Measured September5 2026. SIP adjusted bars; vectorbt next-open, equal initial sleeves drifting, cash yield0; taxes/overhead excluded. Closed trade metrics exclude open trades; portfolio return includes them. Binary quarter-Kelly field is a payoff-ratio risk heuristic, not capital allocation. {"months":10,"start":"2017-01-03","end":"2017-12-29","cost_oneway_bp":10,"return_pct":8.9376325801247,"cagr_pct":9.073716491077711,"drawdown_pct":2.474685011708222,"annual_vol_pct":4.225038887167504,"closed_n":3,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":-3.5054335615798045,"open_n":4,"bh_return_pct":11.27779580525534,"bh_drawdown_pct":2.661217866388821,"mean_trade_pct":-3.5054335615798045,"median_hold_days":118}
https://runway.adityaperswal.workers.dev/data/stock-bars
Holdout uncertainty, correlation, regression and bootstrap scenarios = 18
Quant replication2026-09-05 00:07
September5 2026 derived from registered 10-month SIP holdout2023-2026-09-04. All measured aggregates={"closed_trades":18,"trade_mean_pct":2.381785617865876,"iid_trade_mean_ci95_pct":[-1.13768282235877,6.369578577623734],"iid_prob_mean_nonpositive":0.10375,"largest_closed_return_pct":24.51675012829481,"mean_without_best_pct":1.0797288819582913,"win_rate_pct":44.44444444444444,"monthly_positive_pct":68.88888888888889,"regression_beta":0.6630655986587884,"regression_intercept_annual_pct":-0.728733957816667,"regression_r2":0.7886796956250892,"block_annual_mean_ci95_pct":[1.846294150124157,13.66567323183164],"block_active_annual_mean_ci95_pct":[-9.711327741450638,-0.7709731437123181],"simulation_paths":10000,"simulation_horizon_sessions":27,"simulation_block_mean_sessions":20,"simulation_return_quantiles_pct":[-2.7595396561236845,1.0247124571435728,3.895167843129488],"simulation_loss_probability":0.3242,"simulation_drawdown95_pct":4.4290439598544395,"simulation_full_fund_pnl_quantiles":[-6.77991298113028,2.517616035956044,9.57003787378484],"simulation_chance_gain348_92":0,"holdout_correlations":{"SPY":{"SPY":1,"EFA":0.7598,"IEF":0.0528,"VNQ":0.5514,"DBC":0.1348},"EFA":{"SPY":0.7598,"EFA":1,"IEF":0.2009,"VNQ":0.5507,"DBC":0.1071},"IEF":{"SPY":0.0528,"EFA":0.2009,"IEF":1,"VNQ":0.3126,"DBC":-0.1611},"VNQ":{"SPY":0.5514,"EFA":0.5507,"IEF":0.3126,"VNQ":1,"DBC":0.0326},"DBC":{"SPY":0.1348,"EFA":0.1071,"IEF":-0.1611,"VNQ":0.0326,"DBC":1}},"year2022_SPY_IEF_correlation":0.19310980090122282}. IID trade CI ignores dependence; stationary daily blocks mean20 sessions preserve local dependence but cannot create unseen tails. Regression descriptive not causal.27-session simulation exceeds27 calendar days left; it is a research horizon, not a month-end forecast. Monthly-positive metric includes incomplete September and is descriptive only. Zero sampled funding-target successes is not zero true probability.
https://runway.adityaperswal.workers.dev/data/stock-bars
DBC Global trend state, range, liquidity and September4 move = 31.9
Quant replication2026-09-05 00:07
Collected September5 2026, SIP daily bars through September4. All measured fields={"symbol":"DBC","date":"2026-09-04","adjusted_close":31.9,"august_close":31.3,"sma10":27.113999999999997,"august_signal":true,"atr14":0.39359285714285697,"atr_pct":1.2338334079713384,"avg20_dollar_volume":25574515.43,"raw_close":31.9,"daily_change_pct":-0.1877346683354264,"whole_shares_at_49_138_sleeve":1}. August31 signal is completed month; September4 movement cannot change monthly state. ATR is14-day simple mean true range, not Wilder smoothing; volume proxy adjusted-close times consolidated volume. Raw and adjusted latest closes agree. Signal research-only; no executable bid/ask or venue stop/target validation.
https://runway.adityaperswal.workers.dev/data/stock-bars
VNQ Global trend state, range, liquidity and September4 move = 96.02
Quant replication2026-09-05 00:07
Collected September5 2026, SIP daily bars through September4. All measured fields={"symbol":"VNQ","date":"2026-09-04","adjusted_close":96.02,"august_close":96.44,"sma10":92.855,"august_signal":true,"atr14":0.9570499999999994,"atr_pct":0.9967194334513638,"avg20_dollar_volume":263124336.342,"raw_close":96.02,"daily_change_pct":-0.6621146285950785,"whole_shares_at_49_138_sleeve":0}. August31 signal is completed month; September4 movement cannot change monthly state. ATR is14-day simple mean true range, not Wilder smoothing; volume proxy adjusted-close times consolidated volume. Raw and adjusted latest closes agree. Signal research-only; no executable bid/ask or venue stop/target validation.
https://runway.adityaperswal.workers.dev/data/stock-bars
IEF Global trend state, range, liquidity and September4 move = 92.25
Quant replication2026-09-05 00:07
Collected September5 2026, SIP daily bars through September4. All measured fields={"symbol":"IEF","date":"2026-09-04","adjusted_close":92.25,"august_close":92.41,"sma10":93.579,"august_signal":false,"atr14":0.3271357142857149,"atr_pct":0.3546186604723197,"avg20_dollar_volume":597952964.5785,"raw_close":92.25,"daily_change_pct":-0.03250975292587999,"whole_shares_at_49_138_sleeve":0}. August31 signal is completed month; September4 movement cannot change monthly state. ATR is14-day simple mean true range, not Wilder smoothing; volume proxy adjusted-close times consolidated volume. Raw and adjusted latest closes agree. Signal research-only; no executable bid/ask or venue stop/target validation.
https://runway.adityaperswal.workers.dev/data/stock-bars
EFA Global trend state, range, liquidity and September4 move = 108.35
Quant replication2026-09-05 00:07
Collected September5 2026, SIP daily bars through September4. All measured fields={"symbol":"EFA","date":"2026-09-04","adjusted_close":108.35,"august_close":107.45,"sma10":100.59100000000001,"august_signal":true,"atr14":0.8760642857142835,"atr_pct":0.8085503329158132,"avg20_dollar_volume":930039319.4665,"raw_close":108.35,"daily_change_pct":0.12937806117734318,"whole_shares_at_49_138_sleeve":0}. August31 signal is completed month; September4 movement cannot change monthly state. ATR is14-day simple mean true range, not Wilder smoothing; volume proxy adjusted-close times consolidated volume. Raw and adjusted latest closes agree. Signal research-only; no executable bid/ask or venue stop/target validation.
https://runway.adityaperswal.workers.dev/data/stock-bars
SPY Global trend state, range, liquidity and September4 move = 770.19
Quant replication2026-09-05 00:07
Collected September5 2026, SIP daily bars through September4. All measured fields={"symbol":"SPY","date":"2026-09-04","adjusted_close":770.19,"august_close":767.05,"sma10":710.75,"august_signal":true,"atr14":5.503021428571409,"atr_pct":0.71450180196723,"avg20_dollar_volume":27975001118.070503,"raw_close":770.19,"daily_change_pct":-0.38542623226456296,"whole_shares_at_49_138_sleeve":0}. August31 signal is completed month; September4 movement cannot change monthly state. ATR is14-day simple mean true range, not Wilder smoothing; volume proxy adjusted-close times consolidated volume. Raw and adjusted latest closes agree. Signal research-only; no executable bid/ask or venue stop/target validation.
https://runway.adityaperswal.workers.dev/data/stock-bars
DBC Commodity wrapper roll and correlation risks
Quant replication2026-09-05 00:05
2025 annual10-K read September5 2026: futures replacement can incur negative roll yield in contango; optimum-yield selection mitigates rather than guarantees avoiding drag. Filing says fund need not gain when equities/bonds fall. Collateral income and fund expenses differentiate fund returns from excess-return index and commodity spot prices. Primary regulatory filing from issuer, interested but specific legal disclosure. Qualitative structure, not a measured current curve or valuation.
https://www.sec.gov/Archives/edgar/data/1328237/000119312526083563/dbc-20251231.htm
IEF Issuer effective duration years = 6.95
Quant replication2026-09-05 00:05
PDF actually opened September5 is dated June30 2026; search snippet referenced a different March version6.98, so use opened PDF6.95. Weighted maturity8.45yrs, SEC yield4.29%, expense0.15%,2022 market-price return-15.16%. Primary issuer, not current live duration. Duration approximation for hypothetical+100bp yield shock gives about-6.95% before convexity/income, not forecast.
https://www.ishares.com/us/literature/fact-sheet/ief-ishares-7-10-year-treasury-bond-etf-fund-fact-sheet-en-us.pdf
SIP coverage and adjustment audit = 2684
Quant replication2026-09-05 00:04
September5 2026 fetch: SIP adjustment=all start2007-01-01 end2026-09-04T21:00Z returns2684 daily bars for each SPY/EFA/IEF/VNQ/DBC, first2016-01-04,last2026-09-04,no pagination. Same recent-end SIP request403; delayed-end succeeds, so historical consolidated data available. Independent parameter check IEF Jan2 2024 close raw96.03 vs adjusted86.92; IEX volume189513 vs SIP9443999 confirms feed differences. Documentation defines all as split/dividend/spinoff adjustments. IEX OHLC audit zero duplicates and zero internally invalid bars on all five. SIP raw files retained. Does not prove perfect total-return reinvestment or eliminate revision bias.
https://runway.adityaperswal.workers.dev/data/stock-bars ; https://docs.alpaca.markets/us/reference/stockbars
Initial global ETF history coverage = 5
Quant replication2026-09-05 00:02
Collected September 5 2026: requested 2007-01-01 through 2026-09-05, IEX 1Day adjustment=all, limit10000. SPY1537 bars first2018-11-01; EFA1536/IEF1536/VNQ1536 first2020-07-27; DBC1535 first2020-07-27; all end2026-09-04, one page each and no next_page_token. Raw responses saved artifacts/<symbol>-page1.json. Coverage metadata only, holdout outcomes not examined. Missing preregistered development history means test cannot claim full 2008-2026 replication.
https://runway.adityaperswal.workers.dev/data/stock-bars
Published trend-rule implementation differences = 10
Quant replication2026-09-05 00:02
Read September 5 2026, paper February 2013 update pp21-22: monthly close compared with 10-month SMA, month-end same-close execution, dividend-inclusive total returns, 90-day T-bill cash, taxes/commissions/slippage excluded. Author primary research, commercially interested asset manager. Our ETF next-open cost-inclusive implementation is an adaptation, not exact replication. AQR 2012 time-series momentum instead uses own past 12-month excess returns on futures/forwards: https://www.aqr.com/Insights/Research/Journal-Article/Time-Series-Momentum .
https://mebfaber.com/wp-content/uploads/2016/05/SSRN-id962461.pdf
21:18 UTC prior PEAD abstract remains unchanged
Quant replication2026-09-04 21:19
A news scan found the headline '21:18 UTC prior PEAD abstract remains unchanged'. Authors' abstract, revised on January 15, 2026, and re-read on September 4, 2026, at 21:18 UTC, states that post-announcement strategy returns are consistent with efficient price formation after 2016. The primary research source is the same as observation number 46, which means it is not independent confirmation or a new test. Only the abstract was reviewed, and the full-text numerical estimates were not re-checked.
https://arxiv.org/abs/2601.08962
21:18 UTC Quant active exposure and monitor count = 0
Quant replication2026-09-04 21:19
A report from September 4, 2026, at 21:18 UTC, shows the Quant fund's current status. The fund has three closed trades, numbered 1, 7, and 9, which were ended by the operator, but no open, pending, or closing orders. There are also no monitors active. The fund's cash is $245.69, its total account value is $851.08, and the maximum amount it can use to buy positions is $212.77. This information about the fund's capital is based on the provided data and has not been independently verified. All lessons learned from the Quant trades have already been recorded.
runway query_trades fund=quant; runway list_monitors fund=quant; user venue snapshot 2026-09-04T21:17:57.396Z
Previously cited PEAD source abstract rechecked
Quant replication2026-09-04 21:06
A previously cited source about Post-Earnings Announcement Drift, or PEAD, which refers to the tendency of stock prices to move in the direction of an earnings surprise, was rechecked on September 4, 2026, at 21:06 UTC. The authors' revised report from January 15, 2026, titled Warp speed price moves, states that their strategy returns are consistent with efficient price formation after 2016. This is a primary research abstract, not a new independent replication. No new numerical estimates were measured in this run, and earlier journal figures were not re-audited from the full text.
https://arxiv.org/abs/2601.08962
Quant active exposure and monitor audit = 0
Quant replication2026-09-04 21:06
A review of the main trading records from September 4 at 21:06 UTC shows three trades were closed, which are trades numbered 1, 7, and 9. There are no trades that are currently open, closing, or pending, and there are no monitors in place. The reason for closing these three trades was because they were liquidated by the operator, which means they were sold to free up cash, and there are already lessons learned from these trades in terms of technical analysis, execution, and psychological factors. The review also shows that the current cash allocation is $245.69 and there have been no other orders placed since the last update.
runway query_trades fund=quant and list_monitors fund=quant; 2026-09-04T21:06Z
A venue fill ledger was retrieved on 2026-09-04, showing a trade for SNOW that was closed on September 4. The trade entered at a price of 373.046 and exited at 352.93, with a quantity of 0.120601748. The gross profit and loss was -$2.4260, the return on exit was -0.5287, and the target progress was -36.61%. This was a forced exit, not a stop or target generated by the strategy. Fees were not included in this calculation, and there is no contemporaneous quote benchmark to measure slippage.
query_trades fund=quant tradeId=9
A venue fill ledger was retrieved on September 4, 2026, showing a trade for DELL that was closed on the same day. The trade entered at a price of 474.336 and exited at a price of 511.998, with a quantity of 0.172852155. The gross profit and loss was $6.5100, and the exit return was 0.8495, with a target progress of 53.30%. This was a forced exit, not a stop or target generated by the strategy. Fees were excluded from the calculation, and there was no contemporaneous quote benchmark to measure slippage.
query_trades fund=quant tradeId=7
A trading record from September 4, 2026, shows the following details: the trade was closed on September 4. The trader bought in at $51.418 and sold at $48.78, with a quantity of 1.944649733. The profit and loss before fees was a loss of $5.1300, the return on the exit was -0.4869, and the progress towards the target was -26.17%. This exit was forced and not based on a strategy to stop or target a price. Fees were not included in this calculation and there is no comparison to a benchmark price at the time of the trade to measure any potential loss due to the timing of the sale.
query_trades fund=quant tradeId=1
qualified next-open gap events = 8
Quant replication2026-09-04 04:51
A collection of data found 43 reports of company financial results for 12 companies that are currently trading and have recently released their earnings. Of these, 8 companies had a positive surprise in their earnings per share, as reported by Nasdaq, and their stock price had a significant increase of at least 8% at the opening of the next trading session, according to data from Alpaca IEX. This data was gathered from Nasdaq's earnings surprise tables and Alpaca IEX's daily high, low, open, and close prices from September 1, 2025, through September 3, 2026. The companies were chosen from current news and candidates, so the findings are based on a limited and selected group, which may not be representative of all companies.
https://api.nasdaq.com/api/company/DELL/earnings-surprise?assetclass=stocks ; https://runway.adityaperswal.workers.dev/data/stock-bars
post-2016 executable earnings return = 0.01
Quant replication2026-09-04 04:51
A study by Christensen, Timmermann and Veliyev, published in 2026, analyzed 2,193 announcements about liquid stocks. They found that about 70% of the process of figuring out the new stock price after hours, known as price discovery, happens within five minutes. The researchers tested a strategy that buys or sells stocks at the end of the evening from 2016 to 2020. This strategy made a return of 0.01% when it could be executed immediately at the best available price, which is called the executable BBO, but it lost 0.32% when there was a delay of 5 seconds. The results suggest that the market is efficient, meaning it is hard to make a profit, after considering the costs of trading.
https://arxiv.org/abs/2601.08962
modern US large-cap PEAD persistence = 2006
Quant replication2026-09-04 04:51
A research paper by Martineau in the Critical Finance Review from 2022 found that the Post-Earnings Announcement Drift, or PEAD, which is a phenomenon where stock prices move in the direction of earnings surprises, no longer exists for large US stocks since 2006 and has only recently disappeared for very small stocks, or microcaps, which means that the usual expectation of this anomaly may not hold true for well-established companies.
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID3908808_code1789818.pdf?abstractid=3111607&mirid=1