Notes

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",0,110.1371882445147,9.590635937619286,292,0.5958904109589042,0.9461849734935144,0.7678702355257571,0.2614079051452378,0.06698447832217784],[0.3,"open",6,48.02194950762041,11.798767077481664,292,0.5547945205479452,0.8898716346169382,0.7918038746500677,0.1411804832309424,0.03966315975778803],[0.3,"open",16,-17.45365133541161,38.91344969573055,292,0.4657534246575342,0.83967837576677,0.8423170597574473,-0.05892192540370229,0],[0.3,"managed",0,81.81283291524531,7.810557270514085,292,0.5821917808219178,0.9062573844499155,0.7768465697255906,0.21102401903815185,0.05601132805872326],[0.3,"managed",6,28.070096485267847,10.062164516828709,292,0.541095890410959,0.8485959381597787,0.8026072939381081,0.09085198918335131,0.02676538535535776],[0.3,"managed",16,-28.58005942263175,37.64424340524381,292,0.4554794520547945,0.7887228490651771,0.8602006220465429,-0.10914986294428689,0]]}. 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":"2024-09-12","notice":"2024-09-05","url":"https://investor.lovesac.com/news-events/press-releases/detail/123/the-lovesac-company-announces-second-quarter-conference","release":"https://investor.lovesac.com/news-events/press-releases/detail/125/the-lovesac-company-reports-second-quarter-fiscal-2025","entry":"2024-09-11","adr":0.9147000000000002,"entry_price":20.99,"spy_gross":0.00733222634750641,"split":"holdout","trend":false,"momentum":false,"market_trend":false,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":20.96,"exit_at":"2024-09-11T15:45:00-04:00","reason":"time","net":-0.0054155584175822336},{"target_adr":0,"slippage":0.002,"exit_price":20.96,"exit_at":"2024-09-11T15:45:00-04:00","reason":"time","net":-0.007402744089446633},{"target_adr":1.5,"slippage":0.001,"exit_price":19.84,"exit_at":"2024-09-11T10:45:00-04:00","reason":"stop","net":-0.058561291937253346},{"target_adr":1.5,"slippage":0.002,"exit_price":19.84,"exit_at":"2024-09-11T10:45:00-04:00","reason":"stop","net":-0.06044229211520147},{"target_adr":2,"slippage":0.001,"exit_price":19.84,"exit_at":"2024-09-11T10:45:00-04:00","reason":"stop","net":-0.058561291937253346},{"target_adr":2,"slippage":0.002,"exit_price":19.84,"exit_at":"2024-09-11T10:45:00-04:00","reason":"stop","net":-0.06044229211520147}]} https://investor.lovesac.com/news-events/press-releases/detail/123/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":[[0.2,"managed",0,37.76708208909446,9.73503201030097,189,0.582010582010582,0.9432500134851539,0.9136987337634329,0.17673385705599237,0.0442791107866673],[0.2,"managed",6,9.811409175009487,10.758197922752544,189,0.5502645502645502,0.8724493197532048,0.9416166926493302,0.05659952581555678,0.016218571249378533],[0.2,"managed",16,-24.75390392551095,31.38824585183565,189,0.48677248677248675,0.7732907472648072,1.012709834175241,-0.1433338897705612,0],[0.2,"green",0,5.504434624669466,11.718977287498634,189,0.5873015873015873,0.6898908616210407,0.9245818738579495,0.033384461517097175,0.008552268067641478],[0.2,"green",6,-15.904507341927058,23.959844895331763,189,0.5608465608465608,0.5986443076276665,0.9617136854772153,-0.0865922713549006,0],[0.2,"green",16,-42.37522705954905,44.39560647808661,189,0.48677248677248675,0.4736459954901854,1.0069558139127024,-0.28623958922981524,0]]}. 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":"2024-06-13","notice":"2024-06-06","url":"https://investor.lovesac.com/news-events/press-releases/detail/120/the-lovesac-company-announces-first-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/121/the-lovesac-company-reports-first-quarter-fiscal-2025","entry":"2024-06-12","adr":1.0680700000000003,"entry_price":25.5,"spy_gross":-0.0015927491988851905,"split":"holdout","trend":true,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":25.61,"exit_at":"2024-06-12T15:45:00-04:00","reason":"time","net":0.00030449306232371853},{"target_adr":0,"slippage":0.002,"exit_price":25.61,"exit_at":"2024-06-12T15:45:00-04:00","reason":"time","net":-0.0016941213066608007},{"target_adr":1.5,"slippage":0.001,"exit_price":25.61,"exit_at":"2024-06-12T15:45:00-04:00","reason":"time","net":0.00030449306232371853},{"target_adr":1.5,"slippage":0.002,"exit_price":25.61,"exit_at":"2024-06-12T15:45:00-04:00","reason":"time","net":-0.0016941213066608007},{"target_adr":2,"slippage":0.001,"exit_price":25.61,"exit_at":"2024-06-12T15:45:00-04:00","reason":"time","net":0.00030449306232371853},{"target_adr":2,"slippage":0.002,"exit_price":25.61,"exit_at":"2024-06-12T15:45:00-04:00","reason":"time","net":-0.0016941213066608007}]} https://investor.lovesac.com/news-events/press-releases/detail/120/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":[[0.1,"green",0,7.828934990101118,10.07800284274426,107,0.6261682242990654,0.7552635945344284,1.0605970777852924,0.07643717497565429,0.025301489284271922],[0.1,"green",6,-5.164289904021734,15.482421163964,107,0.5981308411214953,0.6661984631703015,1.1000116018506838,-0.04358689006243086,0],[0.1,"green",16,-23.434560361981607,29.05106756943129,107,0.5233644859813084,0.5461972346323893,1.1102411637889675,-0.24332013283947249,0],[0.2,"open",0,67.01517460674259,10.839123156175868,189,0.6031746031746031,1.0020320171469261,0.8416818520142396,0.27930621564925984,0.06746279678629034],[0.2,"open",6,33.124483723303186,11.849774042589544,189,0.5714285714285714,0.932570391887092,0.8722892510863864,0.1590591163270299,0.042639975950010456],[0.2,"open",16,-8.779080722423714,26.554880137928304,189,0.5026455026455027,0.8456935954606575,0.9372853743819005,-0.04107901387902739,0]]}. 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":"2024-04-11","notice":"2024-03-21","url":"https://investor.lovesac.com/news-events/press-releases/detail/115/the-lovesac-company-to-announce-fourth-quarter-and-fiscal","release":"https://investor.lovesac.com/news-events/press-releases/detail/116/the-lovesac-company-reports-fourth-quarter-and-fiscal-2024","entry":"2024-04-10","adr":0.8930400000000004,"entry_price":23.5,"spy_gross":0.0020601236074164753,"split":"holdout","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":23.15,"exit_at":"2024-04-10T15:45:00-04:00","reason":"time","net":-0.018826173507662136},{"target_adr":0,"slippage":0.002,"exit_price":23.15,"exit_at":"2024-04-10T15:45:00-04:00","reason":"time","net":-0.020786564690246645},{"target_adr":1.5,"slippage":0.001,"exit_price":23.15,"exit_at":"2024-04-10T15:45:00-04:00","reason":"time","net":-0.018826173507662136},{"target_adr":1.5,"slippage":0.002,"exit_price":23.15,"exit_at":"2024-04-10T15:45:00-04:00","reason":"time","net":-0.020786564690246645},{"target_adr":2,"slippage":0.001,"exit_price":23.15,"exit_at":"2024-04-10T15:45:00-04:00","reason":"time","net":-0.018826173507662136},{"target_adr":2,"slippage":0.002,"exit_price":23.15,"exit_at":"2024-04-10T15:45:00-04:00","reason":"time","net":-0.020786564690246645}]} https://investor.lovesac.com/news-events/press-releases/detail/115/the-lovesac-company-to-announce-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":[[0.1,"open",0,45.967433724359125,10.825453866492051,107,0.6448598130841121,1.1144301119520794,0.9983196278755097,0.36410777444321607,0.08168026207705177],[0.1,"open",6,28.37857695068651,11.624412589797906,107,0.6074766355140186,1.0564567688208424,1.0139660342223809,0.24376744426182012,0.05768514421415928],[0.1,"open",16,3.6462127439620873,14.875643360723101,107,0.5420560747663551,0.9714903842271557,1.0550247993363746,0.04346006652049227,0.011183864304294105],[0.1,"managed",0,27.706671399120204,9.721193451962085,107,0.616822429906542,1.028996090389653,1.0368405658046789,0.2374138202591144,0.057680933503161363],[0.1,"managed",6,12.318209089621304,10.53004578873985,107,0.5794392523364486,0.9686685330193554,1.055904041336969,0.11721277744893856,0.030251002652988107],[0.1,"managed",16,-9.320096305511754,18.69275688695019,107,0.5233644859813084,0.862792370549005,1.121185084680463,-0.08284174362578817,0]]}. 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":"2023-06-07","notice":"2023-05-24","url":"https://investor.lovesac.com/news-events/press-releases/detail/95/the-lovesac-company-announces-first-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/97/the-lovesac-company-reports-first-quarter-fiscal-2024","entry":"2023-06-06","adr":1.04311,"entry_price":22.91,"spy_gross":0.003174525652609228,"split":"train","trend":false,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":24.6,"exit_at":"2023-06-06T15:45:00-04:00","reason":"time","net":0.06948042362257167},{"target_adr":0,"slippage":0.002,"exit_price":24.6,"exit_at":"2023-06-06T15:45:00-04:00","reason":"time","net":0.06734359532996259},{"target_adr":1.5,"slippage":0.001,"exit_price":24.5,"exit_at":"2023-06-06T11:15:00-04:00","reason":"target","net":0.06513294222573185},{"target_adr":1.5,"slippage":0.002,"exit_price":24.5,"exit_at":"2023-06-06T11:15:00-04:00","reason":"target","net":0.06300480022699517},{"target_adr":2,"slippage":0.001,"exit_price":25.155,"exit_at":"2023-06-06T12:15:00-04:00","reason":"target","net":0.09360894537503217},{"target_adr":2,"slippage":0.002,"exit_price":25.155,"exit_at":"2023-06-06T12:15:00-04:00","reason":"target","net":0.0914239081514312}]} https://investor.lovesac.com/news-events/press-releases/detail/95/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,"green",0,-22.653103519371825,35.779658643098145,345,0.518840579710145,0.6576799404892446,0.8592929059847746,-0.06973513084032747,0],[0.3,"green",6,-48.873629330478934,54.008905995939635,345,0.48695652173913045,0.5753611989349672,0.9156619313650555,-0.18959849400156625,0],[0.3,"green",16,-74.35625514270183,74.78434227649274,345,0.4115942028985507,0.46194307165574056,0.984308955315105,-0.3890400050836265,0],[0,"buyhold",6,89.8712322947589,41.48063346689555,1,1,89.88021941798839,0,89.88021941798839,0.25],[0,"buyhold",16,89.49186890903258,41.48063346689567,1,1,89.50081809592349,0,89.50081809592349,0.25]]}. 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":"2023-03-28","notice":"2023-03-14","url":"https://investor.lovesac.com/news-events/press-releases/detail/91/the-lovesac-company-to-announce-fourth-quarter-and-fiscal","release":"https://investor.lovesac.com/news-events/press-releases/detail/93/the-lovesac-company-reports-record-fourth-quarter-and","entry":"2023-03-27","adr":1.3470350000000004,"entry_price":25.58,"spy_gross":-0.0025647736194713833,"split":"train","trend":false,"momentum":false,"market_trend":false,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":23.94,"exit_at":"2023-03-27T15:45:00-04:00","reason":"time","net":-0.06784866172390269},{"target_adr":0,"slippage":0.002,"exit_price":23.94,"exit_at":"2023-03-27T15:45:00-04:00","reason":"time","net":-0.06971110568138528},{"target_adr":1.5,"slippage":0.001,"exit_price":24.28,"exit_at":"2023-03-27T12:45:00-04:00","reason":"stop","net":-0.05461008799734157},{"target_adr":1.5,"slippage":0.002,"exit_price":24.28,"exit_at":"2023-03-27T12:45:00-04:00","reason":"stop","net":-0.05649898270442921},{"target_adr":2,"slippage":0.001,"exit_price":24.28,"exit_at":"2023-03-27T12:45:00-04:00","reason":"stop","net":-0.05461008799734157},{"target_adr":2,"slippage":0.002,"exit_price":24.28,"exit_at":"2023-03-27T12:45:00-04:00","reason":"stop","net":-0.05649898270442921}]} https://investor.lovesac.com/news-events/press-releases/detail/91/the-lovesac-company-to-announce-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,"open",0,9.58517093955552,17.405987159182658,345,0.527536231884058,0.7934142908236729,0.8227361550656891,0.03222650379497627,0.009402956835307688],[0.3,"open",6,-27.56409986350568,40.58927672051902,345,0.4927536231884058,0.7238414389059914,0.876151053944072,-0.08774895601795384,0],[0.3,"open",16,-63.667913108560356,67.13363883733052,345,0.4144927536231884,0.6404931226192584,0.9442645233262081,-0.2873939628328698,0],[0.3,"managed",0,-1.493905517839039,25.515627486688274,345,0.518840579710145,0.7946451035884119,0.8592929059847749,0.0013279537821387925,0],[0.3,"managed",6,-34.88737972876286,46.290524118288765,345,0.48695652173913045,0.7211338802257036,0.9156619313650551,-0.11861353615564216,0],[0.3,"managed",16,-67.34109229034026,69.76319050779307,345,0.4115942028985507,0.6340619429934791,0.9843089553151052,-0.31819687543157193,0]]}. 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":"2022-12-07","notice":"2022-11-28","url":"https://investor.lovesac.com/news-events/press-releases/detail/86/the-lovesac-company-announces-third-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/88/the-lovesac-company-reports-third-quarter-fiscal-2023","entry":"2022-12-06","adr":1.4469949999999994,"entry_price":22.93,"spy_gross":-0.014572811447811529,"split":"train","trend":false,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":22.46,"exit_at":"2022-12-06T15:45:00-05:00","reason":"time","net":-0.024407352340212962},{"target_adr":0,"slippage":0.002,"exit_price":22.46,"exit_at":"2022-12-06T15:45:00-05:00","reason":"time","net":-0.026356592294058734},{"target_adr":1.5,"slippage":0.001,"exit_price":22.46,"exit_at":"2022-12-06T15:45:00-05:00","reason":"time","net":-0.024407352340212962},{"target_adr":1.5,"slippage":0.002,"exit_price":22.46,"exit_at":"2022-12-06T15:45:00-05:00","reason":"time","net":-0.026356592294058734},{"target_adr":2,"slippage":0.001,"exit_price":22.46,"exit_at":"2022-12-06T15:45:00-05:00","reason":"time","net":-0.024407352340212962},{"target_adr":2,"slippage":0.002,"exit_price":22.46,"exit_at":"2022-12-06T15:45:00-05:00","reason":"time","net":-0.026356592294058734}]} https://investor.lovesac.com/news-events/press-releases/detail/86/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":[[0.2,"managed",0,-10.028091066426953,28.39011876966361,236,0.4957627118644068,0.8648147324630043,0.9262367554787823,-0.03830021272798119,0],[0.2,"managed",6,-32.21794537767478,42.51598104011472,236,0.4703389830508475,0.7870534901223697,0.9975815789537702,-0.1581981354476197,0],[0.2,"managed",16,-57.720726935380206,61.63258008741224,236,0.4110169491525424,0.6854154949193324,1.0856335666355934,-0.3577023845558145,0],[0.2,"green",0,-26.731542667138207,37.196929500513896,236,0.4957627118644068,0.6868151816740488,0.9262367554787823,-0.1265457527377602,0],[0.2,"green",6,-44.80180941035487,50.62698209393509,236,0.4703389830508475,0.5996386127399828,0.9975815789537693,-0.2463466582842503,0],[0.2,"green",16,-65.56995231826635,67.12341158206596,236,0.4110169491525424,0.47137954832075435,1.085633566635593,-0.44567478633573815,0]]}. 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":"2022-09-08","notice":"2022-09-01","url":"https://investor.lovesac.com/news-events/press-releases/detail/79/the-lovesac-company-announces-second-quarter-conference","release":"https://investor.lovesac.com/news-events/press-releases/detail/81/the-lovesac-company-reports-second-quarter-fiscal-2023","entry":"2022-09-07","adr":1.8657649999999975,"entry_price":28.68,"spy_gross":0.019293125810635692,"split":"train","trend":false,"momentum":false,"market_trend":false,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":29.63,"exit_at":"2022-09-07T15:45:00-04:00","reason":"time","net":0.028999884411209598},{"target_adr":0,"slippage":0.002,"exit_price":29.63,"exit_at":"2022-09-07T15:45:00-04:00","reason":"time","net":0.02694393647842408},{"target_adr":1.5,"slippage":0.001,"exit_price":29.63,"exit_at":"2022-09-07T15:45:00-04:00","reason":"time","net":0.028999884411209598},{"target_adr":1.5,"slippage":0.002,"exit_price":29.63,"exit_at":"2022-09-07T15:45:00-04:00","reason":"time","net":0.02694393647842408},{"target_adr":2,"slippage":0.001,"exit_price":29.63,"exit_at":"2022-09-07T15:45:00-04:00","reason":"time","net":0.028999884411209598},{"target_adr":2,"slippage":0.002,"exit_price":29.63,"exit_at":"2022-09-07T15:45:00-04:00","reason":"time","net":0.02694393647842408}]} https://investor.lovesac.com/news-events/press-releases/detail/79/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,"green",0,-7.358990166918137,20.168312242639573,121,0.5289256198347108,0.7820173723985989,0.9987055381018755,-0.056835568911541935,0],[0.1,"green",6,-19.879487757565073,26.731212738686228,121,0.5289256198347108,0.661217592279899,1.117547590918818,-0.17671311385503374,0],[0.1,"green",16,-37.100913405529525,39.60985496926769,121,0.47107438016528924,0.5314508308303401,1.1845394081859435,-0.3761803699716611,0],[0.2,"open",0,-3.296094517830761,21.669021862843252,236,0.5042372881355932,0.8657248184170879,0.895971852403382,-0.007658700591365341,0],[0.2,"open",6,-27.146267304119988,38.41962255337403,236,0.4745762711864407,0.7952123792849011,0.9610895143644063,-0.1275903105986334,0],[0.2,"open",16,-54.55725153820566,58.898486177191,236,0.4152542372881356,0.693703402567006,1.0521136377830393,-0.327155714247851,0]]}. 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":"2022-06-08","notice":"2022-05-25","url":"https://investor.lovesac.com/news-events/press-releases/detail/74/the-lovesac-company-announces-first-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/76/the-lovesac-company-reports-first-quarter-fiscal-2023","entry":"2022-06-07","adr":3.1210800000000005,"entry_price":36.93,"spy_gross":0.01833004465676602,"split":"train","trend":false,"momentum":false,"market_trend":false,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":38.34,"exit_at":"2022-06-07T15:45:00-04:00","reason":"time","net":0.03403591282243923},{"target_adr":0,"slippage":0.002,"exit_price":38.34,"exit_at":"2022-06-07T15:45:00-04:00","reason":"time","net":0.03196990287472201},{"target_adr":1.5,"slippage":0.001,"exit_price":38.34,"exit_at":"2022-06-07T15:45:00-04:00","reason":"time","net":0.03403591282243923},{"target_adr":1.5,"slippage":0.002,"exit_price":38.34,"exit_at":"2022-06-07T15:45:00-04:00","reason":"time","net":0.03196990287472201},{"target_adr":2,"slippage":0.001,"exit_price":38.34,"exit_at":"2022-06-07T15:45:00-04:00","reason":"time","net":0.03403591282243923},{"target_adr":2,"slippage":0.002,"exit_price":38.34,"exit_at":"2022-06-07T15:45:00-04:00","reason":"time","net":0.03196990287472201}]} https://investor.lovesac.com/news-events/press-releases/detail/74/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":[[0.1,"open",0,19.98602885731784,8.043510953548127,121,0.5454545454545454,1.0086930090461401,0.8634014658318364,0.15774097501069637,0.03909538719809863],[0.1,"open",6,3.769832726402126,11.938031473445177,121,0.5371900826446281,0.9029126998946133,0.9667213396882547,0.03762752455047591,0.010418372826871247],[0.1,"open",16,-18.53487313209267,24.860241001619343,121,0.4793388429752066,0.8005442500247656,1.0486665504070534,-0.16226798491080957,0],[0.1,"managed",0,7.058727013859039,14.90740899095221,121,0.5289256198347108,1.0114970141184854,0.9987055381018746,0.06454209282459666,0.015952121440725373],[0.1,"managed",6,-7.410335187102464,20.087712192367068,121,0.5289256198347108,0.890444944012872,1.1175475909188195,-0.055468894756602515,0],[0.1,"managed",16,-27.311930717600397,32.38908714780324,121,0.47107438016528924,0.7883146676674587,1.1845394081859417,-0.25517839724673663,0]]}. 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":"2022-03-29","notice":"2022-03-15","url":"https://investor.lovesac.com/news-events/press-releases/detail/70/the-lovesac-company-to-announce-fourth-quarter-and-fiscal","release":"https://investor.lovesac.com/news-events/press-releases/detail/72/the-lovesac-company-reports-fourth-quarter-and-record","entry":"2022-03-28","adr":2.7893950000000003,"entry_price":44.85,"spy_gross":0.006281495370912937,"split":"train","trend":false,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":46.5,"exit_at":"2022-03-28T15:45:00-04:00","reason":"time","net":0.0326504223577051},{"target_adr":0,"slippage":0.002,"exit_price":46.5,"exit_at":"2022-03-28T15:45:00-04:00","reason":"time","net":0.030587180628235622},{"target_adr":1.5,"slippage":0.001,"exit_price":46.5,"exit_at":"2022-03-28T15:45:00-04:00","reason":"time","net":0.0326504223577051},{"target_adr":1.5,"slippage":0.002,"exit_price":46.5,"exit_at":"2022-03-28T15:45:00-04:00","reason":"time","net":0.030587180628235622},{"target_adr":2,"slippage":0.001,"exit_price":46.5,"exit_at":"2022-03-28T15:45:00-04:00","reason":"time","net":0.0326504223577051},{"target_adr":2,"slippage":0.002,"exit_price":46.5,"exit_at":"2022-03-28T15:45:00-04:00","reason":"time","net":0.030587180628235622}]} https://investor.lovesac.com/news-events/press-releases/detail/70/the-lovesac-company-to-announce-fourth-quarter-and-fiscal

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":"2021-12-08","notice":"2021-11-17","url":"https://investor.lovesac.com/news-events/press-releases/detail/65/the-lovesac-company-announces-third-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/66/the-lovesac-company-reports-third-quarter-fiscal-2022","entry":"2021-12-07","adr":4.481554999999998,"entry_price":64.58,"spy_gross":0.005971246153139376,"split":"train","trend":false,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":64.44,"exit_at":"2021-12-07T15:45:00-05:00","reason":"time","net":-0.006151211710285542},{"target_adr":0,"slippage":0.002,"exit_price":64.44,"exit_at":"2021-12-07T15:45:00-05:00","reason":"time","net":-0.008136927542464312},{"target_adr":1.5,"slippage":0.001,"exit_price":64.44,"exit_at":"2021-12-07T15:45:00-05:00","reason":"time","net":-0.006151211710285542},{"target_adr":1.5,"slippage":0.002,"exit_price":64.44,"exit_at":"2021-12-07T15:45:00-05:00","reason":"time","net":-0.008136927542464312},{"target_adr":2,"slippage":0.001,"exit_price":64.44,"exit_at":"2021-12-07T15:45:00-05:00","reason":"time","net":-0.006151211710285542},{"target_adr":2,"slippage":0.002,"exit_price":64.44,"exit_at":"2021-12-07T15:45:00-05:00","reason":"time","net":-0.008136927542464312}]} https://investor.lovesac.com/news-events/press-releases/detail/65/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":[[0.3,"green",0,-7.268826135811844,16.581713660074314,318,0.5220125786163522,0.4470725608516598,0.5753267963813696,-0.02172023015219366,0],[0.3,"green",6,-36.68611376026421,37.53340165918782,318,0.449685534591195,0.38661910315457565,0.5732965764592672,-0.1416363809096461,0],[0.3,"green",16,-66.48128337737451,66.77112256091763,318,0.29874213836477986,0.33111256491655355,0.6275737075056644,-0.3411737204612912,0],[0,"buyhold",6,54.43139350961428,34.38832772166109,1,1,54.43683664896526,0,54.43683664896526,0.25],[0,"buyhold",16,54.122839045643154,34.38832772166126,1,1,54.12825132954775,0,54.12825132954775,0.25]]}. 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":"2021-09-09","notice":"2021-08-30","url":"https://investor.lovesac.com/news-events/press-releases/detail/58/the-lovesac-company-announces-second-quarter-conference","release":"https://investor.lovesac.com/news-events/press-releases/detail/59/the-lovesac-company-reports-second-quarter-fiscal-2022","entry":"2021-09-08","adr":3.482705,"entry_price":54.22,"spy_gross":-0.0005220816820521446,"split":"train","trend":false,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":50.955,"exit_at":"2021-09-08T15:45:00-04:00","reason":"time","net":-0.06396925434610357},{"target_adr":0,"slippage":0.002,"exit_price":50.955,"exit_at":"2021-09-08T15:45:00-04:00","reason":"time","net":-0.06583944938276465},{"target_adr":1.5,"slippage":0.001,"exit_price":50.955,"exit_at":"2021-09-08T15:45:00-04:00","reason":"time","net":-0.06396925434610357},{"target_adr":1.5,"slippage":0.002,"exit_price":50.955,"exit_at":"2021-09-08T15:45:00-04:00","reason":"time","net":-0.06583944938276465},{"target_adr":2,"slippage":0.001,"exit_price":50.955,"exit_at":"2021-09-08T15:45:00-04:00","reason":"time","net":-0.06396925434610357},{"target_adr":2,"slippage":0.002,"exit_price":50.955,"exit_at":"2021-09-08T15:45:00-04:00","reason":"time","net":-0.06583944938276465}]} https://investor.lovesac.com/news-events/press-releases/detail/58/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":[[0.3,"open",0,29.545948484384652,11.13307561450011,318,0.5283018867924528,0.6102651751397948,0.5440193714805099,0.08460961253992032,0.026951944447467888],[0.3,"open",6,-11.55016049757395,23.883601235124985,318,0.4559748427672956,0.5746622857676136,0.5467669623748999,-0.03542343727847075,0],[0.3,"open",16,-53.174172655068006,53.579079552882305,318,0.31446540880503143,0.5895558441717327,0.6134889699445573,-0.2351729906627051,0],[0.3,"managed",0,17.732918815148967,11.25802608871469,318,0.5220125786163522,0.5923965846066875,0.5753267963813689,0.05414073822307269,0.014449567117923348],[0.3,"managed",6,-19.61572017354697,28.298202976345475,318,0.449685534591195,0.5551314545086729,0.573296576459268,-0.06585881410576006,0],[0.3,"managed",16,-57.444123928603275,57.8121081958519,318,0.3081761006289308,0.5655190635803626,0.635749961436841,-0.2655475575007217,0]]}. 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":"2021-06-09","notice":"2021-05-26","url":"https://investor.lovesac.com/news-events/press-releases/detail/53/the-lovesac-company-announces-first-quarter-conference-call","release":"https://investor.lovesac.com/news-events/press-releases/detail/55/the-lovesac-company-reports-first-quarter-fiscal-2022","entry":"2021-06-08","adr":4.660734999999999,"entry_price":85.52,"spy_gross":-0.0012939564621707866,"split":"train","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":82.82,"exit_at":"2021-06-08T15:45:00-04:00","reason":"time","net":-0.035437540137003176},{"target_adr":0,"slippage":0.002,"exit_price":82.82,"exit_at":"2021-06-08T15:45:00-04:00","reason":"time","net":-0.037364741709559945},{"target_adr":1.5,"slippage":0.001,"exit_price":82.82,"exit_at":"2021-06-08T15:45:00-04:00","reason":"time","net":-0.035437540137003176},{"target_adr":1.5,"slippage":0.002,"exit_price":82.82,"exit_at":"2021-06-08T15:45:00-04:00","reason":"time","net":-0.037364741709559945},{"target_adr":2,"slippage":0.001,"exit_price":82.82,"exit_at":"2021-06-08T15:45:00-04:00","reason":"time","net":-0.035437540137003176},{"target_adr":2,"slippage":0.002,"exit_price":82.82,"exit_at":"2021-06-08T15:45:00-04:00","reason":"time","net":-0.037364741709559945}]} https://investor.lovesac.com/news-events/press-releases/detail/53/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":[[0.2,"managed",0,14.999466773051223,10.07883971635839,208,0.5288461538461539,0.6186859347325823,0.5873659494618919,0.07021707413246113,0.020385929274062506],[0.2,"managed",6,-10.402494953999565,18.847231242188755,208,0.44711538461538464,0.5978906362319414,0.573584877345632,-0.049800152524890014,0],[0.2,"managed",16,-40.894320273532266,43.17225519838357,208,0.3269230769230769,0.5804186652006348,0.6526345237104341,-0.24952098118181543,0],[0.2,"green",0,-3.2601715331973766,12.12613700186541,208,0.5288461538461539,0.4597744207438852,0.5873659494618912,-0.013822668842330528,0],[0.2,"green",6,-24.628804702990806,27.57327051033307,208,0.44711538461538464,0.41013742409772075,0.5735848773456325,-0.13374750218105624,0],[0.2,"green",16,-50.27913190731257,51.26848326455657,208,0.3125,0.3404038922954587,0.6395299201197122,-0.3333006037399713,0]]}. 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":"2021-04-14","notice":"2021-03-31","url":"https://investor.lovesac.com/news-events/press-releases/detail/51/the-lovesac-company-to-announce-fourth-quarter-and-fiscal","release":"https://investor.lovesac.com/news-events/press-releases/detail/52/the-lovesac-company-reports-record-fourth-quarter-and","entry":"2021-04-13","adr":4.351705,"entry_price":69.94,"spy_gross":0.003391156906221271,"split":"train","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":65.945,"exit_at":"2021-04-13T15:45:00-04:00","reason":"time","net":-0.060884375611755526},{"target_adr":0,"slippage":0.002,"exit_price":65.945,"exit_at":"2021-04-13T15:45:00-04:00","reason":"time","net":-0.0627607342546066},{"target_adr":1.5,"slippage":0.001,"exit_price":64.57,"exit_at":"2021-04-13T12:00:00-04:00","reason":"stop","net":-0.08046560214195253},{"target_adr":1.5,"slippage":0.002,"exit_price":64.57,"exit_at":"2021-04-13T12:00:00-04:00","reason":"stop","net":-0.08230283737690447},{"target_adr":2,"slippage":0.001,"exit_price":64.57,"exit_at":"2021-04-13T12:00:00-04:00","reason":"stop","net":-0.08046560214195253},{"target_adr":2,"slippage":0.002,"exit_price":64.57,"exit_at":"2021-04-13T12:00:00-04:00","reason":"stop","net":-0.08230283737690447}]} https://investor.lovesac.com/news-events/press-releases/detail/51/the-lovesac-company-to-announce-fourth-quarter-and-fiscal