BTC/USD Daily slow rule holdout costed results
Crypto majors2026-09-08 00:10
[{"window":"holdout","look":20,"slip":0.001,"return":14.40622484785592,"dd":5.302638374771773,"n":1,"win":100,"avgwin":0.623008785506188,"avgloss":null,"kelly":null},{"window":"holdout","look":20,"slip":0.003,"return":13.722294632121265,"dd":5.492222682329806,"n":1,"win":100,"avgwin":0.22032091803549247,"avgloss":null,"kelly":null}] vectorbt next-open fees25bp/side; development2023-25 (SOLpostAug2024gap),fixed2026holdoutthroughSep7. Markedreturns includeopenhypotheticaltrade; closedN excludesit. Not executable venue exits.
https://runway.adityaperswal.workers.dev/data/crypto-bars
IWM QTM90800 raw parent train 10bp shift0 = -10.471305208363225
Quant replication2026-09-08 00:10
{"rule":"parent","split":"train","cost":10,"shift":0,"return":-10.471305208363225,"drawdown":26.178127683866858,"sample":58,"win rate":58.620689655172406,"average win":1.5382879631015347,"average loss":2.555018621633391,"mean":-0.15549407196119322,"quarter Kelly":0,"symbol":"IWM","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
BTC/USD Daily slow rule development costed results
Crypto majors2026-09-08 00:10
[{"window":"development","look":15,"slip":0.001,"return":75.51993201374457,"dd":31.986347368739665,"n":13,"win":38.46153846153847,"avgwin":29.50048186923414,"avgloss":6.906424131312332,"kelly":0.060136577210833785},{"window":"development","look":20,"slip":0.001,"return":63.48616456146298,"dd":32.72428868312566,"n":12,"win":33.33333333333333,"avgwin":35.521212438757686,"avgloss":7.202561600955963,"kelly":0.04953868357124193},{"window":"development","look":20,"slip":0.003,"return":55.824154751634744,"dd":34.056442736571945,"n":12,"win":33.33333333333333,"avgwin":34.979209967936875,"avgloss":7.574009572952065,"kelly":0.04724518468782524},{"window":"development","look":30,"slip":0.001,"return":64.14191259680469,"dd":35.24210784656708,"n":10,"win":40,"avgwin":35.52121243875768,"avgloss":9.52690784201306,"kelly":0.05976949889405471}] vectorbt next-open fees25bp/side; development2023-25 (SOLpostAug2024gap),fixed2026holdoutthroughSep7. Markedreturns includeopenhypotheticaltrade; closedN excludesit. Not executable venue exits.
https://runway.adityaperswal.workers.dev/data/crypto-bars
SPY QTM90800 raw swing recent 10bp shift0 = 0.8881010670805489
Quant replication2026-09-08 00:10
{"rule":"swing","split":"recent","cost":10,"shift":0,"return":0.8881010670805489,"drawdown":2.363270379500293,"sample":8,"win rate":50,"average win":1.0115265677004825,"average loss":0.7816161106975444,"mean":0.11495522850146905,"quarter Kelly":0.028411322097747355,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw swing later 10bp shift0 = -11.176004681224605
Quant replication2026-09-08 00:10
{"rule":"swing","split":"later","cost":10,"shift":0,"return":-11.176004681224605,"drawdown":15.575813550669004,"sample":59,"win rate":47.45762711864407,"average win":1.046490231403164,"average loss":1.3094845059624236,"mean":-0.19139480009400922,"quarter Kelly":0,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw swing train 10bp shift0 = 0.2914118742858296
Quant replication2026-09-08 00:10
{"rule":"swing","split":"train","cost":10,"shift":0,"return":0.2914118742858296,"drawdown":15.383096911414185,"sample":58,"win rate":51.724137931034484,"average win":1.01391453827352,"average loss":1.0601220465648744,"mean":0.012655497317053744,"quarter Kelly":0.0031204546436929825,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw delay recent 10bp shift0 = 6.134025780595942
Quant replication2026-09-08 00:10
{"rule":"delay","split":"recent","cost":10,"shift":0,"return":6.134025780595942,"drawdown":3.536181836575414,"sample":8,"win rate":62.5,"average win":1.777830176099977,"average loss":0.9379771723500648,"mean":0.7594024204312113,"quarter Kelly":0.10678781790298879,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw delay later 10bp shift0 = -1.7235689680488608
Quant replication2026-09-08 00:10
{"rule":"delay","split":"later","cost":10,"shift":0,"return":-1.7235689680488608,"drawdown":10.920669704601826,"sample":59,"win rate":57.6271186440678,"average win":1.2554528761049188,"average loss":1.7360097253862914,"mean":-0.012116022832034813,"quarter Kelly":0,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw delay train 10bp shift0 = 10.921577553542239
Quant replication2026-09-08 00:10
{"rule":"delay","split":"train","cost":10,"shift":0,"return":10.921577553542239,"drawdown":13.461542514884572,"sample":58,"win rate":56.896551724137936,"average win":1.4333287148272658,"average loss":1.4259763901718614,"mean":0.20086961784488339,"quarter Kelly":0.035035511353215795,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw parent recent 10bp shift0 = 8.410861992567774
Quant replication2026-09-08 00:10
{"rule":"parent","split":"recent","cost":10,"shift":0,"return":8.410861992567774,"drawdown":3.66820888922591,"sample":8,"win rate":62.5,"average win":2.12586322819194,"average loss":0.7931880791918089,"mean":1.031218987923034,"quarter Kelly":0.12127061777159723,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw parent later 10bp shift0 = -8.17418790153468
Quant replication2026-09-08 00:10
{"rule":"parent","split":"later","cost":10,"shift":0,"return":-8.17418790153468,"drawdown":14.774364550831887,"sample":59,"win rate":47.45762711864407,"average win":1.2528423881498052,"average loss":1.377871426960495,"mean":-0.1293970740267932,"quarter Kelly":0,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
SPY QTM90800 raw parent train 10bp shift0 = 9.899582294054188
Quant replication2026-09-08 00:10
{"rule":"parent","split":"train","cost":10,"shift":0,"return":9.899582294054188,"drawdown":9.885758851637483,"sample":58,"win rate":58.620689655172406,"average win":1.4269770884561084,"average loss":1.5764726921266403,"mean":0.18417028269772956,"quarter Kelly":0.03226580934403597,"symbol":"SPY","adjustment":"raw"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all delay recent 10bp shift8 = 3.60344938487418
Quant replication2026-09-08 00:10
{"rule":"delay","split":"recent","cost":10,"shift":8,"return":3.60344938487418,"drawdown":6.5241862220756115,"sample":8,"win rate":37.5,"average win":4.044261118180215,"average loss":1.6232003291335209,"mean":0.50209771360913,"quarter Kelly":0.03103766664274249,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all delay later 10bp shift8 = -8.370870110739448
Quant replication2026-09-08 00:10
{"rule":"delay","split":"later","cost":10,"shift":8,"return":-8.370870110739448,"drawdown":22.001181950032446,"sample":60,"win rate":48.333333333333336,"average win":1.7913897499259683,"average loss":1.911554967304559,"mean":-0.12179835397647072,"quarter Kelly":0,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all delay train 10bp shift8 = -8.246995534315138
Quant replication2026-09-08 00:10
{"rule":"delay","split":"train","cost":10,"shift":8,"return":-8.246995534315138,"drawdown":24.757484721485344,"sample":59,"win rate":47.45762711864407,"average win":1.6850797028675486,"average loss":1.7278281202915378,"mean":-0.1081430516736662,"quarter Kelly":0,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing recent 20bp shift0 = -1.6258861770972577
Quant replication2026-09-08 00:10
{"rule":"swing","split":"recent","cost":20,"shift":0,"return":-1.6258861770972577,"drawdown":6.903580464913695,"sample":8,"win rate":62.5,"average win":0.8225033336732902,"average loss":1.8844226367309869,"mean":-0.19259390522831377,"quarter Kelly":0,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing recent 10bp shift0 = -0.03923931048857021
Quant replication2026-09-08 00:10
{"rule":"swing","split":"recent","cost":10,"shift":0,"return":-0.03923931048857021,"drawdown":6.577047224465704,"sample":8,"win rate":62.5,"average win":1.0243503387309705,"average loss":1.6879949069538602,"mean":0.007220871599158962,"quarter Kelly":0.0017623051719064808,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing recent 2bp shift0 = 1.2484823934400424
Quant replication2026-09-08 00:10
{"rule":"swing","split":"recent","cost":2,"shift":0,"return":1.2484823934400424,"drawdown":6.31498673873685,"sample":8,"win rate":62.5,"average win":1.1861186957596104,"average loss":1.5305697764108985,"mean":0.16736051869566948,"quarter Kelly":0.035274825212262814,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing later 20bp shift0 = 1.9245505768686444
Quant replication2026-09-08 00:10
{"rule":"swing","split":"later","cost":20,"shift":0,"return":1.9245505768686444,"drawdown":12.860910851078167,"sample":59,"win rate":57.6271186440678,"average win":1.26232491361684,"average loss":1.6087118452772504,"mean":0.04578391408544575,"quarter Kelly":0.009067379085917093,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing later 10bp shift0 = 14.690015001611357
Quant replication2026-09-08 00:10
{"rule":"swing","split":"later","cost":10,"shift":0,"return":14.690015001611357,"drawdown":11.212722401360065,"sample":59,"win rate":59.32203389830508,"average win":1.4273978066267048,"average loss":1.4766851544798292,"mean":0.246075924142691,"quarter Kelly":0.043098693825975073,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing later 2bp shift0 = 26.044242553525663
Quant replication2026-09-08 00:10
{"rule":"swing","split":"later","cost":2,"shift":0,"return":26.044242553525663,"drawdown":9.979252672905792,"sample":59,"win rate":61.016949152542374,"average win":1.5468009781301337,"average loss":1.3780674148859533,"mean":0.4065980452594557,"quarter Kelly":0.06571596006988825,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing train 20bp shift0 = -11.593794891334541
Quant replication2026-09-08 00:10
{"rule":"swing","split":"train","cost":20,"shift":0,"return":-11.593794891334541,"drawdown":23.976623847308463,"sample":58,"win rate":55.172413793103445,"average win":1.1858295215860988,"average loss":1.899414532973258,"mean":-0.1972109166646474,"quarter Kelly":0,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing train 10bp shift0 = -0.7201841158222311
Quant replication2026-09-08 00:10
{"rule":"swing","split":"train","cost":10,"shift":0,"return":-0.7201841158222311,"drawdown":19.033139429407164,"sample":58,"win rate":55.172413793103445,"average win":1.388403906945427,"average loss":1.7030168170249622,"mean":0.0025946168897352873,"quarter Kelly":0.0004671941782855571,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all swing train 2bp shift0 = 8.934011055843726
Quant replication2026-09-08 00:10
{"rule":"swing","split":"train","cost":2,"shift":0,"return":8.934011055843726,"drawdown":14.847844811615207,"sample":58,"win rate":56.896551724137936,"average win":1.5059371060438989,"average loss":1.6103106739345323,"mean":0.16272685605319578,"quarter Kelly":0.027014218488957978,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08
EEM QTM90800 all delay recent 20bp shift0 = -5.319061515518153
Quant replication2026-09-08 00:10
{"rule":"delay","split":"recent","cost":20,"shift":0,"return":-5.319061515518153,"drawdown":9.592259049264218,"sample":8,"win rate":37.5,"average win":3.061151293110391,"average loss":2.821317228895037,"mean":-0.6153915331430018,"quarter Kelly":0,"symbol":"EEM","adjustment":"all"}; return/drawdown/win/mean/averagewin/loss in percent; quarterKelly fraction, hypothetical fullyinvested cohorts. Mainfee5bp/slippage5bp;2bpcost0fee2slip;20bp5fee15slip. Calendarshift8 placebo not selected. Daily synthetic intraday fills, not verified15min execution. Later2021-25 previously inspected forotherstrategies. No adoption.
https://runway.adityaperswal.workers.dev/data/stock-bars ; QTM90800 study.py frozen protocol note829; retrieved2026-09-08