Notes

{"model":"LS_close_reference","period":"test","oneway_cost_bp":6,"days":1428,"return_pct":-45.51726881215713,"maxDD_pct":51.397667082991205,"mean_daily_bp":-4.119991146655742,"annualized_sharpe":-1.2732544170370723,"mean_turnover":0.5523324315661216,"break_even_oneway_bp":-1.459259879007347,"highvol_days":234,"highvol_mean_daily_bp":-7.294568419529031,"normalvol_mean_daily_bp":-3.497837811771028,"mean_gross_exposure":0.8709234236885605} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"calendar","execution":"hourly","part":"train","trail":false,"slip_bp":10,"return":144.53249912402688,"drawdown":26.364561921718956,"win rate":58.82352941176471,"sample":17,"mean":6.371822808941303,"avg_win":16.94062773361701,"avg_loss":8.726469940595416,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_close_reference","period":"test","oneway_cost_bp":0,"days":1428,"return_pct":-12.532805034618965,"maxDD_pct":23.922130942536246,"mean_daily_bp":-0.8059965572590122,"annualized_sharpe":-0.24916820608098011,"mean_turnover":0.5523324315661216,"break_even_oneway_bp":-1.459259879007347,"highvol_days":234,"highvol_mean_daily_bp":-4.051280718291333,"normalvol_mean_daily_bp":-0.16998609353910998,"mean_gross_exposure":0.8709234236885605} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"holdout","trail":true,"slip_bp":20,"return":-7.928905407274012,"drawdown":16.235562649649637,"win rate":25,"sample":4,"mean":-1.9596234421470293,"avg_win":4.596723951782633,"avg_loss":4.145072573456917,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_close_reference","period":"train","oneway_cost_bp":16,"days":1239,"return_pct":-64.69353163844833,"maxDD_pct":66.66645887736233,"mean_daily_bp":-8.265290523187767,"annualized_sharpe":-2.539449896348972,"mean_turnover":0.5554982759597222,"break_even_oneway_bp":1.1209429787914187,"highvol_days":260,"highvol_mean_daily_bp":-2.1536110892226517,"normalvol_mean_daily_bp":-9.88841274262692,"mean_gross_exposure":0.8658738360652186} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"holdout","trail":true,"slip_bp":10,"return":-7.18938077056368,"drawdown":15.881570375322852,"win rate":25,"sample":4,"mean":-1.7633460190533716,"avg_win":4.806127221762746,"avg_loss":3.9531704326587445,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_close_reference","period":"train","oneway_cost_bp":6,"days":1239,"return_pct":-29.701897509213193,"maxDD_pct":41.395028090422684,"mean_daily_bp":-2.710307763590545,"annualized_sharpe":-0.8331973761959494,"mean_turnover":0.5554982759597222,"break_even_oneway_bp":1.1209429787914187,"highvol_days":260,"highvol_mean_daily_bp":3.3634791414297456,"normalvol_mean_daily_bp":-4.323366594341593,"mean_gross_exposure":0.8658738360652186} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"holdout","trail":false,"slip_bp":20,"return":-3.808386988585999,"drawdown":16.235562649649637,"win rate":25,"sample":4,"mean":-0.7893518995846505,"avg_win":9.277810122032148,"avg_loss":4.145072573456917,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

{"model":"LS_close_reference","period":"train","oneway_cost_bp":0,"days":1239,"return_pct":6.245965327363967,"maxDD_pct":19.150009000912714,"mean_daily_bp":0.6226818921677885,"annualized_sharpe":0.1914226997179161,"mean_turnover":0.5554982759597222,"break_even_oneway_bp":1.1209429787914187,"highvol_days":260,"highvol_mean_daily_bp":6.6737332798211835,"normalvol_mean_daily_bp":-0.9843389053703961,"mean_gross_exposure":0.8658738360652186} Identification only: linear turnover costapproximation; LS financing/borrow/terminal liquidation omitted; notexecutableportfolio. Overlay netgross canbe<2; individual lagportfolios normalizedlong1/short1. https://runway.adityaperswal.workers.dev/data/stock-bars ; research/diagnostic.json

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"holdout","trail":false,"slip_bp":10,"return":-3.035765918080502,"drawdown":15.881570375322852,"win rate":25,"sample":4,"mean":-0.5907315858294265,"avg_win":9.496584954658527,"avg_loss":3.9531704326587445,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"train","trail":true,"slip_bp":20,"return":2.148369340166112,"drawdown":34.49470995991815,"win rate":37.5,"sample":16,"mean":0.9356479538918334,"avg_win":16.00750354027972,"avg_loss":8.1074653979409,"zero_volume_entries":0,"zero_volume_exits":1}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"train","trail":true,"slip_bp":10,"return":5.46998735720734,"drawdown":34.03446427283529,"win rate":37.5,"sample":16,"mean":1.1377217277210048,"avg_win":16.239751259575037,"avg_loss":7.923495991391414,"zero_volume_entries":0,"zero_volume_exits":1}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"train","trail":false,"slip_bp":20,"return":34.0970640322785,"drawdown":35.444332842459836,"win rate":40,"sample":15,"mean":2.8649373440703143,"avg_win":18.58910107094464,"avg_loss":7.617838473845902,"zero_volume_entries":0,"zero_volume_exits":1}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"hourly","part":"train","trail":false,"slip_bp":10,"return":38.180937294607695,"drawdown":34.795536079856326,"win rate":40,"sample":15,"mean":3.0708735668536926,"avg_win":18.8265171640118,"avg_loss":7.43288883125171,"zero_volume_entries":0,"zero_volume_exits":1}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"holdout","trail":true,"slip_bp":20,"return":-7.1518459816197755,"drawdown":17.864047976978657,"win rate":25,"sample":4,"mean":-1.6006471468557437,"avg_win":9.277810122032148,"avg_loss":5.2267995698183745,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"holdout","trail":true,"slip_bp":10,"return":-6.40607992253901,"drawdown":17.45221501920372,"win rate":25,"sample":4,"mean":-1.4036510510614524,"avg_win":9.496584954658527,"avg_loss":5.037063052968112,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"holdout","trail":false,"slip_bp":20,"return":-7.1518459816197755,"drawdown":17.864047976978657,"win rate":25,"sample":4,"mean":-1.6006471468557437,"avg_win":9.277810122032148,"avg_loss":5.2267995698183745,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"holdout","trail":false,"slip_bp":10,"return":-6.40607992253901,"drawdown":17.45221501920372,"win rate":25,"sample":4,"mean":-1.4036510510614524,"avg_win":9.496584954658527,"avg_loss":5.037063052968112,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"train","trail":true,"slip_bp":20,"return":-0.9862710551414189,"drawdown":35.267238960068745,"win rate":40,"sample":15,"mean":0.9267903619307427,"avg_win":17.010259919905447,"avg_loss":9.79552267671906,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"train","trail":true,"slip_bp":10,"return":2.029153056933608,"drawdown":34.94266629989499,"win rate":40,"sample":15,"mean":1.12884640280757,"avg_win":17.24451516349935,"avg_loss":9.614932770986952,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"train","trail":false,"slip_bp":20,"return":-6.690522832331769,"drawdown":43.655350361842274,"win rate":33.33333333333333,"sample":15,"mean":0.628431415096357,"avg_win":21.040006110526257,"avg_loss":9.577355932618591,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"ETH","source":"native_matched","signal":"daily","execution":"daily","part":"train","trail":false,"slip_bp":10,"return":-3.8488194611437376,"drawdown":43.14587322020517,"win rate":33.33333333333333,"sample":15,"mean":0.8298901395684772,"avg_win":21.282328930212653,"avg_loss":9.396329255753608,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"BTC","source":"aggregate","signal":"rolling","execution":"hourly","part":"holdout","trail":true,"slip_bp":20,"return":6.351839902720258,"drawdown":13.391971279693005,"win rate":50,"sample":6,"mean":1.1993878607821806,"avg_win":5.875857459026834,"avg_loss":3.477081737462473,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"BTC","source":"aggregate","signal":"rolling","execution":"hourly","part":"holdout","trail":true,"slip_bp":10,"return":7.6357530492738634,"drawdown":12.87075982047038,"win rate":50,"sample":6,"mean":1.401989643490039,"avg_win":6.087821561976062,"avg_loss":3.283842274995985,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars

Frozen controlled attribution experiment; completed2024-25train, REUSED2026Jan1-Sep11 00UTC holdout. 20high/10low,2ATR14,net3Rfixed10bptarget,25bpcreditedfees,20daytimeout,nexttimestampopen checks,optional+2RBE/entry2ATRtrail. Full24h matching masks dailygap and20daywindow; NOT exact priorstrategy replication. {"symbol":"BTC","source":"aggregate","signal":"rolling","execution":"hourly","part":"holdout","trail":false,"slip_bp":20,"return":6.351839902720258,"drawdown":13.391971279693005,"win rate":50,"sample":6,"mean":1.1993878607821806,"avg_win":5.875857459026834,"avg_loss":3.477081737462473,"zero_volume_entries":0,"zero_volume_exits":0}. Tradewealth reconciles vectorbt within1e-10; marks not executablequotes. https://runway.adityaperswal.workers.dev/data/crypto-bars