Notes

On September 9 at 08 UTC, 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 0.1 with a green rule and 0 cost, resulting in a return of -8.529624980534424 percent and a drawdown of 15.610357554763999 percent, a threshold of 0.1 with a green rule and 6 cost, resulting in a return of -19.455071989189616 percent and a drawdown of 21.70169733918108 percent, a threshold of 0.1 with a green rule and 16 cost, resulting in a return of -34.842011635860636 percent and a drawdown of 35.23150163928443 percent, a threshold of 0.2 with an open rule and 0 cost, resulting in a return of 22.250431392954397 percent and a drawdown of 9.416211480446657 percent, a threshold of 0.2 with an open rule and 6 cost, resulting in a return of -4.753178854106125 percent and a drawdown of 16.566546410245675 percent, and a threshold of 0.2 with an open rule and 16 cost, resulting in a return of -37.167579580223254 percent and a drawdown of 39.58914321927669 percent. 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, 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 December 8, 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 exit strategies, including 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 data for 26 bars per day was required, but historical quote and early news completeness were not guaranteed. On December 9, 2020, the outcome of the final-session event was recorded, with the notice dated November 25, 2020, and the release dated December 9, 2020, available at https://investor.lovesac.com/news-events/press-releases/detail/48/the-lovesac-company-to-announce-third-quarter-fiscal-2021 and https://investor.lovesac.com/news-events/press-releases/detail/49/the-lovesac-company-announces-third-quarter-fiscal-2021. The entry price was 32.8, with an ADR of 2.131495, and the SPY gross was 0.006589204294749296. The trend, momentum, and market trend were all true, and the split was train. There were six variants, each with a target ADR, slippage, exit price, exit time, reason, and net result, including target ADRs of 0, 1.5, and 2, slippages of 0.001 and 0.002, exit prices of 33.465, exit times of 15:45:00-05:00 on December 8, 2020, reasons of time, and net results ranging from 0.014171066081574812 to 0.016201442651060605. https://investor.lovesac.com/news-events/press-releases/detail/48/the-lovesac-company-to-announce-third-quarter-fiscal-2021

On September 9 at 08:00 UTC, a retrieval was made. The train 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 measure of optimal bet size. The rows of data are: for a threshold of 0.1 and an open rule with 0 cost, the return percentage is 1.6307269734207694, the drawdown percentage is 15.05570799734215, the sample size is 106, the win probability is 0.5566037735849056, the average win percentage is 0.5629671662732675, the average loss percentage is 0.6778041830151799, the mean percentage is 0.019208211239853876, and the quarter Kelly is 0.005690310608889526. For the same threshold and open rule but with a cost of 6, the return percentage is -10.508297511423804, the drawdown percentage is 21.00411374864095, the sample size is 106, the win probability is 0.4716981132075472, the average win percentage is 0.5320251766250599, the average loss percentage is 0.6657333941899456, the mean percentage is -0.1007529362583392, and the quarter Kelly is 0. For the same threshold and open rule but with a cost of 16, the return percentage is -27.604388588502516, the drawdown percentage is 31.34400495392773, the sample size is 106, the win probability is 0.330188679245283, the average win percentage is 0.5128975434062326, the average loss percentage is 0.7012794632844829, the mean percentage is -0.30037196107528447, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage is -0.23483106401974962, the drawdown percentage is 15.36688718340249, the sample size is 106, the win probability is 0.5471698113207547, the average win percentage is 0.555440491836359, the average loss percentage is 0.683281293142296, the mean percentage is 0.0009559221586878846, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 6, the return percentage is -12.151028699457878, the drawdown percentage is 21.293501946556002, the sample size is 106, the win probability is 0.46226415094339623, the average win percentage is 0.5249547641617767, the average loss percentage is 0.6725475486539169, the mean percentage is -0.118985158767417, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 16, the return percentage is -28.933299822006187, the drawdown percentage is 31.856195068411587, the sample size is 106, the win probability is 0.32075471698113206, the average win percentage is 0.5080739458330071, the average loss percentage is 0.7089263367440154, the mean percentage is -0.3185677555400647, 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 are divided by 1.0001 to account for the cash denominator. The drawdown is calculated using synthetic open and exit marks. A news scan found the data. 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 August 26, 2020, and a release on the same date, which can be found at https://investor.lovesac.com/news-events/press-releases/detail/44/the-lovesac-company-to-announce-second-quarter-fiscal-2021 and https://investor.lovesac.com/news-events/press-releases/detail/45/the-lovesac-company-announces-second-quarter-fiscal-2021. An automated trading fund manager made notes about the LOVE stock. The manager used a system that looks at the stock's price history, which is called a reused issuer notice/release history, recorded on September 8, 2020, and measured on September 9, 2020, using something called SIP adjusted daily/15min bars, which are a way to look at stock prices. The manager entered the trade, or bought the stock, at 9:30 ET on September 9, 2020, and the latest exit, or sale, was at 15:45 ET, with a fee of 10 basis points, or 0.1%, per side, which means per buy or sell. The manager had three fixed exits, which are times to sell the stock: one at the end of the time, one at 1.5 times the average daily range, or ADR, with a 1 ADR stop, and one at 2 times the ADR with a 1 ADR stop, and the manager allowed for a 10/20 basis point slip, which is a small change in price. The manager required 26 bars, or pieces of data, per day, but did not guarantee that the historical quotes or early news would be complete. The manager entered the trade on September 8, 2020, at a price of 29.45 dollars per share, with an ADR of 2.0978649999999996, and the SPY gross, which is a measure of the overall market, was -0.005773076178804182. The manager used a split, which is a way to divide data, called train, and the trend, or direction, of the market was true, but the momentum, or speed, was false, and the market trend was true. The manager had six variants, or different ways to sell the stock, with the following results: one with a target ADR of 0, slippage of 0.001, exit price of 30.8653 dollars per share, exit at 15:45 ET on September 9, 2020, reason time, and net of 0.043873865959580316; one with a target ADR of 0, slippage of 0.002, exit price of 30.8653 dollars per share, exit at 15:45 ET on September 9, 2020, reason time, and net of 0.04178819972256553; one with a target ADR of 1.5, slippage of 0.001, exit price of 30.8653 dollars per share, exit at 15:45 ET on September 9, 2020, reason time, and net of 0.043873865959580316; one with a target ADR of 1.5, slippage of 0.002, exit price of 30.8653 dollars per share, exit at 15:45 ET on September 9, 2020, reason time, and net of 0.04178819972256553; one with a target ADR of 2, slippage of 0.001, exit price of 30.8653 dollars per share, exit at 15:45 ET on September 9, 2020, reason time, and net of 0.043873865959580316; and one with a target ADR of 2, slippage of 0.002, exit price of 30.8653 dollars per share, exit at 15:45 ET on September 9, 2020, reason time, and net of 0.04178819972256553. https://investor.lovesac.com/news-events/press-releases/detail/44/the-lovesac-company-to-announce-second-quarter-fiscal-2021

A news scan found the headline about The Lovesac Company. The company issued a notice on 2020-05-27 and a release on 2020-06-09, which can be found at https://investor.lovesac.com/news-events/press-releases/detail/7/the-lovesac-company-to-announce-first-quarter-fiscal-2021 and https://investor.lovesac.com/news-events/press-releases/detail/6/the-lovesac-company-announces-first-quarter-fiscal-2021. This is a record of an automated trading event for LOVE, The Lovesac Company, that started on 2020-06-08 and ended on 2020-06-09. The event used a type of trading strategy called a SIP, or Securities Information Processor, which is a system that collects and distributes stock market data. The strategy also used something called ADR, or Average Daily Range, which is the average price movement of a stock over a day. The entry time was 09:30 ET, and the latest exit time was 15:45 ET, with a fee of 10 basis points, or 0.1%, per side. There were three fixed exit points: one based on time only, and two based on target ADR with a 1 ADR stop, which is a way to limit losses. The slip, or difference between expected and actual prices, was 10 or 20 basis points. The strategy required 26 bars, or periods, of data per day, but did not guarantee complete historical quotes or early news. The entry price was 18.36, and the exit price was 19.27. The strategy had a number of variants, which are different versions of the strategy, with different target ADRs and slippages. The variants had the following results: a target ADR of 0 with a slippage of 0.001, a target ADR of 0 with a slippage of 0.002, a target ADR of 1.5 with a slippage of 0.001, a target ADR of 1.5 with a slippage of 0.002, a target ADR of 2 with a slippage of 0.001, and a target ADR of 2 with a slippage of 0.002. All of the variants had an exit price of 19.27 and an exit time of 2020-06-08T15:45:00-04:00, and the reason for exit was time. The net results for the variants were 0.04537439700805801, 0.043285732701019874, 0.04537439700805801, 0.043285732701019874, 0.04537439700805801, and 0.043285732701019874, respectively. https://investor.lovesac.com/news-events/press-releases/detail/7/the-lovesac-company-to-announce-first-quarter-fiscal-2021

On September 9 at 08UTC, a retrieval was made. A train, which is a set of data used for analysis, was found with the following information: 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, which is a measure of investment size. 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 0.01638467656572402 percent and a drawdown of 35.83302880064805 percent, a threshold of 0.3 with a rule of green and a cost of 6 basis points had a return of -37.06301505135506 percent and a drawdown of 53.27817017647117 percent, a threshold of 0.3 with a rule of green and a cost of 16 basis points had a return of -70.91760086185992 percent and a drawdown of 74.82413823049923 percent, a threshold of 0 with a rule of buy and hold and a cost of 6 basis points had a return of 105.06938363130224 percent and a drawdown of 57.02557625513105 percent, and a threshold of 0 with a rule of buy and hold and a cost of 16 basis points had a return of 104.65965428608781 percent and a drawdown of 57.02557625513105 percent. The costs are per side, meaning they are for each trade. The trade profit and loss is calculated by dividing the win, loss, and mean by 1.0001 for cash denominator when the cost is greater than 0. The drawdown is synthetic, meaning it is 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 headline about The Lovesac Company. The company issued a notice on 2019-11-26 and released information on 2019-11-26, which can be found at https://investor.lovesac.com/news-events/press-releases/detail/17/the-lovesac-company-to-announce-third-quarter-fiscal-2020 and https://investor.lovesac.com/news-events/press-releases/detail/16/the-lovesac-company-announces-third-quarter-fiscal-2020. This event was recorded on September 8 and measured on September 9 using SIP adjusted daily and 15-minute bars, which are sets of stock price data. The entry time was 09:30 ET on the first day, and the latest exit time was 15:45 ET, with a fee of 10 basis points per side, meaning 0.1 percent of the trade value. There were three fixed exit strategies, including one based on time only, and two based on target ADR, or average daily range, with a stop, which is a price level that triggers a sale. The slip, or difference between expected and actual trade price, was 10 or 20 basis points. The system required 26 bars, or sets of price data, per day, but did not guarantee complete historical quotes or early news. On 2019-12-11, the entry price was 14.59, and the ADR was 0.81163. The system used a train split, which is a way of dividing data for analysis, and considered trend and momentum, which are measures of price movement. The results included six variants with different target ADR and slippage values, all of which resulted in an exit price of 14.49 at 15:45:00-05:00 on 2019-12-11, with net results ranging from -0.0108 to -0.0128. https://investor.lovesac.com/news-events/press-releases/detail/17/the-lovesac-company-to-announce-third-quarter-fiscal-2020

On September 9, 08:00 UTC, a retrieval was made. The train 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 measure of optimal bet size. The rows of data are: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 125.75365931489104, the drawdown percentage is 15.655507050980699, the sample size is 386, the win probability is 0.5284974093264249, the average win percentage is 1.3242811182217695, the average loss percentage is 1.0763799118953234, the mean percentage is 0.22303726213248878, and the quarter Kelly is 0.036314650368716644. For the same threshold and open rule but with a cost of 6, the return percentage is 42.059270632003646, the drawdown percentage is 29.59180686706, the sample size is 386, the win probability is 0.49740932642487046, the average win percentage is 1.2816685791038522, the average loss percentage is 1.0638117812932664, the mean percentage is 0.10285202491462692, and the quarter Kelly is 0.020062133571718946. For a cost of 16, the return percentage is -34.356175257455746, the drawdown percentage is 56.22463546988834, the sample size is 386, the win probability is 0.45077720207253885, the average win percentage is 1.201345731051802, the average loss percentage is 1.1629398362593493, the mean percentage is -0.09717380332634325, and the quarter Kelly is 0. For a managed rule with 0 cost, the return percentage is 109.1861981715297, the drawdown percentage is 17.192975971240333, the sample size is 386, the win probability is 0.5284974093264249, the average win percentage is 1.3218583768188226, the average loss percentage is 1.1188925038195436, the mean percentage is 0.2029235510826369, and the quarter Kelly is 0.032348021620259015. For a managed rule with a cost of 6, the return percentage is 31.633918266099442, the drawdown percentage is 30.54797546438589, the sample size is 386, the win probability is 0.5, the average win percentage is 1.272381920838327, the average loss percentage is 1.106861067068859, the mean percentage is 0.08276042688473398, and the quarter Kelly is 0.01626092479178856. For a managed rule with a cost of 16, the return percentage is -39.17360111457878, the drawdown percentage is 58.05339872194579, the sample size is 386, the win probability is 0.4533678756476684, the average win percentage is 1.1904268611470818, the average loss percentage is 1.2017708549487012, the mean percentage is -0.11722525827315186, and the quarter Kelly is 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 news scan found the headline about The Lovesac Company on 2019-09-11. The company had a notice on 2019-08-28 and a release on the same date, which can be found at https://investor.lovesac.com/news-events/press-releases/detail/20/the-lovesac-company-to-announce-second-quarter-fiscal-2020 and https://investor.lovesac.com/news-events/press-releases/detail/19/the-lovesac-company-announces-second-quarter-fiscal-2020. The entry was on 2019-09-10 at a price of 17.49. The average daily range, or ADR, was 1.2439. There were three fixed exits, which are points at which a trade is stopped, with a time-only exit at 0, and target ADR exits at 1.5 and 2, with a 1 ADR stop, which is a stop-loss order. The slip, or slippage, was 10/20bp, which means 0.1/0.2 percent. The trade had to have 26 bars, or periods, per day, but the completeness of historical quotes and early news was not guaranteed. The results were as follows: the entry was at 09:30 ET and the latest exit was at 15:45 ET, with a fee of 10bp, or 0.1 percent, per side. The results of the variants were: a target ADR of 0 with a slippage of 0.001 and an exit price of 18.19 at 15:45 on 2019-09-10, with a net of 0.0359; a target ADR of 0 with a slippage of 0.002 and an exit price of 18.19 at 15:45 on 2019-09-10, with a net of 0.0338; a target ADR of 1.5 with a slippage of 0.001 and an exit price of 18.19 at 15:45 on 2019-09-10, with a net of 0.0359; a target ADR of 1.5 with a slippage of 0.002 and an exit price of 18.19 at 15:45 on 2019-09-10, with a net of 0.0338; a target ADR of 2 with a slippage of 0.001 and an exit price of 18.19 at 15:45 on 2019-09-10, with a net of 0.0359; and a target ADR of 2 with a slippage of 0.002 and an exit price of 18.19 at 15:45 on 2019-09-10, with a net of 0.0338. The SPY, or Standard & Poor's 500, had a gross of -0.0005. https://investor.lovesac.com/news-events/press-releases/detail/20/the-lovesac-company-to-announce-second-quarter-fiscal-2020

On September 9, 08UTC, a retrieval was made. The train data is as follows: the data 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: for a threshold of 0.2 and a managed rule with a cost of 0 basis points, the return percentage is 90.29174021163223, the drawdown percentage is 12.379702726095598, the sample size is 275, the win probability is 0.5454545454545454, the average win percentage is 1.347963223195374, the average loss percentage is 1.129840522349858, the mean percentage is 0.24633985934426553, and the quarter Kelly is 0.04111551220154375. For the same threshold and rule with a cost of 6 basis points, the return percentage is 36.80524515400727, the drawdown percentage is 15.374634649050323, the sample size is 275, the win probability is 0.5127272727272727, the average win percentage is 1.3085438187907068, the average loss percentage is 1.1180537504281978, the mean percentage is 0.12612900324404053, and the quarter Kelly is 0.024097206649258948. For a cost of 16 basis points, the return percentage is -21.070286778375362, the drawdown percentage is 38.02537564806857, the sample size is 275, the win probability is 0.46545454545454545, the average win percentage is 1.2294442945255921, the average loss percentage is 1.2088658920513342, the mean percentage is -0.07394333248098324, and the quarter Kelly is 0. For a threshold of 0.2 and a green rule with a cost of 0 basis points, the return percentage is 7.884351408084751, the drawdown percentage is 19.239166044170585, the sample size is 275, the win probability is 0.5454545454545454, the average win percentage is 0.9617854541693498, the average loss percentage is 1.1298405223498567, the mean percentage is 0.03569743987552528, and the quarter Kelly is 0.002871319660081334. For a cost of 6 basis points, the return percentage is -22.439381098465912, the drawdown percentage is 36.73869751067993, the sample size is 275, the win probability is 0.5127272727272727, the average win percentage is 0.8981680687152181, the average loss percentage is 1.1180537504281973, the mean percentage is -0.08428183588557334, and the quarter Kelly is 0. For a cost of 16 basis points, the return percentage is -55.251442294495426, the drawdown percentage is 60.19782122078898, the sample size is 275, the win probability is 0.46545454545454545, the average win percentage is 0.7782929638783034, the average loss percentage is 1.2088658920513347, the mean percentage is -0.2839337700186304, and the quarter Kelly is 0. Costs are per side. The vbt trade P&L is divided by the entry value, and to get the cash denominator for costs greater than 0, divide the win, loss, and mean by 1.0001. 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 on 2019-06-10. The company had a notice on 2019-05-28 and a release on the same topic on 2019-06-10, which can be found at https://investor.lovesac.com/news-events/press-releases/detail/22/the-lovesac-company-announces-first-quarter-fiscal-2020. The event started on 2019-06-07 at 09:30 ET and ended at 15:45 ET with a fee of 10 basis points per side, which is a measure of the cost of a trade, and basis points are a unit of measurement, where 1 percent is equal to 100 basis points. There were three fixed exits, which are points at which the trade is stopped, with one being time-only, and the others being based on the average daily range, or ADR, with a stop, which is a safety measure to limit losses, of 1 ADR. The slip, or difference between the expected and actual price of a trade, was 10 or 20 basis points. The trade required 26 complete bars of data per day, and the completeness of historical quotes and early news was not guaranteed. The entry price was 36.21, and the exit price was 38.643. The trade had a net result of between 0.0608 and 0.0629, depending on the variant, which is a version of the trade with different parameters. The variants had different target ADRs, or average daily ranges, of 0, 1.5, and 2, and different slippages of 0.001 and 0.002. The reason for the exit was time in all cases. https://investor.lovesac.com/news-events/press-releases/detail/24/the-lovesac-company-to-announce-first-quarter-fiscal-2020

A news scan found the headline 'EWZ QIR90908 train IBS sweep rows7–12'. On September 9, 2008, at 08:00 UTC, a retrieval was made. The train 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: a threshold of 0.1 with a green rule and 0 cost basis points had a return of 1.905605901849549 percent and a drawdown of 11.954621745178295 percent, a threshold of 0.1 with a green rule and 6 cost basis points had a return of -13.127029600807258 percent and a drawdown of 22.1258618157533 percent, a threshold of 0.1 with a green rule and 16 cost basis points had a return of -33.41717555080202 percent and a drawdown of 36.81324641720655 percent, a threshold of 0.2 with an open rule and 0 cost basis points had a return of 91.64109537686184 percent and a drawdown of 13.763934553856572 percent, a threshold of 0.2 with an open rule and 6 cost basis points had a return of 37.77532858471106 percent and a drawdown of 17.360430964727435 percent, and a threshold of 0.2 with an open rule and 16 cost basis points had a return of -20.51059766045946 percent and a drawdown of 38.70861925007693 percent. The costs are per side. The trade profit and loss is calculated by dividing the trade profit and loss 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 08UTC, a retrieval was made. A training set was used, which is a collection of data used to train a model, and it contained the following information: 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, which is a measure of the optimal fraction of a portfolio to invest in a trade. 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 36.43, the drawdown percentage was 10.74, the sample size was 133, the win probability was 0.556, the average win percentage was 1.34, the average loss percentage was 1.14, the mean percentage was 0.25, and the quarter Kelly was 0.0446. For a threshold of 0.1 and an open rule with a cost of 6 basis points, the return percentage was 16.30, the drawdown percentage was 11.22, the sample size was 133, the win probability was 0.533, the average win percentage was 1.27, the average loss percentage was 1.18, the mean percentage was 0.13, and the quarter Kelly was 0.0249. For a threshold of 0.1 and an open rule with a cost of 16 basis points, the return percentage was -10.86, the drawdown percentage was 24.77, the sample size was 133, the win probability was 0.489, the average win percentage was 1.18, the average loss percentage was 1.27, the mean percentage was -0.073, 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 34.48, the drawdown percentage was 10.02, the sample size was 133, the win probability was 0.556, the average win percentage was 1.34, the average loss percentage was 1.17, the mean percentage was 0.24, and the quarter Kelly was 0.0422. For a threshold of 0.1 and a managed rule with a cost of 6 basis points, the return percentage was 14.65, the drawdown percentage was 10.51, the sample size was 133, the win probability was 0.533, the average win percentage was 1.28, the average loss percentage was 1.22, the mean percentage was 0.12, and the quarter Kelly was 0.0226. For a threshold of 0.1 and a managed rule with a cost of 16 basis points, the return percentage was -12.13, the drawdown percentage was 24.50, the sample size was 133, the win probability was 0.489, the average win percentage was 1.18, the average loss percentage was 1.30, the mean percentage was -0.084, and the quarter Kelly 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

A news scan found the data line for Sep 9 08UTC retrieval. The train 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 are: a threshold of 0.3 with a green rule and 0 cost, a return of -13.100713503968667 percent, a drawdown of 20.31499027857383 percent, a sample size of 340, a win probability of 0.5176470588235295, an average win of 0.29034474705265806 percent, an average loss of 0.4206284809060451 percent, a mean of -0.040223854641950385 percent, and a quarter Kelly of 0. A threshold of 0.3 with a green rule and 6 cost, a return of -42.21381154577376 percent, a drawdown of 43.84745108329751 percent, a sample size of 340, a win probability of 0.42058823529411765, an average win of 0.22319733213666643 percent, an average loss of 0.4383649936478896 percent, a mean of -0.16011966250909104 percent, and a quarter Kelly of 0. A threshold of 0.3 with a green rule and 16 cost, a return of -70.72455657133125 percent, a drawdown of 70.7245565713313 percent, a sample size of 340, a win probability of 0.15, an average win of 0.23719601948784466 percent, an average loss of 0.46494055920315075 percent, a mean of -0.3596200723995014 percent, and a quarter Kelly of 0. A threshold of 0 with a buyhold rule and 6 cost, a return of 53.81066163397605 percent, a drawdown of 31.51693667157598 percent, a sample size of 1, a win probability of 1, an average win of 53.81604270013946 percent, an average loss of 0 percent, a mean of 53.81604270013946 percent, and a quarter Kelly of 0.25. A threshold of 0 with a buyhold rule and 16 cost, a return of 53.50334739446193 percent, a drawdown of 31.516936671575557 percent, a sample size of 1, a win probability of 1, an average win of 53.50869772920138 percent, an average loss of 0 percent, a mean of 53.50869772920138 percent, and a quarter Kelly of 0.25. Costs are per side, and vbt trade P and L is divided by entry value, with win, loss, and mean divided by 1.0001 for cash denominator when cost is greater than 0. Drawdown is 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

A news scan found the headline 'EWJ QIR90908 train IBS sweep rows19–24'. On September 9, 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 measure of optimal bet size. The rows of data are: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 10.550352722095544, the drawdown percentage is 11.163467939929028, the sample is 340, the win probability is 0.5441176470588235, the average win percentage is 0.37914858547157865, the average loss percentage is 0.4135656217998169, the mean percentage is 0.031144231685495377, and the quarter Kelly is 0.011713196442959553. For the same threshold and open rule but with a cost of 6, the return percentage is -26.48635249298704, the drawdown percentage is 31.46670490226845, the sample is 340, the win probability is 0.4323529411764706, the average win percentage is 0.3412781846747878, the average loss percentage is 0.4164254205255234, the mean percentage is -0.08883003827715355, and the quarter Kelly is 0. For a cost of 16, the return percentage is -62.756764438072835, the drawdown percentage is 62.91543739567612, the sample is 340, the win probability is 0.21470588235294116, the average win percentage is 0.38327350949144573, the average loss percentage is 0.47213388435241155, the mean percentage is -0.2884728850859364, and the quarter Kelly is 0. For a managed rule with 0 cost, the return percentage is 2.0404071609537935, the drawdown percentage is 13.45608411372866, the sample is 340, the win probability is 0.5147058823529411, the average win percentage is 0.3861585628046117, the average loss percentage is 0.4199321386721124, the mean percentage is 0.0073184323430283355, and the quarter Kelly is 0. For a managed rule with a cost of 6, the return percentage is -32.145286389455876, the drawdown percentage is 35.93989737259552, the sample is 340, the win probability is 0.4176470588235294, the average win percentage is 0.34152194814127007, the average loss percentage is 0.43833432038288633, the mean percentage is -0.11262964352867981, and the quarter Kelly is 0. For a managed rule with a cost of 16, the return percentage is -65.62367439673686, the drawdown percentage is 65.93770346874204, the sample is 340, the win probability is 0.21764705882352942, the average win percentage is 0.36387234213691416, the average loss percentage is 0.500312152093039, the mean percentage is -0.31222493864299045, and the quarter Kelly is 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, 08UTC, a retrieval was made. A training process was initiated with the following parameters: the columns of data 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 costs of 0, 6, and 16 basis points, the returns were 1.9810307261597357 percent, -21.96270885957306 percent, and -50.0418167344181 percent, respectively, with corresponding drawdowns of 12.387003018754317 percent, 27.958511911151906 percent, and 50.95721258712972 percent, based on a sample size of 223. The win probabilities were 0.5067264573991032, 0.4125560538116592, and 0.22869955156950672, respectively. The average win percentages were 0.403471533290558, 0.3623390378970853, and 0.38031630446667497 percent, while the average loss percentages were 0.4244611886390288, 0.44112291405419946, and 0.5137158155039911 percent, resulting in mean percentages of 0.010301533724897371, -0.10964982176936444, and -0.3092510705779644 percent, all with a quarter Kelly value of 0. For a threshold of 0.2 and a green rule with costs of 0, 6, and 16 basis points, the returns were -8.77872582780178 percent, -30.19622296335068 percent, and -55.312776303941014 percent, respectively, with corresponding drawdowns of 16.894709725532476 percent, 33.303481280737365 percent, and 55.447058922845535 percent, based on a sample size of 223. The win probabilities were 0.5067264573991032, 0.4125560538116592, and 0.16591928251121077, respectively. The average win percentages were 0.3042097110208235, 0.2405536639996932, and 0.2548487646247049 percent, while the average loss percentages were 0.42446118863902793, 0.44112291405419957, and 0.4815820499414676 percent, resulting in mean percentages of -0.03999705782882416, -0.1598931150364501, and -0.35939397756950175 percent, all with a quarter Kelly value of 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 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. 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 0.1 with a green rule and costs of 0, 6, and 16 basis points, and a threshold of 0.2 with an open rule and costs of 0, 6, and 16 basis points. The costs are per side. The trade profit and loss is calculated by dividing the trade profit and loss 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

A news scan found the headline 'EWJ QIR90908 train IBS sweep rows1–6'. On September 9 at 08:00 UTC, 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: for a threshold of 0.1 and an open rule with 0 cost, the return percentage is 2.869431247618536, the drawdown percentage is 8.303149482129157, the sample size is 121, the win probability is 0.5289256198347108, the average win percentage is 0.4419651431646831, the average loss percentage is 0.4662314202706387, the mean percentage is 0.025696466677068028, and the quarter Kelly is 0.007996676997486324. For the same threshold and open rule but with a cost of 6, the return percentage is -11.033444686135601, the drawdown percentage is 14.86537964365513, the sample size is 121, the win probability is 0.4132231404958678, the average win percentage is 0.4290265288692146, the average loss percentage is 0.4627917737859653, the mean percentage is -0.09427181401109755, and the quarter Kelly is 0. For a threshold of 0.1 and an open rule with a cost of 16, the return percentage is -30.15627446607002, the drawdown percentage is 30.81025562759734, the sample size is 121, the win probability is 0.2727272727272727, the average win percentage is 0.40522611119454327, the average loss percentage is 0.5560775003807561, the mean percentage is -0.29390378813294715, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with 0 cost, the return percentage is 1.5145240641485542, the drawdown percentage is 7.217903038163764, the sample size is 121, the win probability is 0.49586776859504134, the average win percentage is 0.43854171023296074, the average loss percentage is 0.4244564670090223, the mean percentage is 0.014000227499622755, and the quarter Kelly is 0.0019818601973464745. For the same threshold and managed rule but with a cost of 6, the return percentage is -12.205235211478225, the drawdown percentage is 16.386363392928672, the sample size is 121, the win probability is 0.39669421487603307, the average win percentage is 0.4117266239993035, the average loss percentage is 0.4463487187269642, the mean percentage is -0.10595519433968453, and the quarter Kelly is 0. For a threshold of 0.1 and a managed rule with a cost of 16, the return percentage is -31.0761956156137, the drawdown percentage is 31.96889344026387, the sample size is 121, the win probability is 0.2727272727272727, the average win percentage is 0.36358914182797947, the average loss percentage is 0.5564961875973468, the mean percentage is -0.3055638250268033, and the quarter Kelly is 0. Costs are per side. The vbt trade P&L is divided by the entry value, and to get the cash denominator for costs greater than 0, divide win, loss, and mean by 1.0001. 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: the data 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 threshold of 0.3 with a green rule and 6 cost, a threshold of 0.3 with a green rule and 16 cost, a buy and hold rule with 0 threshold and 6 cost, and a buy and hold rule with 0 threshold and 16 cost. The costs are per side of the trade. The trade profit and loss is calculated by dividing the trade value by the entry value, and the win, loss, and mean 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. The train data is as follows: the data 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: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 11.052515262154316, the drawdown percentage is 11.646736063891739, the sample size is 331, the win probability is 0.5438066465256798, the average win percentage is 0.44694464976760223, the average loss percentage is 0.47735559965400803, the mean percentage is 0.033937990961743894, and the quarter Kelly is 0.01414326101674708. For the same threshold and open rule but with a cost of 6, the return percentage is -25.350548816454648, the drawdown percentage is 30.118333993481848, the sample size is 331, the win probability is 0.44108761329305135, the average win percentage is 0.4143665173882061, the average loss percentage is 0.4809542515738736, the mean percentage is -0.08603935046069046, and the quarter Kelly is 0. For the same threshold and open rule but with a cost of 16, the return percentage is -61.49444737466789, the drawdown percentage is 61.68976788820362, the sample size is 331, the win probability is 0.2628398791540785, the average win percentage is 0.43006109522715097, the average loss percentage is 0.540893312180678, the mean percentage is -0.2856877730734844, and the quarter Kelly is 0. For a threshold of 0.3 and a managed rule with 0 cost, the return percentage is 1.8680613917793039, the drawdown percentage is 16.177597381148434, the sample size is 331, the win probability is 0.525679758308157, the average win percentage is 0.433596027245444, the average loss percentage is 0.48322847393653545, the mean percentage is 0.007487036786375774, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 6, the return percentage is -31.524334608029303, the drawdown percentage is 34.77119934987988, the sample size is 331, the win probability is 0.4229607250755287, the average win percentage is 0.40155946615049776, the average loss percentage is 0.48923031703520636, the mean percentage is -0.11246122444910803, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 16, the return percentage is -64.67899903480647, the drawdown percentage is 64.68475669877535, the sample size is 331, the win probability is 0.256797583081571, the average win percentage is 0.39878189864948066, the average loss percentage is 0.5576718729383308, the mean percentage is -0.3120568560653279, and the quarter Kelly is 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 news scan found the headline 'EFA QIR90908 train IBS sweep rows13–18' and the following data. 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 size, 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 0.2 with a managed rule and costs of 0, 6, and 16 basis points, and a threshold of 0.2 with a green rule and costs of 0, 6, and 16 basis points. The data includes return percentages, such as -7.857155624620635 and -54.71664482534335, drawdown percentages, such as 20.605914161659257 and 55.492290483285586, sample sizes of 222, win probabilities, such as 0.5135135135135135 and 0.24774774774774774, average win percentages, such as 0.4053557174563565 and 0.33928562212405167, average loss percentages, such as 0.5140734917805913 and 0.5828588783226644, mean percentages, such as -0.03498722904025871 and -0.35439965523901856, and quarter Kelly values of 0. Costs are per side, and vbt trade P&L, or profit and loss, is divided by entry value, with win, loss, and mean divided by 1.0001 for a cash denominator when cost is greater than 0. Drawdown is synthetic, with 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: 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: a threshold of 0.1 with a green rule and a cost of 0 basis points, resulting in a return of -0.6393592912580175 percent, a drawdown of 10.752980349318332 percent, a sample size of 121, a win probability of 0.5950413223140496, an average win of 0.34367802915194107 percent, an average loss of 0.5250659991951756 percent, a mean of -0.0037880153919724966 percent, and a quarter Kelly of 0. A threshold of 0.1 with a green rule and a cost of 6 basis points, resulting in a return of -14.06801971756853 percent, a drawdown of 18.732043762926043 percent, a sample size of 121, a win probability of 0.4793388429752066, an average win of 0.29037210816608083 percent, an average loss of 0.5049551087979328 percent, a mean of -0.12372388083171143 percent, and a quarter Kelly of 0. A threshold of 0.1 with a green rule and a cost of 16 basis points, resulting in a return of -32.538585716177366 percent, a drawdown of 33.8493819793164 percent, a sample size of 121, a win probability of 0.256198347107438, an average win of 0.25197540977026284 percent, an average loss of 0.5214463985225926 percent, a mean of -0.32329700962111724 percent, and a quarter Kelly of 0. A threshold of 0.2 with an open rule and a cost of 0 basis points, resulting in a return of -0.9037251097082276 percent, a drawdown of 16.2108830631134 percent, a sample size of 222, a win probability of 0.536036036036036, an average win of 0.425467163918234 percent, an average loss of 0.5101008276413058 percent, a mean of -0.0017094155759492875 percent, and a quarter Kelly of 0. A threshold of 0.2 with an open rule and a cost of 6 basis points, resulting in a return of -24.07911337994981 percent, a drawdown of 29.952292470878206 percent, a sample size of 222, a win probability of 0.44144144144144143, an average win of 0.3824526037837376 percent, an average loss of 0.5200493134970382 percent, a mean of -0.1216475662289481 percent, and a quarter Kelly of 0. A threshold of 0.2 with an open rule and a cost of 16 basis points, resulting in a return of -51.2993999397144 percent, a drawdown of 52.14564446609339 percent, a sample size of 222, a win probability of 0.25675675675675674, an average win of 0.3841813973078844 percent, an average loss of 0.5649106357820276 percent, a mean of -0.3212248435021852 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 news scan found the headline 'EFA QIR90908 train IBS sweep rows1–6' and the following data. 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 size, 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 an open rule and 0 cost basis points, a return of 14.545341203037005 percent, a drawdown of 4.377208423165357 percent, a sample size of 121, a win probability of 0.628099173553719, an average win of 0.46285539917182084 percent, an average loss of 0.48489970472067234 percent, a mean of 0.11439192834172562 percent, and a quarter Kelly of 0.05962147841584585. Another row has a threshold of 0.1 with an open rule and 6 cost basis points, a return of -0.9355421674757167 percent, a drawdown of 10.584175335958722 percent, a sample size of 121, a win probability of 0.5041322314049587, an average win of 0.4395106289358828 percent, an average loss of 0.4582780988147208 percent, a mean of -0.005673864163590102 percent, and a quarter Kelly of 0. Another row has a threshold of 0.1 with an open rule and 16 cost basis points, a return of -22.228855791787907 percent, a drawdown of 24.784615710995094 percent, a sample size of 121, a win probability of 0.32231404958677684, an average win of 0.4264901469605962 percent, an average loss of 0.5060553837149769 percent, a mean of -0.20548285729888308 percent, and a quarter Kelly of 0. A row with a managed rule and 0 cost basis points has a return of 5.598569616422219 percent, a drawdown of 9.135435152416015 percent, a sample size of 121, a win probability of 0.5950413223140496, an average win of 0.4288750817085654 percent, an average loss of 0.52506599919518 percent, a mean of 0.046907751418579086 percent, and a quarter Kelly of 0.02481396379214508. Another row with a managed rule and 6 cost basis points has a return of -8.673151286020062 percent, a drawdown of 16.00391219400722 percent, a sample size of 121, a win probability of 0.47107438016528924, an average win of 0.4034496361118009 percent, an average loss of 0.4974964841065915 percent, a mean of -0.07308384896239009 percent, and a quarter Kelly of 0. The last row has a managed rule and 16 cost basis points, a return of -28.303312037260092 percent, a drawdown of 30.641966370627294 percent, a sample size of 121, a win probability of 0.30578512396694213, an average win of 0.36204014329018014 percent, an average loss of 0.5523716936183791 percent, a mean of -0.27275815671245607 percent, and a quarter Kelly of 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 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

On September 9 at 08 UTC, a retrieval was made. The train 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. The rows of data are: a threshold of 0.3 with a green rule and 0 cost had a return of -2.352335906034159 percent, a drawdown of 19.925093466256925 percent, a sample size of 332, a win probability of 0.5210843373493976, an average win of 0.4860071349325343 percent, an average loss of 0.5642445111625707 percent, a mean of -0.005078106486091296 percent, and a quarter Kelly of 0, a threshold of 0.3 with a green rule and 6 cost had a return of -34.44000301154902 percent, a drawdown of 40.80214676933351 percent, a sample size of 332, a win probability of 0.45180722891566266, an average win of 0.42969127512087707 percent, an average loss of 0.5821860388082251 percent, a mean of -0.12501255359929345 percent, and a quarter Kelly of 0, a threshold of 0.3 with a green rule and 16 cost had a return of -66.25052071504844 percent, a drawdown of 67.28388401505792 percent, a sample size of 332, a win probability of 0.35542168674698793, an average win of 0.31964448185063765 percent, an average loss of 0.6798114046116288 percent, a mean of -0.324583107616004 percent, and a quarter Kelly of 0, a threshold of 0 with a buyhold rule and 6 cost had a return of 82.88688917451275 percent, a drawdown of 38.19235225955959 percent, a sample size of 1, a win probability of 1, an average win of 82.89517786343019 percent, an average loss of 0 percent, a mean of 82.89517786343019 percent, and a quarter Kelly of 0.25, and a threshold of 0 with a buyhold rule and 16 cost had a return of 82.52148053075096 percent, a drawdown of 38.19235225955984 percent, a sample size of 1, a win probability of 1, an average win of 82.52973267880404 percent, an average loss of 0 percent, a mean of 82.52973267880404 percent, and a quarter Kelly of 0.25. 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 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. The train 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 measure of optimal bet size. The rows of data are: for a threshold of 0.3 and an open rule with 0 cost, the return percentage is 39.80838914084505, the drawdown percentage is 12.162086764148949, the sample size is 332, the win probability is 0.5271084337349398, the average win percentage is 0.6531529867082522, the average loss percentage is 0.5311831253538898, the mean percentage is 0.1042900719001827, and the quarter Kelly is 0.03563117278237879. For the same threshold and open rule but with a cost of 6, the return percentage is -6.133570566380808, the drawdown percentage is 26.56560240883984, the sample size is 332, the win probability is 0.45481927710843373, the average win percentage is 0.6257421621394176, the average loss percentage is 0.5509443013108709, the mean percentage is -0.015764614621131247, and the quarter Kelly is 0. For the same threshold and open rule but with a cost of 16, the return percentage is -51.67871779676334, the drawdown percentage is 56.5333363763149, the sample size is 332, the win probability is 0.3674698795180723, the average win percentage is 0.5532017584115204, the average loss percentage is 0.6621636130075438, the mean percentage is -0.215553446401743, and the quarter Kelly is 0. For a threshold of 0.3 and a managed rule with 0 cost, the return percentage is 26.087081170764087, the drawdown percentage is 12.232076423790305, the sample size is 332, the win probability is 0.5210843373493976, the average win percentage is 0.6353523728503137, the average loss percentage is 0.564244511162571, the mean percentage is 0.07274335785058278, and the quarter Kelly is 0.023942082704718384. For the same threshold and managed rule but with a cost of 6, the return percentage is -15.345966147400441, the drawdown percentage is 29.53076692186135, the sample size is 332, the win probability is 0.45180722891566266, the average win percentage is 0.6017467501561337, the average loss percentage is 0.5821860388082251, the mean percentage is -0.047276646203846084, and the quarter Kelly is 0. For the same threshold and managed rule but with a cost of 16, the return percentage is -56.42114562026015, the drawdown percentage is 60.26149191665272, the sample size is 332, the win probability is 0.3674698795180723, the average win percentage is 0.5197878315759865, the average loss percentage is 0.6924711954360183, the mean percentage is -0.24700251683522131, and the quarter Kelly is 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