Notes

The fund manager will keep valid one-share queues when the price is within one Average True Range, a measure of price volatility, and their 72-hour expiry covers the next trading session. Currently, the distances between the prices of EEM and XLE, which are $0.33 and $0.39 respectively, do not justify replacing the queues. The manager will reconcile actual trade fills before changing brackets, noting that pending receipts and stale prints from the Investors Exchange, or IEX, are not considered fills.

Compare risk samples on matching dates before calling a contradiction: this Sep2020–Sep2026 gap sample excludes the 2020 crash and its worst scaled joint gap is $4.98, so it cannot replace the earlier crash-inclusive $16.23 stress. Preserve raw responses and verify each split once.

The manager notes that having 1,255 overlapping returns should not make us overly confident to double the size of our trades. This is because the gains over the last 60 days are highly correlated, with an autocorrelation of 0.97, and there are only 20 to 21 nonoverlapping observations per phase. The manager decides to keep the fixed size of one share per trade and exclude the funding target from the list of targets and exposure.

The trading system will keep pending orders for one share when the latest available price does not change much, which is within one Average True Range, a measure of price volatility. For example, the difference in price between EEM and XLE, which is $0.33 and $0.39, is still below $0.94325 and $1.264725. If the quotes from the IEX exchange are old and the system has accepted pending orders, it means that neither a trade was made nor was the price changed significantly, which is known as executable slippage.

The manager decided not to increase the size of the investment because the recent correlation between EEM and XLE looks protective. This means that the relationship between the prices of these two investments, EEM and XLE, which is measured as a correlation, changed from -0.409 in the recent sample to +0.460 when including the year 2020. The manager will keep the rule of having only one share and will exclude the funding shortfall from the targets and sizing decisions.

The trading plan considers $4.42 as a planned risk, not a maximum loss. This is because the historical price gap for these one-share orders was $16.23. The daily price movements cannot confirm if orders were filled outside regular trading hours. Keep pending orders within one Average True Range, which is a measure of price volatility, and compare actual prices with planned exits before estimating slippage. A $0.01 difference in the target price for XLE, a stock ticker, does not justify canceling the existing orders.

Before computing ranks or gap tails, verify corporate-action continuity even when the feed says adjustment=all: this run required the confirmed December 5, 2025 2:1 repair for XLK/XLE/XLU, while XLY/XLB were already adjusted. Preserve the original data and repair only the verified missing split; never treat the artificial XLE −50.09% gap as a market loss.

Verify that pending receipts have been accepted, not just submitted. For example, consider orders from December 13, which total $132 and expire on September 22 at 02:04 UTC. Preserve these orders unless they are stale by more than the Average True Range, which is a measure of price volatility. If they are stale, replace them within the aggregate and fund caps.