Stats

C91306 actual-cadence extension, 48 predetermined cells. Daily HIGH20 or hourly HIGH480 false-to-true events; prior daily ATR20 excludes signal day. Execute first eligible 15m open immediately or at actual manager UTC schedule: daily00/02/04/06/08; weekdays12:30/13:50/16:30/19:40/21, rounded up to14:00/19:45 where needed. First event retained if signals collide; expire after2h; delayed price must still exceed frozen high. Stop2ATR; +2grossR sellquarter and move stop to entry only at selected cadence. Residual target solved ex ante for aggregate net3R including25bp credited-asset fees and10/30bp slippage. Stops/targets checked every15m open, overshoots charged;20day time exit waits for selected cadence. Each train2024–25 and known2026Jan1–Sep12 holdout starts flat; final available close liquidation costed. Vectorbt from_orders ledger cash agrees<1e−5. All8cells=[mode,window,slipbp,return%,DD%,win%,N,approx halfKelly]: [["immediate15","train",10,-23.668860167219393,30.328471266594047,36.84210526315789,19,0],["immediate15","holdout",10,-8.554393363816658,24.818515274881538,33.33333333333333,6,0],["immediate15","train",30,-24.836402055925234,31.58067707025294,31.57894736842105,19,0],["immediate15","holdout",30,-8.924188024561658,25.31098266214705,33.33333333333333,6,0],["manager","train",10,-23.197542299712197,30.32847126659445,36.84210526315789,19,0],["manager","holdout",10,-8.440499931558236,24.818515274881538,33.33333333333333,6,0],["manager","train",30,-24.56075778660467,31.579696620238728,31.57894736842105,19,0],["manager","holdout",30,-8.81194220961109,25.31098266214705,33.33333333333333,6,0]]. Increasing slippage also changes fill-anchored exits and subsequent occupancy, so stress loss is not merely subtracting fees. Missing15m BTC151/ETH149 of94656slots; SOL97 of71744 fromAug26 2024, incomplete training. Missing quote skips action, no assumed fill. Fullsample missed-event counter includes pre2024 warmup; not a withinwindow rate. This is an idealized bar-open execution model, not archived bids/asks or fill proof; exact run-duration delays and network outages remain unmodeled. Conclusion reject promoting this rule now: all daily manager holdouts negative; hourly BTC/SOL turn negative at30bpslip, ETH manager already negative. No fresh entry exists. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees ; user UTC schedule.

PrimaryAlpaca fee schedule retrievedSep13 at https://docs.alpaca.markets/us/docs/crypto-fees gives tier1taker25bp, maker15bp at30dayvolume0–100000USD; buyfee chargedcreditedcoin andsellfee creditedUSD. This is documented schedule,not actualaccountfeeledger or archivedhistoricalfees. LetE=actualentryfill,r=2ATR/E andk=.9975^2*.999 for25bpfees+10bpsellslip. Netstopequityfactor=k(1−r); fullnet3Rtargetmultiplier T=(1+3[1−k(1−r)])/k. AtSep12 illustrativeE772? exactE BTC77343.651385/ETH2527.570045/SOL101.8672655, r6.0381/7.4699/10.7150%,netloss6.6008/8.0241/11.2497%. Fulltargetgains20.5241/24.8197/34.5551%; quarterat+2r meansresidualT=[(1+3loss)/k−.25(1+2r)]/.75, gains23.3401/28.1130/38.9300%. These are arithmeticrequiredprices,not fairvalues or claims theywilltrade. Premises: fees reducecredits onbothsides; partialprofit reducescapitalparticipatingintail; borrowinggross3R acrosspolicies misstatespayoff. Who benefits: liquiditysuppliers/venuecollectcost evenonfalsebreakouts. Conclusion requiredefensiblemeasuredrangeand conditionalnetedge beforetargetadoption; keepcash ratherthan shrinkstop to manufacture3R. Prices/ATR source https://runway.adityaperswal.workers.dev/data/crypto-bars .

Premises: quietweekend prices do not bound20dayrisk; crosscoin paths must preserve commonshocks; unconditional resampling does not validate anentry. Seed91306,10000paths*480hours; sample complete24hourUTCdayblocks jointly acrossBTC/ETH/SOL by nextweekday startingSunday,20days. Train2024–25 versus known2026pool separately;holdout254completejointdays. Includes10bpbuyslip by initialspot/1.001,25bpcreditedassetfees per side+10bpsellslip. CurrentSep12 ATR20 frozen; hourly exitchecks and every2hourquarter/BE proxy,NOTactualmanager15m engine. Fullnet3R targets require20.5241/24.8197/34.5551% rises. Holdout fulltargetprobabilities5.73/9.77/3.07%,stop54.72/57.10/45.70%; means−.9304/−.6575/−1.2271%. Quarterat+2grossR,stopentry,residualtarget solved forcombinednet3R requires23.3401/28.1130/38.9300% gains; finaltargetprob3.56/6.92/1.76%,mean−.9019/−.6034/−1.2217%. Approximatebinarymean halfKelly0allthreeholdout; trainingpositiveBTC orSOL plug-ins are not adopted. Three$29.785probes=$89.355: managedproxy meanPnL−$.8123,P1−$9.2638,worstsample−$10.8530(1.275%account). No >3%account loss in10000paths is NOTa hardbound; empiricalblocks omitnewjumps,structuralchanges,liquidityfailure and intrahour excursions. IndividualmanagedP99loss$2.6158/$3.2233/$4.2212. Counterargument: trendconditionedfreshentries can outperform unconditionalblocks; these odds neitherprove norvetoa validconditionaledge. Actualsize0 becausefreshentryabsent andsamepolicymanagerholdoutweak. All16scenario rows recorded. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Calendar-hour logclose returns from venuebars, train2024–25 and knownholdout2026Jan1–Sep12. Do not bridge missinghours. Holdoutweekend hourlySD BTC33.0404/ETH48.8851/SOL58.7092bp versusweekday51.2783/66.7165/70.1682bp;N1752weekend,4366weekdayeach. Weekendmeans−.4173/−.6670/−.5293bp perhour are descriptive, not causal/weekendshortsignal. Worstweekend simplehours−3.5913/−4.0245/−5.0440%,so quietmedian does not boundlefttail. Synchronized6118hour holdout correlations BTCETH.887966/BTCSOL.837870/ETHSOL.848997, versus matched11801traininghours .792899/.750043/.770080. TrainingSOLcoverage partial, so composition/time differ; no formal structuralbreak claimed. Premises: 24/7risk includes weekends; correlatedcoins are one sharedriskfactor; only drawdownstress acrossjointpaths can evaluate diversification. Strongestcounterargument: correlations below1 and tail timing can differ; retain synchronized simulation ratherthan assumeperfectcorrelation or independence. Conclusion threequarterprobes must countjoint exposure, not three independent convictions. All14distribution/correlation rows recorded with source/date/units. Source https://runway.adityaperswal.workers.dev/data/crypto-bars .

Premises: trend and weekend conditions may change breakoutpayoffs, but post-hoc subsets with1–2trades cannot validate a filter. Base fullgross3R delay0/slip10bp hourly holdout sampleBTC6/ETH7/SOL6; trendabovepriorSMA200 groups only1/2/1trades withmean1.6307/.5414/5.6100%. BelowSMAgroupsN5each means.6147/2.7189/.2757%. Weekendentried hourlyBTCN1−2.8514%;ETH/SOLN0. Dailytrend groupsN1/1/2,mean12.2254/10.8368/2.9634%; not independent corroboration since samecoins/sameAugust rally. 10000IIDtrade bootstrapmean95%CIs hourlyBTC[−3.2307,5.6745],ETH[−2.6831,7.7079],SOL[−5.5853,8.9792]%,allcross0. All12train/holdoutfrequency subset tables recorded. Removing one best trade makes hourlyholdout compoundedreturns−6.4646/−1.3074/−11.4214%; this illustrates tailconcentration, not a reason to exclude besttrades. Counterexample to 'positive trend suffices': ETHaboveSMA group underperformed belowSMA; different marketregimes and occupancy confound. Conclusion do not add weekend/SMA filter or choose delay after holdout. Current dailytrend remains context; freshentry separate. Source https://runway.adityaperswal.workers.dev/data/crypto-bars .

Predeclared HIGH480 false-to-true events,2prior-dailyATR20 stop,gross3R target,20dexit. Each train2024–25/knownholdout2026Jan1–Sep12 startsflat;2023warmup; full calendarreindex and no missingbar signal. Freeze ATR excluding signal UTCday; delayedopen must exceed frozenhigh. Exits at hourlyopens withovershoot, terminalclosecosted. Exact25bpcreditedcoinbuyfee,25bpsell+10/30bpslip; vectorbt from_orders finalcash reconciles<1e−5. Summary arrays=[window,delayhours,slipbp,return%,DD%,win%,N,halfKelly]: [["train",0,10,25.80951170226426,38.75805309385727,54.54545454545454,11,1.1074234688921152],["holdout",0,10,4.696690429715815,22.47771688729755,50,6,1.2266567262412873],["train",0,30,24.128878339405176,39.27212760725306,54.54545454545454,11,1.1035837157870332],["holdout",0,30,2.213872095176569,23.40242892296066,50,6,0.7948438348463944],["train",2,10,44.26454674413809,30.34690065215855,66.66666666666666,9,2.5778743326517204],["holdout",2,10,10.745037978099148,16.212938884416406,60,5,3.748471646301409],["train",2,30,39.16337300086592,30.901904875038653,66.66666666666666,9,2.3406796367351257],["holdout",2,30,8.552129893534755,16.54741917174499,60,5,3.044340137669421],["train",4,10,36.69165039103146,26.838415518202975,55.55555555555556,9,2.478271835536935],["holdout",4,10,-5.625189184198987,20.550740655707767,16.666666666666664,6,0],["train",4,30,13.784420505082947,33.73180647313123,44.44444444444444,9,0.9567173990314317],["holdout",4,30,-7.863230421705353,21.498438316177893,16.666666666666664,6,0]]. All metrics and trade returns separately in60observations; fulltimestamp ledgers results.json. This target is gross3R, NOTnet3R/quartermanagement. Notliveauthorization; separate15m managerextension uses samepolicy withincomparison. SOL missingtraining history, smallN and inspectedholdout limitinference; no winningdelay adopted. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Predeclared HIGH480 false-to-true events,2prior-dailyATR20 stop,gross3R target,20dexit. Each train2024–25/knownholdout2026Jan1–Sep12 startsflat;2023warmup; full calendarreindex and no missingbar signal. Freeze ATR excluding signal UTCday; delayedopen must exceed frozenhigh. Exits at hourlyopens withovershoot, terminalclosecosted. Exact25bpcreditedcoinbuyfee,25bpsell+10/30bpslip; vectorbt from_orders finalcash reconciles<1e−5. Summary arrays=[window,delayhours,slipbp,return%,DD%,win%,N,halfKelly]: [["train",0,10,30.213027025341177,46.15312671371922,47.368421052631575,19,0.6655620017244688],["holdout",0,10,13.733733534189312,22.33626371317833,57.14285714285714,7,3.2111305573046494],["train",0,30,17.323180684257437,47.430072562762525,47.368421052631575,19,0.5315881447167456],["holdout",0,30,10.59334598278349,22.646299516825607,57.14285714285714,7,2.5415440053830203],["train",2,10,65.13182818830985,29.70900019235322,58.82352941176471,17,1.3087744922116473],["holdout",2,10,-5.058183811965861,22.270999613474316,33.33333333333333,6,0],["train",2,30,58.22971245385128,30.998762313050896,58.82352941176471,17,1.2421399986722799],["holdout",2,30,-7.3096712370086445,22.58129595322985,33.33333333333333,6,0],["train",4,10,90.02254429139484,36.88848596186753,58.82352941176471,17,1.5944071109014066],["holdout",4,10,2.4861778723921333,19.11969765402035,42.857142857142854,7,1.2278289411408494],["train",4,30,80.86009144118312,38.138183030829694,52.94117647058824,17,1.5580817012878787],["holdout",4,30,-9.16236274477933,22.91093510051304,42.857142857142854,7,0]]. All metrics and trade returns separately in60observations; fulltimestamp ledgers results.json. This target is gross3R, NOTnet3R/quartermanagement. Notliveauthorization; separate15m managerextension uses samepolicy withincomparison. SOL missingtraining history, smallN and inspectedholdout limitinference; no winningdelay adopted. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Predeclared HIGH480 false-to-true events,2prior-dailyATR20 stop,gross3R target,20dexit. Each train2024–25/knownholdout2026Jan1–Sep12 startsflat;2023warmup; full calendarreindex and no missingbar signal. Freeze ATR excluding signal UTCday; delayedopen must exceed frozenhigh. Exits at hourlyopens withovershoot, terminalclosecosted. Exact25bpcreditedcoinbuyfee,25bpsell+10/30bpslip; vectorbt from_orders finalcash reconciles<1e−5. Summary arrays=[window,delayhours,slipbp,return%,DD%,win%,N,halfKelly]: [["train",0,10,-34.10207940996422,51.223500264434584,31.818181818181817,22,0],["holdout",0,10,3.865085512335696,14.969439154901975,50,6,1.9140143661182405],["train",0,30,-34.282329645730755,51.08963483343785,31.818181818181817,22,0],["holdout",0,30,1.8313690835902605,15.627950319962947,50,6,1.1118445833222594],["train",2,10,-5.6929659613824555,36.152899252152224,35,20,0.13411144355404447],["holdout",2,10,-0.37151101460021607,15.905558141881693,33.33333333333333,6,0.19618486599530183],["train",2,30,-11.752650092185462,38.00140267095728,35,20,0],["holdout",2,30,-2.4671337768238715,17.01318308981469,33.33333333333333,6,0],["train",4,10,-10.086221598371736,38.0388548608827,42.10526315789473,19,0],["holdout",4,10,2.5817921205252503,13.96480952579604,50,6,1.0229440715258162],["train",4,30,-16.22131508368463,41.63473902675122,36.84210526315789,19,0],["holdout",4,30,0.665531823142814,14.89383800138655,50,6,0.5123497529498771]]. All metrics and trade returns separately in60observations; fulltimestamp ledgers results.json. This target is gross3R, NOTnet3R/quartermanagement. Notliveauthorization; separate15m managerextension uses samepolicy withincomparison. SOL missingtraining history, smallN and inspectedholdout limitinference; no winningdelay adopted. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Diagnostic C91306, predeclared60 cells. Fresh false-to-true close>prior20calendar highs daily or480hour highs hourly. Train2024–25; known2026Jan1–Sep12holdout, each startsflat;2023warmup. Freeze ATR20 excluding signal UTCday, entry nextopen or delay; cancel delayedopen<=frozenhigh. Stop entry−2ATR,targetentry+6ATR,time20days; check at each sampledopen, gapovershootcharged, terminalclosecosted. Gross3R target notnet3R or mandatedquarter/BE policy; NOT live authorization. Exact25bp creditedcoin buyfee (vectorbt cash-equivalent1/.9975−1),25bpsell,10/30bpslip; customorderledger vectorbt finalcash reconciles<1e−5. No fill-forward missingprices forsignals;calendar reindex. SOL training incomplete. All cells=[{"return":34.458878026702806,"drawdown":31.588470493420452,"win_rate":55.55555555555556,"sample":9,"mean_trade_pct":4.142065346208124,"half_kelly_fraction":1.51244063285213,"skipped_entries":0,"days":731,"symbol":"SOL","tf":"1Day","delay":0,"slippage_bp":10,"window":"train"},{"return":-29.803963815426744,"drawdown":39.02815504192447,"win_rate":28.57142857142857,"sample":7,"mean_trade_pct":-4.466468344010586,"half_kelly_fraction":0,"skipped_entries":0,"days":255,"symbol":"SOL","tf":"1Day","delay":0,"slippage_bp":10,"window":"holdout"},{"return":29.704431327084198,"drawdown":32.13358173937147,"win_rate":55.55555555555556,"sample":9,"mean_trade_pct":3.726327313674249,"half_kelly_fraction":1.350967339190396,"skipped_entries":0,"days":731,"symbol":"SOL","tf":"1Day","delay":0,"slippage_bp":30,"window":"train"},{"return":-26.398607832625544,"drawdown":35.29850243033073,"win_rate":14.285714285714285,"sample":7,"mean_trade_pct":-3.8927833838910852,"half_kelly_fraction":0,"skipped_entries":0,"days":255,"symbol":"SOL","tf":"1Day","delay":0,"slippage_bp":30,"window":"holdout"},{"return":25.420885921607205,"drawdown":30.301096474759305,"win_rate":57.14285714285714,"sample":7,"mean_trade_pct":4.488646425436358,"half_kelly_fraction":1.259588472030996,"skipped_entries":3,"days":731,"symbol":"SOL","tf":"1Day","delay":1,"slippage_bp":10,"window":"train"},{"return":-12.867061844365734,"drawdown":27.75180407776515,"win_rate":16.666666666666664,"sample":6,"mean_trade_pct":-1.9201880405994836,"half_kelly_fraction":0,"skipped_entries":1,"days":255,"symbol":"SOL","tf":"1Day","delay":1,"slippage_bp":10,"window":"holdout"},{"return":21.95779562644765,"drawdown":30.718316751062513,"win_rate":57.14285714285714,"sample":7,"mean_trade_pct":4.071524831557579,"half_kelly_fraction":1.1396809107852504,"skipped_entries":3,"days":731,"symbol":"SOL","tf":"1Day","delay":1,"slippage_bp":30,"window":"train"},{"return":-14.933366476414351,"drawdown":28.613605016046417,"win_rate":16.666666666666664,"sample":6,"mean_trade_pct":-2.3117253883536195,"half_kelly_fraction":0,"skipped_entries":1,"days":255,"symbol":"SOL","tf":"1Day","delay":1,"slippage_bp":30,"window":"holdout"}]. Models ignore historical quotes/depth/vintages, bar-open execution is idealized; compare15m manager experiment separately. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Diagnostic C91306, predeclared60 cells. Fresh false-to-true close>prior20calendar highs daily or480hour highs hourly. Train2024–25; known2026Jan1–Sep12holdout, each startsflat;2023warmup. Freeze ATR20 excluding signal UTCday, entry nextopen or delay; cancel delayedopen<=frozenhigh. Stop entry−2ATR,targetentry+6ATR,time20days; check at each sampledopen, gapovershootcharged, terminalclosecosted. Gross3R target notnet3R or mandatedquarter/BE policy; NOT live authorization. Exact25bp creditedcoin buyfee (vectorbt cash-equivalent1/.9975−1),25bpsell,10/30bpslip; customorderledger vectorbt finalcash reconciles<1e−5. No fill-forward missingprices forsignals;calendar reindex. SOL training incomplete. All cells=[{"return":-14.708540624975669,"drawdown":44.64384424276863,"win_rate":37.5,"sample":16,"mean_trade_pct":0.008970593893272566,"half_kelly_fraction":0.0024873558075877433,"skipped_entries":0,"days":731,"symbol":"ETH","tf":"1Day","delay":0,"slippage_bp":10,"window":"train"},{"return":-14.267479191675875,"drawdown":26.66399395121769,"win_rate":20,"sample":5,"mean_trade_pct":-2.705731396618394,"half_kelly_fraction":0,"skipped_entries":0,"days":255,"symbol":"ETH","tf":"1Day","delay":0,"slippage_bp":10,"window":"holdout"},{"return":-19.996206876800684,"drawdown":45.63156263014141,"win_rate":31.25,"sample":16,"mean_trade_pct":-0.39026800899233693,"half_kelly_fraction":0,"skipped_entries":0,"days":731,"symbol":"ETH","tf":"1Day","delay":0,"slippage_bp":30,"window":"train"},{"return":-15.965104127502231,"drawdown":27.24834401499575,"win_rate":20,"sample":5,"mean_trade_pct":-3.0941328333627305,"half_kelly_fraction":0,"skipped_entries":0,"days":255,"symbol":"ETH","tf":"1Day","delay":0,"slippage_bp":30,"window":"holdout"},{"return":36.47267904464448,"drawdown":21.57214775719677,"win_rate":50,"sample":12,"mean_trade_pct":3.538484334478619,"half_kelly_fraction":1.230337788564526,"skipped_entries":4,"days":731,"symbol":"ETH","tf":"1Day","delay":1,"slippage_bp":10,"window":"train"},{"return":-27.458382948521432,"drawdown":31.940702695446642,"win_rate":20,"sample":5,"mean_trade_pct":-5.9858843962766635,"half_kelly_fraction":0,"skipped_entries":3,"days":255,"symbol":"ETH","tf":"1Day","delay":1,"slippage_bp":10,"window":"holdout"},{"return":0.6462735851387151,"drawdown":33.212708089850764,"win_rate":41.66666666666667,"sample":12,"mean_trade_pct":0.9303542086100828,"half_kelly_fraction":0.3220385665883565,"skipped_entries":4,"days":731,"symbol":"ETH","tf":"1Day","delay":1,"slippage_bp":30,"window":"train"},{"return":-28.89480936909855,"drawdown":32.88662968098834,"win_rate":20,"sample":5,"mean_trade_pct":-6.361191370663713,"half_kelly_fraction":0,"skipped_entries":3,"days":255,"symbol":"ETH","tf":"1Day","delay":1,"slippage_bp":30,"window":"holdout"}]. Models ignore historical quotes/depth/vintages, bar-open execution is idealized; compare15m manager experiment separately. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Diagnostic C91306, predeclared60 cells. Fresh false-to-true close>prior20calendar highs daily or480hour highs hourly. Train2024–25; known2026Jan1–Sep12holdout, each startsflat;2023warmup. Freeze ATR20 excluding signal UTCday, entry nextopen or delay; cancel delayedopen<=frozenhigh. Stop entry−2ATR,targetentry+6ATR,time20days; check at each sampledopen, gapovershootcharged, terminalclosecosted. Gross3R target notnet3R or mandatedquarter/BE policy; NOT live authorization. Exact25bp creditedcoin buyfee (vectorbt cash-equivalent1/.9975−1),25bpsell,10/30bpslip; customorderledger vectorbt finalcash reconciles<1e−5. No fill-forward missingprices forsignals;calendar reindex. SOL training incomplete. All cells=[{"return":-20.246747205256327,"drawdown":30.99747645438119,"win_rate":38.88888888888889,"sample":18,"mean_trade_pct":-0.807128911609015,"half_kelly_fraction":0,"skipped_entries":0,"days":731,"symbol":"BTC","tf":"1Day","delay":0,"slippage_bp":10,"window":"train"},{"return":-10.117357948740391,"drawdown":24.74016665003479,"win_rate":33.33333333333333,"sample":6,"mean_trade_pct":-1.4488758062713305,"half_kelly_fraction":0,"skipped_entries":0,"days":255,"symbol":"BTC","tf":"1Day","delay":0,"slippage_bp":10,"window":"holdout"},{"return":-30.93986553801804,"drawdown":34.9768857956267,"win_rate":31.57894736842105,"sample":19,"mean_trade_pct":-1.5044362646029363,"half_kelly_fraction":0,"skipped_entries":0,"days":731,"symbol":"BTC","tf":"1Day","delay":0,"slippage_bp":30,"window":"train"},{"return":-12.248870136238835,"drawdown":25.93474703271117,"win_rate":33.33333333333333,"sample":6,"mean_trade_pct":-1.8422946456240648,"half_kelly_fraction":0,"skipped_entries":0,"days":255,"symbol":"BTC","tf":"1Day","delay":0,"slippage_bp":30,"window":"holdout"},{"return":-25.735904053020175,"drawdown":35.95149351306597,"win_rate":43.75,"sample":16,"mean_trade_pct":-1.315661643226236,"half_kelly_fraction":0,"skipped_entries":7,"days":731,"symbol":"BTC","tf":"1Day","delay":1,"slippage_bp":10,"window":"train"},{"return":-0.2686556274030494,"drawdown":13.776620128535388,"win_rate":40,"sample":5,"mean_trade_pct":0.21390039637057848,"half_kelly_fraction":0.2250106253509645,"skipped_entries":1,"days":255,"symbol":"BTC","tf":"1Day","delay":1,"slippage_bp":10,"window":"holdout"},{"return":-27.41915671025025,"drawdown":35.92711984837932,"win_rate":43.75,"sample":16,"mean_trade_pct":-1.4781360920575894,"half_kelly_fraction":0,"skipped_entries":7,"days":731,"symbol":"BTC","tf":"1Day","delay":1,"slippage_bp":30,"window":"train"},{"return":-0.21227381922949462,"drawdown":13.034926770540778,"win_rate":40,"sample":5,"mean_trade_pct":0.19279753982137687,"half_kelly_fraction":0.22387335315499568,"skipped_entries":1,"days":255,"symbol":"BTC","tf":"1Day","delay":1,"slippage_bp":30,"window":"holdout"}]. Models ignore historical quotes/depth/vintages, bar-open execution is idealized; compare15m manager experiment separately. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Re-read query_trades fund=crypto at06:02UTC. Only trade10: BTC entry81614.8 exit81548.7 qty.001681857, opened2026-09-03T19:42:24.677Z closed20:30:20.345Z by operator liquidation. Price return−.0809902%, price PnL−.111171USD, wins0/1; stop73440,target97900 were not triggered. No contemporaneous entry reference quote or itemized fees, so slippage unavailable. Premises: externally censored N1 is not a strategy payoff sample; old breakout/media reason does not validate today's delayed-entry control. Conclusion no empirical live Kelly from this record. Current no own open/pending positions. Source query_trades fund=crypto and supplied Sep13 venue account context.

Start state: account equity $850.99; crypto allocation and cash $119.14; no own positions or queued orders. Goal: positive executable expectancy with an asymmetric payoff. Binding constraint: a fresh entry under a validated policy, not available cash. 1. The deep dive tested whether stablecoin growth provides leading information beyond price momentum. Circle/CCTP mechanics show that issuance, payments, collateral and chain migration are distinct; same-date September10 issuer/aggregator USDC totals differ by $485.696m, so historical definitions and publication vintages remain material. 2. Eighteen OLS/HAC specifications at one- and seven-day horizons have supply confidence intervals crossing zero. This does not establish causality or prove no effect. The prior is only weakly updated toward using supply as context. 3. The frozen two-day USDC30-day-growth filter plus SMA200 produced 2026 costed BTC/ETH/SOL returns −2.1408%/+3.6668%/+5.4333%, below identical price-only controls +10.6800%/+11.3014%/+18.3668%. ETH training +75.032% versus control +37.141% is the strongest counterargument, but it did not persist. Lag sensitivity and only two holdout trades prevent a reliable payoff estimate. Reject this incremental filter; do not select a favorable lag after seeing results. All168 daily/hourly cells recorded; hourly daily-state execution is not independent replication. Managed exits were not tested in this new diagnostic, so it does not authorize a trade. 4. Current completed03UTC bars still fail HIGH480 for all seven volatile top-ten names. ETH's prior pullback was available September11 22UTC and has no new arm. A new strategy that happens to be long cannot justify buying that old entry. 5. Half-Kelly training plug-ins are unstable (ETH USDC3.9947 before caps); holdouts without both wins and losses have undefined Kelly, not infinite confidence. Actual size0. Quarter-fund ceiling$29.785 is a ceiling, not a prescribed order. Hypothetical2ATR stop losses$1.97–3.35 and full-exitnet3R target gains20.52–34.56% are illustrations, not adopted exits; correlated20-day path risk can dominate quiet two-hour observations. Conclusion: no orders; retain$119.14cash. Accept missed-upside risk rather than weaken the entry policy to address the $349.01 monthly shortfall. This is not a bearish market forecast. A fresh tested entry with defensible managed net payoff and current venue caps can change the decision. Maintenance: replaced247/249 with253/255 and exhausted248 with254; all first remote END receipts verified around04:16UTC, embedded cutoffs06:30UTC. Preserve daily14/25 and Arc104/307, FOMC330, GME152, Sepolia35. No separate fund proposal. Sources https://www.circle.com/transparency ; https://developers.circle.com/cctp ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://runway.adityaperswal.workers.dev/data/crypto-bars .

query_trades fund=crypto returns one closed BTC lot: entry81614.80, exit81548.70, quantity.001681857, openedSep3 19:42:24.677UTC, closed20:30:20.345UTC by operator liquidation. Raw price return−.0809902%, price-PnL−.111171USD, observed0/1wins; neither stop nor target determined exit. No entry quote/reference price or separate fee ledger supports a slippage estimate. Its old price-breakout thesis was not tonight's supply rule. Premises: one externally terminated trade is not a strategy distribution; do not estimate win/loss odds or half-Kelly from this lot. Current own book has no open or pending crypto orders; EEM belongs to trend and is outside this review. Source query_trades fund=crypto; user venue context asSep13 04:01UTC. Conclusion use recorded research controls, not0/1pseudo-confidence; actualallocation0.

Ran node /app/agent/dist/backtest.js --symbols BTC/USD,ETH/USD,SOL/USD --strategy sma-cross --fast 1 --slow 200 --days 981. Grossreturn/DD/win/closedN:BTC14.4761/31.2332/15.3846/13;ETH10.7680/37.8551/11.1111/9;SOL8.3228/32.9545/0/3. Sourceengine same-closeexecution, nofees/holdout;982barsBTCETH/749SOLincludingpartialSep13bar, openmark-to-marketexplainspositiveSOLtotalwith0closedwins. Cannotimplementstablecoinsignal; suppliesonlymandatoryCLIcontrol. Costed daily/hourly168cells andholdoutsrecordedseparately. Noorder,nochoicefromgrossoutput. Source https://runway.adityaperswal.workers.dev/data/crypto-bars .

Companion to3130, same lag2 seven-dayUSDCunitgrowth and prior7day price momentum, next1daylogreturn as outcome, OLSHAC7. Purge final1trainingday:2024Jan1–2025Dec30; knownholdoutJan1–Sep11 outcomes throughSep12. BTC/ETHtrainN730,SOL485;holdoutN254. Trainingbetas-.001839/+.016259/-.104505 withp .968210/.780891/.114559. Holdoutbetas .088794/.122204/.136675,p .365205/.456096/.302054 and95%CIs[-.103403,.280991]/[-.199167,.443575]/[-.122887,.396236]. Allcrosszero; noone-dayleadingeffect established. This fulfills originallyspecified1/7dayresolution, notanewchosenwinninghorizon. Revision/availabilityuncertainty, omittedcommonmacrodrivers andsmallregimes limitinference; nocausalclaimororder. Sources https://stablecoins.llama.fi/stablecoin/2 ; https://runway.adityaperswal.workers.dev/data/crypto-bars .

Sep12completedcloses BTC77266.385 ETH2525.045 SOL101.7655 exceedSMA20070095.0660/2055.8333/83.04133. ATR202335.03218/94.40365/5.45756. Nonetheless Sep13completed03UTC HIGH480fails BTC77184.35<82233.50254, ETH2520.3465<2664.8535, SOL101.575<110.5357; samecollectorall7false, ETHlastpullbackavailableSep11 22UTC,no newarm. Positive200daytrend does notretroactively createfreshHIGH/pullback. Illustrationonly: entrySep12close*1.001,stopE-2ATR,full-exitnet3R with25bpentrycoin/exitUSDfee+10bpsellslip requiresgains20.5241/24.8197/34.5551%; targets93217.7762/3154.9047/137.06755.235unconditional2026rolling20dayMFE P9018.1013/23.8079/23.1779%; coverage8.5106/8.5106/7.2340%,notstop-adjustedodds. These full-exit targets are NOT the mandated +2Rquarter/trailingpolicy; its finaltarget bridge mustbe solvedseparately. Illustrativequarter29.785netstoploss1.9660/2.3900/3.3507USD;noactuallevelsadopted. Low unconditionalcoverage isnotautomaticvetoonfat-tailtrades, butitdoesnotvalidate anentry. Bindingconstrainttodayfreshpolicyentry,andnewstablecoinfilterfailedincrementalholdout;actualsize0. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

NumPyseed91304 resamples10000 contiguous20-day joint BTC/ETH/SOL daily close-return paths from235 overlapping2026 windows, equal initial weights buy-and-hold, preserving within-block correlations. TerminalP1-32.9802%,P5-28.9933%,P95+28.2082%; first-percentile worst path value-40.2133%=>-$47.9102 on119.14fullfund or-$11.9775 on29.785quarterfund. Daily-return correlations BTCETH.911160, BTCSOL.878579, ETHSOL.879436. Premises: risk compounds across the intended horizon; three majors are strongly correlated. Counterexample: unobserved gap or exchange failure can be worse. These are historical-resampling scenarios, not forecast odds, no entry conditioning/fees/stops/rebalancing; draws from235windows are not10000independent historical events. A25%jointcrash costs29.785USDfullfund=3.5%account versus7.44625USDquarter=.875%account. Actualexposure0. Need current executable entry and policy-specific stops before using size; do not extrapolate earlier quiet2hourweekend distribution over20days. Source https://runway.adityaperswal.workers.dev/data/crypto-bars .

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return-11.006206%, DD34.649737%, win0.000%, N3; holdout return5.433297%, DD10.758956%, win100.000%, N2. Price-only holdout18.366768% N1. Daily signal mapped to hourly opens; identical fills when00UTC exists, hourly marks expose greater intraday drawdown. This is not independent replication or an hourly supply series. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return-11.006206%, DD33.249904%, win0.000%, N3; holdout return5.433297%, DD9.663307%, win100.000%, N2. Price-only holdout18.366768% N1. Daily portfolio marks understate intraday drawdown; hourly companion uses identical information timing. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return75.031958%, DD35.057611%, win33.333%, N9; holdout return3.666842%, DD6.462538%, win100.000%, N2. Price-only holdout11.301377% N1. Daily signal mapped to hourly opens; identical fills when00UTC exists, hourly marks expose greater intraday drawdown. This is not independent replication or an hourly supply series. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return75.031958%, DD33.073196%, win33.333%, N9; holdout return3.666842%, DD4.774546%, win100.000%, N2. Price-only holdout11.301377% N1. Daily portfolio marks understate intraday drawdown; hourly companion uses identical information timing. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return30.157692%, DD36.117294%, win27.778%, N18; holdout return-2.140782%, DD6.395037%, win50.000%, N2. Price-only holdout10.679989% N1. Daily signal mapped to hourly opens; identical fills when00UTC exists, hourly marks expose greater intraday drawdown. This is not independent replication or an hourly supply series. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return30.157692%, DD33.907307%, win27.778%, N18; holdout return-2.140782%, DD5.824592%, win50.000%, N2. Price-only holdout10.679989% N1. Daily portfolio marks understate intraday drawdown; hourly companion uses identical information timing. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen question: does seven-day USDC unit growth, available after two calendar days, predict the next seven-day log return after controlling for preceding seven-day price momentum? OLS with intercept and Newey-West/HAC7 covariance; training2024Jan1–2025Dec24 (purged final7days), holdout2026Jan1–Sep5 with outcomes throughSep12. Current-vintage Llama aggregate history, publication vintages unknown; no causal identification. BTC/ETH trainN724, SOLN479 due missing history; each holdoutN248. USDC training betas BTC-.000083, ETH-.229591, SOL-.504461, all95%CIs include0. Holdout betas .938418/1.453205/1.425510, CIs[-.322597,2.199434]/[-.563767,3.470178]/[-.388353,3.239373], p .14469/.15791/.12348. CombinedUSDC+USDT holdout betas2.69896/3.34271/3.51804 also cross0. Lagged future correlations~.25–.28 look encouraging in2026, but training future correlations nearzero/negative; contemporaneous trailing-price correlations generally larger. Counterexample: SOL2026USDC future corr .27246 exceeds past .24848, so it is false to claim supply always follows price. Validity: the models do not establish incremental stable predictive content; they do NOT prove no effect or direction of causality. Priors only weakly updated toward context rather than standalone signal. Need prospective publication-stamped samples and repeatable net holdout improvement to upgrade. Sources https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://runway.adityaperswal.workers.dev/data/crypto-bars .