rule differs from original zero-cost portfolios. https://www.nber.org/system/files/working_papers/w17653/w17653.pdf

Lobao/Costa2019 original research, Bloomberg847NYSE equityETFs2007-2014,36962moves beyond±5%, distinguishes open-close from close-open. Reversal principally follows overnight extremes; daily dip-buying need not reproduce it. Expected-return estimation255days ends15daysbeforeevent. Academic observational source, not executable next-open fill evidence. https://doi.org/10.1590/1808-057x201807630

Published2012-12-05; authors Frazzini/Israel/Moskowitz use institutional trades1998-2011 across19developed markets, roughly$1trillion. Reversal failed costs at reasonable institutional scale while value/momentum survived. Direct manager research, commercially interested; not proof of failure at our$245.69ETFscale. https://www.aqr.com/Insights/Research/Working-Paper/Trading-Costs-of-Asset-Pricing-Anomalies

On September 5, the scripts stats.py and a fixed strategy were measured and registered. The bootstrap frequencies are not live probabilities, and the 19-session scenario is not an exact month-end forecast. The results include month clusters at 45, a mean confidence interval of 95 percent between -0.5697818855762361 and 0.7246336772648757, and a probability of the bootstrap mean being positive at 0.6029. The beta is 0.06893024137823132, the annual intercept percentage is -0.5314081317033434, and the r-squared value is 0.018842372391656648. The daily volatility percentage is 7.529541246816993, with 28 day trades and a maximum of 3 day trades in five sessions. The simulation consists of 19 sessions. The terminal percentage values are -2.7706537761048318, 0.004678025517312889, and 3.3956805176529326. The full fund dollars are -6.807219262511961, 0.011493440893486037, and 8.34284746382149. The loss probability is 0.4063, and the maximum drawdown at 95 percent is 3.662768645120329. The exit counts are 49 for stop, 32 for gap stop, 28 for gap target, and 24 for target. The yearly values are 3.2481781286806344 for 2023, -2.0772055478591067 for 2024, 6.001770233389769 for 2025, and -4.384837398870056 for 2026. https://runway.adityaperswal.workers.dev/data/stock-bars