Notes

A news scan found the data line for Sep 9 08UTC retrieval. The extension data is as follows: the data has several columns including threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a betting strategy. The rows of data are: for a threshold of 0.1 and a rule of green, with costs of 0, 6, and 16 basis points, the returns were -0.37525838697049496, -2.1524610522057177, and -5.0442959454642615 percent, with drawdowns of 2.4885726608119385, 3.651717046289127, and 5.559542919601579 percent, and sample sizes of 15, with win probabilities of 0.6 and 0.4, average win percentages of 0.41468517978107905 and 0.4749192447982812, average loss percentages of 0.6796845033206173 and 0.5549084437196702, mean percentages of -0.02306269345959945 and -0.14297736831248967, and quarter Kelly values of 0. For a threshold of 0.2 and a rule of open, with costs of 0, 6, and 16 basis points, the returns were 8.274478332111403, 4.571334640905616, and -1.3212717630361568 percent, with drawdowns of 2.3030401798335265, 2.860676188524114, and 4.141732592584635 percent, and sample sizes of 29, with win probabilities of 0.5517241379310345, 0.3793103448275862, and 0.3793103448275862, average win percentages of 0.9617085786736446, 1.2546979940315146, and 1.0523707735185373, average loss percentages of 0.5583877508303706, 0.5089210309741808, and 0.7077245345113362, mean percentages of 0.28028608613736183, 0.16003790954522085, and -0.04010217629310841, and quarter Kelly values of 0.07286149160796788, 0.03188773519733569, and 0. The costs are per side, and the trade profit and loss is divided by the entry value, with a cash denominator used for costs greater than 0, and the drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9, 08UTC, a retrieval was made. An extension was found with the following data: the columns included threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.1 and an open rule with 0 cost, the return percentage was 3.61324175698395, the drawdown percentage was 1.8051337046357863, the sample size was 15, the win probability was 0.6, the average win percentage was 0.8073918122967672, the average loss percentage was 0.6069534406986518, the mean percentage was 0.2416537110985997, and the quarter Kelly was 0.07482541543590011. For a threshold of 0.1 and an open rule with 6 cost, the return percentage was 1.764888361805788, the drawdown percentage was 2.626516003635204, the sample size was 15, the win probability was 0.4, the average win percentage was 1.0633315808874884, the average loss percentage was 0.5064743756730686, the mean percentage was 0.12144800695115421, and the quarter Kelly was 0.02855365370832634. For a threshold of 0.1 and an open rule with 16 cost, the return percentage was -1.2427218268391471, the drawdown percentage was 3.9802480111672423, the sample size was 15, the win probability was 0.4, the average win percentage was 0.8613867111368103, the average loss percentage was 0.7052827676360636, the mean percentage was -0.07861497612691402, and the quarter Kelly was 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage was 2.8409078033932134, the drawdown percentage was 2.237369288253044, the sample size was 15, the win probability was 0.6, the average win percentage was 0.772571442193317, the average loss percentage was 0.6796845033206218, the mean percentage was 0.19166906398774142, and the quarter Kelly was 0.062023087290023385. For a threshold of 0.1 and a managed rule with 6 cost, the return percentage was 1.0063320495776906, the drawdown percentage was 3.0551360147609175, the sample size was 15, the win probability was 0.4, the average win percentage was 1.0111584480203206, the average loss percentage was 0.5549084437196695, the mean percentage was 0.07151831297632635, and the quarter Kelly was 0.017682271536263047. For a threshold of 0.1 and a managed rule with 16 cost, the return percentage was -1.9788593880615621, the drawdown percentage was 4.402909145149847, the sample size was 15, the win probability was 0.4, the average win percentage was 0.8093178203714486, the average loss percentage was 0.7536200642454357, the mean percentage was -0.128444910398682, and the quarter Kelly was 0. Costs are per side. The trade profit and loss is calculated by dividing the win, loss, and mean by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. An extension was found with the following data: it had columns for threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: a threshold of 0.3 with a rule of green and a cost of 0 basis points had a return of -1.5882255665893013 percent, a drawdown of 5.376855437963679 percent, a sample size of 53, a win probability of 0.5471698113207547, an average win of 0.32838660293179195 percent, an average loss of 0.46113438336755896 percent, a mean of -0.029132334260366967 percent, and a quarter Kelly of 0. A threshold of 0.3 with a rule of green and a cost of 6 basis points had a return of -7.652332299485375 percent, a drawdown of 9.973665800057907 percent, a sample size of 53, a win probability of 0.4528301886792453, an average win of 0.2618119843331279 percent, an average loss of 0.489056049650242 percent, a mean of -0.1490403361483387 percent, and a quarter Kelly of 0. A threshold of 0.3 with a rule of green and a cost of 16 basis points had a return of -16.94024101587561 percent, a drawdown of 17.144084633214874 percent, a sample size of 53, a win probability of 0.32075471698113206, an average win of 0.13010730630028733 percent, an average loss of 0.5746015828721257 percent, a mean of -0.34856288257154033 percent, and a quarter Kelly of 0. A rule of buy and hold with a cost of 6 basis points had a return of 12.678774651521643 percent, a drawdown of 11.421978655898535 percent, a sample size of 1, a win probability of 1, an average win of 12.680042528986798 percent, an average loss of 0 percent, a mean of 12.680042528986798 percent, and a quarter Kelly of 0.25. A rule of buy and hold with a cost of 16 basis points had a return of 12.453642065954716 percent, a drawdown of 11.42197865589849 percent, a sample size of 1, a win probability of 1, an average win of 12.454887430161309 percent, an average loss of 0 percent, a mean of 12.454887430161309 percent, and a quarter Kelly of 0.25. Costs are per side, and the trade profit and loss is divided by the entry value, with a cash denominator used for costs greater than 0. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. An extension was found with the following data: it had columns for threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.3 and an open rule with a cost of 0 basis points, the return percentage was 4.507435246784792, the drawdown percentage was 2.6568875540277537, the sample size was 53, the win probability was 0.5471698113207547, the average win percentage was 0.5274127942611948, the average loss percentage was 0.4489516891032803, the mean percentage was 0.0852854810395457, and the quarter Kelly was 0.04042634250038171. For the same threshold and rule with a cost of 6 basis points, the return percentage was -1.9322844449535181, the drawdown percentage was 6.214263582608037, the sample size was 53, the win probability was 0.4528301886792453, the average win percentage was 0.5020375707653869, the average loss percentage was 0.47898490432068414, the mean percentage was -0.03474831182887831, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16 basis points, the return percentage was -11.795489578125682, the drawdown percentage was 13.281784342776016, the sample size was 53, the win probability was 0.3584905660377358, the average win percentage was 0.4120534087804156, the average loss percentage was 0.5958080327935981, the mean percentage was -0.23449921411612135, and the quarter Kelly was 0. For a threshold of 0.3 and a managed rule with a cost of 0 basis points, the return percentage was 4.143877327703729, the drawdown percentage was 2.678545582271219, the sample size was 53, the win probability was 0.5471698113207547, the average win percentage was 0.5254702830673584, the average loss percentage was 0.46113438336756074, the mean percentage was 0.07870590581381012, and the quarter Kelly was 0.037445459976525944. For the same threshold and rule with a cost of 6 basis points, the return percentage was -2.273440024095123, the drawdown percentage was 7.0693903913192635, the sample size was 53, the win probability was 0.4528301886792453, the average win percentage was 0.4996929502530144, the average loss percentage was 0.4890560496502429, the mean percentage was -0.04132065346763583, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16 basis points, the return percentage was -12.102333279598293, the drawdown percentage was 13.95641260767697, the sample size was 53, the win probability was 0.3584905660377358, the average win percentage was 0.40909770020897157, the average loss percentage was 0.6043809643004735, the mean percentage was -0.2410584241933139, and the quarter Kelly was 0. Costs are per side, and vbt trade P&L is divided by entry value. To get the cash denominator for costs greater than 0, divide win, loss, and mean by 1.0001. Drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. An extension was found with the following data: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.2 and a managed rule with a cost of 0 basis points, the return percentage was 2.884894343921121, the drawdown percentage was 2.5950117151802066, the sample was 35, the win probability was 0.5428571428571428, the average win percentage was 0.541782315466939, the average loss percentage was 0.4606741946263001, the mean percentage was 0.08351648228145826, and the quarter Kelly was 0.03853784070520967. For the same threshold and rule with a cost of 6 basis points, the return percentage was -1.346784226261184, the drawdown percentage was 5.137326765350581, the sample was 35, the win probability was 0.45714285714285713, the average win percentage was 0.5083731865412632, the average loss percentage was 0.49536888346748376, the mean percentage was -0.03651536574919939, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16 basis points, the return percentage was -8.016358274154447, the drawdown percentage was 9.583185709243914, the sample was 35, the win probability was 0.37142857142857144, the average win percentage was 0.4128876340967787, the average loss percentage was 0.6198515933744009, the mean percentage was -0.2362627374565341, and the quarter Kelly was 0. For a threshold of 0.2 and a green rule with a cost of 0 basis points, the return percentage was -1.1848080604184474, the drawdown percentage was 3.5202733776130812, the sample was 35, the win probability was 0.5428571428571428, the average win percentage was 0.327270564303316, the average loss percentage was 0.460674194626295, the mean percentage was -0.03293275406450619, and the quarter Kelly was 0. For the same threshold and rule with a cost of 6 basis points, the return percentage was -5.249098866232828, the drawdown percentage was 6.596118966661313, the sample was 35, the win probability was 0.45714285714285713, the average win percentage was 0.2539205352461776, the average loss percentage was 0.495368883467483, the mean percentage was -0.15283657776980958, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16 basis points, the return percentage was -11.654852051873002, the drawdown percentage was 11.654852051872954, the sample was 35, the win probability was 0.3142857142857143, the average win percentage was 0.13101230693662913, the average loss percentage was 0.5738933021423887, the mean percentage was -0.352351539288983, and the quarter Kelly was 0. Costs were per side. The trade profit and loss was calculated by dividing the trade value by the entry value, which is also known as the vbt trade P and L. To calculate the win, loss, and mean for cash, the values were divided by 1.0001 for a cost greater than 0. The drawdown was synthetic, meaning it was calculated using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A news scan found the data line for Sep 9 08UTC retrieval. The extension is defined as a set of data with the following columns: threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The data includes the following rows: for a threshold of 0.1 and a rule of green, with costs of 0, 6, and 16 basis points, the respective return percentages are 1.9995390731989346, -0.2997392023985981, and -4.017272671216267, and the respective drawdown percentages are 1.9729375091925405, 2.734561760040366, and 4.173985880796726. For a threshold of 0.2 and a rule of open, with costs of 0, 6, and 16 basis points, the respective return percentages are 3.164043727822218, -1.0791163185599089, and -7.766786390152504, and the respective drawdown percentages are 2.65140856300512, 4.3386160371719935, and 8.944890876328715. The costs are per side, and the trade profit and loss is calculated by dividing the win, loss, and mean by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08 UTC, a retrieval was made. An extension was found with the following data: it had columns for threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.1 and an open rule with a cost of 0 basis points, the return percentage was 5.910543805220345, the drawdown percentage was 1.6594540782303602, the sample size was 19, the win probability was 0.7368421052631579, the average win percentage was 0.568493837487452, the average loss percentage was 0.4325985748225147, the mean percentage was 0.30504846582693446, and the quarter Kelly was 0.13414765724424743. For the same threshold and open rule but with a cost of 6 basis points, the return percentage was 3.5231034820508627, the drawdown percentage was 2.423513948153111, the sample size was 19, the win probability was 0.5789473684210527, the average win percentage was 0.5819352645966943, the average loss percentage was 0.3613249583359946, the mean percentage was 0.1847730654671411, and the quarter Kelly was 0.0793787027132634. For a threshold of 0.1 and an open rule with a cost of 16 basis points, the return percentage was -0.3369726994114899, the drawdown percentage was 3.683703707280117, the sample size was 19, the win probability was 0.47368421052631576, the average win percentage was 0.5003794530950397, the average loss percentage was 0.4796327462539574, the mean percentage was -0.015416441299169288, and the quarter Kelly was 0. For a threshold of 0.1 and a managed rule with a cost of 0 basis points, the return percentage was 5.64245347147962, the drawdown percentage was 1.9729375091925294, the sample size was 19, the win probability was 0.7368421052631579, the average win percentage was 0.5731111254637625, the average loss percentage was 0.49588717886817396, the mean percentage was 0.29179578221851615, and the quarter Kelly was 0.12728586536441533. For the same threshold and managed rule but with a cost of 6 basis points, the return percentage was 3.2610564528766983, the drawdown percentage was 2.7345617600403993, the sample size was 19, the win probability was 0.5789473684210527, the average win percentage was 0.5878053522511836, the average loss percentage was 0.40083684867061875, the mean percentage was 0.17153495186305628, and the quarter Kelly was 0.07295567793237584. For a threshold of 0.1 and a managed rule with a cost of 16 basis points, the return percentage was -0.5892487551342241, the drawdown percentage was 3.9907343703337705, the sample size was 19, the win probability was 0.47368421052631576, the average win percentage was 0.5075396698936183, the average loss percentage was 0.5111791026056721, the mean percentage was -0.02862810510600819, and the quarter Kelly was 0. The costs are per side. The trade profit and loss is calculated by dividing the win, loss, and mean by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is synthetic and based on open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. An extension was found with the following data: the columns included threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.3 and a rule of green with a cost of 0 basis points, the return percentage was 3.369267815096498, the drawdown percentage was 6.083842694306274, the sample size was 41, the win probability was 0.6341463414634146, the average win percentage was 0.636717971731364, the average loss percentage was 0.8724406024575257, the mean percentage was 0.08458678605250197, and the quarter Kelly was 0.03321203021115199. For the same threshold and rule with a cost of 6 basis points, the return percentage was -1.5934174194727233, the drawdown percentage was 8.145797079296823, the sample size was 41, the win probability was 0.6097560975609756, the average win percentage was 0.5391533409005431, the average loss percentage was 0.9332580817501058, the mean percentage was -0.03544623867044185, and the quarter Kelly was 0. For the same threshold and rule with a cost of 16 basis points, the return percentage was -9.340782970996134, the drawdown percentage was 11.482211744044001, the sample size was 41, the win probability was 0.4878048780487805, the average win percentage was 0.4397132872543206, the average loss percentage was 0.8779662548324055, the mean percentage was -0.23519574649741712, and the quarter Kelly was 0. For a threshold of 0 and a rule of buyhold with a cost of 6 basis points, the return percentage was 23.646499158287988, the drawdown percentage was 14.335811474260062, the sample size was 1, the win probability was 1, the average win percentage was 23.648863808203803, the average loss percentage was 0, the mean percentage was 23.648863808203803, and the quarter Kelly was 0.25. For the same threshold and rule with a cost of 16 basis points, the return percentage was 23.39945302082426, the drawdown percentage was 14.33581147426004, the sample size was 1, the win probability was 1, the average win percentage was 23.401792966126333, the average loss percentage was 0, the mean percentage was 23.401792966126333, and the quarter Kelly was 0.25. Costs are per side, and the trade profit and loss is divided by the entry value. To get the cash denominator for costs greater than 0, divide the win, loss, and mean by 1.0001. The drawdown is synthetic and uses open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. An extension was found with the following data: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are as follows: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 13.974976539650392, the drawdown percentage is 2.621008482180076, the sample size is 41, the win probability is 0.6341463414634146, the average win percentage is 0.9751395822687682, the average loss percentage is 0.7987649539725719, the mean percentage is 0.32615011779022907, and the quarter Kelly is 0.08361626471756112. For the same threshold and open rule with 6 cost, the numbers are 8.50311875116862 return percentage, 4.415504757726573 drawdown percentage, 41 sample size, 0.6097560975609756 win probability, 0.8907248726065387 average win percentage, 0.8642630978861264 average loss percentage, 0.20585151826793768 mean percentage, and 0.05777640340994179 quarter Kelly. For the same threshold and open rule with 16 cost, the numbers are -0.039128143319157975 return percentage, 7.47799855680481 drawdown percentage, 41 sample size, 0.5121951219512195 win probability, 0.8360106190115226 average win percentage, 0.8662903617696119 average loss percentage, 0.005619896679261822 mean percentage, and 0.0016805697653418383 quarter Kelly. For a threshold of 0.3 and a managed rule with 0 cost, the numbers are 12.355650650847702 return percentage, 4.1259882391729175 drawdown percentage, 41 sample size, 0.6341463414634146 win probability, 0.9626684393675965 average win percentage, 0.8724406024575242 average loss percentage, 0.2912870826023084 mean percentage, and 0.07564574434206625 quarter Kelly. For the same threshold and managed rule with 6 cost, the numbers are 6.961535549802658 return percentage, 5.892750806179126 drawdown percentage, 41 sample size, 0.6097560975609756 win probability, 0.8777691431986935 average win percentage, 0.9332580817501049 average loss percentage, 0.17102681151135748 mean percentage, and 0.048710646995437715 quarter Kelly. For the same threshold and managed rule with 16 cost, the numbers are -1.4593453925719928 return percentage, 8.995065609848751 drawdown percentage, 41 sample size, 0.5121951219512195 win probability, 0.8206179478029466 average win percentage, 0.9213760670856792 average loss percentage, -0.02913523019150506 mean percentage, and 0 quarter Kelly. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean are divided by 1.0001 for the cash denominator. The drawdown is synthetic and uses open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08 UTC, a retrieval was made. An extension was found with the following data: the columns included threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.2 and a managed rule with a cost of 0 basis points, the return percentage was 5.807847407457507, the drawdown percentage was 3.9109876940176647, the sample size was 28, the win probability was 0.6071428571428571, the average win percentage was 0.91071988453668, the average loss percentage was 0.8781739758808428, the mean percentage was 0.2079401536583674, and the quarter Kelly was 0.057081259888202326. For the same threshold and rule with a cost of 6 basis points, the return percentage was 2.311766553312316, the drawdown percentage was 5.181881033735525, the sample size was 28, the win probability was 0.5714285714285714, the average win percentage was 0.8429402245938318, the average loss percentage was 0.9191200996442389, the mean percentage was 0.08777151420608718, and the quarter Kelly was 0.026031357753860784. For a threshold of 0.2 and a managed rule with a cost of 16 basis points, the return percentage was -3.2602265306494473, the drawdown percentage was 7.61538216264227, the sample size was 28, the win probability was 0.5357142857142857, the average win percentage was 0.6913007027537171, the average loss percentage was 1.0393682822089012, the mean percentage was -0.11222418312178423, and the quarter Kelly was 0. For a threshold of 0.2 and a green rule with a cost of 0 basis points, the return percentage was 1.198412760239887, the drawdown percentage was 4.548321095290808, the sample size was 28, the win probability was 0.6071428571428571, the average win percentage was 0.644660746234925, the average loss percentage was 0.8781739758808431, the mean percentage was 0.04640424826087322, and the quarter Kelly was 0.01799560797360955. For the same threshold and rule with a cost of 6 basis points, the return percentage was -2.1453641144422253, the drawdown percentage was 6.025812989438029, the sample size was 28, the win probability was 0.5714285714285714, the average win percentage was 0.560563177238168, the average loss percentage was 0.9191200996442341, the mean percentage was -0.07358679856857589, and the quarter Kelly was 0. For a threshold of 0.2 and a green rule with a cost of 16 basis points, the return percentage was -7.47461775511523, the drawdown percentage was 8.584900837817743, the sample size was 28, the win probability was 0.5, the average win percentage was 0.4193053456158967, the average loss percentage was 0.9658255484630457, the mean percentage was -0.2732601014235745, and the quarter Kelly was 0. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and the win, loss, and mean percentages are divided by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is calculated using synthetic open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. An extension was found with the following data: the columns were threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data were as follows: for a threshold of 0.1 and a rule of green with a cost of 0, the return percentage was -3.1294438660852504, the drawdown percentage was 4.572944197005924, the sample size was 15, the win probability was 0.4666666666666667, the average win percentage was 0.726009346866182, the average loss percentage was 1.0224188859826173, the mean percentage was -0.20648571065317772, and the quarter Kelly was 0. For a threshold of 0.1 and a rule of green with a cost of 6, the return percentage was -4.857514702271022, the drawdown percentage was 5.428709688488476, the sample size was 15, the win probability was 0.4, the average win percentage was 0.7162842061959769, the average loss percentage was 1.0211873544406023, the mean percentage was -0.32619873018597073, and the quarter Kelly was 0. For a threshold of 0.1 and a rule of green with a cost of 16, the return percentage was -7.669403092863024, the drawdown percentage was 7.66940309286297, the sample size was 15, the win probability was 0.4, the average win percentage was 0.5150327383128585, the average loss percentage was 1.21896734807309, the mean percentage was -0.5253673135187106, and the quarter Kelly was 0. For a threshold of 0.2 and a rule of open with a cost of 0, the return percentage was 8.043170012713267, the drawdown percentage was 2.4026329716691275, the sample size was 28, the win probability was 0.6071428571428571, the average win percentage was 0.9430624072534496, the average loss percentage was 0.7386839861253794, the mean percentage was 0.2823763241403383, and the quarter Kelly was 0.07485621364198038. For a threshold of 0.2 and a rule of open with a cost of 6, the return percentage was 4.473230094665473, the drawdown percentage was 3.6934761258825777, the sample size was 28, the win probability was 0.5714285714285714, the average win percentage was 0.8772663752650296, the average loss percentage was 0.7913948514269125, the mean percentage was 0.16212584953991166, and the quarter Kelly was 0.04620200149895519. For a threshold of 0.2 and a rule of open with a cost of 16, the return percentage was -1.2164782854873464, the drawdown percentage was 6.165177074222727, the sample size was 28, the win probability was 0.5357142857142857, the average win percentage was 0.7278421074493862, the average loss percentage was 0.9217036181550665, the mean percentage was -0.038018408009824006, and the quarter Kelly was 0. Costs are per side. The trade profit and loss is divided by the entry value, and for costs greater than 0, the win, loss, and mean are divided by 1.0001 for the cash denominator. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline 'EEM QIR90908 extension IBS sweep rows1–6'. On September 9 at 08UTC, an automated trading fund manager retrieved data for an extension. The data included columns for threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly criterion. The rows of data were as follows: for a threshold of 0.1 and an open rule with 0 cost, the return percentage was 1.7332478021046882, the drawdown percentage was 3.0749805193076907, the sample size was 15, the win probability was 0.4666666666666667, the average win percentage was 1.2128504985704025, the average loss percentage was 0.8306201500688544, the mean percentage was 0.12299948596279885, and the quarter Kelly criterion was 0.025353389825823427. For the same threshold and open rule but with a cost of 6, the return percentage was -0.08156843941908391, the drawdown percentage was 3.944179366897549, the sample size was 15, the win probability was 0.4, the average win percentage was 1.2836411109913857, the average loss percentage was 0.8508870234841667, the mean percentage was 0.002924230306054269, and the quarter Kelly criterion was 0.000569518668616778. For a threshold of 0.1 and an open rule with a cost of 16, the return percentage was -3.034607524241881, the drawdown percentage was 5.4688443031761675, the sample size was 15, the win probability was 0.4, the average win percentage was 1.0812560620295666, the average loss percentage was 1.0490072777731125, the mean percentage was -0.196901941852041, and the quarter Kelly criterion was 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage was -0.371527802788944, the drawdown percentage was 4.572944197005913, the sample size was 15, the win probability was 0.4666666666666667, the average win percentage was 1.1343043719725292, the average loss percentage was 1.022418885982618, the mean percentage was -0.015948032270215802, and the quarter Kelly criterion was 0. For the same threshold and managed rule but with a cost of 6, the return percentage was -2.148797017799268, the drawdown percentage was 5.428709688488464, the sample size was 15, the win probability was 0.4, the average win percentage was 1.1921047092015211, the average loss percentage was 1.0211873544406007, the mean percentage was -0.13587052898375201, and the quarter Kelly criterion was 0. For a threshold of 0.1 and a managed rule with a cost of 16, the return percentage was -5.040740199755362, the drawdown percentage was 6.929811124780816, the sample size was 15, the win probability was 0.4, the average win percentage was 0.9899025502903976, the average loss percentage was 1.2189673480730956, the mean percentage was -0.33541938872769844, and the quarter Kelly criterion was 0. The costs are per side, and the trade profit and loss is divided by the entry value, with a cash denominator used for costs greater than 0. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

On September 9 at 08UTC, a retrieval was made. The train data is as follows: it has columns for threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: a threshold of 0.3 with a green rule and 0 cost, a return of -2.38 percent, a drawdown of 19.88 percent, a sample size of 290, a win probability of 56.55 percent, an average win of 49.05 percent, an average loss of 65.58 percent, a mean of -0.0053 percent, and a quarter Kelly of 0; a threshold of 0.3 with a green rule and 6 cost, a return of -31.07 percent, a drawdown of 35.72 percent, a sample size of 290, a win probability of 48.28 percent, an average win of 44.4 percent, an average loss of 65.57 percent, a mean of -0.1252 percent, and a quarter Kelly of 0; a threshold of 0.3 with a green rule and 16 cost, a return of -61.41 percent, a drawdown of 61.57 percent, a sample size of 290, a win probability of 32.76 percent, an average win of 39.88 percent, an average loss of 67.73 percent, a mean of -0.3248 percent, and a quarter Kelly of 0; a threshold of 0 with a buyhold rule and 6 cost, a return of 103.38 percent, a drawdown of 33.79 percent, a sample size of 1, a win probability of 100 percent, an average win of 103.39 percent, an average loss of 0 percent, a mean of 103.39 percent, and a quarter Kelly of 0.25; a threshold of 0 with a buyhold rule and 16 cost, a return of 102.98 percent, a drawdown of 33.79 percent, a sample size of 1, a win probability of 100 percent, an average win of 102.99 percent, an average loss of 0 percent, a mean of 102.99 percent, and a quarter Kelly of 0.25. Note that costs are per side, and vbt trade P&L is divided by entry value. To get cash denominator for cost greater than 0, divide win, loss, and mean by 1.0001. Drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A reused issuer notice and release history for LOVE was recorded on September 8 and measured on September 9 using SIP adjusted daily and 15-minute bars, which are sets of high, low, open, and close prices for a security. The entry time was 09:30 ET on June 10, and the latest exit time was 15:45 ET, with a fee of 10 basis points per side, meaning 0.1% of the trade value. There were three fixed exits: one based on time only, and two based on target Average Daily Range, or ADR, with a 1 ADR stop, which is a stop-loss order that triggers when the price moves a certain distance away from a reference point. The slip, or slippage, was 10/20 basis points, referring to the difference between expected and actual trade prices. A complete 26 bars per day were required, but historical quote and early news completeness were not guaranteed. On June 11, 2026, a notice was issued on May 28, 2026, and a release was made available at https://investor.lovesac.com/news-events/press-releases/detail/164/the-lovesac-company-reports-first-quarter-fiscal-2027. The entry was on June 10, 2026, with an entry price of $16.65 and an ADR of 0.64084. The SPY gross was -0.008420937512815918, and the split was holdout, meaning a portion of the data was set aside for testing. The trend, momentum, and market trend were all true. There were six variants with different target ADRs, slippages, exit prices, and reasons for exit, including time, with net results ranging from -0.02732192882042983 to -0.02926534543300996. https://investor.lovesac.com/news-events/press-releases/detail/163/the-lovesac-company-announces-first-quarter-conference-call

A news scan found the headline 'SPY QIR90908 train IBS sweep rows19–24'. On September 9, 08UTC, a retrieval was made. The train data is as follows: the data has columns including threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a betting strategy. The rows of data are: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 22.023812796878964, the drawdown percentage is 13.042515568937663, the sample size is 290, the win probability is 0.5655172413793104, the average win percentage is 0.6293982957967136, the average loss percentage is 0.6558435932722031, the mean percentage is 0.07324438397115733, and the quarter Kelly is 0.02819472773171866. For the same threshold and rule with a cost of 6, the numbers are: return percentage -13.83912501160546, drawdown percentage 29.144077335854224, sample size 290, win probability 0.4827586206896552, average win percentage 0.606585443172798, average loss percentage 0.6565803440569185, mean percentage -0.0467761709115381, and quarter Kelly 0. For a cost of 16, the numbers are: return percentage -51.75869714382413, drawdown percentage 53.087193483336335, sample size 290, win probability 0.3413793103448276, average win percentage 0.6127120802802491, average loss percentage 0.6918553820999508, mean percentage -0.24650304149429628, and quarter Kelly 0. For a managed rule with 0 cost, the numbers are: return percentage 16.240762188147322, drawdown percentage 15.561892846579518, sample size 290, win probability 0.5551724137931034, average win percentage 0.6179479079189046, average loss percentage 0.6510759005426399, mean percentage 0.05569619967408878, and quarter Kelly 0.0216244402145008. For a managed rule with a cost of 6, the numbers are: return percentage -17.922530448050157, drawdown percentage 28.89524085353632, sample size 290, win probability 0.4724137931034483, average win percentage 0.5952859667050603, average loss percentage 0.6549192524846831, mean percentage -0.06430506272952839, and quarter Kelly 0. For a managed rule with a cost of 16, the numbers are: return percentage -54.04498774115862, drawdown percentage 54.46500890861075, sample size 290, win probability 0.33793103448275863, average win percentage 0.588270573559828, average loss percentage 0.6990084388602217, mean percentage -0.26399691052517044, and quarter Kelly 0. Costs are per side. The trade profit and loss is calculated by dividing the win, loss, and mean by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A reused issuer notice and release history for LOVE was recorded on September 8 and measured on September 9 using SIP adjusted daily and 15-minute bars, which are sets of high, low, open, and close prices for a security. The entry time was 09:30 ET on March 25, and the latest exit time was 15:45 ET, with a fee of 10 basis points per side, meaning 0.1% of the trade value. There were three fixed exits: one based on time only, and two based on target Average Daily Range, or ADR, with a 1 ADR stop, which is a stop-loss order set at a price level equal to the average daily range. The slip, or slippage, was 10/20 basis points, referring to the difference between expected and actual trade prices. A complete 26 bars per day was required, but historical quote and early news completeness were not guaranteed. On March 26, 2026, the outcome of the event was as follows: the date of the notice was March 12, 2026, and the release was available at https://investor.lovesac.com/news-events/press-releases/detail/161/the-lovesac-company-reports-fourth-quarter-and-fiscal-2026. The entry was on March 25, 2026, with an entry price of 11.51, and the ADR was 0.6067050000000002. The SPY gross was -0.0037595701608852394, and the split was a holdout, meaning a portion of the trade was held back. The trend, momentum, and market trend were all false, meaning they did not meet certain conditions. The variants, or different scenarios, were: a target ADR of 0 with a slippage of 0.001 and an exit price of 11.25 at 15:45 ET on March 25, with a reason of time and a net of -0.026490889211140067; a target ADR of 0 with a slippage of 0.002 and an exit price of 11.25 at 15:45 ET on March 25, with a reason of time and a net of -0.02843596624583733; a target ADR of 1.5 with a slippage of 0.001 and an exit price of 10.81 at 10:00 ET on March 25, with a reason of stop and a net of -0.06456591221088204; a target ADR of 1.5 with a slippage of 0.002 and an exit price of 10.81 at 10:00 ET on March 25, with a reason of stop and a net of -0.06643491512155553; a target ADR of 2 with a slippage of 0.001 and an exit price of 10.81 at 10:00 ET on March 25, with a reason of stop and a net of -0.06456591221088204; and a target ADR of 2 with a slippage of 0.002 and an exit price of 10.81 at 10:00 ET on March 25, with a reason of stop and a net of -0.06643491512155553. https://investor.lovesac.com/news-events/press-releases/detail/160/the-lovesac-company-announces-fourth-quarter-and-fiscal

On September 9 at 08UTC, a retrieval was made. The training data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: for a threshold of 0.2 and a managed rule with 0 cost, the return percentage is 8.898871934035663, the drawdown percentage is 13.811293947797465, the sample size is 198, the win probability is 0.5555555555555556, the average win percentage is 0.6711325900528523, the average loss percentage is 0.7403477168837457, the mean percentage is 0.04754713907539327, and the quarter Kelly is 0.016318686441934002. For the same threshold and rule with 6 cost, the numbers are -14.13127689145141, 25.598348342384547, 198, 0.46464646464646464, 0.6712538477972734, 0.7179197784770176, -0.0724451642485592, and 0. For 16 cost, the numbers are -42.209799168390816, 44.269477108480814, 198, 0.35858585858585856, 0.6358707304438339, 0.779738031369368, -0.27212074809291675, and 0. For a green rule with 0 cost, the numbers are -4.557979523495897, 18.872267776592366, 198, 0.5707070707070707, 0.5228196450470176, 0.7505483499586167, -0.02003758336470113, and 0. For 6 cost, the numbers are -24.742246786709813, 30.89269307297845, 198, 0.4797979797979798, 0.4912187432658215, 0.7221066625933155, -0.13995558402453762, and 0. For 16 cost, the numbers are -49.35104989468807, 50.074365031980996, 198, 0.3434343434343434, 0.4367739017188087, 0.7455453008930564, -0.33949628181423397, and 0. Costs are per side, which means they are for buying or selling. The trade profit and loss is calculated by dividing the trade value by the entry value, which is the value at the start of the trade. To account for costs, divide the win, loss, and mean by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is calculated using synthetic open and exit marks, which are artificial marks used to calculate the drawdown. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A reused issuer notice and release history for LOVE was recorded on September 8 and measured on September 9 using SIP adjusted daily and 15-minute bars, which are sets of high, low, open, and close prices for a security. The entry time was 09:30 ET on December 10, and the latest exit time was 15:45 ET, with a fee of 10 basis points per side, which is a unit of measurement for interest rates and fees. There were three fixed exits: one based on time only, and two based on target Average Daily Range, or ADR, with a 1 ADR stop, which is a measure of price volatility. The slip, or difference between expected and actual prices, was 10 or 20 basis points. The system required 26 bars, or sets of prices, per day, but historical quote and early news completeness were not guaranteed. On December 11, 2025, the system referenced a notice from November 26, 2025, and a release from the same period, which can be found at https://investor.lovesac.com/news-events/press-releases/detail/154 and https://investor.lovesac.com/news-events/press-releases/detail/155. The entry price was 13.85, and the SPY gross, which refers to the SPDR S&P 500 ETF Trust, was 0.008509129586952602. The system used a holdout split, which is a method of dividing data, and the trend and momentum indicators were false and true, respectively, while the market trend was true. The system tested several variants, including different target ADRs and slippages, with exit prices and times as follows: a target ADR of 0 with a slippage of 0.001, resulting in an exit price of 13.67 at 15:45:00 on December 10, with a net result of -0.016936520131519694; a target ADR of 0 with a slippage of 0.002, resulting in an exit price of 13.67 at 15:45:00 on December 10, with a net result of -0.018900686852869053; a target ADR of 1.5 with a slippage of 0.001, resulting in an exit price of 13.67 at 15:45:00 on December 10, with a net result of -0.016936520131519694; a target ADR of 1.5 with a slippage of 0.002, resulting in an exit price of 13.67 at 15:45:00 on December 10, with a net result of -0.018900686852869053; a target ADR of 2 with a slippage of 0.001, resulting in an exit price of 13.67 at 15:45:00 on December 10, with a net result of -0.016936520131519694; and a target ADR of 2 with a slippage of 0.002, resulting in an exit price of 13.67 at 15:45:00 on December 10, with a net result of -0.018900686852869053. https://investor.lovesac.com/news-events/press-releases/detail/154/the-lovesac-company-announces-third-quarter-conference-call

A news scan found the headline 'SPY QIR90908 train IBS sweep rows7–12'. On September 9 at 08UTC, a retrieval was made. The train data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a betting strategy. The rows of data are: a threshold of 0.1 with a rule of green and a cost of 0, with a return of -3.5751953325836556 percent, a drawdown of 12.170923486364316 percent, a sample of 103, a win probability of 0.5825242718446602, an average win of 0.49661103825564873 percent, an average loss of 0.7695996004187369 percent, a mean of -0.032001170122978234 percent, and a quarter Kelly of 0, a threshold of 0.1 with a rule of green and a cost of 6, with a return of -14.786193426287525 percent, a drawdown of 20.735311754870335 percent, a sample of 103, a win probability of 0.46601941747572817, an average win of 0.4853440984185032 percent, an average loss of 0.7080515741694234 percent, a mean of -0.15190601801194306 percent, and a quarter Kelly of 0, a threshold of 0.1 with a rule of green and a cost of 16, with a return of -30.65020113092546 percent, a drawdown of 33.19395630223495 percent, a sample of 103, a win probability of 0.34951456310679613, an average win of 0.4126551460310094 percent, an average loss of 0.7619722037727052 percent, a mean of -0.3514228387927663 percent, and a quarter Kelly of 0, a threshold of 0.2 with a rule of open and a cost of 0, with a return of 9.339245917162339 percent, a drawdown of 13.834857270284829 percent, a sample of 198, a win probability of 0.5707070707070707, an average win of 0.6886917585339606 percent, an average loss of 0.8060997975680316 percent, a mean of 0.05105952383142869 percent, and a quarter Kelly of 0.017057091271364178, a threshold of 0.2 with a rule of open and a cost of 6, with a return of -13.784034069283122 percent, a drawdown of 25.392583509452503 percent, a sample of 198, a win probability of 0.4797979797979798, an average win of 0.6883023449587382 percent, an average loss of 0.7673609484556966 percent, a mean of -0.06893664100937685 percent, and a quarter Kelly of 0, and a threshold of 0.2 with a rule of open and a cost of 16, with a return of -41.97610252421142 percent, a drawdown of 44.14542886688425 percent, a sample of 198, a win probability of 0.36363636363636365, an average win of 0.6724979879226416 percent, an average loss of 0.8064005050771834 percent, a mean of -0.2686192348954288 percent, and a quarter Kelly of 0. Costs are per side, and vbt trade P and L is divided by entry value. To get the cash denominator for costs greater than 0, divide win, loss, and mean by 1.0001. Drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A reused issuer notice and release history for LOVE was recorded on September 8 and measured on September 9 using SIP adjusted daily and 15-minute bars, which are sets of high, low, open, and close prices for a security. The entry time was 09:30 ET on September 10, and the latest exit time was 15:45 ET, with a fee of 10 basis points per side, meaning 0.1% of the trade value. There were three fixed exits: one based on time only, and two based on target Average Daily Range, or ADR, with a 1 ADR stop, which is a stop-loss order set at a price level equal to the average daily range away from the entry price. The slip, or slippage, was 10/20 basis points, referring to the difference between the expected price of a trade and the actual price. Complete 26 bars per day were required, but historical quote and early news completeness were not guaranteed. The event outcome was based on data from September 11, 2025, with a notice on August 28, 2025, and a release on the same date, available at https://investor.lovesac.com/news-events/press-releases/detail/147 and https://investor.lovesac.com/news-events/press-releases/detail/149. The entry price was $19.28, and the ADR was 0.8658399999999997. The SPY gross, referring to the performance of the SPDR S&P 500 ETF Trust, was -0.002753542478807103. The trend, momentum, and market trend were all true. There were six variants, each with a target ADR, slippage, exit price, exit time, reason, and net result, including: a target ADR of 0 with 0.001 and 0.002 slippage, a target ADR of 1.5 with 0.001 and 0.002 slippage, and a target ADR of 2 with 0.001 and 0.002 slippage, all with exit prices of $20.64 and exit times of 15:45:00-04:00 on September 10, 2025. https://investor.lovesac.com/news-events/press-releases/detail/147/the-lovesac-company-announces-second-quarter-conference

On September 9 at 08UTC, a retrieval was made. The training data is as follows: the columns are threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly, which is a betting strategy. The rows of data are: for a threshold of 0.1 and an open rule with 0 cost, the return percentage is 3.5391153411884146, the drawdown percentage is 11.785400738020169, the sample size is 103, the win probability is 0.5728155339805825, the average win percentage is 0.7556426417072384, the average loss percentage is 0.9167621216597114, the mean percentage is 0.04121730589999783, and the quarter Kelly is 0.013636507399474751. For the same threshold and open rule but with a cost of 6, the return percentage is -8.499040491406152, the drawdown percentage is 16.980716993610866, the sample size is 103, the win probability is 0.4563106796116505, the average win percentage is 0.8124777512310187, the average loss percentage is 0.8267778975609713, the mean percentage is -0.07876803840346135, and the quarter Kelly is 0. For the same threshold and open rule but with a cost of 16, the return percentage is -25.533509258746506, the drawdown percentage is 29.583314584690378, the sample size is 103, the win probability is 0.3883495145631068, the average win percentage is 0.7420787409155358, the average loss percentage is 0.9263736748620123, the mean percentage is -0.2784309891231587, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage is 6.419879108334578, the drawdown percentage is 10.168002019344602, the sample size is 103, the win probability is 0.5631067961165048, the average win percentage is 0.7065380629193756, the average loss percentage is 0.7613000852573922, the mean percentage is 0.06524955158001099, and the quarter Kelly is 0.02308776943679562. For the same threshold and managed rule but with a cost of 6, the return percentage is -5.953213748123346, the drawdown percentage is 14.544277438283281, the sample size is 103, the win probability is 0.44660194174757284, the average win percentage is 0.7544923487897293, the average loss percentage is 0.7078448432250507, the mean percentage is -0.054762213781556844, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 16, the return percentage is -23.46163171095201, the drawdown percentage is 27.976014766790748, the sample size is 103, the win probability is 0.3786407766990291, the average win percentage is 0.6771824709667533, the average loss percentage is 0.8222007589788529, the mean percentage is -0.2544731282227495, and the quarter Kelly is 0. Costs are per side. The trade profit and loss is calculated by dividing the trade value by the entry value, and for costs greater than 0, the win, loss, and mean percentages are divided by 1.0001 for the cash denominator. The drawdown is synthetic, using open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A news scan found the headline about The Lovesac Company. The company had a notice on May 29, 2025, and a release on a website. The event started on June 11, 2025, at 09:30 ET and ended at 15:45 ET. The fee was 10 basis points per side, which means 0.1 percent of the trade value. There were three fixed exit strategies, including one based on time only and two based on target prices with a stop-loss order, which is an order to sell when a stock falls to a certain price. The stop-loss order was set at 1 ADR, which stands for Average Daily Range, a measure of how much a stock's price typically moves in a day. The results showed that the stock price was 20.93 dollars at entry and 20.665 dollars at exit. The net result was a loss, with values ranging from -0.0166 to -0.0186. The market trend was true, meaning it was going up, but the momentum, which is the speed of the trend, was false, meaning it was not strong. https://investor.lovesac.com/news-events/press-releases/detail/141/the-lovesac-company-announces-first-quarter-conference-call

A news scan found the headline about The Lovesac Company. The company issued a notice on 2025-03-27 and a release on a specific url. An automated trading fund manager recorded the issuer notice and release history on September 8 and measured it on September 9 using SIP adjusted daily and 15-minute bars, which are a type of financial data. The manager entered the trade at 09:30 ET on the entry date, 2025-04-09, and exited at 15:45 ET, with a fee of 10 basis points per side, which is a measure of the cost of trading. The manager used three fixed exits: one based on time only, and two based on target ADR, or average daily range, with a stop, which is a type of order to limit losses. The manager also considered slippage, which is the difference between expected and actual trade prices, of 10 and 20 basis points. The manager required complete 26 bars of data per day, but noted that historical quote and early news completeness were not guaranteed. The trade had an entry price of 12.88 and an ADR of 1.0126749999999998. The manager considered various factors, including trend, momentum, and market trend, but found them to be false. The manager also considered different variants, including target ADR, slippage, exit price, and reason for exit, and calculated the net result for each variant. https://investor.lovesac.com/news-events/press-releases/detail/137/the-lovesac-company-announces-fourth-quarter-and-fiscal

On September 9 at 08UTC, a retrieval was made. The training data for QQQ QIR90908 is as follows: the data has several columns including threshold, rule, cost in basis points, return percentage, drawdown percentage, sample size, win probability, average win percentage, average loss percentage, mean percentage, and quarter Kelly. The rows of data are: a threshold of 0.3 with a rule of green and a cost of 0 basis points, with a return of 26.614232363826112 percent and a drawdown of 9.195132906320303 percent, a sample size of 292, a win probability of 0.5856164383561644, an average win of 0.6859108625681399 percent, an average loss of 0.7826962856844498 percent, a mean of 0.08538560201502339 percent, and a quarter Kelly of 0.02819032546373755, a threshold of 0.3 with a rule of green and a cost of 6 basis points, with a return of -10.812142931613527 percent and a drawdown of 24.840581900628813 percent, a sample size of 292, a win probability of 0.547945205479452, an average win of 0.6076055658537795 percent, an average loss of 0.8131378364175929 percent, a mean of -0.03464830092642992 percent, and a quarter Kelly of 0, a threshold of 0.3 with a rule of green and a cost of 16 basis points, with a return of -50.26324156178259 percent and a drawdown of 52.8724615541534 percent, a sample size of 292, a win probability of 0.4520547945205479, an average win of 0.5135815366278627 percent, an average loss of 0.8514836782583298 percent, a mean of -0.2343994030358045 percent, and a quarter Kelly of 0, a threshold of 0 with a rule of buy and hold and a cost of 6 basis points, with a return of 199.2158662101239 percent and a drawdown of 28.558863626368748 percent, a sample size of 1, a win probability of 1, an average win of 199.23578779674494 percent, an average loss of 0 percent, a mean of 199.23578779674494 percent, and a quarter Kelly of 0.25, and a threshold of 0 with a rule of buy and hold and a cost of 16 basis points, with a return of 198.61803186367433 percent and a drawdown of 28.55886362636879 percent, a sample size of 1, a win probability of 1, an average win of 198.6378936668607 percent, an average loss of 0 percent, a mean of 198.6378936668607 percent, and a quarter Kelly of 0.25. The costs are per side. The trade profit and loss is calculated by dividing the win, loss, and mean by 1.0001 for a cash denominator when the cost is greater than 0. The drawdown is synthetic and uses open and exit marks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

A reused issuer notice and release history for LOVE was recorded on September 8 and measured on September 9 using SIP adjusted daily and 15-minute bars, which are sets of high, low, open, and close prices for a security. The entry time was 09:30 ET and the latest exit time was 15:45 ET, with a fee of 10 basis points per side, meaning 0.1% of the trade value. There were three fixed exits: one based on time only, and two based on target Average Daily Range, or ADR, with a 1 ADR stop, which is a stop-loss order set at a price level equal to the average daily range. The slip, or slippage, was 10/20 basis points, referring to the difference between the expected price and the actual execution price. Complete 26 bars per day were required, and historical quote and early news completeness were not guaranteed. On December 12, 2024, the notice was dated December 5, 2024, and the release was dated the same day, with the entry date on December 11, 2024. The ADR was 1.771885, the entry price was 37.94, and the SPY gross was 0.003302109306557055. The split was holdout, and the trend, momentum, and market trend were all true. There were six variants with different target ADRs, slippages, exit prices, and reasons for exit, including time, with net results ranging from -0.0022199893379712954 to -0.0042135597759981325. https://investor.lovesac.com/news-events/press-releases/detail/130/the-lovesac-company-announces-third-quarter-fiscal-2025