Stats

A test of the automated trading system for HITI, also known as High Tide, was conducted using historical data from March 2024 to June 2026. The test used 926 daily bars, which are a type of data point, and adjusted for costs. The results showed that the system failed to perform well during both the training and held-out periods, which are types of testing periods. The system required a return of +9.090909% to -9.486166% to be successful, but it did not meet this requirement. The mean, or average, mapped intrinsic value, which is a measure of an option's value, was.213531/.571515 times the premium, which is the price of the option. However, this was not the actual expected payoff of the option. The issuer of the stock, High Tide, announced that it would release its financial results after the financial markets closed on Monday, September 14, 2026. The test used data from option contracts and stock bars, which are types of financial data. The sources of the data were option_contracts and two websites: https://runway.adityaperswal.workers.dev/data/stock-bars and https://runway.adityaperswal.workers.dev/data/option-bars. The test was conducted using the following rules: nearest 2.5 grid call/put from stock close prior entry day, first monthly expiry greater than or equal to 7 days after the event, and exchange holiday corrected. The test also used a vectorbt, which is a type of trading system, with one whole contract per observed event on $1000 synthetic capital. The baseline roundtrip split was $5, with a $1.25 fee and $1.25 slippage each side. The stress test used a $10 split with $2.50 each. The results of the test showed that the selected call train had a return of -0.5%, a drawdown of 8.96414%, and a win rate of 40%. The holdout had a return of -0.9%, a drawdown of 1.15%, and a win rate of 0%. The stress test showed a return of -3% for the train and -1.9% for the holdout, with a drawdown of 3% and 1.9% respectively. The independent ledger, which is a type of accounting system, verified every terminal PnL, which is a measure of profit and loss, and added the initial cash to the drawdown. The current book value of $102.12 cannot be equated to the $1000 test book. The sample trade premiums varied. The put selected T3 train had a return of +0.3% and a stress test return of -0.2%. The holdout was missing. The test also used a mandatory CLI, which is a type of command-line interface, momentum of 20/1000 days, with 685 bars, and a return of +26.210635%. The drawdown was 44.737554% and the win rate was 29.62963%. The unsplit stock diagnostic was not option or out-of-sample evidence.

A news scan found the headline that Stitch Fix announced its fourth quarter and full fiscal year 2026 financial results and conference call date. The automated trading fund manager analyzed historical option trades for SFIX from March 2024 to June 2026. The analysis used 10 consecutive issuer-scheduled AMC earnings, with a daily bars adjustment of 16.578014% from release-close to next-session-close. The manager considered options such as Sep11S2.95 and Oct16C2.5, with a catalog price of $0.50 on Sep 10 and an assumed round-trip cost of $0.05 per share, requiring a 3.389831% return. The manager also looked at C5.05 on Sep 10, which required a 72.881356% return, and P2.5 on Sep 12, which required a -21.016949% return. The manager noted that the mean intrinsic value of the options, excluding residual time, was 1.109296 times the premium, but not the actual option expected value. The manager found that there was no documented 3x expected payoff. The analysis used data from option contracts SFIX, stock bars, and option bars. The manager used a vectorbt system with one whole contract per available event and $1000 initial cash. The manager assumed costs, including a $0.05 per share round-trip cost, and a 0.125% fee and 0.125% price slippage. The manager also ran a stress test with a 0.10 total split, 0.025% fee, and 0.025% slippage per side. The results showed that the train mean return was 4.529617%, but the normalized full reinvestment return was -2.204002%, with a drawdown of 51.121951%. The stress test mean return was -15.218254%, with a normalized return of -76.182143%. The manager concluded that the results did not establish an out-of-sample edge and rejected live adoption. The manager also analyzed the return on variable entry capital and found that it differed from the train mean return. The manager verified endpoint observations and concluded that the option edge was inconclusive.

A news scan found the headline about Stitch Fix announcing its fourth quarter and full fiscal year 2026 financial results and conference call. An edge test was done on Stitch Fix stock, which is traded under the ticker SFIX, to see how it performed after the company announced its earnings from March 2024 to June 2026. The test looked at the stock's performance over 10 consecutive periods when the company announced its earnings, and it compared the results to the primary data from observations 27176 to 285 and 926 fresh SIP adjustments. The test found that the median absolute return of the stock from the close of the day before the earnings announcement to the close of the next day was 16.578014%. For example, on September 11, the stock price was $2.95, and on October 16, the call option with a strike price of $2.5 was trading at $0.50, plus a total cost of $0.05 per share, which means it would need to increase by 3.389831% to be profitable, but this only happened 4 out of 10 times. Another example is the put option with a strike price of $2.5, which would need to decrease by 21.016949% to be profitable, but this only happened 2 out of 10 times. The test also found that the call option with a strike price of $5 would need to increase by 72.881356% to be profitable, but this did not happen at all. The company announced that it would release its fourth quarter and full fiscal year 2026 financial results after the market close on Wednesday, September 23, 2026. The test used data from the option contracts of Stitch Fix, which can be found at https://runway.adityaperswal.workers.dev/data/stock-bars and https://runway.adityaperswal.workers.dev/data/option-bars. The test had several findings, including: 1. An existing study on vector backtesting remained frozen, meaning it did not change, and it found that the strategy had a return of 14.174754% and a drawdown of 14.475874% in the first 8 training periods, and a return of 9.472964% and a drawdown of 6.811989% in the last 2 holdout periods. 2. A diagnostic test was run on the momentum of the stock over 20 days and 1000 returns, and it found that the return was 41.383224% and the drawdown was 55.802626%. 3. The test looked at the history of the call option with an expiry date of October 16, and it found that there were only 4 traded days from August 20 to September 10, and none of them covered the completed September 23 event. 4. The test found that the default pre-event exit on September 22 required pre-event option return evidence, and the event response median of 16.578014% exceeded the priced 3.389831% by 13.188184 percentage points, which can motivate hold-exception research but does not fix sizing or validate pre-event rule. No actual hold-through position was adopted, and the binding gap actual costed options were out of scope, so the cash was retained.

A news scan found the headline about LUXE pre-event stock control failing despite strong training. The edge test was done on nine consecutive fiscal earnings from Q3FY24 to Q3FY26, which is from May 2024 to May 2026. The test adjusted the SIP, or Systematic Investment Plan, based on the prior day's close to the morning release day's close. The median absolute change was 5.245902%, with a range of -11.810013% to 23.8%. On September 11, the stock price was 7.39, and on October 16, it was 5.05. To make a profit, the stock price needed to fall by 33.694181%, but this did not happen in any of the 9 tests. Another test needed the stock price to increase by 8.525034%, which happened only once. The test also looked at the conviction risk, which is the risk of making a wrong decision. The issuer of the stock announced that the earnings release and conference call would be held before the US market open on September 16, 2026. The expiry date was October 16 plus 30 days. The default exit date was September 15. The test used data from August 26 to October 16, with 685 bars and 26 trades. The momentum was 20/1000 days, with a return of 87.879807% and a drawdown of 34.229923%. The test also used a vectorbt time-only stock control, which is a type of automated trading strategy. The strategy was tested on the first 7 events and held out on the last 2 events in February and May 2026. The training winner had a return of 39.558565%, while the holdout had a return of -9.482158%. The test also looked at the historical holdout, which had a wide uncertainty. The stocks could not validate the option decay, spread, or target hit odds. There was no actual option profit and loss history. The vectorbt drawdown is from the observed NAV peak, and initial costs can make the overall loss larger. The tested T5 transfer was rejected, and there was no invented option backtest.

A test of Stitch Fix stock control, which is a system to manage stock prices, showed positive results with only two reused holdout events. The test looked at 10 consecutive earnings reports from AMC, from March 2024 to June 2026, and found that the median absolute change in stock price was 16.578014%. On September 11, the stock price was $2.95, and on October 16, it was $2.5. The test also considered a $0.12 cost on September 11 and a $0.5 cost on September 10, plus an assumed $0.05 per share cost. The results showed that the stock control system was effective, with 2 out of 10 trades covered at a 20% rate and 4 out of 10 trades covered at a 40% rate. However, the test also found that the call option premium exceeded the conviction risk by $50, and the put option failed 40% of the time. The test used data from option contracts and stock bars, and historical sources recorded from 26537 to 46. The test also used a momentum indicator, which showed a 41.383224% return over 20 days, with a 55.802626% drawdown and a 28.125% win rate. The test also used a vectorbt fixed lag system, which showed a 14.174754% return with a 14.475874% drawdown and a 37.5% win rate. The test found that the holdout period, which is a period of time used to test the system, cannot be used to validate the option premium decay, spread, or 3R target. A news scan found the headline 'Stitch Fix Announces Date for Fourth Quarter and Full Fiscal Year 2026 Financial Results and Conference Call' on the company's website, which stated that the earnings report would be released after market close on Wednesday, September 23, 2026. The test also found that the option expiry date was 23 days later, on October 16, and the default exit date was September 22. The sources used for the test included option contracts and stock bars data from https://runway.adityaperswal.workers.dev/data/stock-bars and https://runway.adityaperswal.workers.dev/data/option-bars.

A test of nine past AMC earnings reports from February 2024 to June 2026 found that the median absolute change in stock price was 5.543964% and the mean change was -0.908716%. On September 11, the stock price was $39.02, and on October 16, the call option price was $0.30 and the put option price was $0.40. Assuming a $0.05 per share roundtrip reserve, the required return would be 16.222450% or -11.455664%. However, only 1 out of 9 tests were successful, which is 11.11% and below the 40% threshold. Without the reserve, 2 out of 9 tests were successful. The test used data from option contracts and stock bars. The AMC earnings report is scheduled to be released on September 15, 2026, after the market closes. The test also used a vectorbt24 prespecified cell with lags of 2, 3, and 5 sessions, and directions of long and short. The test found that the T3 short train had a return of 2.471362% and a drawdown of 4.871260%, with a win rate of 57.142857%. The T2 short train had a return of 2.337936%, and the T5 short train had a return of 1.717228%. However, the T5 short train cannot be selected as a fresh out-of-sample winner because the known holdout had already been seen. The longs all had negative returns, with the T3 long train having a return of -8.144169% and a holdout return of -1.318695%. A required CLI diagnostic node test succeeded with 251 bars, 7 trades, a return of -14.664032%, a drawdown of 21.044477%, and a win rate of 42.857143%. The conclusion is that there is no entry, and the last two holdouts will be preserved and not retuned on a monthly shortfall.

An edge test was conducted on ten issuer-dated scheduled AMC earnings from March 2024 to June 2026. The test found that the daily pre-release close to next-session close had a median absolute change of 4.700378% and a signed mean change of -3.027709%. As of September 11, the S2.53 and October 16 K2.5 call and put prices were.21 and.16, respectively, with assumed roundtrip costs of.05 per share, requiring a 9.090909% and -9.486166% change, respectively. Both of these changes are below 40%. The old frozen N9 remains at 1/9, with a median of 5.494505%, and will be preserved separately. There is no documented expected option payoff. The source of the data is option_contracts and https://runway.adityaperswal.workers.dev/data/stock-bars and /data/option-bars. The issuer announced on August 25 that financial results will be released after financial markets close on Monday, September 14, 2026. The October 16 expiry is 32 days after this date. The hurdles exceed the new median, and there is no hold exception. The closes are not executable asks, and the intrinsic value is not the actual option profit or loss. The test used a vectorbt926SIPallbarsJan2023–Sep11 2026, buying at the T-2/3/5 US session open and exiting at the T-1 close before the AMC date, with an initial investment of 1000, fees of 10 basis points, and slippage of 10 basis points each side, and stress of 30 basis points lippage. The results of the test are as follows: the T5 train had a return of 3.867305%, a drawdown of 11.915644%, and a win rate of 42.857143%, while the holdout had a return of -2.631698%, a drawdown of 5.363985%, and a win rate of 66.666667%. The stress holdout had a return of -3.793140% and a win rate of 33.333333%. The corrected train T3 now has the highest return of 4.438587%, but the holdout has a return of -4.762379% and the stress holdout has a return of -5.898406%. The model selection is unstable. The T2 train had a return of 3.842905%, the holdout had a return of 2.134481%, and the stress holdout had a return of 0.916186%. The required CLI momentum 20/days 1000 diagnostic had 685 bars, with a return of 26.210635%, a drawdown of 44.737554%, and a win rate of 29.629630%. The buy and hold return was 55.246914%. There is no historical option return, drawdown, or win rate available, and there is no options order from stock proxy. The costs are assumed rather than measured, and the daily close execution proxy does not validate 15-minute option stops.

A test of pre-earnings stock controls for Nokia, which is a company that issues its earnings reports, found that the controls failed in both training and holdout periods. The test looked at 11 instances of morning earnings reports from January 2024 to July 2026, and found that the median absolute change in the stock price was 5.864627%, with a range of -8.474903% to 11.444479%. Two specific options, Sep11S11.13 and Oct30C13.45, needed to increase by 21.293801% and decrease by 17.520216% respectively to be profitable, including assumed roundtrip costs of $0.05 per share. However, neither of these options was profitable, and the test found that no documented option payoff exceeded three times the expected payoff. The test used data from various sources, including Nokia's financial calendar and option contracts. The test also used a trading strategy that bought stocks five days before the earnings report and sold them the day before the report, with a daily adjusted SIP and fees of 1 basis point and slippage of 5 basis points on each side. The test found that this strategy had a return of -14.811928% in the training period and -3.318922% in the holdout period. The test also found that increasing the slippage to 15 basis points resulted in returns of -16.164092% and -3.897272% in the training and holdout periods respectively. A sensitivity test found that changing the parameters of the strategy did not result in any positive returns. A separate test of a momentum-based strategy found a return of 144.635118%, but this strategy was not directly comparable to the original test. The test concluded that the pre-earnings stock controls did not work as intended, and that the results did not validate the use of this strategy for live trading.

A news scan found the headline about Conagra Brands' earnings release on September 30, 2026. An edge test for CAG, which is a ticker symbol, showed a median absolute return of 2.064410% from July 2024 to July 2026. This test, which is a type of evaluation, used morning earnings data from nine issuer-dated events. The test required a return of 8.904110% and 7.876712% for two specific trades, including a 0.05% cost. However, the test failed to meet these requirements. Another test for LW, which is another ticker symbol, showed a median return of 13.153864% from July 2024 to July 2026. This test used eight issuer-dated morning events and also failed to meet its requirements. The mean mapped intrinsic value for LW was 1.498726 USD per share, which is a measure of the option's value. The test results showed that there was no 40% pass or documented 3x expected payoff, which means the test did not meet its expected outcomes. The dates for the tests were August 31, 2026, and September 8, 2026, with expiries 9-10 days after. The historical originals recorded 25518+ and 25563+, which are data points used for the tests. The tests used a strategy called RSI, which stands for Relative Strength Index, a measure of stock price movement. The tests also used a CLI, which is a Command-Line Interface, and a vectorbt, which is a backtesting tool. The results of the tests are as follows: 1. The required CLI node showed a return of -1.73228%, a drawdown of 14.21016%, and a win rate of 51.85185%. 2. The separate vectorbt showed a return of -8.9501% for the training period and 2.5160% for the held-out period. The held-out period is a test period that is not used for training. The results showed that there was no trained winner and no adoption, which means the test did not produce a successful outcome.

A test of the stock control system for BB, also known as BlackBerry, using the Relative Strength Index, or RSI, a measure of stock price movement, found that it failed to meet the selected criteria for a chronological holdout, a period of time used to test the system. The test looked at the median absolute percentage change of 9.987505% in the issuer-dated earnings from September 2023 to June 2026. The test also looked at the prices of options, which are contracts to buy or sell a stock at a certain price, for BB, with prices such as $7.67 and $8.45, and costs of $0.05, requiring a return of 10.821382% on September 11, and -8.213820% on October 2. The test also looked at other stocks, including HITI, with a median return of 5.494505%, and GIS, with a median return of 3.063603%. The test found that none of the options met the 40% pass threshold or documented 3x expected payout. The test also found that the closing prices were not executable, meaning they could not be used to buy or sell the stocks, and that the intrinsic value, or the value of the stock without considering external factors, excluded residual time, or time left until the option expires. The test used data from various sources, including option contracts and historical stock prices, and found that the RSI did not trigger the selected entry point of 30. The test also found that the training profit did not rescue the 4/12 option coverage, and that all 18 grid rows recorded an observation, but no order was placed. The dates for the earnings announcements were September 24, 2026, for BB, September 14, 2026, for HITI, and September 23, 2026, for GIS. A news scan found the headline 'Blackberry to Announce Fiscal Second Quarter 2027 Results on September 12' and other related headlines. The test ran a required command line interface, or CLI, node, and used a strategy called RSI, with 1000 days of data, and found a return of 52.054557% and a drawdown, or loss, of 25.645701%. The test also used a separate vector backtest, with RSI 14 entries and exits, and found a return of 49.771615% on the training data, but a loss of 1.998229% on the holdout data.

A news scan found the headline that BlackBerry will announce fiscal second-quarter 2027 results on September 12. The automated trading fund manager analyzed the stock BB, which had a price of 7.54 on September 10 and a close price of 40 on October 2 for the call option C8, requiring an 11.405836% increase, and a close price of 0.32 for the put option P7, requiring an -11.405836% decrease. The manager used a technique called backtesting, which is a way to evaluate a trading strategy using historical data, to train and test the model on 12 consecutive earnings reports from September 2023 to June 2026. The model used a long stock diagnostic, which is a type of analysis that evaluates the performance of a trading strategy, with an initial cash amount of 100, buying at the open price five days before the issuer's release date and selling at the close price one day before, with fees of 5 basis points per side and a slip of 10 basis points base and 30 basis points stress. The manager also used entry filters, which are rules that determine when to enter a trade, that use the close price six days before the news, and never use future or pre-news indicators. The results showed that the training filters had negative returns, and the holdout, which is a set of data used to test the model, had a return of 2.23248% with a maximum drawdown of 9.40210% and a win rate of 50%. The manager also used a command-line interface diagnostic node, which is a tool that runs a backtest, to evaluate the strategy, and found that the unfiltered train had a return of -2.73664% with a maximum drawdown of 19.33542% and a win rate of 50%. The manager concluded that the training filters failed and cannot justify adoption from a positive holdout, and will retain rejection and await prospective actual option outcomes.

A news scan found the headline about a pre-earnings stock proxy for BB that failed training despite a positive holdout. The edge test was frozen on September 11, with the stock price at $7.54 for BB. The test looked at two scenarios: one where the stock price would need to increase by 11.405836% to reach $0.40 by October 2, and another where the stock price would need to decrease by 11.405836% to reach $0.32 by October 2. The test covered 3 out of 12 periods, or 25%, in the first scenario, and 2 out of 12 periods, or 16.67%, in the second scenario. The test looked at 12 consecutive quarterly releases from September 2023 to June 2026, and found that the median absolute change in stock price from before to after the earnings release was 9.987505%. The test also found that neither a 40% gate nor a documented 3x expected option payout passed. The option expiry date was October 2, which is 8 days after the September 24 event. The default exit date was September 23, but the hurdle exceeded the median by 1.418331 percentage points, so there was no hold-through exception. The sources for this information include issuer-dated event observations 24113-24126, and data from https://investors.blackberry.com/ and https://runway.adityaperswal.workers.dev/data/stock-bars and /data/option-bars. The test used a vectorbt system with T-3/T-5/T-10 open entries and T-1 close exits, with 5 basis point fees plus 10 basis point slippage on each side. The test also raised slippage to 30 basis points to stress the system. The full $100 stock allocation is a diagnostic, and is outside the fund's instrument mandate. The test found that the training returns were -10.3639%, -2.73664%, and -20.6952% respectively, and selected the T-5 option by training return only. The selected holdout return was +2.23248%, with a daily drawdown of 9.40210% and 2 wins out of 4. The stress train return was -5.79981%, with a holdout return of +0.609767% and a drawdown of 9.76377%. The unselected T-10 holdout return was +23.2792%, but this cannot replace the negative training return. A separate required CLI momentum diagnostic found a return of +261.0066%, with a drawdown of 36.1282% and a win rate of 40.7407%, but this did not include a chronological holdout, so it was not adopted. The validity of the test is that an unsplit momentum winner cannot establish an earnings option edge, and the soundness of the test is that a daily time-only stock proxy omits option theta, volatility crush, spreads, and mandated option stops/targets/15-minute checks. All training losses plus failed event coverage leave the size at zero.

A news scan found the headline about SFIX being a costed event-run-up stock proxy, with an unproven option edge. An edge test was done on several stocks, including PLAY, VRA, SFIX, and TCOM, with specific option prices and dates, such as PLAY's Oct 16 C 10 at $0.40 and P 7 at $0.50, which required a 27.294982% and -20.440636% change, respectively. The test results showed that all of these failed to meet a 40% threshold, with no documented actual option expected payout greater than or equal to 3 times the initial investment. The sources of this information include issuer schedules and data from https://runway.adityaperswal.workers.dev/data/stock-bars and /data/option-bars, with catalog closes dated September 9 checked with September 10 delayed bars. The premises of this test include a daily close-marked portfolio with an initial value of $1000, full stock notional, and long or short direction with a 2, 3, or 5 session lag sweep. The results of the test for SFIX, with a lag of 5 and a long direction, showed a return of 20.80233886442895 and a drawdown of 10.53865980656219 during the training phase, and a return of 9.472963631986762 and a drawdown of 6.811989100817417 during the holdout phase. However, the two holdout trades were not enough to establish a stable expectancy, and the positive underlying proxy did not model option theta, vega, or spread. There were no actual option historical returns, and no strategy was adopted.

The automated trading fund manager tested the stock of TCOM as a proxy for an event. The test involved buying and selling options of TCOM and other stocks, including PLAY, VRA, and SFIX, to see if the strategy would work. The manager used a computer program to analyze the data and make decisions. A key concept used here is 'option edge', which refers to the potential profit from buying and selling options. The test results showed that the strategy did not work well for any of the stocks, with required price changes of +27.294982% and -20.440636% for PLAY, -21.311475% for VRA, -17.543860% for SFIX, and +17.105943% and -10.801034% for TCOM. The manager used a'vectorbt daily close-marked portfolio' which is a way of tracking the performance of a group of stocks, and'slippage' which refers to the difference between the expected and actual price of a trade. The manager also used 'lag' which means waiting for a certain number of sessions before making a trade. The results were not good enough to adopt the strategy, with no trades showing a return of more than three times the investment. The manager also noted that the strategy did not take into account the 'theta','vega', and'spread' of the options, which are measures of their price and risk. The manager decided not to use this strategy because it did not work well and did not have enough historical data to support it. A news scan found the data used in the test, which included issuer schedules and stock prices from https://runway.adityaperswal.workers.dev/data/stock-bars and /data/option-bars.

The automated trading fund manager tested the stock VRA as a proxy for an event. The test used options, which are contracts that give the buyer the right to buy or sell a stock at a certain price, to see if they could make a profit. The manager looked at the options for VRA with a strike price of $2.5 and an expiration date of October 16. The test required the stock price to move up or down by a certain percentage, specifically 21.311475%, in order to make a profit. However, the test failed to show a profit, with a median absolute percentage change of 10.350471%. The manager also tested other stocks, including PLAY, SFIX, and TCOM, but all of them failed to show a profit. The manager used data from the issuer's schedules and websites, including https://runway.adityaperswal.workers.dev/data/stock-bars and /data/option-bars, to make the tests. The manager assumed that the portfolio would start with $1000 and that the fees for buying and selling would be 10 basis points, or 0.1%, and that the slippage, or difference between the expected and actual prices, would also be 10 basis points. The manager trained the model using a sample of 10 events and then tested it on 2 holdout events, but the results were not stable and did not show a clear profit. The manager also found that the stock price could move in the opposite direction of the option price, resulting in a loss. Therefore, the manager did not adopt the strategy. A news scan found the data line: the manager did not use a technical screener strategy to select the stocks.

The automated trading fund manager tested the stock PLAY as a proxy for an event. The test involved buying and selling options for PLAY and other stocks, including VRA, SFIX, and TCOM, with specific prices and dates, such as the Oct16C10 option for PLAY at $0.40. The test required certain percentage changes in the stock prices, for example, +27.294982% for PLAY, but all the tests failed to meet the 40% threshold. The manager used data from issuer schedules and websites, including https://runway.adityaperswal.workers.dev/data/stock-bars, and made assumptions about fees and slippage. The manager trained a model on historical data, with parameters such as a 2-session lag and long direction, and evaluated its performance on two holdout events. However, the results were not stable, and the manager did not adopt the strategy due to the lack of historical returns data for actual options and the potential for option losses even with positive stock direction. A news scan found the data, which is a raw script output.

A news scan found the headline that MillerKnoll schedules a conference call. An edge test for MLKN, which is a stock ticker, was done using a reference price of 17.5 on October 16 and a price of 20.80 on September 10, which requires a decrease of 17.211538%. This test looked at eight past earnings reports and found that the median absolute change in the stock price was 10.745876%, but the coverage, which means how many times the test was done, was only 12.5%, which is less than 40%. The test also looked at the lowest prices during the day and found that they were also only 12.5% of the time. Another stock, HITI, was used as a comparison and had a median absolute change of 5.494505%. The test was done to see if a bearish, or negative, view of the stock before an event would support a put option, which is a type of investment that gives the owner the right to sell a stock at a certain price, run-up, or increase in price. The test used a vectorbt portfolio, which is a type of investment portfolio, with 1000 initial cash, full stock notional, which means the full value of the stock, and 10 basis points fees, which is a type of fee, and 10 basis points lippage, which is a type of cost, on each side of the trade. The test was done on six events in 2024-25 and two events in 2026, with no selection of holdouts, which are events that are not used to train the model. The results of the test were: a return of -3.997024599531062 and a drawdown, which is the maximum loss, of 6.0269945892936665 for the training phase, and a return of -1.973521635520217 and a drawdown of 4.115226417384676 for the holdout phase. All variants of the test lost money in both the training and holdout phases. This test was for research only and did not model option IV, theta, or spreads, which are types of option metrics, or borrow cost, which is the cost of borrowing money to buy a stock, or 15-minute stops, which is a type of trading rule. The current BMO, or before market open, timing is different from the historic AMC, or after market close, timing, so the results may not be the same. A counterexample is that option volatility expansion could outperform the stock, but historical option prices are needed to test this. The test initially failed due to a serialization issue with NumPy int64, but was fixed by using explicit int and rerunning with NUMBA_DISABLE_JIT=1. No economic changes were made. The source of the data is an upcoming news release from MillerKnoll.

A news scan found the headline about HITI pre-earnings stock proxy parameter sweep failing independent option validation. The HITI stock had a call and put option close at $0.31 and $0.18 on October 16, with the underlying stock price at $2.555 through September 10 at 19:20 UTC. The company is set to announce earnings after the market close on a date that was not specified, with a directional break-even point of +9.98043% and -9.19765%, and coverage of 11.111% each, which is less than 40%. The median absolute close was 5.494505% and the median absolute gap was 2.34375%. The thresholds exceeded the close median by 4.485925 and 3.703146 percentage points, so no hold-through exception was made. A recent put option was priced at $0.16 and was still active at 8.414873%. The intrinsic-only mean payoff was $0.166696 and $0.471908 times the premium, but this is not the expected value of the option. There was no documented mispricing of more than three times. The test was designed to examine a distinct pre-event run-up rather than inferring option profit from earnings gaps. The test used a vectorbt system with signals, adjusted daily SIP HITI data from January 2022 to September 9, 2026, and nine dates from observations. The entry point was the open of the session two, three, or five days before the earnings release, and the exit point was the close of the session one day before the release. The initial investment was $1000, with 100% stock exposure when active, and a 10 basis point fee plus 10 basis point slippage on each side. The results were as follows: T2 train had a return of -0.9083%, a drawdown of 7.8305%, and a win rate of 33.33%; the holdout had a return of +2.1345%, a drawdown of 1.3973%, and a win rate of 66.67%. T3 train had a return of +0.8830%, a drawdown of 7.0722%, and a win rate of 50%; the holdout had a return of -4.7624%, a drawdown of 5.3978%, and a win rate of 33.33%. T5 train had a return of +4.2836%, a drawdown of 10.8128%, and a win rate of 50%; the holdout had a return of -2.6317%, a drawdown of 5.3640%, and a win rate of 66.67%. No selection was made based on the holdout results, and all cells were retained. The conclusion was that there was no stable run-up alternative, and this stock-price proxy cannot establish actual option spread, theta, or implied volatility profit and loss. A counterexample could be that option volatility expansion could outperform the stock, but this would require historical option prices, which were not used in this test. The daily signal marks do not replicate the 15-minute option exits on the venue. All historical primary URLs were stored with event observations. The upcoming earnings announcement date is available at https://hightideinc.com/high-tide-to-announce-third-fiscal-quarter-2026-financial-results/. The scripts analyze.py and backtest_hiti.py, as well as the raw JSON, were saved locally, but no claimed trading backtest of options was made.