Notes

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"trail_main","split":"later","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":true,"return_pct":-1.1430862148126497,"drawdown_pct":10.075759941838047,"win_rate_pct":37.93103448275862,"sample":29,"avg_win_pct":2.5913874160504338,"avg_loss_pct":1.6098159515185475,"mean_pct":-0.016256053475140725,"quarter_kelly":0,"median_hold_days":1.03125,"target_exits":11,"stop_exits":18,"timeout_exits":0,"extended_exits":13,"replay_difference":-9.992007221626409e-16,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"trail_main","split":"train","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":true,"return_pct":-1.8176291636592623,"drawdown_pct":7.049404188092845,"win_rate_pct":45.45454545454545,"sample":22,"avg_win_pct":1.237877806449379,"avg_loss_pct":1.168113067267603,"mean_pct":-0.07448085194170204,"quarter_kelly":0,"median_hold_days":1.2552083333333335,"target_exits":8,"stop_exits":14,"timeout_exits":0,"extended_exits":5,"replay_difference":-8.881784197001252e-16,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_matched","split":"later","mult":1,"cost_bp":20,"session":"all","lag":false,"gate":true,"return_pct":29.62379537269866,"drawdown_pct":27.883055024076263,"win_rate_pct":48.275862068965516,"sample":29,"avg_win_pct":5.036107113133347,"avg_loss_pct":2.7474919341609927,"mean_pct":1.0101076059121366,"quarter_kelly":0.050143274518424194,"median_hold_days":30,"target_exits":0,"stop_exits":0,"timeout_exits":29,"extended_exits":0,"replay_difference":-1.3322676295501878e-15,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_matched","split":"train","mult":1,"cost_bp":20,"session":"all","lag":false,"gate":true,"return_pct":-15.407549527042141,"drawdown_pct":21.71451073891333,"win_rate_pct":54.54545454545454,"sample":22,"avg_win_pct":2.34517432911626,"avg_loss_pct":4.304344958450883,"mean_pct":-0.677334437959714,"quarter_kelly":0,"median_hold_days":31,"target_exits":0,"stop_exits":0,"timeout_exits":22,"extended_exits":0,"replay_difference":3.3306690738754696e-16,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_matched","split":"later","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":true,"return_pct":37.36428440482524,"drawdown_pct":26.470485269856113,"win_rate_pct":51.724137931034484,"sample":29,"avg_win_pct":4.907200275789534,"avg_loss_pct":2.7464593861411704,"mean_pct":1.2123300941678148,"quarter_kelly":0.061762819226527266,"median_hold_days":30,"target_exits":0,"stop_exits":0,"timeout_exits":29,"extended_exits":0,"replay_difference":-3.774758283725532e-15,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_matched","split":"train","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":true,"return_pct":-11.602379630110693,"drawdown_pct":20.37222028165099,"win_rate_pct":54.54545454545454,"sample":22,"avg_win_pct":2.55006962429347,"avg_loss_pct":4.112762017531156,"mean_pct":-0.478490212899542,"quarter_kelly":0,"median_hold_days":31,"target_exits":0,"stop_exits":0,"timeout_exits":22,"extended_exits":0,"replay_difference":-9.992007221626409e-16,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_ungated","split":"later","mult":1,"cost_bp":20,"session":"all","lag":false,"gate":false,"return_pct":88.20422477575511,"drawdown_pct":31.511832931151474,"win_rate_pct":57.14285714285714,"sample":42,"avg_win_pct":5.455854927957768,"avg_loss_pct":3.4013290104585585,"mean_pct":1.6599189543507709,"quarter_kelly":0.0760613586811458,"median_hold_days":30,"target_exits":0,"stop_exits":0,"timeout_exits":42,"extended_exits":0,"replay_difference":0,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_ungated","split":"train","mult":1,"cost_bp":20,"session":"all","lag":false,"gate":false,"return_pct":-15.407549527042141,"drawdown_pct":21.71451073891333,"win_rate_pct":54.54545454545454,"sample":22,"avg_win_pct":2.34517432911626,"avg_loss_pct":4.304344958450883,"mean_pct":-0.677334437959714,"quarter_kelly":0,"median_hold_days":31,"target_exits":0,"stop_exits":0,"timeout_exits":22,"extended_exits":0,"replay_difference":3.3306690738754696e-16,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_ungated","split":"later","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":false,"return_pct":104.69636283313055,"drawdown_pct":29.707788585251205,"win_rate_pct":59.523809523809526,"sample":42,"avg_win_pct":5.446640655425865,"avg_loss_pct":3.405966881790677,"mean_pct":1.8634423665525028,"quarter_kelly":0.08553172884171127,"median_hold_days":30,"target_exits":0,"stop_exits":0,"timeout_exits":42,"extended_exits":0,"replay_difference":-8.881784197001252e-15,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

Measured September7 2026 from SIP daily and raw15Min history. Frozen notes547/549. Train2017–2020; later2021–August2026 is a previously inspected chronological test, NOT independent prospective holdout. Full metrics: {"label":"monthly_ungated","split":"train","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":false,"return_pct":-11.602379630110693,"drawdown_pct":20.37222028165099,"win_rate_pct":54.54545454545454,"sample":22,"avg_win_pct":2.55006962429347,"avg_loss_pct":4.112762017531156,"mean_pct":-0.478490212899542,"quarter_kelly":0,"median_hold_days":31,"target_exits":0,"stop_exits":0,"timeout_exits":22,"extended_exits":0,"replay_difference":-9.992007221626409e-16,"min_cash":0}. Returns percent, costs fee/slippage split equally. Raw triggers; adjusted total-return valuation proxy. Later DBC selected from previously known winner; diagnostic parameters not promoted. Zero-sample variants mean cash/no estimate, not a successful strategy. Vectorbt long-only replay reconciled with independent cash arithmetic for nonempty cohorts. https://runway.adityaperswal.workers.dev/data/stock-bars

[{"lookback":40,"split":"holdout","slippage":0.001,"return":27.41413811005194,"drawdown":24.440087698375358,"sample":4,"win_rate":75,"avg_win":9.277261087468753,"avg_loss":1.3631363306203321},{"lookback":40,"split":"holdout","slippage":0.0025,"return":25.894300775328315,"drawdown":24.892091274455208,"sample":4,"win_rate":75,"avg_win":8.949769722525348,"avg_loss":1.6587542338184218}] Laggedsignal,nextpositive-volumeopen;fixedsplit2026-01-01,flatstart;forcedlastbaropenliquidation. Fees5bp/slippage10or25bp perside. Noeventfilter; rejects missingprints; descriptive only. Alpaca IEX TLX dailybars2024-11-14/2026-09-04; research/analyze_final.py

[{"lookback":20,"split":"holdout","slippage":0.001,"return":11.74641115979935,"drawdown":22.48305728317024,"sample":7,"win_rate":28.57142857142857,"avg_win":22.158561736336527,"avg_loss":4.996910992014369},{"lookback":20,"split":"holdout","slippage":0.0025,"return":9.58874522752727,"drawdown":22.715260387172485,"sample":7,"win_rate":28.57142857142857,"avg_win":21.868291949954738,"avg_loss":5.281643871551221}] Laggedsignal,nextpositive-volumeopen;fixedsplit2026-01-01,flatstart;forcedlastbaropenliquidation. Fees5bp/slippage10or25bp perside. Noeventfilter; rejects missingprints; descriptive only. Alpaca IEX TLX dailybars2024-11-14/2026-09-04; research/analyze_final.py

[{"lookback":10,"split":"holdout","slippage":0.001,"return":32.99791449702303,"drawdown":23.38136690814273,"sample":10,"win_rate":50,"avg_win":12.76581937355169,"avg_loss":5.467326799353972},{"lookback":10,"split":"holdout","slippage":0.0025,"return":29.067219510798026,"drawdown":24.295298916283905,"sample":10,"win_rate":50,"avg_win":12.4278779826639,"avg_loss":5.750650541651821}] Laggedsignal,nextpositive-volumeopen;fixedsplit2026-01-01,flatstart;forcedlastbaropenliquidation. Fees5bp/slippage10or25bp perside. Noeventfilter; rejects missingprints; descriptive only. Alpaca IEX TLX dailybars2024-11-14/2026-09-04; research/analyze_final.py

[{"lookback":40,"split":"train","slippage":0.001,"return":-40.31581718777077,"drawdown":47.91145607655889,"sample":6,"win_rate":16.666666666666664,"avg_win":1.520346369345806,"avg_loss":9.928871148601806},{"lookback":40,"split":"train","slippage":0.0025,"return":-41.38052482293244,"drawdown":48.76400257866421,"sample":6,"win_rate":16.666666666666664,"avg_win":1.216090952724149,"avg_loss":10.19883027136967}] Laggedsignal,nextpositive-volumeopen;fixedsplit2026-01-01,flatstart;forcedlastbaropenliquidation. Fees5bp/slippage10or25bp perside. Noeventfilter; rejects missingprints; descriptive only. Alpaca IEX TLX dailybars2024-11-14/2026-09-04; research/analyze_final.py

[{"lookback":20,"split":"train","slippage":0.001,"return":-32.61851128644186,"drawdown":35.586875674297026,"sample":10,"win_rate":20,"avg_win":6.3480717332717065,"avg_loss":6.04406783454884},{"lookback":20,"split":"train","slippage":0.0025,"return":-34.60994160963455,"drawdown":36.47109276551781,"sample":10,"win_rate":10,"avg_win":12.35547942546333,"avg_loss":5.655786817678029}] Laggedsignal,nextpositive-volumeopen;fixedsplit2026-01-01,flatstart;forcedlastbaropenliquidation. Fees5bp/slippage10or25bp perside. Noeventfilter; rejects missingprints; descriptive only. Alpaca IEX TLX dailybars2024-11-14/2026-09-04; research/analyze_final.py

[{"lookback":10,"split":"train","slippage":0.001,"return":-52.03292232544394,"drawdown":52.85483165127126,"sample":15,"win_rate":26.666666666666668,"avg_win":2.5623243580565123,"avg_loss":7.11244484051625},{"lookback":10,"split":"train","slippage":0.0025,"return":-54.143601238757114,"drawdown":54.861805924627284,"sample":15,"win_rate":26.666666666666668,"avg_win":2.2549476815554073,"avg_loss":7.390840608332399}] Laggedsignal,nextpositive-volumeopen;fixedsplit2026-01-01,flatstart;forcedlastbaropenliquidation. Fees5bp/slippage10or25bp perside. Noeventfilter; rejects missingprints; descriptive only. Alpaca IEX TLX dailybars2024-11-14/2026-09-04; research/analyze_final.py

Sep7 synthetic diagnostic, not observedwinrate/return. ExactGBM before/after2.61cashdrop,500000paths seed7092026,S46.15,sigma.408179926,r.04,T14/365,td13.729167/365. Europeanpayoffs; no earlyexercise/exitpolicy. Rare-tail zerohitsdoesnotmeanzero probability; Gaussianmodel excludesgeopoliticaljumps. {"purpose":"Risk-neutral European terminal diagnostic only; no exit simulation or physical edge estimate","N":500000,"seed":7092026,"sigma":0.40817992618250104,"T":0.038356164383561646,"td":0.03761415525114155,"S":46.15,"D":2.61,"r":0.04,"rows":[{"K":46,"cp":1,"value":0.60360433628942,"mc_se":0.002064965309655952,"ITM_frequency":0.250526},{"K":46,"cp":-1,"value":2.9924892079336067,"mc_se":0.00396124305055122,"ITM_frequency":0.749474},{"K":25,"cp":-1,"value":0,"mc_se":0,"ITM_frequency":0},{"K":29,"cp":-1,"value":8.710419560079085e-7,"mc_se":8.710410849655174e-7,"ITM_frequency":0.000002},{"K":30,"cp":-1,"value":0.0000028679758155664117,"mc_se":0.0000028679729475891645,"ITM_frequency":0.000002},{"K":31,"cp":-1,"value":0.000015225632488600393,"mc_se":0.000006135839234239847,"ITM_frequency":0.000024}],"parity_mc":-2.3888848716441866,"parity_theory":-2.38555480471026,"parity_mc_se":0.005213506122031018} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

CollectedSep7; IEX-only OHLC means missed consolidated venues. Raw/all matched1172dates. Fixed20pastsession meansquaredlogreturn forecasts next10sessionadjustedmeansquare. Train through2025N98,2026holdoutN16; onecross-yearwindowexcluded. QLIKE=log forecast+target/forecast; negative deltafavors adjusted. Circular blockbootstrap3windows,10000resamples,seed7092026; smallsampleCI notsignificant. Stats: {"bars":1172,"start":"2022-01-03 05:00:00+00:00","end":"2026-09-04 04:00:00+00:00","S":46.15,"div_yield":0.05655471289274106,"atr14":1.553214285714284,"adr20":1.2357499999999988,"sma20":42.84974999999999,"sma50":39.82020000000001,"return20":0.16188318227593146,"raw_rv20":0.40817992618250104,"adj_rv20":0.40817992618250104,"raw_rv60":0.46495893301691976,"adj_rv60":0.49105955262246614,"raw_rv252":0.4275111271710194,"adj_rv252":0.4297741485447388,"own_option_sample":0,"train":{"N":98,"delta_qlike_adj_minus_raw":0.005285878464590011,"ci95":[-0.002921702516604499,0.01828022798028216],"adj_rmse_var":0.001116894097766341,"raw_rmse_var":0.0011140012064260799},"holdout":{"N":16,"delta_qlike_adj_minus_raw":-0.010789314136842698,"ci95":[-0.030951471663077934,0.007720737722792334],"adj_rmse_var":0.0006111582936512012,"raw_rmse_var":0.0006165529179032519},"inferred_adjustment_days":15,"chain":{"contracts":252,"valued":86,"pairs":43,"positive_bid_pairs":29,"naive_outside_positive_pairs":17,"american_bound_violations_positive_pairs":0,"affordable":4,"affordable_positive_bid":0,"max_tree_convergence_diff":0.0007868561161390453}} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":261016,"strike":31,"cp":-1,"fd":0.012746712,"fd_fine":0.0127176303,"fd_no_div":0.0027898086,"crr_no_div":0.0027543398} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":261016,"strike":30,"cp":-1,"fd":0.006074573,"fd_fine":0.0060477929,"fd_no_div":0.0011875824,"crr_no_div":0.0011642912} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":261016,"strike":29,"cp":-1,"fd":0.0026898249,"fd_fine":0.0026751607,"fd_no_div":0.0004661671,"crr_no_div":0.0004534946} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":261016,"strike":25,"cp":-1,"fd":0.0000424315,"fd_fine":0.0000416948,"fd_no_div":0.0000041662,"crr_no_div":0.0000038684} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":261016,"strike":46,"cp":-1,"fd":3.8203627531,"fd_fine":3.820327196,"fd_no_div":2.3738193604,"crr_no_div":2.3744891334} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":261016,"strike":46,"cp":1,"fd":1.8787116242,"fd_fine":1.8787552783,"fd_no_div":2.7218330288,"crr_no_div":2.7223310503} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":260918,"strike":31,"cp":-1,"fd":0.0000251194,"fd_fine":0.0000242559,"fd_no_div":1.921e-7,"crr_no_div":1.593e-7} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all