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":[[0.2,"managed",0,8.361609560949239,15.96769004876708,225,0.49333333333333335,0.6479739670393704,0.5803108740752743,0.038538778076290074,0.009893522802999863],[0.2,"managed",6,-17.278970851260897,28.323022567727975,225,0.44,0.5964649313005895,0.6140860557591766,-0.08144362145287944,0],[0.2,"managed",16,-47.25476879698206,50.85399044173175,225,0.3511111111111111,0.5254945560277607,0.7175468894147861,-0.2811012263482918,0],[0.2,"green",0,-9.662391517508501,21.148335347338964,225,0.49333333333333335,0.48257079771517375,0.5803108740752738,-0.04306011879031357,0],[0.2,"green",6,-31.038123420412887,36.31208244248645,225,0.44,0.4112167789939504,0.6140860557591754,-0.16295280846779997,0],[0.2,"green",16,-56.02798754058133,57.35135799885137,225,0.3333333333333333,0.31029113216373755,0.6988169026658928,-0.36244755772268256,0]]}. 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,-2.6089643440666124,11.467109134513498,122,0.5081967213114754,0.5523643530494654,0.6418918277077879,-0.01919052696948397,0],[0.1,"green",6,-15.872444932406973,19.63764941790639,122,0.48360655737704916,0.4558775596764651,0.6963195238838624,-0.13910945888337609,0],[0.1,"green",16,-34.08711832677213,34.91675397968604,122,0.4098360655737705,0.3148421976130295,0.7924671561556514,-0.338651847234061,0],[0.2,"open",0,18.422700798523806,12.85042737315808,225,0.5022222222222222,0.6742077642018787,0.5466070842001111,0.07866008597955737,0.024663488548281348],[0.2,"open",6,-9.59854025500382,25.05976428977035,225,0.4444444444444444,0.631497749154363,0.5796577605930808,-0.04136642292755015,0],[0.2,"open",16,-42.35751241964832,46.47786623573496,225,0.3511111111111111,0.5755128116643488,0.6829721583408457,-0.24110410220568854,0]]}. 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",0,14.505130393496051,10.718636723786478,122,0.5163934426229508,0.8109762390907962,0.6597892297599195,0.11592873931282513,0.03073592331837023],[0.1,"open",6,-1.0890828111460564,13.889027066998128,122,0.4918032786885246,0.7267204976997623,0.7114218786945756,-0.0041387427629340015,0],[0.1,"open",16,-22.50453997360031,26.001630404339515,122,0.4344262295081967,0.607954959747177,0.827588562925951,-0.20395080307614935,0],[0.1,"managed",0,11.503832135860522,8.16929413794114,122,0.5081967213114754,0.7727135406290144,0.641891827707787,0.09279020770209058,0.024914142946136975],[0.1,"managed",6,-3.6816405629241897,14.270537407552652,122,0.48360655737704916,0.6871763733753227,0.6963195238838625,-0.027251835865076124,0],[0.1,"managed",16,-24.535776376306718,27.68950162758099,122,0.4344262295081967,0.5529814299167841,0.826147494990782,-0.22701771613749508,0]]}. 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. Holdout2021–2025. {"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,-17.694210951549998,20.387277297011064,342,0.5380116959064327,0.5206940418814712,0.7231892648499131,-0.053965497485659604,0],[0.3,"green",6,-45.39958861268552,45.399588612685484,342,0.45614035087719296,0.4822494504951884,0.7241199673131469,-0.1738461977865378,0],[0.3,"green",16,-72.44894920398808,72.44894920398805,342,0.3508771929824561,0.3958171201561711,0.7890685345345492,-0.37331918201148945,0],[0,"buyhold",6,94.41172901810967,26.288008161635858,1,1,94.4211701910115,0,94.4211701910115,0.25],[0,"buyhold",16,94.02329370406098,26.288008161635833,1,1,94.03269603343139,0,94.03269603343139,0.25]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,28.32833444812044,8.40592265259158,342,0.5467836257309941,0.7315017021428012,0.7080463734817573,0.07907494272231419,0.02702486627532051],[0.3,"open",6,-14.868930429770389,25.142586779442933,342,0.4619883040935672,0.7332467459989132,0.7057531385165677,-0.040952022278421665,0],[0.3,"open",16,-57.043356222895355,58.526414493689785,342,0.3567251461988304,0.7190396150775618,0.7729045188131578,-0.24069052953050338,0],[0.3,"managed",0,8.90218706559848,8.760564656001824,342,0.5321637426900585,0.6866423565419645,0.7188216883650966,0.02911531798895345,0.010600612426381134],[0.3,"managed",6,-27.755941793356282,30.58327866356204,342,0.4502923976608187,0.6792203875580686,0.721664565945419,-0.09085672138536893,0],[0.3,"managed",16,-63.546067386889206,63.546067386889234,342,0.347953216374269,0.6487504077813402,0.7917074707666475,-0.290495518874219,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,10.528698359654346,8.766856846498705,242,0.5371900826446281,0.6969872587666904,0.7105510091797529,0.0455645893038737,0.01634340826563299],[0.2,"managed",6,-17.32847874991062,20.60820982530851,242,0.47107438016528924,0.6660402905477402,0.7339029097521451,-0.07442553440426526,0],[0.2,"managed",16,-49.04847674702534,49.86075626570921,242,0.359504132231405,0.6400836318804178,0.7872179938544018,-0.27409716146213187,0],[0.2,"green",0,-11.04544722947893,14.772722076131117,242,0.5454545454545454,0.5139011219489386,0.7166740612363937,-0.04545123404439426,0],[0.2,"green",6,-33.46516960028975,34.97528965931117,242,0.4793388429752066,0.45638236722371067,0.7377218092919147,-0.16534129492905292,0],[0.2,"green",16,-58.99372713865583,59.27962863280495,242,0.36363636363636365,0.3676371581144014,0.7833846606048032,-0.3648312719796379,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,0.5223706228855348,6.475926140462917,122,0.5983606557377049,0.48957329604418637,0.7123250618088184,0.00684362772617623,0.0034946900604432563],[0.1,"green",6,-13.167559897628053,13.599607295271877,122,0.5245901639344263,0.42956691338409136,0.7119131283844047,-0.11310392614519361,0],[0.1,"green",16,-31.967874910107653,31.967874910107565,122,0.36885245901639346,0.3685193442332674,0.710812465905466,-0.3126982736411791,0],[0.2,"open",0,17.258992638794464,6.538030452624099,242,0.5537190082644629,0.7035706062069537,0.7147716925693001,0.07059139848862553,0.025083267360042807],[0.2,"open",6,-12.294458854853428,16.123486656089025,242,0.4834710743801653,0.6765705094075055,0.7289591968666311,-0.04942623970103617,0],[0.2,"open",16,-45.945945453775614,46.60782983375235,242,0.3677685950413223,0.6561996727262596,0.7757878575713268,-0.24914781543709047,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,18.28333776487791,4.27925470280599,122,0.6065573770491803,0.7443093344222113,0.7826556590631664,0.1435362222312431,0.048211212594380076],[0.1,"open",6,2.1745784339776946,6.829124581766566,122,0.5245901639344263,0.7302336570497703,0.7564736320097575,0.02343838848048656,0.008024276974297681],[0.1,"open",16,-19.947502421534487,21.271990731457468,122,0.3770491803278688,0.777844622106151,0.7540152984662892,-0.17642877103733637,0],[0.1,"managed",0,15.789498688912454,4.0380035059893515,122,0.5901639344262295,0.6984015778223723,0.7021753261761987,0.12439464995410544,0.044528339391059976],[0.1,"managed",6,0.02037006377229318,7.210092116962041,122,0.5163934426229508,0.668925294167255,0.7053477043591794,0.004317860453651555,0.0016137304461729396],[0.1,"managed",16,-21.635297595074938,22.588828650427107,122,0.36885245901639346,0.6977153017675118,0.7175265235556455,-0.19551109618234974,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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,-20.005844202037043,23.074845212725315,351,0.5299145299145299,0.7424139316528762,0.960611706041431,-0.058153675810259646,0],[0.3,"green",6,-47.50312993577969,47.79357963531028,351,0.48148148148148145,0.6897416974758117,0.9838175643646151,-0.1780297716266318,0],[0.3,"green",16,-73.98293186180847,74.06648231509382,351,0.4301994301994302,0.5578277120724862,1.0836625894487595,-0.3774943970564286,0],[0,"buyhold",6,101.01307271487288,36.579971016703404,1,1,101.02317402214436,0,101.02317402214436,0.25],[0,"buyhold",16,100.6114478930463,36.57997101670352,1,1,100.6215090378356,0,100.6215090378356,0.25]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,39.680607094055155,10.916904882633006,351,0.5384615384615384,0.9923743486479133,0.9305135775496066,0.1048876134798272,0.026423398998254563],[0.3,"open",6,-8.333370007328108,23.937878510527778,351,0.48717948717948717,0.969239995697597,0.9503550693715314,-0.01516772997887911,0],[0.3,"open",16,-54.57068286927883,59.44939448470367,351,0.42735042735042733,0.887691562989983,1.0378303792080434,-0.21495775433709208,0],[0.3,"managed",0,13.519026229823739,13.080063782604157,351,0.5270655270655271,0.9411711501745077,0.9571446749880079,0.04339215593810433,0.01152610657744313],[0.3,"managed",6,-25.50213812049964,30.41532769294757,351,0.47863247863247865,0.9087758902702489,0.9811988958111864,-0.07659557939614046,0],[0.3,"managed",16,-63.079399851886706,63.51348500258975,351,0.42165242165242167,0.8150516886794567,1.0719010716208899,-0.2762628706965273,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,10.710629944569439,10.094120587383848,245,0.5265306122448979,0.9635765191341763,0.9679247859848288,0.04906977875130045,0.012731157769232518],[0.2,"managed",6,-17.489971847488974,23.217973846450434,245,0.47346938775510206,0.9433219883679789,0.9829595294469877,-0.07092419856316676,0],[0.2,"managed",16,-49.45220580137269,50.30168112613866,245,0.40408163265306124,0.8845543159404721,1.0538943047751053,-0.27060282130228014,0],[0.2,"green",0,-14.868485033255707,17.48113403473337,245,0.5306122448979592,0.7472236820473928,0.9729929619397113,-0.060224946762880524,0],[0.2,"green",6,-36.55348452006051,36.55348452006061,245,0.4775510204081633,0.7023331671013207,0.9866967037466735,-0.18009876542334574,0],[0.2,"green",16,-61.1310106309496,61.131010630949646,245,0.4122448979591837,0.5953466281914844,1.063347412579411,-0.3795592569963071,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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,-1.9998581008078418,7.902561716181999,132,0.5757575757575758,0.7653048086188182,1.0603432054795738,-0.009212530695651032,0],[0.1,"green",6,-16.356065400554996,16.856524173444075,132,0.5303030303030303,0.7039584726638611,1.069740228485907,-0.1291424324216362,0],[0.1,"green",16,-35.76368984646405,36.0201969617306,132,0.44696969696969696,0.6147917173993773,1.091256662147928,-0.3287047349260265,0],[0.2,"open",0,28.992417813454402,10.671275950085079,245,0.5428571428571428,1.0235813863304037,0.9646226573137703,0.11468810923592404,0.028011477828618833],[0.2,"open",6,-3.8649854076577865,20.885905284453543,245,0.4857142857142857,1.0158459792983625,0.9698673310693635,-0.005378008890753775,0],[0.2,"open",16,-41.10518391881226,47.14302029693658,245,0.4122448979591837,0.9751960447670925,1.0330955614043467,-0.2051875931459167,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,24.303366815164146,4.93891539464153,132,0.5909090909090909,1.0008056082086827,1.0195879421033993,0.1742809739901037,0.043535171206235804],[0.1,"open",6,6.093955405427141,6.952218093566886,132,0.5378787878787878,0.9722978345050145,1.0145153023352411,0.054149339450047906,0.013923033027635687],[0.1,"open",16,-18.522672833665958,21.221654295974247,132,0.45454545454545453,0.9298245249524235,1.0421156019947913,-0.1457791806551482,0],[0.1,"managed",0,12.540857345288032,7.059027759916214,132,0.5681818181818182,0.9687056673699561,1.048496562421568,0.09764106814179788,0.025198848172039268],[0.1,"managed",6,-3.945444066420123,8.662200758656768,132,0.5227272727272727,0.9256646763496391,1.0607697680192616,-0.022406308462790774,0],[0.1,"managed",16,-26.2326637770272,26.76578049482814,132,0.4393939393939394,0.8799507385366292,1.0860155363570596,-0.2221818701158933,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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,-31.410321482914995,36.38386815636255,394,0.5025380710659898,0.7367381451146028,0.925984018784875,-0.0904028298201628,0],[0.3,"green",6,-57.251161245295826,57.86905498261328,394,0.4593908629441624,0.6803577290839985,0.9670454295846991,-0.21024347090694714,0],[0.3,"green",16,-80.55983711775929,80.76403589484076,394,0.38071065989847713,0.5970846187711943,1.0285341135957338,-0.40964373325299475,0],[0,"buyhold",6,32.349193734947974,32.24219736212096,1,1,32.35242865432147,0,32.35242865432147,0.25],[0,"buyhold",16,32.084759583304105,32.24219736212067,1,1,32.08796805926244,0,32.08796805926244,0.25]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,6.502948290018833,22.92105934964308,394,0.5101522842639594,0.9438727843571141,0.9332822654497314,0.024352671126857264,0.006450199521179215],[0.3,"open",6,-33.62153808292707,44.79756332603708,394,0.46446700507614214,0.9103743258155713,0.968106491506769,-0.09561413219207784,0],[0.3,"open",16,-69.81419497860597,71.5914754670888,394,0.37817258883248733,0.891276583518376,1.0168413066983513,-0.2952434243575078,0],[0.3,"managed",0,2.49195526907788,17.871448087618425,394,0.5025380710659898,0.9432269389770619,0.9259840187848756,0.013365650344219904,0.003542533029939482],[0.3,"managed",6,-36.121408290887324,43.41243684257356,394,0.4593908629441624,0.9059921624766684,0.9670454295846987,-0.10658907384077125,0],[0.3,"managed",16,-70.95101846768523,71.74294292478756,394,0.3730964467005076,0.888375197340573,1.0171358323669217,-0.3061964380344302,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"columns":["threshold","rule","cost_bps","return_pct","drawdown_pct","sample","win_probability","average_win_pct","average_loss_pct","mean_pct","quarter_kelly"],"rows":[[0.2,"managed",0,10.704860714895005,15.663088874359932,263,0.49809885931558934,0.9862772535568619,0.8872877913826676,0.04593282035527292,0.01164297873382536],[0.2,"managed",6,-19.257286272432747,28.963460809534258,263,0.4524714828897338,0.959286945939514,0.9280022487484121,-0.07405770818619464,0],[0.2,"managed",16,-52.283981662653254,53.92641443716334,263,0.376425855513308,0.929391736591429,1.000004819360922,-0.27373007016212825,0],[0.2,"green",0,-15.24481988001737,22.347813822321438,263,0.49809885931558934,0.778282381234291,0.887287791382667,-0.05766918829209099,0],[0.2,"green",6,-38.18371477851978,40.17931311182679,263,0.4524714828897338,0.7305695295245418,0.9280022487484105,-0.17754581675418504,0],[0.2,"green",16,-63.468815166070705,63.86176222826073,263,0.38783269961977185,0.6331035578175047,1.0169600217262142,-0.37701140912750947,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,8.833930212591383,8.348397289591315,136,0.5514705882352942,0.8491750218722562,0.8927650103621732,0.06786368388475478,0.019979298182584718],[0.1,"green",6,-7.554143967412222,14.422332795448156,136,0.5073529411764706,0.7960655027618375,0.925687307946262,-0.05215095545465272,0],[0.1,"green",16,-29.569751414954965,31.052552323354664,136,0.4485294117647059,0.6850031568626466,1.01385488570267,-0.25186708719910883,0],[0.2,"open",0,21.393576213529503,20.308390981386903,263,0.5057034220532319,1.0103322706608135,0.8667228521397933,0.0825103468430233,0.0204166364964906],[0.2,"open",6,-11.461459693107532,29.582823265871127,263,0.4600760456273764,0.9841442341436681,0.9080937762495649,-0.037520395042031744,0],[0.2,"open",16,-47.676930613205506,52.34136759144806,263,0.3840304182509506,0.95570895298937,0.9810339431439709,-0.23726575869732652,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,32.52656967232277,6.478142731946923,136,0.5588235294117647,1.0473163638109144,0.8397607178370372,0.21478235720152414,0.051269693815340175],[0.1,"open",6,12.570888108962436,11.6091461079872,136,0.5147058823529411,1.009985821443744,0.8762509836783335,0.09460619542861826,0.023417703847906854],[0.1,"open",16,-14.237414490934919,22.217580852898557,136,0.4411764705882353,0.9585168419213635,0.9453399993564154,-0.1054031576162189,0],[0.1,"managed",0,27.37644706861978,5.621483776721359,136,0.5514705882352942,1.063195165990236,0.8927650103621735,0.18588949865569937,0.04371010718492267],[0.1,"managed",6,8.196264387830023,10.874002459513033,136,0.5073529411764706,1.0284403400524518,0.9256873079462633,0.06574510170014368,0.015981749047492264],[0.1,"managed",16,-17.570239231470637,23.298276017759957,136,0.4338235294117647,0.9826047556149284,0.9899451478333031,-0.1342065867785557,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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,-35.583452026664624,38.29577773715142,402,0.48507462686567165,0.5595267255532927,0.770261117627373,-0.10605405146691649,0],[0.3,"green",6,-60.235660330779965,61.01439154838466,402,0.43034825870646765,0.5014018136820417,0.7753068252251386,-0.22587748559592907,0],[0.3,"green",16,-82.20407227835312,82.2626306359266,402,0.3407960199004975,0.40251435504150157,0.8531832608050294,-0.42524651112598766,0],[0,"buyhold",6,-8.807238477003567,60.86150041220113,1,0,0,8.808119200851268,-8.808119200851268,0],[0,"buyhold",16,-8.989441933245905,60.861500412201174,1,0,0,8.990340877439229,-8.990340877439229,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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,-3.072656447867564,21.994023558806187,402,0.4900497512437811,0.7963494433402215,0.8079206019610785,-0.0016509379213599234,0],[0.3,"open",6,-40.16674389572061,42.614915215702645,402,0.43034825870646765,0.7762213045371722,0.7998477080198432,-0.12158915286470973,0],[0.3,"open",16,-73.22253280602698,73.65513082537738,402,0.3383084577114428,0.7549060559019872,0.8713390053969478,-0.32116654684805435,0],[0.3,"managed",0,-4.82902825660517,21.572914985249504,402,0.48258706467661694,0.7669270462275319,0.766627215725112,-0.007483437177689008,0],[0.3,"managed",6,-41.250952338820866,43.3602643644209,402,0.4228855721393035,0.7444589073055413,0.766288537368637,-0.12741523986960643,0],[0.3,"managed",16,-73.70775386713618,73.99731252444099,402,0.3308457711442786,0.7184500320424244,0.8438669649537724,-0.32698099331075214,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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",0,1.8419007472709839,19.38599901885729,286,0.5,0.7733148018616527,0.7893935815636777,0.01128143207537122,0],[0.2,"managed",6,-27.743550163240844,29.673749070290732,286,0.44405594405594406,0.7418959688833197,0.7880546808423813,-0.10867100071943007,0],[0.2,"managed",16,-59.218808827706184,59.697904263872935,286,0.34965034965034963,0.7110018029643814,0.8562720590762813,-0.3082742052159097,0],[0.2,"green",0,-22.466182422961335,24.462937019935417,286,0.5034965034965035,0.5753647818414022,0.7948650263087456,-0.08550437051230333,0],[0.2,"green",6,-44.990044772334684,45.6096727816222,286,0.45104895104895104,0.5145163822135842,0.7968332919620007,-0.20535039696671942,0],[0.2,"green",16,-68.9526470566027,69.0548098673202,286,0.36013986013986016,0.4158643493077422,0.8666421452813964,-0.40476043569160175,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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. Holdout2021–2025. {"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,-2.8673032052941267,10.175612070266837,151,0.5231788079470199,0.62015917966028,0.734096359766114,-0.015855430400436177,0],[0.1,"green",6,-18.965252907290846,19.87477870266272,151,0.47019867549668876,0.5636094850437394,0.7564844475637544,-0.1357780289204957,0],[0.1,"green",16,-40.08794649692226,40.242563571662245,151,0.3841059602649007,0.4663397063765327,0.8352913017774447,-0.33532707347989044,0],[0.2,"open",0,2.2052012632522064,18.093535101634227,286,0.5104895104895105,0.8051025544888228,0.8531632660533087,0.014245659336636594,0],[0.2,"open",6,-27.4857897982434,30.421427546609657,286,0.45454545454545453,0.7754943951534375,0.8400470552337909,-0.10571003233050515,0],[0.2,"open",16,-59.07333012310135,59.97688933853883,286,0.36013986013986016,0.7483595031735427,0.8983732597956114,-0.30531915285217476,0]]} Costs per side. vbt tradeP&L/entryvalue; divide win/loss/mean by1.0001 for cashdenominator forcost>0. Drawdown uses 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