SPY QR290706 nextopen/75/base/10bp/train = -16.037393639163
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":44,"return_pct":-16.037393639163,"drawdown":32.47156365269047,"win_rate":61.36363636363637,"average_win":0.9480395051867242,"average_loss":2.3306307707911067,"mean":-0.3187194650774378,"kelly":0,"median_days":5.5,"worst_trade":-22.67570559906531,"vbt_error":-7.105427357601002e-14,"symbol":"SPY","mode":"nextopen","threshold":75,"delay":false,"split":"train","cost_bp":10}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/20bp/recent = 7.638321665211101
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":11,"return_pct":7.638321665211101,"drawdown":6.566367746238788,"win_rate":72.72727272727273,"average_win":1.2202977364291767,"average_loss":0.7630070867455891,"mean":0.6793964210178769,"kelly":0.13918661010671055,"median_days":6,"worst_trade":-1.993510409426602,"vbt_error":-8.526512829121202e-14,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"recent","cost_bp":20}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/2bp/recent = 11.986323057294989
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":11,"return_pct":11.986323057294989,"drawdown":6.566367746238788,"win_rate":90.9090909090909,"average_win":1.3107502327837683,"average_loss":1.6400510710476435,"mean":1.0424955687990944,"kelly":0.19883566348583528,"median_days":6,"worst_trade":-1.6400510710476435,"vbt_error":7.105427357601002e-14,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"recent","cost_bp":2}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/0bp/recent = 12.480148499661547
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":11,"return_pct":12.480148499661547,"drawdown":6.566367746238799,"win_rate":90.9090909090909,"average_win":1.351282638952791,"average_loss":1.6006992214996796,"mean":1.08292065163893,"kelly":0.20035050781052094,"median_days":6,"worst_trade":-1.6006992214996796,"vbt_error":-1.4210854715202004e-14,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"recent","cost_bp":0}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/20bp/holdout = 21.509956478546655
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":39,"return_pct":21.509956478546655,"drawdown":7.84291644287608,"win_rate":76.92307692307693,"average_win":1.2033085556666823,"average_loss":1.7790993620918922,"mean":0.5150605746454728,"kelly":0.10700924800624147,"median_days":5,"worst_trade":-5.795095540276396,"vbt_error":-2.5579538487363607e-13,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"holdout","cost_bp":20}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/2bp/holdout = 39.82564557198365
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":39,"return_pct":39.82564557198365,"drawdown":7.676975646779194,"win_rate":82.05128205128204,"average_win":1.4848838057561382,"average_loss":1.8987381359700812,"mean":0.8775670469847655,"kelly":0.1477501208483258,"median_days":5,"worst_trade":-5.455346577309861,"vbt_error":-4.831690603168681e-13,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"holdout","cost_bp":2}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/0bp/holdout = 42.02402845368716
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":39,"return_pct":42.02402845368716,"drawdown":7.65851011867833,"win_rate":82.05128205128204,"average_win":1.5254858792871147,"average_loss":1.8594897819461584,"mean":0.917926145219604,"kelly":0.1504317669673492,"median_days":5,"worst_trade":-5.417521151233828,"vbt_error":0,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"holdout","cost_bp":0}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/20bp/train = -23.750056823714228
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":39,"return_pct":-23.750056823714228,"drawdown":36.18843339950565,"win_rate":51.28205128205128,"average_win":0.9394596036140114,"average_loss":2.2331691861100724,"mean":-0.606180063174645,"kelly":0,"median_days":6,"worst_trade":-22.830199732357404,"vbt_error":-1.4210854715202004e-14,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"train","cost_bp":20}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/2bp/train = -12.256593299548902
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":39,"return_pct":-12.256593299548902,"drawdown":31.554653339723558,"win_rate":61.53846153846154,"average_win":1.1267992695336257,"average_loss":2.446943897044276,"mean":-0.24771733299633647,"kelly":0,"median_days":6,"worst_trade":-22.551887687314398,"vbt_error":-2.5579538487363607e-13,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"train","cost_bp":2}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/65/base/0bp/train = -10.877063797049203
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":39,"return_pct":-10.877063797049203,"drawdown":31.212369533323383,"win_rate":64.1025641025641,"average_win":1.1209645493211706,"average_loss":2.5806173454620964,"mean":-0.20780843854974573,"kelly":0,"median_days":6,"worst_trade":-22.520902245610852,"vbt_error":2.842170943040401e-14,"symbol":"SPY","mode":"nextopen","threshold":65,"delay":false,"split":"train","cost_bp":0}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/55/base/10bp/recent = 6.838101770943661
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":8,"return_pct":6.838101770943661,"drawdown":5.6716102196055935,"win_rate":87.5,"average_win":1.3208220425315507,"average_loss":2.495948822420424,"mean":0.8437256844125538,"kelly":0.15969707826715035,"median_days":5.5,"worst_trade":-2.495948822420424,"vbt_error":2.842170943040401e-14,"symbol":"SPY","mode":"nextopen","threshold":55,"delay":false,"split":"recent","cost_bp":10}
https://runway.adityaperswal.workers.dev/data/stock-bars
More Final latest14day range audit and deployment state = 0
Crypto majors 2026-09-07 06:16
Sep7 06:15UTC: last14completeUTC daily bars vs hourlyaggregate OHLC:BTC opens/highs/lows exact, maxclose difference.00211331886%;ETH/SOL OHLCexact, volume roundoff<=2.22e-14%. Thus recent ADRscenario ranges broadly consistent though fullhistory remainsunverified. query_trades fundcrypto open[] pending[]. Replacementjobs45Liquid8x15min,46quotes4x30min,47funding2x60min active but lastRunAtNULL at06:15, scheduledexecution NOTyetconfirmed. Scriptsidentical locallyexit0 with completecompactoutputs. Earlier createbeforecancel rejectedfiveactivecap; cancelling40/41/42thenreplacementssucceeded. Jobs14/25 retained; monitor55at08UTCarmed.
https://runway.adityaperswal.workers.dev/data/crypto-bars
More SPY QR290706 nextopen/55/base/10bp/holdout = 25.192351759718214
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":34,"return_pct":25.192351759718214,"drawdown":7.750782398584111,"win_rate":76.47058823529412,"average_win":1.4451904941024944,"average_loss":1.811084459865471,"mean":0.679008151992385,"kelly":0.11745997409394611,"median_days":5.5,"worst_trade":-5.606497085752837,"vbt_error":-1.1368683772161603e-13,"symbol":"SPY","mode":"nextopen","threshold":55,"delay":false,"split":"holdout","cost_bp":10}
https://runway.adityaperswal.workers.dev/data/stock-bars
More SPY QR290706 nextopen/55/base/10bp/train = -18.30183915391097
Quant replication 2026-09-07 06:16
Measured Sep7 2026. Protocol596/598; full fixed grid, no optimization. Train2016–20,holdout2021–25,recent2026toSep4; market period previously inspected. Explicit longonly vectorbt reconciled cash arithmetic. Daily marks baseline; 15min marks swing. Raw barriers, adjusted-ratio wealth proxy. Fees/slip equally split one-way cost; exact quotes/15min venue polling unavailable. {"sample":32,"return_pct":-18.30183915391097,"drawdown":33.69031809939844,"win_rate":59.375,"average_win":1.0264731850335578,"average_loss":2.7949025365114273,"mean":-0.5259607018440925,"kelly":0,"median_days":6,"worst_trade":-22.67570559906531,"vbt_error":-1.5631940186722204e-13,"symbol":"SPY","mode":"nextopen","threshold":55,"delay":false,"split":"train","cost_bp":10}
https://runway.adityaperswal.workers.dev/data/stock-bars
More IWM Daily versus first intraday open discrepancy = 290.0018412815
Quant replication 2026-09-07 06:15
CalculatedSep7 2026:2020-03-16dailyopen108.62 vs09:30first15minopen105.47,difference-290.00184bp. Noentryinanytestedvariantonthisdate;not silentlyrepaired. Nextlargest2020-11-09-22.64877bp,2022-12-16+12.08285,2018-03-05+7.90410,2020-06-05+6.62866,allnotentries. Sourcecondition/auctiondifferenceunresolved. SIPOHLCnotguaranteedofficialauctionortradeablequotes; limits replication,notreason toselectparameters. Fileopen_outliers.json.
https://runway.adityaperswal.workers.dev/data/stock-bars
More CENX Kelly unit clarification and approved position = 0
Supply chain 2026-09-07 06:15
The base study point_quarter_kelly 0.01849002253815543 uses binary unit-risk convention [p-(1-p)/win-loss-ratio]/4, NOT stock capital allocation. Dividing by average fractional loss gives unconstrained two-outcome capital approximation 0.316631383869659. Neither is adopted: mean CI spans zero, no signal, and required ADR exits have negative net sample expectation so long-only Kelly=0. ApprovedUSD0; fund278.67,positioncap212.7475,equityrisk8.5099; no leverage and no inference from funding need.
https://runway.adityaperswal.workers.dev/data/stock-bars
More CENX Exact-cost ADR exits and simulated exit odds = -21.602592602959675
Supply chain 2026-09-07 06:15
{"runs":[{"slippage":0.001,"return_pct":-21.602592602959675,"drawdown_pct":22.82503128442278,"n":26,"win_pct":38.46153846153847,"avg_win_pct":5.814500996130267,"avg_loss_pct":4.889033270116533,"mean_pct":-0.7722893215600712},{"slippage":0.002,"return_pct":-25.575087102594818,"drawdown_pct":25.575087102594818,"n":26,"win_pct":38.46153846153847,"avg_win_pct":5.603082989308801,"avg_loss_pct":5.079065551359626,"mean_pct":-0.97054688187177}],"exit_odds_simulated_pct":{"stop":57.03,"target":19.18,"timeout":23.79},"target_probability_bootstrap95_pct":[3.8461538461538463,34.61538461538461],"mean_bootstrap95_pct":[-2.9092758295461345,1.4993562480720768],"seed":90707,"simulated_paths":10000} Same held-out entries as note593, next eligibility unchanged after early exit. Stop=entry minus priorADR20; target=entry plus2ADR20; gap exits at open; stop first if both barriers in one bar; no ambiguous bars. Synthetic open/exit accounting marks, not 15min quotes. Exact multiplicative fees supersede approximate ADR means in observations8071/8072 if applicable; initial simulation stats used net approximation, final means AA -0.0762645%,CENX -0.7722893%. MonteCarlo samples entire observed 5day OHLC path units, not independent daily candles; target CIs IIDbootstrap small sample, not forecast confidence.
https://runway.adityaperswal.workers.dev/data/stock-bars
More AA Kelly unit clarification and approved position = 0
Supply chain 2026-09-07 06:14
The base study point_quarter_kelly 0.036369035043773076 uses binary unit-risk convention [p-(1-p)/win-loss-ratio]/4, NOT stock capital allocation. Dividing by average fractional loss gives unconstrained two-outcome capital approximation 0.8592837797926531. Neither is adopted: mean CI spans zero, no signal, and required ADR exits have negative net sample expectation so long-only Kelly=0. ApprovedUSD0; fund278.67,positioncap212.7475,equityrisk8.5099; no leverage and no inference from funding need.
https://runway.adityaperswal.workers.dev/data/stock-bars
More AA Exact-cost ADR exits and simulated exit odds = -3.940575738369189
Supply chain 2026-09-07 06:14
{"runs":[{"slippage":0.001,"return_pct":-3.940575738369189,"drawdown_pct":23.249139218614435,"n":22,"win_pct":40.909090909090914,"avg_win_pct":5.161940272449477,"avg_loss_pct":3.70271398132087,"mean_pct":-0.07626451386936436},{"slippage":0.002,"return_pct":-8.075563237851439,"drawdown_pct":24.46738388717066,"n":22,"win_pct":40.909090909090914,"avg_win_pct":4.9518260858627805,"avg_loss_pct":3.8951165356090667,"mean_pct":-0.2759127359160381}],"exit_odds_simulated_pct":{"stop":49.74,"target":26.72,"timeout":23.54},"target_probability_bootstrap95_pct":[9.090909090909092,45.45454545454545],"mean_bootstrap95_pct":[-1.9801704842502723,1.9385143397637605],"seed":90707,"simulated_paths":10000} Same held-out entries as note593, next eligibility unchanged after early exit. Stop=entry minus priorADR20; target=entry plus2ADR20; gap exits at open; stop first if both barriers in one bar; no ambiguous bars. Synthetic open/exit accounting marks, not 15min quotes. Exact multiplicative fees supersede approximate ADR means in observations8071/8072 if applicable; initial simulation stats used net approximation, final means AA -0.0762645%,CENX -0.7722893%. MonteCarlo samples entire observed 5day OHLC path units, not independent daily candles; target CIs IIDbootstrap small sample, not forecast confidence.
https://runway.adityaperswal.workers.dev/data/stock-bars
More Last90days joint hourly return correlations
Crypto majors 2026-09-07 06:14
ComputedSep7 from2160joint hourlylogreturns, descriptive covariance for sharedblocksimulation, not independenttrade signals. {"BTC/USD":{"BTC/USD":1,"ETH/USD":0.869177494070743,"SOL/USD":0.795271698748638},"ETH/USD":{"BTC/USD":0.869177494070743,"ETH/USD":1,"SOL/USD":0.8023855994010716},"SOL/USD":{"BTC/USD":0.795271698748638,"ETH/USD":0.8023855994010716,"SOL/USD":1}}
https://runway.adityaperswal.workers.dev/data/crypto-bars
More SOL/USD sensitivity latest 1Hour indicator interplay = 0.4899829263883687
Crypto majors 2026-09-07 06:14
CompleteddailySep6/hourlySep7 05UTC;rv20 is per-bar standarddeviation notannualized. Correlation fullsample descriptive, notcausal. {"symbol":"SOL/USD","timeframe":"1Hour","last_close":105.14,"rv20_pct":0.4899829263883687,"low_vol":true,"selected_window":168,"selected_filter":false,"signal":true,"momentum_vol_corr":-0.0008181236993012144,"return_lag1_corr":-0.022855923712490657,"recent_range_pct":0.9224541387454371}
https://runway.adityaperswal.workers.dev/data/crypto-bars
More ETH/USD sensitivity latest 1Hour indicator interplay = 0.277426124818002
Crypto majors 2026-09-07 06:14
CompleteddailySep6/hourlySep7 05UTC;rv20 is per-bar standarddeviation notannualized. Correlation fullsample descriptive, notcausal. {"symbol":"ETH/USD","timeframe":"1Hour","last_close":2504.821,"rv20_pct":0.277426124818002,"low_vol":true,"selected_window":168,"selected_filter":false,"signal":true,"momentum_vol_corr":-0.09383888615077696,"return_lag1_corr":0.015366784568707536,"recent_range_pct":0.5174547100126511}
https://runway.adityaperswal.workers.dev/data/crypto-bars
More BTC/USD sensitivity latest 1Hour indicator interplay = 0.2007986431831614
Crypto majors 2026-09-07 06:14
CompleteddailySep6/hourlySep7 05UTC;rv20 is per-bar standarddeviation notannualized. Correlation fullsample descriptive, notcausal. {"symbol":"BTC/USD","timeframe":"1Hour","last_close":79746.772,"rv20_pct":0.2007986431831614,"low_vol":true,"selected_window":168,"selected_filter":true,"signal":true,"momentum_vol_corr":-0.06983333139271423,"return_lag1_corr":-0.009832261684740386,"recent_range_pct":0.35862372224502326}
https://runway.adityaperswal.workers.dev/data/crypto-bars
More SOL/USD sensitivity latest 1Day indicator interplay = 3.9020812525674464
Crypto majors 2026-09-07 06:14
CompleteddailySep6/hourlySep7 05UTC;rv20 is per-bar standarddeviation notannualized. Correlation fullsample descriptive, notcausal. {"symbol":"SOL/USD","timeframe":"1Day","last_close":106.529,"rv20_pct":3.9020812525674464,"low_vol":false,"selected_window":20,"selected_filter":true,"signal":false,"momentum_vol_corr":-0.04241266675761941,"return_lag1_corr":-0.043528880718987695,"recent_range_pct":5.871372778798519}
https://runway.adityaperswal.workers.dev/data/crypto-bars
More ETH/USD sensitivity latest 1Day indicator interplay = 4.68498486685757
Crypto majors 2026-09-07 06:14
CompleteddailySep6/hourlySep7 05UTC;rv20 is per-bar standarddeviation notannualized. Correlation fullsample descriptive, notcausal. {"symbol":"ETH/USD","timeframe":"1Day","last_close":2515.445,"rv20_pct":4.68498486685757,"low_vol":false,"selected_window":100,"selected_filter":true,"signal":false,"momentum_vol_corr":0.014233912574859557,"return_lag1_corr":-0.011458317152841225,"recent_range_pct":3.8646679211068973}
https://runway.adityaperswal.workers.dev/data/crypto-bars
More