Notes

0/2691 daily opening gaps <=-30%; IID one-sided95% upper=1-.05^(1/2691)=.1112621853% perday; 60-session probability at that bound=6.4612574372%. Independence and stationarity assumptions are false in crisis clusters; this is a units/identification illustration, not forecast or guarantee. Therefore no empirical basis to present q5% pertrade as measured, but zero events does not refute such a future trade-horizon tail scenario. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=TEN&timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"BWLP","train_n":0,"status":"no long training sample"} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"ALM","train_n":0,"status":"no long training sample"} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"PSIX","train_n":0,"status":"no long training sample"} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"MU","train_n":1792,"holdout_n":481,"signal_coef_pp":0.6847414401647403,"signal_pvalue":0.6096960246593961,"signal_ci95_pp":[-1.9441983101,3.313681190429481],"train_r2":0.021540200358407757,"holdout_r2_vs_train_mean":-0.04941502317593249,"holdout_rmse_pct":17.810829186883648,"holdout_mean_y_pct":6.127674491087973,"train_mean_y_pct":2.413797234961888,"condition_number":15.507874653645256,"breakout_days":422,"signal_days":403,"breakout_trend_overlap_pct":95.49763033175356,"coef":{"const":0.007135871153996379,"signal":0.006847414401647402,"own200":0.01048744131221798,"spy200":0.015961790686057194,"momentum20":-0.16047956681205633}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"FTK","train_n":1792,"holdout_n":481,"signal_coef_pp":-6.708321856990726,"signal_pvalue":0.003573915502351184,"signal_ci95_pp":[-11.221199936276987,-2.1954437777044653],"train_r2":0.04524453700695874,"holdout_r2_vs_train_mean":-0.054114044574347764,"holdout_rmse_pct":30.739536103299038,"holdout_mean_y_pct":9.803050760749187,"train_mean_y_pct":-0.7319800832269578,"condition_number":6.63951634516687,"breakout_days":256,"signal_days":230,"breakout_trend_overlap_pct":89.84375,"coef":{"const":0.09585795918326749,"signal":-0.06708321856990726,"own200":-0.05616207640106899,"spy200":-0.10267755680369894,"momentum20":-0.017420943023230356}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"CENX","train_n":1792,"holdout_n":481,"signal_coef_pp":0.9011477730336281,"signal_pvalue":0.7035034940105938,"signal_ci95_pp":[-3.7396062353665895,5.541901781433846],"train_r2":0.0026898886293098556,"holdout_r2_vs_train_mean":-0.010456045000499792,"holdout_rmse_pct":17.87119124025891,"holdout_mean_y_pct":6.154430837685796,"train_mean_y_pct":2.4146826162434776,"condition_number":8.174521560477066,"breakout_days":371,"signal_days":343,"breakout_trend_overlap_pct":92.45283018867924,"coef":{"const":0.03790758130987326,"signal":0.009011477730336281,"own200":0.00995211183384406,"spy200":-0.023513250653090657,"momentum20":-0.03594133756501068}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"AA","train_n":1582,"holdout_n":481,"signal_coef_pp":0.1656194917535647,"signal_pvalue":0.9374394999235647,"signal_ci95_pp":[-3.9702006542394996,4.301439637746628],"train_r2":0.03761546140023164,"holdout_r2_vs_train_mean":-0.06259595339211654,"holdout_rmse_pct":14.423569747134485,"holdout_mean_y_pct":3.04601231692636,"train_mean_y_pct":1.0827349868987357,"condition_number":9.438486773679942,"breakout_days":308,"signal_days":282,"breakout_trend_overlap_pct":91.55844155844156,"coef":{"const":0.009116489379202456,"signal":0.001656194917535647,"own200":0.07162229757827418,"spy200":-0.03742544207321469,"momentum20":-0.02509638775071617}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"LPG","train_n":1792,"holdout_n":481,"signal_coef_pp":1.4630394337732313,"signal_pvalue":0.3465729665399421,"signal_ci95_pp":[-1.5834782163388765,4.509557083885339],"train_r2":0.004710904439227281,"holdout_r2_vs_train_mean":-0.042958085280838665,"holdout_rmse_pct":11.758156213249272,"holdout_mean_y_pct":-0.848129420729874,"train_mean_y_pct":3.66036502413264,"condition_number":13.459739964573116,"breakout_days":393,"signal_days":374,"breakout_trend_overlap_pct":95.16539440203562,"coef":{"const":0.038264527772659096,"signal":0.014630394337732312,"own200":-0.004168958970963369,"spy200":0.0018360230098414248,"momentum20":-0.0676788530164605}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"STNG","train_n":1792,"holdout_n":481,"signal_coef_pp":-1.9812611344761741,"signal_pvalue":0.18288855175872898,"signal_ci95_pp":[-4.89681929063021,0.9342970216778622],"train_r2":0.03725941433381086,"holdout_r2_vs_train_mean":0.050628786450389374,"holdout_rmse_pct":10.856334764119579,"holdout_mean_y_pct":-0.06774971222519925,"train_mean_y_pct":1.7298195610093678,"condition_number":10.788015948525022,"breakout_days":357,"signal_days":342,"breakout_trend_overlap_pct":95.7983193277311,"coef":{"const":0.0682456952611803,"signal":-0.01981261134476174,"own200":0.015402316636076465,"spy200":-0.06838666468907942,"momentum20":0.005456387230444975}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"FRO","train_n":1792,"holdout_n":481,"signal_coef_pp":0.40169996636170574,"signal_pvalue":0.7566022732939395,"signal_ci95_pp":[-2.1385256740176257,2.9419256067410373],"train_r2":0.033247848101534805,"holdout_r2_vs_train_mean":0.04588987032861491,"holdout_rmse_pct":11.378232242220284,"holdout_mean_y_pct":1.3414397614011557,"train_mean_y_pct":2.481089697778003,"condition_number":13.166111338378688,"breakout_days":378,"signal_days":367,"breakout_trend_overlap_pct":97.08994708994709,"coef":{"const":0.054798463394510166,"signal":0.004016999663617057,"own200":0.0019683240519279125,"spy200":-0.03407247940529839,"momentum20":-0.16341784830824496}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

NumPy least squares, Bartlett Newey-West HAC20 with asymptotic normal CI. Target next open to 21st following open (20-session return). Features constant, breakout20 AND SMA50, ownSMA200, SPYSMA200, momentum20, all known before entry. Train through2023, predict2024-25 without refit; horizon crosses split excluded. Diagnostic, no strategy optimization; eight tests, pvalues unadjusted. {"symbol":"TEN","train_n":1792,"holdout_n":481,"signal_coef_pp":-0.6925492690117843,"signal_pvalue":0.6986850972049489,"signal_ci95_pp":[-4.199163572342533,2.814065034318965],"train_r2":0.056316670603761665,"holdout_r2_vs_train_mean":-0.08041476660169211,"holdout_rmse_pct":10.043040854404554,"holdout_mean_y_pct":0.787783701804568,"train_mean_y_pct":1.1850420790271274,"condition_number":12.123293772836616,"breakout_days":323,"signal_days":303,"breakout_trend_overlap_pct":93.80804953560371,"coef":{"const":0.08029311860472299,"signal":-0.006925492690117843,"own200":-0.030149469754330287,"spy200":-0.06700875888950798,"momentum20":-0.10987754285416687}} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.1228311532,"FRO":0.1425417285,"STNG":0.0764258042,"LPG":0.1590179201,"BWLP":0.1198508748,"PSIX":0.4203063927,"ALM":0.3927109451,"AA":0.3906657703,"CENX":0.3193456848,"FTK":0.2939006484,"MU":0.5299079626,"SPY":1} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.0185217866,"FRO":0.0154277653,"STNG":0.0467526109,"LPG":0.0190734817,"BWLP":0.0171747285,"PSIX":0.3631374324,"ALM":0.300190582,"AA":0.3625339321,"CENX":0.3196747576,"FTK":0.2091884567,"MU":1,"SPY":0.5299079626} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":-0.0454824651,"FRO":-0.0583916403,"STNG":-0.0649281937,"LPG":0.0330602711,"BWLP":0.0568535318,"PSIX":0.1870413287,"ALM":0.1800690285,"AA":0.232580895,"CENX":0.2334383583,"FTK":1,"MU":0.2091884567,"SPY":0.2939006484} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":-0.0146631719,"FRO":-0.0557871736,"STNG":0.0014487198,"LPG":0.0575119272,"BWLP":0.0308446501,"PSIX":0.240273195,"ALM":0.3147429926,"AA":0.6936512716,"CENX":1,"FTK":0.2334383583,"MU":0.3196747576,"SPY":0.3193456848} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.0066666284,"FRO":-0.0496410535,"STNG":-0.0381317951,"LPG":0.0243244541,"BWLP":-0.0097190237,"PSIX":0.3350571472,"ALM":0.3444958772,"AA":1,"CENX":0.6936512716,"FTK":0.232580895,"MU":0.3625339321,"SPY":0.3906657703} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.130925374,"FRO":0.1161040572,"STNG":0.0460618368,"LPG":0.0407230886,"BWLP":0.0630861253,"PSIX":0.2652006169,"ALM":1,"AA":0.3444958772,"CENX":0.3147429926,"FTK":0.1800690285,"MU":0.300190582,"SPY":0.3927109451} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.0320750724,"FRO":0.0556715061,"STNG":-0.0116794475,"LPG":0.0908633166,"BWLP":0.0459519606,"PSIX":1,"ALM":0.2652006169,"AA":0.3350571472,"CENX":0.240273195,"FTK":0.1870413287,"MU":0.3631374324,"SPY":0.4203063927} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.5781077787,"FRO":0.5955808943,"STNG":0.5690102237,"LPG":0.7428565049,"BWLP":1,"PSIX":0.0459519606,"ALM":0.0630861253,"AA":-0.0097190237,"CENX":0.0308446501,"FTK":0.0568535318,"MU":0.0171747285,"SPY":0.1198508748} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.6001937154,"FRO":0.6088741545,"STNG":0.5740466733,"LPG":1,"BWLP":0.7428565049,"PSIX":0.0908633166,"ALM":0.0407230886,"AA":0.0243244541,"CENX":0.0575119272,"FTK":0.0330602711,"MU":0.0190734817,"SPY":0.1590179201} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.7081820027,"FRO":0.7079429433,"STNG":1,"LPG":0.5740466733,"BWLP":0.5690102237,"PSIX":-0.0116794475,"ALM":0.0460618368,"AA":-0.0381317951,"CENX":0.0014487198,"FTK":-0.0649281937,"MU":0.0467526109,"SPY":0.0764258042} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":0.8194131928,"FRO":1,"STNG":0.7079429433,"LPG":0.6088741545,"BWLP":0.5955808943,"PSIX":0.0556715061,"ALM":0.1161040572,"AA":-0.0496410535,"CENX":-0.0557871736,"FTK":-0.0583916403,"MU":0.0154277653,"SPY":0.1425417285} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Pearson daily close-return correlations through Sep17, current survivor panel, retrospective adjustments, pairwise dates; no causal inference. {"TEN":1,"FRO":0.8194131928,"STNG":0.7081820027,"LPG":0.6001937154,"BWLP":0.5781077787,"PSIX":0.0320750724,"ALM":0.130925374,"AA":0.0066666284,"CENX":-0.0146631719,"FTK":-0.0454824651,"MU":0.0185217866,"SPY":0.1228311532} https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all

Methods note3577; Sep18 calculation on completed Sep17 bars. Percent units explicitly named; simulations conditional, Kelly diagnostic. {"columns":["split","lookback","filter","cost_bps_side","bars","return_pct","closed_return_pct","drawdown_pct","win_rate_pct","n","mean_trade_pct","median_trade_pct","open","buyhold_pct","targets","gaps"],"rows":[["forward2026",20,"sma200",6,178,0.530918,0.33206418,8.45082113,20,5,0.16402143,-1.77245247,1,11.80992416,1,0],["forward2026",20,"spy200",6,178,0.530918,0.33206418,8.45082113,20,5,0.16402143,-1.77245247,1,11.80992416,1,0]]} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY&timeframe=1Day&feed=sip&adjustment=all