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":[[0.1,"green",0,-8.529624980534424,15.610357554763999,106,0.5471698113207547,0.40437764102135687,0.683281293142295,-0.08170110941933174,0],[0.1,"green",6,-19.455071989189616,21.70169733918108,106,0.46226415094339623,0.34634225820773207,0.6725475486539149,-0.2015513171801348,0],[0.1,"green",16,-34.842011635860636,35.23150163928443,106,0.3018867924528302,0.2688738492640749,0.690630695990531,-0.40096894647970666,0],[0.2,"open",0,22.250431392954397,9.416211480446657,208,0.5336538461538461,0.6418474855210915,0.5599832588133157,0.10022393076751315,0.03169691482884461],[0.2,"open",6,-4.753178854106125,16.566546410245675,208,0.4519230769230769,0.624148941965722,0.5508234027691039,-0.019826285437019,0],[0.2,"open",16,-37.167579580223254,39.58914321927669,208,0.3317307692307692,0.6134593341766772,0.6331435285690712,-0.21960700198514507,0]]}. 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":"2020-12-09","notice":"2020-11-25","url":"https://investor.lovesac.com/news-events/press-releases/detail/48/the-lovesac-company-to-announce-third-quarter-fiscal-2021","release":"https://investor.lovesac.com/news-events/press-releases/detail/49/the-lovesac-company-announces-third-quarter-fiscal-2021","entry":"2020-12-08","adr":2.131495,"entry_price":32.8,"spy_gross":0.006589204294749296,"split":"train","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":33.465,"exit_at":"2020-12-08T15:45:00-05:00","reason":"time","net":0.016201442651060605},{"target_adr":0,"slippage":0.002,"exit_price":33.465,"exit_at":"2020-12-08T15:45:00-05:00","reason":"time","net":0.014171066081574812},{"target_adr":1.5,"slippage":0.001,"exit_price":33.465,"exit_at":"2020-12-08T15:45:00-05:00","reason":"time","net":0.016201442651060605},{"target_adr":1.5,"slippage":0.002,"exit_price":33.465,"exit_at":"2020-12-08T15:45:00-05:00","reason":"time","net":0.014171066081574812},{"target_adr":2,"slippage":0.001,"exit_price":33.465,"exit_at":"2020-12-08T15:45:00-05:00","reason":"time","net":0.016201442651060605},{"target_adr":2,"slippage":0.002,"exit_price":33.465,"exit_at":"2020-12-08T15:45:00-05:00","reason":"time","net":0.014171066081574812}]} https://investor.lovesac.com/news-events/press-releases/detail/48/the-lovesac-company-to-announce-third-quarter-fiscal-2021

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",0,1.6307269734207694,15.05570799734215,106,0.5566037735849056,0.5629671662732675,0.6778041830151799,0.019208211239853876,0.005690310608889526],[0.1,"open",6,-10.508297511423804,21.00411374864095,106,0.4716981132075472,0.5320251766250599,0.6657333941899456,-0.1007529362583392,0],[0.1,"open",16,-27.604388588502516,31.34400495392773,106,0.330188679245283,0.5128975434062326,0.7012794632844829,-0.30037196107528447,0],[0.1,"managed",0,-0.23483106401974962,15.36688718340249,106,0.5471698113207547,0.555440491836359,0.683281293142296,0.0009559221586878846,0],[0.1,"managed",6,-12.151028699457878,21.293501946556002,106,0.46226415094339623,0.5249547641617767,0.6725475486539169,-0.118985158767417,0],[0.1,"managed",16,-28.933299822006187,31.856195068411587,106,0.32075471698113206,0.5080739458330071,0.7089263367440154,-0.3185677555400647,0]]}. 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":"2020-09-09","notice":"2020-08-26","url":"https://investor.lovesac.com/news-events/press-releases/detail/44/the-lovesac-company-to-announce-second-quarter-fiscal-2021","release":"https://investor.lovesac.com/news-events/press-releases/detail/45/the-lovesac-company-announces-second-quarter-fiscal-2021","entry":"2020-09-08","adr":2.0978649999999996,"entry_price":29.45,"spy_gross":-0.005773076178804182,"split":"train","trend":true,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":30.8653,"exit_at":"2020-09-08T15:45:00-04:00","reason":"time","net":0.043873865959580316},{"target_adr":0,"slippage":0.002,"exit_price":30.8653,"exit_at":"2020-09-08T15:45:00-04:00","reason":"time","net":0.04178819972256553},{"target_adr":1.5,"slippage":0.001,"exit_price":30.8653,"exit_at":"2020-09-08T15:45:00-04:00","reason":"time","net":0.043873865959580316},{"target_adr":1.5,"slippage":0.002,"exit_price":30.8653,"exit_at":"2020-09-08T15:45:00-04:00","reason":"time","net":0.04178819972256553},{"target_adr":2,"slippage":0.001,"exit_price":30.8653,"exit_at":"2020-09-08T15:45:00-04:00","reason":"time","net":0.043873865959580316},{"target_adr":2,"slippage":0.002,"exit_price":30.8653,"exit_at":"2020-09-08T15:45:00-04:00","reason":"time","net":0.04178819972256553}]} https://investor.lovesac.com/news-events/press-releases/detail/44/the-lovesac-company-to-announce-second-quarter-fiscal-2021

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":"2020-06-09","notice":"2020-05-27","url":"https://investor.lovesac.com/news-events/press-releases/detail/7/the-lovesac-company-to-announce-first-quarter-fiscal-2021","release":"https://investor.lovesac.com/news-events/press-releases/detail/6/the-lovesac-company-announces-first-quarter-fiscal-2021","entry":"2020-06-08","adr":2.0421950000000004,"entry_price":18.36,"spy_gross":0.007220954392179513,"split":"train","trend":true,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":19.27,"exit_at":"2020-06-08T15:45:00-04:00","reason":"time","net":0.04537439700805801},{"target_adr":0,"slippage":0.002,"exit_price":19.27,"exit_at":"2020-06-08T15:45:00-04:00","reason":"time","net":0.043285732701019874},{"target_adr":1.5,"slippage":0.001,"exit_price":19.27,"exit_at":"2020-06-08T15:45:00-04:00","reason":"time","net":0.04537439700805801},{"target_adr":1.5,"slippage":0.002,"exit_price":19.27,"exit_at":"2020-06-08T15:45:00-04:00","reason":"time","net":0.043285732701019874},{"target_adr":2,"slippage":0.001,"exit_price":19.27,"exit_at":"2020-06-08T15:45:00-04:00","reason":"time","net":0.04537439700805801},{"target_adr":2,"slippage":0.002,"exit_price":19.27,"exit_at":"2020-06-08T15:45:00-04:00","reason":"time","net":0.043285732701019874}]} https://investor.lovesac.com/news-events/press-releases/detail/7/the-lovesac-company-to-announce-first-quarter-fiscal-2021

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",0,0.01638467656572402,35.83302880064805,386,0.5310880829015544,0.9480864092954233,1.1188925038195427,0.007842216975181216,0],[0.3,"green",6,-37.06301505135506,53.27817017647117,386,0.5025906735751295,0.8774802170233936,1.1120012808036697,-0.11210643474550824,0],[0.3,"green",16,-70.91760086185992,74.82413823049923,386,0.45595854922279794,0.7553230592920165,1.2059720460726397,-0.31170277523279655,0],[0,"buyhold",6,105.06938363130224,57.02557625513105,1,1,105.07989056966534,0,105.07989056966534,0.25],[0,"buyhold",16,104.65965428608781,57.02557625513105,1,1,104.67012025151644,0,104.67012025151644,0.25]]}. 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":"2019-12-12","notice":"2019-11-26","url":"https://investor.lovesac.com/news-events/press-releases/detail/17/the-lovesac-company-to-announce-third-quarter-fiscal-2020","release":"https://investor.lovesac.com/news-events/press-releases/detail/16/the-lovesac-company-announces-third-quarter-fiscal-2020","entry":"2019-12-11","adr":0.8116300000000003,"entry_price":14.59,"spy_gross":0.0007723363173599562,"split":"train","trend":false,"momentum":true,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":14.49,"exit_at":"2019-12-11T15:45:00-05:00","reason":"time","net":-0.010818660291188942},{"target_adr":0,"slippage":0.002,"exit_price":14.49,"exit_at":"2019-12-11T15:45:00-05:00","reason":"time","net":-0.012795050533145225},{"target_adr":1.5,"slippage":0.001,"exit_price":14.49,"exit_at":"2019-12-11T15:45:00-05:00","reason":"time","net":-0.010818660291188942},{"target_adr":1.5,"slippage":0.002,"exit_price":14.49,"exit_at":"2019-12-11T15:45:00-05:00","reason":"time","net":-0.012795050533145225},{"target_adr":2,"slippage":0.001,"exit_price":14.49,"exit_at":"2019-12-11T15:45:00-05:00","reason":"time","net":-0.010818660291188942},{"target_adr":2,"slippage":0.002,"exit_price":14.49,"exit_at":"2019-12-11T15:45:00-05:00","reason":"time","net":-0.012795050533145225}]} https://investor.lovesac.com/news-events/press-releases/detail/17/the-lovesac-company-to-announce-third-quarter-fiscal-2020

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",0,125.75365931489104,15.655507050980699,386,0.5284974093264249,1.3242811182217695,1.0763799118953234,0.22303726213248878,0.036314650368716644],[0.3,"open",6,42.059270632003646,29.59180686706,386,0.49740932642487046,1.2816685791038522,1.0638117812932664,0.10285202491462692,0.020062133571718946],[0.3,"open",16,-34.356175257455746,56.22463546988834,386,0.45077720207253885,1.201345731051802,1.1629398362593493,-0.09717380332634325,0],[0.3,"managed",0,109.1861981715297,17.192975971240333,386,0.5284974093264249,1.3218583768188226,1.1188925038195436,0.2029235510826369,0.032348021620259015],[0.3,"managed",6,31.633918266099442,30.54797546438589,386,0.5,1.272381920838327,1.106861067068859,0.08276042688473398,0.01626092479178856],[0.3,"managed",16,-39.17360111457878,58.05339872194579,386,0.4533678756476684,1.1904268611470818,1.2017708549487012,-0.11722525827315186,0]]}. 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":"2019-09-11","notice":"2019-08-28","url":"https://investor.lovesac.com/news-events/press-releases/detail/20/the-lovesac-company-to-announce-second-quarter-fiscal-2020","release":"https://investor.lovesac.com/news-events/press-releases/detail/19/the-lovesac-company-announces-second-quarter-fiscal-2020","entry":"2019-09-10","adr":1.2439000000000002,"entry_price":17.49,"spy_gross":-0.0004842254255598144,"split":"train","trend":false,"momentum":false,"market_trend":true,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":18.19,"exit_at":"2019-09-10T15:45:00-04:00","reason":"time","net":0.03587108645001069},{"target_adr":0,"slippage":0.002,"exit_price":18.19,"exit_at":"2019-09-10T15:45:00-04:00","reason":"time","net":0.03380140981439261},{"target_adr":1.5,"slippage":0.001,"exit_price":18.19,"exit_at":"2019-09-10T15:45:00-04:00","reason":"time","net":0.03587108645001069},{"target_adr":1.5,"slippage":0.002,"exit_price":18.19,"exit_at":"2019-09-10T15:45:00-04:00","reason":"time","net":0.03380140981439261},{"target_adr":2,"slippage":0.001,"exit_price":18.19,"exit_at":"2019-09-10T15:45:00-04:00","reason":"time","net":0.03587108645001069},{"target_adr":2,"slippage":0.002,"exit_price":18.19,"exit_at":"2019-09-10T15:45:00-04:00","reason":"time","net":0.03380140981439261}]} https://investor.lovesac.com/news-events/press-releases/detail/20/the-lovesac-company-to-announce-second-quarter-fiscal-2020

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",0,90.29174021163223,12.379702726095598,275,0.5454545454545454,1.347963223195374,1.129840522349858,0.24633985934426553,0.04111551220154375],[0.2,"managed",6,36.80524515400727,15.374634649050323,275,0.5127272727272727,1.3085438187907068,1.1180537504281978,0.12612900324404053,0.024097206649258948],[0.2,"managed",16,-21.070286778375362,38.02537564806857,275,0.46545454545454545,1.2294442945255921,1.2088658920513342,-0.07394333248098324,0],[0.2,"green",0,7.884351408084751,19.239166044170585,275,0.5454545454545454,0.9617854541693498,1.1298405223498567,0.03569743987552528,0.002871319660081334],[0.2,"green",6,-22.439381098465912,36.73869751067993,275,0.5127272727272727,0.8981680687152181,1.1180537504281973,-0.08428183588557334,0],[0.2,"green",16,-55.251442294495426,60.19782122078898,275,0.46545454545454545,0.7782929638783034,1.2088658920513347,-0.2839337700186304,0]]}. 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":"2019-06-10","notice":"2019-05-28","url":"https://investor.lovesac.com/news-events/press-releases/detail/24/the-lovesac-company-to-announce-first-quarter-fiscal-2020","release":"https://investor.lovesac.com/news-events/press-releases/detail/22/the-lovesac-company-announces-first-quarter-fiscal-2020","entry":"2019-06-07","adr":2.0656250000000007,"entry_price":36.21,"spy_gross":0.007006617360840739,"split":"train","trend":true,"momentum":false,"market_trend":false,"variants":[{"target_adr":0,"slippage":0.001,"exit_price":38.643,"exit_at":"2019-06-07T15:45:00-04:00","reason":"time","net":0.06293114280313516},{"target_adr":0,"slippage":0.002,"exit_price":38.643,"exit_at":"2019-06-07T15:45:00-04:00","reason":"time","net":0.06080740001283336},{"target_adr":1.5,"slippage":0.001,"exit_price":38.643,"exit_at":"2019-06-07T15:45:00-04:00","reason":"time","net":0.06293114280313516},{"target_adr":1.5,"slippage":0.002,"exit_price":38.643,"exit_at":"2019-06-07T15:45:00-04:00","reason":"time","net":0.06080740001283336},{"target_adr":2,"slippage":0.001,"exit_price":38.643,"exit_at":"2019-06-07T15:45:00-04:00","reason":"time","net":0.06293114280313516},{"target_adr":2,"slippage":0.002,"exit_price":38.643,"exit_at":"2019-06-07T15:45:00-04:00","reason":"time","net":0.06080740001283336}]} https://investor.lovesac.com/news-events/press-releases/detail/24/the-lovesac-company-to-announce-first-quarter-fiscal-2020

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",0,1.905605901849549,11.954621745178295,133,0.556390977443609,0.9620364018632293,1.1748358441266415,0.02293394570326141,0.0036642567434229667],[0.1,"green",6,-13.127029600807258,22.1258618157533,133,0.5338345864661654,0.880060234179131,1.2159586974714693,-0.09703129786851714,0],[0.1,"green",16,-33.41717555080202,36.81324641720655,133,0.48872180451127817,0.7503846107192479,1.2975070820809351,-0.29665775853197346,0],[0.2,"open",0,91.64109537686184,13.763934553856572,275,0.5454545454545454,1.3257823168124576,1.095799927175519,0.24897147704720685,0.042439681112366553],[0.2,"open",6,37.77532858471106,17.360430964727435,275,0.509090909090909,1.2942725780931328,1.0799243392812863,0.12875772774569064,0.0248706744477641],[0.2,"open",16,-20.51059766045946,38.70861925007693,275,0.4618181818181818,1.2147147948497192,1.1748766249691562,-0.0713198601800752,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,36.43004434300849,10.736201510188149,133,0.556390977443609,1.3377642690468128,1.1402821115782982,0.2470540859994199,0.04456699543526969],[0.1,"open",6,16.304526123774565,11.216915387089465,133,0.5338345864661654,1.271233397519649,1.1836697755112071,0.12684244467819739,0.024944759342714798],[0.1,"open",16,-10.859686160582795,24.766729355520013,133,0.48872180451127817,1.1768123562193065,1.2681260036685416,-0.07323131650530765,0],[0.1,"managed",0,34.484352156491376,10.021832275560582,133,0.556390977443609,1.3445405751740114,1.174835844126642,0.23575581656790687,0.04219330910245303],[0.1,"managed",6,14.645853293861036,10.5063932574488,133,0.5338345864661654,1.2782882617845983,1.2159586974714687,0.11555659656748446,0.02259987047173491],[0.1,"managed",16,-12.130957550812388,24.49615636352681,133,0.48872180451127817,1.1845030419443225,1.2975070820809342,-0.08449461545204924,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,-13.100713503968667,20.31499027857383,340,0.5176470588235295,0.29034474705265806,0.4206284809060451,-0.040223854641950385,0],[0.3,"green",6,-42.21381154577376,43.84745108329751,340,0.42058823529411765,0.22319733213666643,0.4383649936478896,-0.16011966250909104,0],[0.3,"green",16,-70.72455657133125,70.7245565713313,340,0.15,0.23719601948784466,0.46494055920315075,-0.3596200723995014,0],[0,"buyhold",6,53.81066163397605,31.51693667157598,1,1,53.81604270013946,0,53.81604270013946,0.25],[0,"buyhold",16,53.50334739446193,31.516936671575557,1,1,53.50869772920138,0,53.50869772920138,0.25]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. 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",0,10.550352722095544,11.163467939929028,340,0.5441176470588235,0.37914858547157865,0.4135656217998169,0.031144231685495377,0.011713196442959553],[0.3,"open",6,-26.48635249298704,31.46670490226845,340,0.4323529411764706,0.3412781846747878,0.4164254205255234,-0.08883003827715355,0],[0.3,"open",16,-62.756764438072835,62.91543739567612,340,0.21470588235294116,0.38327350949144573,0.47213388435241155,-0.2884728850859364,0],[0.3,"managed",0,2.0404071609537935,13.45608411372866,340,0.5147058823529411,0.3861585628046117,0.4199321386721124,0.0073184323430283355,0],[0.3,"managed",6,-32.145286389455876,35.93989737259552,340,0.4176470588235294,0.34152194814127007,0.43833432038288633,-0.11262964352867981,0],[0.3,"managed",16,-65.62367439673686,65.93770346874204,340,0.21764705882352942,0.36387234213691416,0.500312152093039,-0.31222493864299045,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,1.9810307261597357,12.387003018754317,223,0.5067264573991032,0.403471533290558,0.4244611886390288,0.010301533724897371,0],[0.2,"managed",6,-21.96270885957306,27.958511911151906,223,0.4125560538116592,0.3623390378970853,0.44112291405419946,-0.10964982176936444,0],[0.2,"managed",16,-50.0418167344181,50.95721258712972,223,0.22869955156950672,0.38031630446667497,0.5137158155039911,-0.3092510705779644,0],[0.2,"green",0,-8.77872582780178,16.894709725532476,223,0.5067264573991032,0.3042097110208235,0.42446118863902793,-0.03999705782882416,0],[0.2,"green",6,-30.19622296335068,33.303481280737365,223,0.4125560538116592,0.2405536639996932,0.44112291405419957,-0.1598931150364501,0],[0.2,"green",16,-55.312776303941014,55.447058922845535,223,0.16591928251121077,0.2548487646247049,0.4815820499414676,-0.35939397756950175,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,-4.686547961242923,10.402843155694475,121,0.49586776859504134,0.33285128687290044,0.4244564670090209,-0.03840824689379492,0],[0.1,"green",6,-17.56822799428344,20.365101943415155,121,0.39669421487603307,0.27975883990314404,0.4463487187269645,-0.15830605084064045,0],[0.1,"green",16,-35.286445126132,35.77652794299557,121,0.2066115702479339,0.25025906839312195,0.5161614261893943,-0.35781008433350253,0],[0.2,"open",0,3.7136553652093203,12.190163025960032,223,0.5336322869955157,0.40126761795975846,0.45476136854030846,0.018357646445478253,0.001273051430467409],[0.2,"open",6,-20.63688059100365,26.351496532057674,223,0.4260089686098655,0.36821929351534066,0.4502984772571656,-0.10160256594152388,0],[0.2,"open",16,-49.19304340243918,49.87862508357641,223,0.2242152466367713,0.41312309195105495,0.5076774033533276,-0.3012198931953943,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,2.869431247618536,8.303149482129157,121,0.5289256198347108,0.4419651431646831,0.4662314202706387,0.025696466677068028,0.007996676997486324],[0.1,"open",6,-11.033444686135601,14.86537964365513,121,0.4132231404958678,0.4290265288692146,0.4627917737859653,-0.09427181401109755,0],[0.1,"open",16,-30.15627446607002,30.81025562759734,121,0.2727272727272727,0.40522611119454327,0.5560775003807561,-0.29390378813294715,0],[0.1,"managed",0,1.5145240641485542,7.217903038163764,121,0.49586776859504134,0.43854171023296074,0.4244564670090223,0.014000227499622755,0.0019818601973464745],[0.1,"managed",6,-12.205235211478225,16.386363392928672,121,0.39669421487603307,0.4117266239993035,0.4463487187269642,-0.10595519433968453,0],[0.1,"managed",16,-31.0761956156137,31.96889344026387,121,0.2727272727272727,0.36358914182797947,0.5564961875973468,-0.3055638250268033,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,-14.182084652833602,22.888176993525565,331,0.5317220543806647,0.32900959763470006,0.4880920783680158,-0.04477350602153219,0],[0.3,"green",6,-42.31323561416813,43.282178060618925,331,0.43202416918429004,0.26874200012802607,0.4943297515452155,-0.16466431200058246,0],[0.3,"green",16,-70.24411155572685,70.24411155572693,331,0.2084592145015106,0.2476529839235874,0.5252808140533716,-0.3641556416654254,0],[0,"buyhold",6,45.57064766517478,34.20464316423063,1,1,45.57520472994131,0,45.57520472994131,0.25],[0,"buyhold",16,45.27979700236921,34.20464316423073,1,1,45.28432498206946,0,45.28432498206946,0.25]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. 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",0,11.052515262154316,11.646736063891739,331,0.5438066465256798,0.44694464976760223,0.47735559965400803,0.033937990961743894,0.01414326101674708],[0.3,"open",6,-25.350548816454648,30.118333993481848,331,0.44108761329305135,0.4143665173882061,0.4809542515738736,-0.08603935046069046,0],[0.3,"open",16,-61.49444737466789,61.68976788820362,331,0.2628398791540785,0.43006109522715097,0.540893312180678,-0.2856877730734844,0],[0.3,"managed",0,1.8680613917793039,16.177597381148434,331,0.525679758308157,0.433596027245444,0.48322847393653545,0.007487036786375774,0],[0.3,"managed",6,-31.524334608029303,34.77119934987988,331,0.4229607250755287,0.40155946615049776,0.48923031703520636,-0.11246122444910803,0],[0.3,"managed",16,-64.67899903480647,64.68475669877535,331,0.256797583081571,0.39878189864948066,0.5576718729383308,-0.3120568560653279,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,-7.857155624620635,20.605914161659257,222,0.5135135135135135,0.4053557174563565,0.5140734917805913,-0.03498722904025871,0],[0.2,"managed",6,-29.406363171402777,34.38000473008277,222,0.4189189189189189,0.36198789245779195,0.527520823866818,-0.15488879405515707,0],[0.2,"managed",16,-54.71664482534335,55.492290483285586,222,0.24774774774774774,0.33928562212405167,0.5828588783226644,-0.35439965523901856,0],[0.2,"green",0,-14.782618066213626,23.343574653606304,222,0.5180180180180181,0.3327588037657007,0.5183265718063818,-0.07044459925589243,0],[0.2,"green",6,-34.71218571015782,37.46627726763154,222,0.42792792792792794,0.2692923614502049,0.5341021168239333,-0.19030718242734265,0],[0.2,"green",16,-58.12014487591475,58.274874488278684,222,0.2072072072072072,0.2456396816838467,0.5558143237101751,-0.38974727754744987,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"green",0,-0.6393592912580175,10.752980349318332,121,0.5950413223140496,0.34367802915194107,0.5250659991951756,-0.0037880153919724966,0],[0.1,"green",6,-14.06801971756853,18.732043762926043,121,0.4793388429752066,0.29037210816608083,0.5049551087979328,-0.12372388083171143,0],[0.1,"green",16,-32.538585716177366,33.8493819793164,121,0.256198347107438,0.25197540977026284,0.5214463985225926,-0.32329700962111724,0],[0.2,"open",0,-0.9037251097082276,16.2108830631134,222,0.536036036036036,0.425467163918234,0.5101008276413058,-0.0017094155759492875,0],[0.2,"open",6,-24.07911337994981,29.952292470878206,222,0.44144144144144143,0.3824526037837376,0.5200493134970382,-0.1216475662289481,0],[0.2,"open",16,-51.2993999397144,52.14564446609339,222,0.25675675675675674,0.3841813973078844,0.5649106357820276,-0.3212248435021852,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.1,"open",0,14.545341203037005,4.377208423165357,121,0.628099173553719,0.46285539917182084,0.48489970472067234,0.11439192834172562,0.05962147841584585],[0.1,"open",6,-0.9355421674757167,10.584175335958722,121,0.5041322314049587,0.4395106289358828,0.4582780988147208,-0.005673864163590102,0],[0.1,"open",16,-22.228855791787907,24.784615710995094,121,0.32231404958677684,0.4264901469605962,0.5060553837149769,-0.20548285729888308,0],[0.1,"managed",0,5.598569616422219,9.135435152416015,121,0.5950413223140496,0.4288750817085654,0.52506599919518,0.046907751418579086,0.02481396379214508],[0.1,"managed",6,-8.673151286020062,16.00391219400722,121,0.47107438016528924,0.4034496361118009,0.4974964841065915,-0.07308384896239009,0],[0.1,"managed",16,-28.303312037260092,30.641966370627294,121,0.30578512396694213,0.36204014329018014,0.5523716936183791,-0.27275815671245607,0]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. train: {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.3,"green",0,-2.352335906034159,19.925093466256925,332,0.5210843373493976,0.4860071349325343,0.5642445111625707,-0.005078106486091296,0],[0.3,"green",6,-34.44000301154902,40.80214676933351,332,0.45180722891566266,0.42969127512087707,0.5821860388082251,-0.12501255359929345,0],[0.3,"green",16,-66.25052071504844,67.28388401505792,332,0.35542168674698793,0.31964448185063765,0.6798114046116288,-0.324583107616004,0],[0,"buyhold",6,82.88688917451275,38.19235225955959,1,1,82.89517786343019,0,82.89517786343019,0.25],[0,"buyhold",16,82.52148053075096,38.19235225955984,1,1,82.52973267880404,0,82.52973267880404,0.25]]}. Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. DD syntheticopen/exitmarks. https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SPY,QQQ,IWM,EEM,EFA,EWJ,EWZ,FXI&timeframe=1Day&feed=sip&adjustment=all

Sep9 08UTC retrieval. 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",0,39.80838914084505,12.162086764148949,332,0.5271084337349398,0.6531529867082522,0.5311831253538898,0.1042900719001827,0.03563117278237879],[0.3,"open",6,-6.133570566380808,26.56560240883984,332,0.45481927710843373,0.6257421621394176,0.5509443013108709,-0.015764614621131247,0],[0.3,"open",16,-51.67871779676334,56.5333363763149,332,0.3674698795180723,0.5532017584115204,0.6621636130075438,-0.215553446401743,0],[0.3,"managed",0,26.087081170764087,12.232076423790305,332,0.5210843373493976,0.6353523728503137,0.564244511162571,0.07274335785058278,0.023942082704718384],[0.3,"managed",6,-15.345966147400441,29.53076692186135,332,0.45180722891566266,0.6017467501561337,0.5821860388082251,-0.047276646203846084,0],[0.3,"managed",16,-56.42114562026015,60.26149191665272,332,0.3674698795180723,0.5197878315759865,0.6924711954360183,-0.24700251683522131,0]]}. 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