Notes

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,-0.37525838697049496,2.4885726608119385,15,0.6,0.41468517978107905,0.6796845033206173,-0.02306269345959945,0],[0.1,"green",6,-2.1524610522057177,3.651717046289127,15,0.4,0.4749192447982812,0.5549084437196702,-0.14297736831248967,0],[0.1,"green",16,-5.0442959454642615,5.559542919601579,15,0.4,0.2741500249516075,0.7536200642454357,-0.3425120285666184,0],[0.2,"open",0,8.274478332111403,2.3030401798335265,29,0.5517241379310345,0.9617085786736446,0.5583877508303706,0.28028608613736183,0.07286149160796788],[0.2,"open",6,4.571334640905616,2.860676188524114,29,0.3793103448275862,1.2546979940315146,0.5089210309741808,0.16003790954522085,0.03188773519733569],[0.2,"open",16,-1.3212717630361568,4.141732592584635,29,0.3793103448275862,1.0523707735185373,0.7077245345113362,-0.04010217629310841,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,3.61324175698395,1.8051337046357863,15,0.6,0.8073918122967672,0.6069534406986518,0.2416537110985997,0.07482541543590011],[0.1,"open",6,1.764888361805788,2.626516003635204,15,0.4,1.0633315808874884,0.5064743756730686,0.12144800695115421,0.02855365370832634],[0.1,"open",16,-1.2427218268391471,3.9802480111672423,15,0.4,0.8613867111368103,0.7052827676360636,-0.07861497612691402,0],[0.1,"managed",0,2.8409078033932134,2.237369288253044,15,0.6,0.772571442193317,0.6796845033206218,0.19166906398774142,0.062023087290023385],[0.1,"managed",6,1.0063320495776906,3.0551360147609175,15,0.4,1.0111584480203206,0.5549084437196695,0.07151831297632635,0.017682271536263047],[0.1,"managed",16,-1.9788593880615621,4.402909145149847,15,0.4,0.8093178203714486,0.7536200642454357,-0.128444910398682,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,-1.5882255665893013,5.376855437963679,53,0.5471698113207547,0.32838660293179195,0.46113438336755896,-0.029132334260366967,0],[0.3,"green",6,-7.652332299485375,9.973665800057907,53,0.4528301886792453,0.2618119843331279,0.489056049650242,-0.1490403361483387,0],[0.3,"green",16,-16.94024101587561,17.144084633214874,53,0.32075471698113206,0.13010730630028733,0.5746015828721257,-0.34856288257154033,0],[0,"buyhold",6,12.678774651521643,11.421978655898535,1,1,12.680042528986798,0,12.680042528986798,0.25],[0,"buyhold",16,12.453642065954716,11.42197865589849,1,1,12.454887430161309,0,12.454887430161309,0.25]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"open",0,4.507435246784792,2.6568875540277537,53,0.5471698113207547,0.5274127942611948,0.4489516891032803,0.0852854810395457,0.04042634250038171],[0.3,"open",6,-1.9322844449535181,6.214263582608037,53,0.4528301886792453,0.5020375707653869,0.47898490432068414,-0.03474831182887831,0],[0.3,"open",16,-11.795489578125682,13.281784342776016,53,0.3584905660377358,0.4120534087804156,0.5958080327935981,-0.23449921411612135,0],[0.3,"managed",0,4.143877327703729,2.678545582271219,53,0.5471698113207547,0.5254702830673584,0.46113438336756074,0.07870590581381012,0.037445459976525944],[0.3,"managed",6,-2.273440024095123,7.0693903913192635,53,0.4528301886792453,0.4996929502530144,0.4890560496502429,-0.04132065346763583,0],[0.3,"managed",16,-12.102333279598293,13.95641260767697,53,0.3584905660377358,0.40909770020897157,0.6043809643004735,-0.2410584241933139,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,2.884894343921121,2.5950117151802066,35,0.5428571428571428,0.541782315466939,0.4606741946263001,0.08351648228145826,0.03853784070520967],[0.2,"managed",6,-1.346784226261184,5.137326765350581,35,0.45714285714285713,0.5083731865412632,0.49536888346748376,-0.03651536574919939,0],[0.2,"managed",16,-8.016358274154447,9.583185709243914,35,0.37142857142857144,0.4128876340967787,0.6198515933744009,-0.2362627374565341,0],[0.2,"green",0,-1.1848080604184474,3.5202733776130812,35,0.5428571428571428,0.327270564303316,0.460674194626295,-0.03293275406450619,0],[0.2,"green",6,-5.249098866232828,6.596118966661313,35,0.45714285714285713,0.2539205352461776,0.495368883467483,-0.15283657776980958,0],[0.2,"green",16,-11.654852051873002,11.654852051872954,35,0.3142857142857143,0.13101230693662913,0.5738933021423887,-0.352351539288983,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,1.9995390731989346,1.9729375091925405,19,0.7368421052631579,0.31978925149032106,0.49588717886818057,0.10513755929071537,0.08219284951006045],[0.1,"green",6,-0.2997392023985981,2.734561760040366,19,0.5789473684210527,0.2657501517412384,0.40083684867062064,-0.014918058958491721,0],[0.1,"green",16,-4.017272671216267,4.173985880796726,19,0.42105263157894735,0.13523612272568186,0.46921382207733275,-0.21470858216027403,0],[0.2,"open",0,3.164043727822218,2.65140856300512,35,0.5428571428571428,0.5423788845976466,0.4444688379180339,0.09124849716190697,0.04205938862719458],[0.2,"open",6,-1.0791163185599089,4.3386160371719935,35,0.45714285714285713,0.5090808335403998,0.4817372703860225,-0.02879185144822943,0],[0.2,"open",16,-7.766786390152504,8.944890876328715,35,0.37142857142857144,0.4137568440881181,0.6081023586313665,-0.22855465476412942,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,5.910543805220345,1.6594540782303602,19,0.7368421052631579,0.568493837487452,0.4325985748225147,0.30504846582693446,0.13414765724424743],[0.1,"open",6,3.5231034820508627,2.423513948153111,19,0.5789473684210527,0.5819352645966943,0.3613249583359946,0.1847730654671411,0.0793787027132634],[0.1,"open",16,-0.3369726994114899,3.683703707280117,19,0.47368421052631576,0.5003794530950397,0.4796327462539574,-0.015416441299169288,0],[0.1,"managed",0,5.64245347147962,1.9729375091925294,19,0.7368421052631579,0.5731111254637625,0.49588717886817396,0.29179578221851615,0.12728586536441533],[0.1,"managed",6,3.2610564528766983,2.7345617600403993,19,0.5789473684210527,0.5878053522511836,0.40083684867061875,0.17153495186305628,0.07295567793237584],[0.1,"managed",16,-0.5892487551342241,3.9907343703337705,19,0.47368421052631576,0.5075396698936183,0.5111791026056721,-0.02862810510600819,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,3.369267815096498,6.083842694306274,41,0.6341463414634146,0.636717971731364,0.8724406024575257,0.08458678605250197,0.03321203021115199],[0.3,"green",6,-1.5934174194727233,8.145797079296823,41,0.6097560975609756,0.5391533409005431,0.9332580817501058,-0.03544623867044185,0],[0.3,"green",16,-9.340782970996134,11.482211744044001,41,0.4878048780487805,0.4397132872543206,0.8779662548324055,-0.23519574649741712,0],[0,"buyhold",6,23.646499158287988,14.335811474260062,1,1,23.648863808203803,0,23.648863808203803,0.25],[0,"buyhold",16,23.39945302082426,14.33581147426004,1,1,23.401792966126333,0,23.401792966126333,0.25]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"open",0,13.974976539650392,2.621008482180076,41,0.6341463414634146,0.9751395822687682,0.7987649539725719,0.32615011779022907,0.08361626471756112],[0.3,"open",6,8.50311875116862,4.415504757726573,41,0.6097560975609756,0.8907248726065387,0.8642630978861264,0.20585151826793768,0.05777640340994179],[0.3,"open",16,-0.039128143319157975,7.47799855680481,41,0.5121951219512195,0.8360106190115226,0.8662903617696119,0.005619896679261822,0.0016805697653418383],[0.3,"managed",0,12.355650650847702,4.1259882391729175,41,0.6341463414634146,0.9626684393675965,0.8724406024575242,0.2912870826023084,0.07564574434206625],[0.3,"managed",6,6.961535549802658,5.892750806179126,41,0.6097560975609756,0.8777691431986935,0.9332580817501049,0.17102681151135748,0.048710646995437715],[0.3,"managed",16,-1.4593453925719928,8.995065609848751,41,0.5121951219512195,0.8206179478029466,0.9213760670856792,-0.02913523019150506,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,5.807847407457507,3.9109876940176647,28,0.6071428571428571,0.91071988453668,0.8781739758808428,0.2079401536583674,0.057081259888202326],[0.2,"managed",6,2.311766553312316,5.181881033735525,28,0.5714285714285714,0.8429402245938318,0.9191200996442389,0.08777151420608718,0.026031357753860784],[0.2,"managed",16,-3.2602265306494473,7.61538216264227,28,0.5357142857142857,0.6913007027537171,1.0393682822089012,-0.11222418312178423,0],[0.2,"green",0,1.198412760239887,4.548321095290808,28,0.6071428571428571,0.644660746234925,0.8781739758808431,0.04640424826087322,0.01799560797360955],[0.2,"green",6,-2.1453641144422253,6.025812989438029,28,0.5714285714285714,0.560563177238168,0.9191200996442341,-0.07358679856857589,0],[0.2,"green",16,-7.47461775511523,8.584900837817743,28,0.5,0.4193053456158967,0.9658255484630457,-0.2732601014235745,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,-3.1294438660852504,4.572944197005924,15,0.4666666666666667,0.726009346866182,1.0224188859826173,-0.20648571065317772,0],[0.1,"green",6,-4.857514702271022,5.428709688488476,15,0.4,0.7162842061959769,1.0211873544406023,-0.32619873018597073,0],[0.1,"green",16,-7.669403092863024,7.66940309286297,15,0.4,0.5150327383128585,1.21896734807309,-0.5253673135187106,0],[0.2,"open",0,8.043170012713267,2.4026329716691275,28,0.6071428571428571,0.9430624072534496,0.7386839861253794,0.2823763241403383,0.07485621364198038],[0.2,"open",6,4.473230094665473,3.6934761258825777,28,0.5714285714285714,0.8772663752650296,0.7913948514269125,0.16212584953991166,0.04620200149895519],[0.2,"open",16,-1.2164782854873464,6.165177074222727,28,0.5357142857142857,0.7278421074493862,0.9217036181550665,-0.038018408009824006,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. extension: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,1.7332478021046882,3.0749805193076907,15,0.4666666666666667,1.2128504985704025,0.8306201500688544,0.12299948596279885,0.025353389825823427],[0.1,"open",6,-0.08156843941908391,3.944179366897549,15,0.4,1.2836411109913857,0.8508870234841667,0.002924230306054269,0.000569518668616778],[0.1,"open",16,-3.034607524241881,5.4688443031761675,15,0.4,1.0812560620295666,1.0490072777731125,-0.196901941852041,0],[0.1,"managed",0,-0.371527802788944,4.572944197005913,15,0.4666666666666667,1.1343043719725292,1.022418885982618,-0.015948032270215802,0],[0.1,"managed",6,-2.148797017799268,5.428709688488464,15,0.4,1.1921047092015211,1.0211873544406007,-0.13587052898375201,0],[0.1,"managed",16,-5.040740199755362,6.929811124780816,15,0.4,0.9899025502903976,1.2189673480730956,-0.33541938872769844,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,-2.3823007188105523,19.881966703123354,290,0.5655172413793104,0.49045875223877816,0.6557882023767665,-0.005304448034262758,0],[0.3,"green",6,-31.072253917996274,35.72260675009083,290,0.4827586206896552,0.44400662806806723,0.6565342357246946,-0.12523864630749917,0],[0.3,"green",16,-61.407491806653134,61.57003904940659,290,0.3275862068965517,0.3987753327703705,0.6773240702786648,-0.3248087485901878,0],[0,"buyhold",6,103.38310112135878,33.79381911340273,1,1,103.39343943147092,0,103.39343943147092,0.25],[0,"buyhold",16,102.97674097449278,33.79381911340271,1,1,102.98703864859023,0,102.98703864859023,0.25]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Reused issuer notice/release history recorded Sep8; measured Sep9 on SIP adjusted daily/15min bars. Entry T1 09:30ET, latest exit15:45ET, fee10bp/side. Three fixed exits (0=time-only,1.5/2=target ADR with1ADRstop); slip10/20bp. Complete26bars/day required; historical quote/earlynews completeness not guaranteed. {"date":"2026-06-11","notice":"2026-05-28","url":"https://investor.lovesac.com/news-events/press-releases/detail/163/the-lovesac-company-announces-first-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/164/the-lovesac-company-reports-first-quarter-fiscal-2027","entry":"2026-06-10","adr":0.64084,"entry_price":16.65,"spy_gross":-0.008420937512815918,"split":"holdout","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":16.26,"exit_at":"2026-06-10T15:45:00-04:00","reason":"time","net":-0.02732192882042983},{"target_adr":0,"slippage":0.002,"exit_price":16.26,"exit_at":"2026-06-10T15:45:00-04:00","reason":"time","net":-0.02926534543300996},{"target_adr":1.5,"slippage":0.001,"exit_price":16.26,"exit_at":"2026-06-10T15:45:00-04:00","reason":"time","net":-0.02732192882042983},{"target_adr":1.5,"slippage":0.002,"exit_price":16.26,"exit_at":"2026-06-10T15:45:00-04:00","reason":"time","net":-0.02926534543300996},{"target_adr":2,"slippage":0.001,"exit_price":16.26,"exit_at":"2026-06-10T15:45:00-04:00","reason":"time","net":-0.02732192882042983},{"target_adr":2,"slippage":0.002,"exit_price":16.26,"exit_at":"2026-06-10T15:45:00-04:00","reason":"time","net":-0.02926534543300996}]} https://investor.lovesac.com/news-events/press-releases/detail/163/the-lovesac-company-announces-first-quarter-conference-call

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"open",0,22.023812796878964,13.042515568937663,290,0.5655172413793104,0.6293982957967136,0.6558435932722031,0.07324438397115733,0.02819472773171866],[0.3,"open",6,-13.83912501160546,29.144077335854224,290,0.4827586206896552,0.606585443172798,0.6565803440569185,-0.0467761709115381,0],[0.3,"open",16,-51.75869714382413,53.087193483336335,290,0.3413793103448276,0.6127120802802491,0.6918553820999508,-0.24650304149429628,0],[0.3,"managed",0,16.240762188147322,15.561892846579518,290,0.5551724137931034,0.6179479079189046,0.6510759005426399,0.05569619967408878,0.0216244402145008],[0.3,"managed",6,-17.922530448050157,28.89524085353632,290,0.4724137931034483,0.5952859667050603,0.6549192524846831,-0.06430506272952839,0],[0.3,"managed",16,-54.04498774115862,54.46500890861075,290,0.33793103448275863,0.588270573559828,0.6990084388602217,-0.26399691052517044,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Reused issuer notice/release history recorded Sep8; measured Sep9 on SIP adjusted daily/15min bars. Entry T1 09:30ET, latest exit15:45ET, fee10bp/side. Three fixed exits (0=time-only,1.5/2=target ADR with1ADRstop); slip10/20bp. Complete26bars/day required; historical quote/earlynews completeness not guaranteed. {"date":"2026-03-26","notice":"2026-03-12","url":"https://investor.lovesac.com/news-events/press-releases/detail/160/the-lovesac-company-announces-fourth-quarter-and-fiscal","release":"https://investor.lovesac.com/news-events/press-releases/detail/161/the-lovesac-company-reports-fourth-quarter-and-fiscal-2026","entry":"2026-03-25","adr":0.6067050000000002,"entry_price":11.51,"spy_gross":-0.0037595701608852394,"split":"holdout","trend":false,"momentum":false,"market_trend":false,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":11.25,"exit_at":"2026-03-25T15:45:00-04:00","reason":"time","net":-0.026490889211140067},{"target_adr":0,"slippage":0.002,"exit_price":11.25,"exit_at":"2026-03-25T15:45:00-04:00","reason":"time","net":-0.02843596624583733},{"target_adr":1.5,"slippage":0.001,"exit_price":10.81,"exit_at":"2026-03-25T10:00:00-04:00","reason":"stop","net":-0.06456591221088204},{"target_adr":1.5,"slippage":0.002,"exit_price":10.81,"exit_at":"2026-03-25T10:00:00-04:00","reason":"stop","net":-0.06643491512155553},{"target_adr":2,"slippage":0.001,"exit_price":10.81,"exit_at":"2026-03-25T10:00:00-04:00","reason":"stop","net":-0.06456591221088204},{"target_adr":2,"slippage":0.002,"exit_price":10.81,"exit_at":"2026-03-25T10:00:00-04:00","reason":"stop","net":-0.06643491512155553}]} https://investor.lovesac.com/news-events/press-releases/detail/160/the-lovesac-company-announces-fourth-quarter-and-fiscal

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,8.898871934035663,13.811293947797465,198,0.5555555555555556,0.6711325900528523,0.7403477168837457,0.04754713907539327,0.016318686441934002],[0.2,"managed",6,-14.13127689145141,25.598348342384547,198,0.46464646464646464,0.6712538477972734,0.7179197784770176,-0.0724451642485592,0],[0.2,"managed",16,-42.209799168390816,44.269477108480814,198,0.35858585858585856,0.6358707304438339,0.779738031369368,-0.27212074809291675,0],[0.2,"green",0,-4.557979523495897,18.872267776592366,198,0.5707070707070707,0.5228196450470176,0.7505483499586167,-0.02003758336470113,0],[0.2,"green",6,-24.742246786709813,30.89269307297845,198,0.4797979797979798,0.4912187432658215,0.7221066625933155,-0.13995558402453762,0],[0.2,"green",16,-49.35104989468807,50.074365031980996,198,0.3434343434343434,0.4367739017188087,0.7455453008930564,-0.33949628181423397,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Reused issuer notice/release history recorded Sep8; measured Sep9 on SIP adjusted daily/15min bars. Entry T1 09:30ET, latest exit15:45ET, fee10bp/side. Three fixed exits (0=time-only,1.5/2=target ADR with1ADRstop); slip10/20bp. Complete26bars/day required; historical quote/earlynews completeness not guaranteed. {"date":"2025-12-11","notice":"2025-11-26","url":"https://investor.lovesac.com/news-events/press-releases/detail/154/the-lovesac-company-announces-third-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/155/the-lovesac-company-reports-third-quarter-fiscal-2026","entry":"2025-12-10","adr":0.5878199999999998,"entry_price":13.85,"spy_gross":0.008509129586952602,"split":"holdout","trend":false,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":13.67,"exit_at":"2025-12-10T15:45:00-05:00","reason":"time","net":-0.016936520131519694},{"target_adr":0,"slippage":0.002,"exit_price":13.67,"exit_at":"2025-12-10T15:45:00-05:00","reason":"time","net":-0.018900686852869053},{"target_adr":1.5,"slippage":0.001,"exit_price":13.67,"exit_at":"2025-12-10T15:45:00-05:00","reason":"time","net":-0.016936520131519694},{"target_adr":1.5,"slippage":0.002,"exit_price":13.67,"exit_at":"2025-12-10T15:45:00-05:00","reason":"time","net":-0.018900686852869053},{"target_adr":2,"slippage":0.001,"exit_price":13.67,"exit_at":"2025-12-10T15:45:00-05:00","reason":"time","net":-0.016936520131519694},{"target_adr":2,"slippage":0.002,"exit_price":13.67,"exit_at":"2025-12-10T15:45:00-05:00","reason":"time","net":-0.018900686852869053}]} https://investor.lovesac.com/news-events/press-releases/detail/154/the-lovesac-company-announces-third-quarter-conference-call

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,-3.5751953325836556,12.170923486364316,103,0.5825242718446602,0.49661103825564873,0.7695996004187369,-0.032001170122978234,0],[0.1,"green",6,-14.786193426287525,20.735311754870335,103,0.46601941747572817,0.4853440984185032,0.7080515741694234,-0.15190601801194306,0],[0.1,"green",16,-30.65020113092546,33.19395630223495,103,0.34951456310679613,0.4126551460310094,0.7619722037727052,-0.3514228387927663,0],[0.2,"open",0,9.339245917162339,13.834857270284829,198,0.5707070707070707,0.6886917585339606,0.8060997975680316,0.05105952383142869,0.017057091271364178],[0.2,"open",6,-13.784034069283122,25.392583509452503,198,0.4797979797979798,0.6883023449587382,0.7673609484556966,-0.06893664100937685,0],[0.2,"open",16,-41.97610252421142,44.14542886688425,198,0.36363636363636365,0.6724979879226416,0.8064005050771834,-0.2686192348954288,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Reused issuer notice/release history recorded Sep8; measured Sep9 on SIP adjusted daily/15min bars. Entry T1 09:30ET, latest exit15:45ET, fee10bp/side. Three fixed exits (0=time-only,1.5/2=target ADR with1ADRstop); slip10/20bp. Complete26bars/day required; historical quote/earlynews completeness not guaranteed. {"date":"2025-09-11","notice":"2025-08-28","url":"https://investor.lovesac.com/news-events/press-releases/detail/147/the-lovesac-company-announces-second-quarter-conference","release":"https://investor.lovesac.com/news-events/press-releases/detail/149/the-lovesac-company-reports-second-quarter-fiscal-2026","entry":"2025-09-10","adr":0.8658399999999997,"entry_price":19.28,"spy_gross":-0.002753542478807103,"split":"holdout","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":20.64,"exit_at":"2025-09-10T15:45:00-04:00","reason":"time","net":0.06626581289677524},{"target_adr":0,"slippage":0.002,"exit_price":20.64,"exit_at":"2025-09-10T15:45:00-04:00","reason":"time","net":0.06413540741565193},{"target_adr":1.5,"slippage":0.001,"exit_price":20.64,"exit_at":"2025-09-10T15:45:00-04:00","reason":"target","net":0.06626581289677524},{"target_adr":1.5,"slippage":0.002,"exit_price":20.64,"exit_at":"2025-09-10T15:45:00-04:00","reason":"target","net":0.06413540741565193},{"target_adr":2,"slippage":0.001,"exit_price":20.64,"exit_at":"2025-09-10T15:45:00-04:00","reason":"time","net":0.06626581289677524},{"target_adr":2,"slippage":0.002,"exit_price":20.64,"exit_at":"2025-09-10T15:45:00-04:00","reason":"time","net":0.06413540741565193}]} https://investor.lovesac.com/news-events/press-releases/detail/147/the-lovesac-company-announces-second-quarter-conference

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,3.5391153411884146,11.785400738020169,103,0.5728155339805825,0.7556426417072384,0.9167621216597114,0.04121730589999783,0.013636507399474751],[0.1,"open",6,-8.499040491406152,16.980716993610866,103,0.4563106796116505,0.8124777512310187,0.8267778975609713,-0.07876803840346135,0],[0.1,"open",16,-25.533509258746506,29.583314584690378,103,0.3883495145631068,0.7420787409155358,0.9263736748620123,-0.2784309891231587,0],[0.1,"managed",0,6.419879108334578,10.168002019344602,103,0.5631067961165048,0.7065380629193756,0.7613000852573922,0.06524955158001099,0.02308776943679562],[0.1,"managed",6,-5.953213748123346,14.544277438283281,103,0.44660194174757284,0.7544923487897293,0.7078448432250507,-0.054762213781556844,0],[0.1,"managed",16,-23.46163171095201,27.976014766790748,103,0.3786407766990291,0.6771824709667533,0.8222007589788529,-0.2544731282227495,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Reused issuer notice/release history recorded Sep8; measured Sep9 on SIP adjusted daily/15min bars. Entry T1 09:30ET, latest exit15:45ET, fee10bp/side. Three fixed exits (0=time-only,1.5/2=target ADR with1ADRstop); slip10/20bp. Complete26bars/day required; historical quote/earlynews completeness not guaranteed. {"date":"2025-06-12","notice":"2025-05-29","url":"https://investor.lovesac.com/news-events/press-releases/detail/141/the-lovesac-company-announces-first-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/142/the-lovesac-company-reports-first-quarter-fiscal-2026","entry":"2025-06-11","adr":0.6867299999999998,"entry_price":20.93,"spy_gross":-0.005706804525160258,"split":"holdout","trend":true,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":20.665,"exit_at":"2025-06-11T15:45:00-04:00","reason":"time","net":-0.016602719906821273},{"target_adr":0,"slippage":0.002,"exit_price":20.665,"exit_at":"2025-06-11T15:45:00-04:00","reason":"time","net":-0.018567553563018646},{"target_adr":1.5,"slippage":0.001,"exit_price":20.665,"exit_at":"2025-06-11T15:45:00-04:00","reason":"time","net":-0.016602719906821273},{"target_adr":1.5,"slippage":0.002,"exit_price":20.665,"exit_at":"2025-06-11T15:45:00-04:00","reason":"time","net":-0.018567553563018646},{"target_adr":2,"slippage":0.001,"exit_price":20.665,"exit_at":"2025-06-11T15:45:00-04:00","reason":"time","net":-0.016602719906821273},{"target_adr":2,"slippage":0.002,"exit_price":20.665,"exit_at":"2025-06-11T15:45:00-04:00","reason":"time","net":-0.018567553563018646}]} https://investor.lovesac.com/news-events/press-releases/detail/141/the-lovesac-company-announces-first-quarter-conference-call

Reused issuer notice/release history recorded Sep8; measured Sep9 on SIP adjusted daily/15min bars. Entry T1 09:30ET, latest exit15:45ET, fee10bp/side. Three fixed exits (0=time-only,1.5/2=target ADR with1ADRstop); slip10/20bp. Complete26bars/day required; historical quote/earlynews completeness not guaranteed. {"date":"2025-04-10","notice":"2025-03-27","url":"https://investor.lovesac.com/news-events/press-releases/detail/137/the-lovesac-company-announces-fourth-quarter-and-fiscal","release":"https://investor.lovesac.com/news-events/press-releases/detail/139/the-lovesac-company-reports-fourth-quarter-and-fiscal-2025","entry":"2025-04-09","adr":1.0126749999999998,"entry_price":12.88,"spy_gross":0.09801261894485891,"split":"holdout","trend":false,"momentum":false,"market_trend":false,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":15.625,"exit_at":"2025-04-09T15:45:00-04:00","reason":"time","net":0.20827832397124912},{"target_adr":0,"slippage":0.002,"exit_price":15.625,"exit_at":"2025-04-09T15:45:00-04:00","reason":"time","net":0.2058641766423408},{"target_adr":1.5,"slippage":0.001,"exit_price":14.9,"exit_at":"2025-04-09T13:45:00-04:00","reason":"target","net":0.15221420973898314},{"target_adr":1.5,"slippage":0.002,"exit_price":14.9,"exit_at":"2025-04-09T13:45:00-04:00","reason":"target","net":0.1499120788461361},{"target_adr":2,"slippage":0.001,"exit_price":15.3,"exit_at":"2025-04-09T14:00:00-04:00","reason":"target","net":0.1831461348326473},{"target_adr":2,"slippage":0.002,"exit_price":15.3,"exit_at":"2025-04-09T14:00:00-04:00","reason":"target","net":0.18078220176818038}]} https://investor.lovesac.com/news-events/press-releases/detail/137/the-lovesac-company-announces-fourth-quarter-and-fiscal

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,26.614232363826112,9.195132906320303,292,0.5856164383561644,0.6859108625681399,0.7826962856844498,0.08538560201502339,0.02819032546373755],[0.3,"green",6,-10.812142931613527,24.840581900628813,292,0.547945205479452,0.6076055658537795,0.8131378364175929,-0.03464830092642992,0],[0.3,"green",16,-50.26324156178259,52.8724615541534,292,0.4520547945205479,0.5135815366278627,0.8514836782583298,-0.2343994030358045,0],[0,"buyhold",6,199.2158662101239,28.558863626368748,1,1,199.23578779674494,0,199.23578779674494,0.25],[0,"buyhold",16,198.61803186367433,28.55886362636879,1,1,198.6378936668607,0,198.6378936668607,0.25]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Reused issuer notice/release history recorded Sep8; measured Sep9 on SIP adjusted daily/15min bars. Entry T1 09:30ET, latest exit15:45ET, fee10bp/side. Three fixed exits (0=time-only,1.5/2=target ADR with1ADRstop); slip10/20bp. Complete26bars/day required; historical quote/earlynews completeness not guaranteed. {"date":"2024-12-12","notice":"2024-12-05","url":"https://investor.lovesac.com/news-events/press-releases/detail/130/the-lovesac-company-announces-third-quarter-fiscal-2025","release":"https://investor.lovesac.com/news-events/press-releases/detail/131/the-lovesac-company-reports-third-quarter-fiscal-2025","entry":"2024-12-11","adr":1.771885,"entry_price":37.94,"spy_gross":0.003302109306557055,"split":"holdout","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":38.0075,"exit_at":"2024-12-11T15:45:00-05:00","reason":"time","net":-0.0022199893379712954},{"target_adr":0,"slippage":0.002,"exit_price":38.0075,"exit_at":"2024-12-11T15:45:00-05:00","reason":"time","net":-0.0042135597759981325},{"target_adr":1.5,"slippage":0.001,"exit_price":38.0075,"exit_at":"2024-12-11T15:45:00-05:00","reason":"time","net":-0.0022199893379712954},{"target_adr":1.5,"slippage":0.002,"exit_price":38.0075,"exit_at":"2024-12-11T15:45:00-05:00","reason":"time","net":-0.0042135597759981325},{"target_adr":2,"slippage":0.001,"exit_price":38.0075,"exit_at":"2024-12-11T15:45:00-05:00","reason":"time","net":-0.0022199893379712954},{"target_adr":2,"slippage":0.002,"exit_price":38.0075,"exit_at":"2024-12-11T15:45:00-05:00","reason":"time","net":-0.0042135597759981325}]} https://investor.lovesac.com/news-events/press-releases/detail/130/the-lovesac-company-announces-third-quarter-fiscal-2025