Notes

A measurement was taken on September 12 at 06:04 UTC. This looked at historical gaps from 2016 to September 11, 2026, and adjusted for splits. The assumption of loss was calculated using a formula that includes the average true range, or ATR, which is a measure of volatility, and the worst gap, which is the largest price jump. The formula also includes a 0.5% liquidation friction, which is the cost of selling an asset. A breach gap is an adverse gap that goes beyond the stop loss, which is set to lose $25.5297, but this is not a forecast. The data for the symbol IWM shows a notional value of $62.41, a stop loss percentage of 2.1257%, and an ordinary stop loss of $1.3267. The target payoff is $8.0034, with a reward to risk ratio of 6.0326. There were 2687 gaps in the data, with the worst gap being -9.3019% on March 16, 2020. The double worst gap plus 0.5% loss is 13.0026%, and the equity loss percentage is 1.5279%. The percentage of gaps that go beyond the stop loss to 3% is 39.1121%. The latest 252-day annualized volatility is 18.8227%, and the distance to the simple moving average is 5.7565%. The ratchet candidate now is 299.03895. https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=split&start=2016-01-01

A news scan found the data line for QQQ measured on September 12 at 06:04 UTC. This data includes historical gaps from 2016 to September 11, 2026, with split adjustments. The assumption for loss is calculated using the formula: loss equals N times 2 ATR divided by close plus 1 minus 2 ATR divided by close times 2 times the absolute value of the worst gap plus 0.005. ATR stands for Average True Range, which is a measure of volatility. The data also assumes 50 basis points, or 0.5%, is the friction cost of liquidation. A breach gap is an adverse gap beyond the stop that would result in a loss of 25.5297, which is not forecast. The data includes the following details for QQQ: symbol is QQQ, notional value is 62.4, stop percentage is 2.2013, ordinary stop loss is 1.3736, target payoff is 10.0898, reward to risk ratio is 7.3454, there have been 2687 gaps, the worst gap percentage was -9.4572 on March 16, 2020, and the latest 252-day annualized volatility percentage is 19.6238. https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=split&start=2016-01-01

A news scan found the headline is not available, but a document from September 12, 2026, explains how a vendor's primary documentation handles changes in stock prices and volumes. It supports two types of adjustments: split price and volume adjustments, and cash-dividend price adjustments. The documentation includes all supported adjustments. To get a total-return proxy, use the adjustment option set to all, and to study actual-price gaps, use the split option. These are not two separate sources of data. https://docs.alpaca.markets/us/reference/stockbars

A measurement was taken on September 12, 2026, at approximately 06:03 UTC. This measurement used daily bars from a vendor and a primary market-data aggregator that does not independently reconstruct dividends. The measurement considered 252 return intervals for ETFs and 365 for crypto, using a simple moving average of 200, known as SMA, which is a calculation to find the average price of a stock over a certain period. It also used an average true range, or ATR, of 20, which measures the range of an asset's price, and considered the 90th percentile of overlapping 60-bar returns that ended within the trailing 5 years, meaning the top 10% of returns over the past 5 years. The actual size was 0 while the regular trading hours, or RTH, were closed. The data for the symbol TLT, which represents a specific investment fund, as of September 11, 2026, at 04:00:00 UTC, showed the following: the close price was 80.87, the return percentage was -5.756904789651552, the simple moving average of 200 was 84.50049999999999, the average true range of 20 was 0.6911250000000002, it was not above the simple moving average, the 90th percentile gain percentage was 6.150557763249668, the number of data points for this percentile was 1255, the stop price was 79.48775, the target price was 85.84395606314001, and the high price over 20 periods was 83.28. The proposed notional allocation was 0. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=TLT&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline 'GLD 06UTC completed daily fixed signal and proposed allocation'. Measured on 2026-09-12 at approximately 06:03 UTC, the data used daily bars from a vendor and a primary market-data aggregator that does not independently reconstruct dividend data. The calculation used 252 return intervals for exchange-traded funds and 365 for crypto, with a simple moving average of 200, known as SMA, and an average true range of 20, referred to as ATR. It also considered the 90th percentile of overlapping 60-bar returns that ended within the trailing 5 years, which is called P90. The actual size was 0 while the regular trading hours, or RTH, were closed. The data for the symbol GLD on 2026-09-11 at 04:00:00 UTC showed a close of 398.77, a return percentage of 18.94350653224364, an SMA200 of 415.93449999999996, an ATR20 of 7.952445000000003, and the price was not above the SMA. The P90 gain percentage was 16.781703911009302, with 1255 data points, a stop at 382.86510999999996, and a target at 465.69040068593176, with a high of 429.42 over 20 periods, and a proposed notional of 0. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=GLD&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline 'ETH/USD 06UTC completed daily fixed signal and proposed allocation'. Measured on 2026-09-12 at approximately 06:03UTC, the data used daily bars from a vendor, which is the primary market-data aggregator, but it does not independently reconstruct dividend data. The calculation used 252 return intervals for ETFs and 365 for crypto, with a Simple Moving Average, or SMA, of 200 days, and an Average True Range, or ATR, of 20 days with simple true ranges. It also looked at the 90th percentile, or P90, of overlapping 60-bar returns that ended within the trailing 5 years. The actual size is 0 while the Regular Trading Hours, or RTH, are closed. The details are as follows: the symbol is ETH/USD, the date is 2026-09-11 00:00:00+00:00, the number of observations is 2080, the close price is 2516.066, the return percentage is -43.62278628330868, the SMA200 is 2052.4675781083274, the ATR20 is 98.98817058315004, it is above the SMA, the P90 gain percentage is 42.97560686769694, the number of observations for P90 is 1826, the stop is 2318.0896588336996, the target is 3597.360632691787, the high20 is 2664.8535, the rank is 7, and the proposed notional is 0. https://runway.adityaperswal.workers.dev/data/crypto-bars?symbols=ETH%2FUSD&timeframe=1Day

A news scan found the report of a completed daily fixed signal and proposed allocation for BTC/USD as of 06:03UTC on September 12, 2026. The measurement was based on vendor daily bars from the primary market-data aggregator, which does not independently reconstruct dividend data. The calculation used 252 return intervals for ETFs and 365 for crypto, with a simple moving average of 200, known as SMA, and an average true range of 20, referred to as ATR. It also considered the 90th percentile of overlapping 60-bar returns over the trailing 5 years, denoted as P90. The actual size was 0 while the regular trading hours, or RTH, were closed. The data included the symbol BTC/USD, the date September 11, 2026, and the following values: close price of 77212.8315, return percentage of -33.16656763055563, SMA200 of 70029.04266958944, ATR20 of 2437.141232487298, and the proposed notional value of 0. https://runway.adityaperswal.workers.dev/data/crypto-bars?symbols=BTC%2FUSD&timeframe=1Day

A news scan found the headline 'SPY 06UTC completed daily fixed signal and proposed allocation'. Measured on 2026-09-12 at approximately 06:03 UTC, the data used daily bars from a vendor and a primary market-data aggregator that does not independently reconstruct dividend data. The calculation used 252 return intervals for ETFs and 365 for crypto, with a Simple Moving Average (SMA) of 200 days and an Average True Range (ATR) of 20 days using simple true ranges. It also considered the 90th percentile (P90) of overlapping 60-bar returns that ended within the trailing 5 years. The actual size was 0 while the Regular Trading Hours (RTH) were closed. The data for the symbol SPY on 2026-09-11 at 04:00:00 UTC included a close price of 764.29, a return percentage of 18.49%, an SMA200 of 712.05, an ATR20 of 5.45, and the price was above the SMA. The P90 gain percentage was 10.84%, with 1255 data points, a stop at 753.38, a target at 847.16, a high in the last 20 days of 778.8, a rank of 5, and a proposed notional of 0. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY&timeframe=1Day&feed=sip&adjustment=all

A measurement was taken on September 12, 2026, at approximately 06:03 UTC. This measurement used daily bars from a vendor and a primary market-data aggregator that does not independently reconstruct dividend data. The measurement considered 252 return intervals for ETFs and 365 for crypto, using a simple moving average of 200, which is a calculation to find the average price of a stock over a certain period, and an average true range of 20, which measures the range of a stock's price. It also looked at the top 90% of overlapping 60-bar returns that ended within the last 5 years. The actual size was 0 while the regular trading hours were closed. The data for the symbol EFA on September 11, 2026, at 04:00:00 UTC is as follows: the close price was 106.7, the return percentage was 19.46%, the simple moving average of 200 was 100.67, the average true range of 20 was 0.88, and it was above the simple moving average. The top 90% gain percentage was 9.63%, the number of data points for this calculation was 1255, the proposed stop price was 104.94, and the proposed target price was 116.98. The highest price in the last 20 days was 108.89, the rank was 4, and the proposed notional allocation was 62.41. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EFA&timeframe=1Day&feed=sip&adjustment=all

A measurement was taken on September 12, 2026, at approximately 06:03 UTC. This measurement used daily bars from a vendor and a primary market-data aggregator, which did not independently reconstruct dividend data. The measurement considered 252 return intervals for ETFs and 365 for crypto, using a simple moving average of 200, known as SMA, which is a calculation to find the average price of a stock over a certain period. It also used an average true range of 20, referred to as ATR, which measures the volatility of a stock. The measurement looked at the top 90% of overlapping 60-bar returns that ended within the last 5 years, referred to as P90. The actual size was 0 while the regular trading hours, or RTH, were closed. The data for the symbol IWM on September 11, 2026, at 04:00:00 UTC, showed a close price of 288.89, a return percentage of 23.46%, and an SMA200 of 273.17. The ATR20 was 3.07, and the price was above the SMA. The P90 gain percentage was 12.82%, with 1255 data points considered. A stop price of 282.75 and a target price of 325.94 were proposed. The high price over the last 20 days was 305.18, and the rank was 3. A proposed notional allocation of 62.41 was suggested for IWM. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IWM&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline 'QQQ 06UTC completed daily fixed signal and proposed allocation'. Measured on 2026-09-12 at approximately 06:03UTC, the data used daily bars from a vendor, which is the primary market-data aggregator, but it does not independently reconstruct dividend data. The calculation used 252 return intervals for ETFs and 365 for crypto, with a simple moving average, or SMA, of 200, and an average true range, or ATR, of 20 using true ranges. The 90th percentile, or P90, of overlapping 60-bar returns that ended within the trailing 5 years was also considered. The actual size was 0 while the regular trading hours, or RTH, were closed. The data for the symbol QQQ on 2026-09-11 at 04:00:00+00:00 showed the following: the number of observations, or n, was 1579, the close price was 714.88, the return percentage was 23.69878183831673, the SMA of 200 was 659.2565, the ATR of 20 was 7.868424999999997, it was above the SMA, the P90 gain percentage was 16.16958533244174, the number of observations for P90 was 1255, the stop was 699.14315, the target was 830.4731316245595, the high of the last 20 observations was 734.58, the rank was 2, and the proposed notional allocation was 62.4. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=QQQ&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline 'EEM 06UTC completed daily fixed signal and proposed allocation'. Measured on 2026-09-12 at approximately 06:03 UTC, the data used vendor daily bars and a primary market-data aggregator that does not independently reconstruct dividends. The calculation used 252 return intervals for ETFs and 365 for crypto, with a simple moving average of 200, known as SMA, and an average true range of 20, referred to as ATR. It also considered the 90th percentile of overlapping 60-bar returns that ended within the trailing 5 years, denoted as P90. The actual size was 0 while the regular trading hours, or RTH, were closed. The data for the symbol EEM on 2026-09-11 at 04:00:00 UTC showed a close of 67.84, a return percentage of 34.203758654797234, an SMA200 of 61.760349999999995, an ATR20 of 0.9526399999999988, and the price was above the SMA. The P90 gain percentage was 10.717963493264469, with 1255 data points considered, a stop at 65.93472, a target at 75.11106643383062, a high of 69.125 over 20 periods, a rank of 1, and a proposed notional of 0. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EEM&timeframe=1Day&feed=sip&adjustment=all

As of September 12, 2026, the current issuer page states that the EFA index tracks large and mid-cap developed market equities, which are stocks from established companies, outside of the US and Canada. This is the primary product description from the issuer, who has a commercial interest in the product. It is important to note that having exposure to foreign equities, or stocks from other countries, does not mean that the index is independent from global equity shocks, which are big changes in the stock market that can affect many countries at the same time. https://www.ishares.com/us/products/239623/ishares-msci-eafe-etf?qt=EFA

A document from September 12, 2026, describes the IWM issuer index as a collection of small-capitalization US equities, which means it tracks the performance of smaller US companies. The document provides a general description of the product and the issuer's commercial interest, but it does not make any claims about the current weights of the holdings or their valuation being cheap. https://www.ishares.com/us/literature/summary-prospectus/sp-ishares-russell-2000-etf-3-31.pdf

As of September 12, 2026, the QQQ tracks the Nasdaq 100, which is made up of the 100 largest non-financial companies listed on Nasdaq. The issuer, who creates and manages the product, has a primary role in its structure and is interested in its adoption. This information describes the QQQ's exposure, which is a description of what it includes, and is not an estimate of its value. https://www.invesco.com/qqq-etf/en/about.html

A crisis-inclusive joint gap simulation was run on three stocks: QQQ, IWM, and EFA. The simulation found the following results for each stock: for QQQ, the worst gap percentage was -9.457211188520331 percent on 2020-03-16, the 1st percentile gap percentage was -2.5417955579341704 percent, and the stop plus double worst 50 basis points dollars was 10.222341755519116 dollars. For IWM, the worst gap percentage was -9.301937207748834 percent on 2020-03-16, the 1st percentile gap percentage was -2.593267816035804 percent, and the stop plus double worst 50 basis points dollars was 10.046224398296404 dollars. For EFA, the worst gap percentage was -11.623511623511618 percent on 2020-03-16, the 1st percentile gap percentage was -2.454582514001179 percent, and the stop plus double worst 50 basis points dollars was 12.064398515998139 dollars. The joint number of simulations was 2687, the worst joint dollars was -14.651681012700644 dollars on 2020-03-16, and the gap correlation between the stocks was as follows: QQQ and QQQ had a correlation of 1, QQQ and IWM had a correlation of 0.8115197250523069, QQQ and EFA had a correlation of 0.7788104197066453, IWM and QQQ had a correlation of 0.8115197250523069, IWM and IWM had a correlation of 1, IWM and EFA had a correlation of 0.8169406316518496, EFA and QQQ had a correlation of 0.7788104197066453, EFA and IWM had a correlation of 0.8169406316518496, and EFA and EFA had a correlation of 1. The simulation also found that the 95th percentile max loss dollars was 13.431428234944303 dollars, the 99th percentile max loss dollars was 17.969579733131003 dollars, the max loss dollars was 17.969579733131003 dollars, and the fraction of simulations with a loss over 3 percent was 0. The sum of individual double worst stress dollars was 32.33296466981366 dollars. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=QQQ,IWM,EFA&timeframe=1Day&feed=sip&adjustment=split&start=2016-01-01

A measurement was taken on September 12, 2026, using a risk history from 2016 to 2026, with a fixed 5-year target window. The calibration from 2016 to 2024 was compared to the period from 2025 to September 11, 2026, as a descriptive chronological check, not a pristine out-of-sample strategy test. The results for the symbol EFA show a worst opening gap percentage of -11.623511623511618 on the worst date of March 16, 2020, and a 1% worst opening gap percentage of -2.454582514001179. The calibration period had 2263 data points, and the later period had 424 data points, with a 1% worst opening gap percentage of -2.469520972051647 during calibration. In the later period, 4 times the opening gap was below the calibration 1% level, which is 0.9433962264150944 percent of the time. The stop plus double worst 50 basis points in dollars is 12.064398515998139. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EFA&timeframe=1Day&feed=sip&adjustment=split&start=2016-01-01

A news scan found the following data: Measured on September 12, 2026, the expanded risk history of IWM from 2016 to 2026 has a target window that remains fixed at 5 years. The calibration from 2016 to 2024 is compared to the later period from 2025 to September 11, 2026, as a descriptive chronological check, chosen after seeing the current history, and not as a pristine out-of-sample strategy test. The data includes the symbol IWM, the number of observations, which is 2687, the worst opening gap percentage, which is -9.3019 percent, and the worst date, which is March 16, 2020. The first percentile gap percentage is -2.5933 percent. The calibration number of observations is 2263, and the later number of observations is 424. The calibration first percentile gap percentage is -2.5573 percent. There were 5 instances where the later period was below the calibration first percentile, which is 1.1792 percent of the time. The stop plus double worst 50 basis points in dollars is 10.0462. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IWM&timeframe=1Day&feed=sip&adjustment=split&start=2016-01-01

A news scan found the following data: Measured on September 12, 2026, the expanded risk history from 2016 to 2026 has a target window that remains fixed at 5 years. The calibration from 2016 to 2024 is compared to the later period from 2025 to September 11, 2026, as a descriptive chronological check, chosen after seeing the current history, and not as a pristine out-of-sample strategy test. The data for the symbol QQQ includes the following information: the number of data points is 2687, the worst opening gap percentage is -9.4572, which occurred on March 16, 2020, the 1st percentile opening gap percentage is -2.5418, the number of data points in the calibration period is 2263, the number of data points in the later period is 424, the 1st percentile opening gap percentage in the calibration period is -2.5181, the number of times the later period was below the calibration 1st percentile is 6, which is 1.4151 percent of the time, and the stop plus double worst 50 basis points in dollars is 10.2223. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=QQQ&timeframe=1Day&feed=sip&adjustment=split&start=2016-01-01

A joint five-year opening-gap and 60-session resampling diagnostic was performed. The diagnostic analyzed the correlation between the opening gaps of three stocks: QQQ, IWM, and EFA. The gap correlation results were as follows: QQQ had a correlation of 1 with itself, 0.8245 with IWM, and 0.7278 with EFA. IWM had a correlation of 0.8245 with QQQ, 1 with itself, and 0.7597 with EFA. EFA had a correlation of 0.7278 with QQQ, 0.7597 with IWM, and 1 with itself. The daily return correlation results were also analyzed: QQQ had a correlation of 1 with itself, 0.7784 with IWM, and 0.7350 with EFA. IWM had a correlation of 0.7784 with QQQ, 1 with itself, and 0.7545 with EFA. EFA had a correlation of 0.7350 with QQQ, 0.7545 with IWM, and 1 with itself. The worst joint gap was -6.86 dollars on 2024-08-05. A simulation was run with 50,000 paths, 60 days, and a seed of 20260912, assuming a slippage percentage of 0.5. The results showed a median maximum stressed loss of 6.56 dollars, a 95th percentile maximum stressed loss of 8.48 dollars, and a 99th percentile maximum stressed loss of 10.33 dollars. The fraction of paths with over 3 percent equity loss was 0. The largest simulated loss was 10.33 dollars. A deterministic analysis was also performed, which showed that if all three stocks went down 20 percent after stops plus 50 basis points, the loss would be 31.96 dollars. If all three stocks went down 10 percent after stops plus 50 basis points, the loss would be 17.78 dollars. The full book loss as a percentage of equity was 17.00 percent. The full loss safe for each notional was 25.52, and the full loss safe for the total book was also 25.52. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=QQQ,IWM,EFA&timeframe=1Day&feed=sip&adjustment=split

On September 12, 2026, a measurement was taken. The data is from a historical daily record on March 3, 2026, from the same Alpaca source, which is not independently confirmed or based on actual buy and sell orders. The QQQ stock had a previous close of 608.09. On that day, it opened at 596.33. In the first 15 minutes, it went as low as 595.59 and closed at 596.24. The next 15 minutes opened at 596.24, which is a decrease of 1.9487246953575954 percent from the previous close. This data point is number 3 in the record. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=QQQ&timeframe=15Min&feed=sip&adjustment=split

On September 12, 2026, a measurement was taken. The data is from the same source as Alpaca, but it has not been independently confirmed and is not a real-time market quote. The data for the IWM symbol on March 3, 2026, shows the previous close was 263.81. The daily open was 256.8, which was also the open for the first 15 minutes. The lowest price in the first 15 minutes was 254.925 and the close was 254.97. The next 15 minutes opened at 254.96, which is a decrease of 3.3547 percent from the previous close. This data point is the third bar, or period, of the day. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IWM&timeframe=15Min&feed=sip&adjustment=split

On September 12, 2026, a measurement was taken. The data is from the same source as Alpaca, but it has not been independently confirmed and is not a real buy or sell order. For the stock EFA, on March 3, 2026, the previous close was 103.3. The stock opened at 98.65. In the first 15 minutes, it went as low as 98.29 and closed at 98.35. The next 15 minutes opened at 98.35, which is a decrease of 4.791868344627304 percent from the previous close. This is the third set of 15 minutes, referred to as bar number 3. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EFA&timeframe=15Min&feed=sip&adjustment=split

On August 5, 2024, the QQQ fund's opening 15-minute exit sensitivity was measured, using a historical daily-tail date of September 12, 2026, from the same Alpaca source, which is not independent corroboration or an executable bid/ask. The data for QQQ on August 5, 2024, showed a previous close of 448.75, a daily open of 424.71, a first 15-minute open of 424.71, a first 15-minute low of 423.45, and a first 15-minute close of 429.88. The next 15-minute open was 429.96, which is a decrease of 4.187186629526463 percent from the previous close, and this occurred on the third bar, or period, of trading. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=QQQ&timeframe=15Min&feed=sip&adjustment=split

On August 5, 2024, the automated trading fund manager measured the sensitivity of the IWM opening 15-minute exit. The data was selected from a historical daily-tail date, using the same Alpaca source, but this is not independent corroboration or an executable bid/ask. The data for IWM on August 5, 2024, shows a previous close of 208.92, a daily open of 197.9, a first 15-minute open of 197.95, a first 15-minute low of 196.7, and a first 15-minute close of 197.41. The next 15-minute open was 197.43, which is a -5.499712808730606 percent change from the previous close, and this occurred on the third bar, or a specific time period, in the trading day. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IWM&timeframe=15Min&feed=sip&adjustment=split