A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026, with entries and exits only within these time frames. A common 20-session warmup period removes January 2016 from consideration. Week 2 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are calculated using a lagged 20-session average daily range, with a target of 1.5 times the average daily range, and narrow and wide ranges of 0.75/1.125 and 1.25/1.875, respectively. The breakeven stop is raised the next session after a high of +1 average daily range. A news scan found the headline was not applicable, instead, the Vectorbt system is used for explicit long-only trades, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is calculated from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies, not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and equal-sleeve portfolio: the SPY fund has a sample size of 60, a win rate of 50, a mean return of -0.084, an average win of 1.217, an average loss of 1.385, a quarter Kelly criterion of 0, a worst return of -2.608, a total return of -5.525, a drawdown of 15.54, and exit counts of 24 stops, 17 targets, 13 time exits, 5 target gaps, and 1 stop gap, with a mean confidence interval percentage of -0.534 to 0.355. The IWM fund has a sample size of 60, a win rate of 40, a mean return of -0.340, an average win of 2.116, an average loss of 1.978, a quarter Kelly criterion of 0, a worst return of -3.062, a total return of -19.616, a drawdown of 23.62, and exit counts of 29 stops, 13 targets, 8 time exits, 6 target gaps, and 4 stop gaps, with a mean confidence interval percentage of -0.898 to 0.24. The portfolio return is -10.164, and the portfolio drawdown is 14.57. All datapoints were recorded in matching observations. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. A 20-session warmup period is used, which removes January 2016 from consideration. Week 2 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent strategy uses the previous week's last close to the current week's last close, and the open from the first open to the last close. A managed stop is used, with a lag of 20 sessions, and a target of 1.5 times the average daily range. The stop is narrowed to 0.75 or 1.125, and widened to 1.25 or 1.875. If the investment reaches a high of +1 times the average daily range, the stop is raised the next session. The investment strategy is long-only, with a fee of 1 basis point plus 5 basis points for slippage per side, and 1000 USD is used for each independent sleeve. The cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at the open and close marks, not during the full trading day. A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The results for OEF and the comparison figures are as follows: the SPY had a sample size of 60, a win rate of 51.67%, a mean return of 0.116%, and a drawdown of 13.05%. The IWM had a sample size of 60, a win rate of 40%, a mean return of -0.140%, and a drawdown of 14.48%. The portfolio return was 1.29%, and the portfolio drawdown was 11.97%.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are comparison investments, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026, with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. Week 2 is determined by calendar Friday ordinal, with holidays using the last actual session. The parent investment's previous week last close to current week last close, open first open to last close, and managed stop are considered, with a lagged 20-session average daily range and target of 1.5 times the average daily range. The stop is raised to breakeven after a high of +1 average daily range. A vectorbt explicit long-only strategy is used, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD each independent sleeve, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The results for OEF and comparison figures are provided, including a sample size of 59, win rate, mean, average win, average loss, quarter Kelly, worst, return, drawdown, and exit counts. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period, which is a time when the fund is not actively trading, is divided into several periods: development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. The fund only enters or exits trades within these set periods. A 20-session warmup period removes January 2016 from consideration. The week is defined by the calendar Friday, and holidays use the last actual trading session. The parent fund's performance is measured from the last close of the previous week to the last close of the current week. The open is measured from the first open to the last close. A managed stop, which is a strategy to limit losses, is in place with a lag of 20 sessions and a target of 1.5 times the average daily range, or ADR, which is a measure of how much a stock's price moves on average each day. The stop is narrowed to 0.75 or 1.125 times the ADR, and widened to 1.25 or 1.875 times the ADR. If the fund reaches a high of +1 ADR, the stop is raised the next session. The fund uses a vectorbt, which is a type of trading strategy, with a long-only approach, meaning it only buys stocks, and fees of 1 basis point plus 5 basis points for slippage per trade. Each independent fund has 1000 USD, and idle cash is set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown, which is a measure of the decline in value of a fund, is observed at the open and close marks, not throughout the entire trading day. The fund does not claim live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication. The mean confidence interval, or CI, is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies, not kept pristine for research-wide out-of-sample testing. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A news scan found the headline and data from https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. The week is determined by the calendar Friday ordinal, with holidays using the last actual session. The parent strategy uses the previous week's last close to the current week's last close, open first open to last close, and a managed stop with a 1.5 average daily range target. The stop loss is raised to breakeven after a +1 average daily range high. A vectorbt explicit long-only strategy is used, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD each independent sleeve. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are provided, along with comparison figures and an equal-sleeve portfolio. A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026, with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. Week 1 is determined by calendar Friday ordinal, with holidays using the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop 1 lagged 20-session ADR, or average daily range, divided by target 1.5 ADR, with narrow and wide ranges, are used. A breakeven raises the stop the next session after a 1 ADR high. The stop-first OHLC, or open, high, low, close, ambiguity, adverse gap at open, and favorable gap capped at target, are considered, with time exit last close. Vectorbt, a trading platform, is used with explicit long-only, fee 1 basis point plus 5 basis points slippage per side, 1000 USD each independent sleeve, and idle cash 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. A news scan found the headline is not available, but data was retrieved from https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The OEF figures and comparison figures are as follows: the SPY sample has 59 observations, a win rate of 45.76%, a mean of 0.0388, an average win of 1.4231, an average loss of 1.1292, a quarter Kelly criterion of 0.0068, a worst loss of -2.4108, a return of 1.7133, a drawdown of 10.4206, and exit counts of stop 23, target 13, time 13, stop gap 6, and target gap 4. The IWM sample has 59 observations, a win rate of 37.29%, a mean of -0.2098, an average win of 2.3402, an average loss of 1.7259, a quarter Kelly criterion of 0, a worst loss of -2.7714, a return of -12.7719, a drawdown of 21.9535, and exit counts of stop 29, target 14, time 9, stop gap 5, and target gap 2. The portfolio return is -3.6290 and the portfolio drawdown is 13.2572. All datapoints were recorded in matching observations.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, and SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026. A common 20-session warmup is used, excluding only January 2016. Week 1 is determined by the calendar Friday ordinal, and holidays use the last actual session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and the open is from the first open to the last close. A managed stop is used, with a lagged 20-session average daily range, or ADR, and a target of 1.5 times the ADR. The stop is narrowed to 0.75 and 1.125, and widened to 1.25 and 1.875. If the fund reaches a high of +1 ADR, the stop is raised the next session. The Vectorbt system is used, which is a long-only system, meaning it only buys assets, with a fee of 1 basis point, or 0.01%, plus 15 basis points, or 0.15%, slippage per side. Each independent fund has 1000 USD, and idle cash is 0. The final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval, or CI, is from 10,000 quarter-block samples. A news scan found the headline is not available, but the data is from the sources https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The OEF figures and comparison figures are as follows: the SPY fund has a sample size of 59, a win rate of 55.93%, a mean return of -0.2715%, an average win of 1.1959%, an average loss of 2.1341%, a quarter Kelly of 0, a worst return of -9.3557%, a return of -16.0747%, a drawdown of 25.0591%, and an exit count of 59. The IWM fund has a sample size of 59, a win rate of 45.76%, a mean return of -0.3534%, an average win of 2.2971%, an average loss of 2.5898%, a quarter Kelly of 0, a worst return of -9.8976%, a return of -21.2498%, a drawdown of 35.2810%, and an exit count of 59. The portfolio return is -17.1397%, and the portfolio drawdown is 28.1429%. All datapoints were recorded in matching observations. The primary fund, OEF, had a holdout parent week 1 return of 16 basis points, or 0.16%.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, and SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026, with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. Week 1 is determined by calendar Friday ordinal, and holidays use the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are calculated using a lagged 20-session average daily range and target 1.5 average daily range, with narrow and wide ranges of 0.75/1.125 and 1.25/1.875, respectively. The breakeven raises the stop the next session after a +1 average daily range high. The stop-first open, high, low, and close ambiguity, adverse gap at open, and favorable gap capped at target are considered, with time exit last close. Vectorbt is used for explicit long-only trades, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each independent sleeve, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. No live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication are claimed. The mean confidence interval is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout has been historically reused across other strategies, not pristine research-wide out-of-sample. OEF figures are below, along with comparison figures and equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":59,"win_rate":57.6271186440678,"mean":-0.07188650988106986,"avgwin":1.361607809020747,"avgloss":2.021438783587541,"quarterkelly":0,"worst":-9.1742483291823,"return":-5.563570858208515,"drawdown":20.594177152230365,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":["-0.5472218785802274","0.4272605120601107"]},"IWM":{"sample":59,"win_rate":47.45762711864407,"mean":-0.1539434411814485,"avgwin":2.416228829053768,"avgloss":2.4753893626842247,"quarterkelly":0,"worst":-9.717179189694336,"return":-11.386748459220758,"drawdown":30.525503585869394,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":["-0.8833410497274427","0.5577701554873787"]},"portfolio_return":-6.761890546670324,"portfolio_drawdown":22.33672758248669}. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete. The common 20-session warmup removes only January 2016. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop with a 1.5 average daily range target are considered. A breakeven stop is raised the next session after a +1 average daily range high. The stop-first open, high, low, close ambiguity, adverse gap at open, and favorable gap capped at target are time exit last close. Vectorbt is used for explicit long-only trades with a 1 basis point fee plus 15 basis points slippage per side, and 1000 USD is allocated to each independent sleeve with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. A news scan found the headline 'QOE90906 OEF primary: extension wide week3 16bps'. The OEF figures and comparison figures for the equal-sleeve portfolio are provided, including sample size, win rate, mean, average win, average loss, quarter Kelly, worst, return, drawdown, exit counts, and mean confidence interval percentage. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete windows, only using entries and exits within each partition. A common 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop, which is a mechanism to limit losses, uses a lagged 20-session average daily range, or ADR, with a target of 1.5 times the ADR, and has narrow and wide ranges of 0.75/1.125 and 1.25/1.875, respectively. The breakeven point raises the stop in the next session after a high of +1 ADR. The stop-first OHLC, or open, high, low, close, ambiguity is addressed, with adverse gaps at open and favorable gaps capped at the target, and time exit is at the last close. Vectorbt, a backtesting framework, is used with explicit long-only positions, a fee of 1 basis point plus 5 basis points slippage per side, 1000 USD each for independent sleeves, and idle cash set to 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown, or the decline in value, is observed at open and close marks, not full intraday. There are no live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication claimed. The mean confidence interval, or CI, is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period is historically reused across other strategies, not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":8,"win_rate":50,"mean":-0.16489815689597065,"avgwin":1.1922528730381021,"avgloss":1.5220491868300434,"quarterkelly":0,"worst":-1.825109615319731,"return":-1.3965400933345449,"drawdown":4.5237086182618125,"exit_counts":{"stop":3,"time":2,"target":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":["-1.3895756089966702","0.6732373121036498"]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.3429666750983315,"avgwin":2.0719094444604584,"avgloss":1.7918923468336057,"quarterkelly":0,"worst":-2.6764635314450835,"return":-2.8764741557955857,"drawdown":6.224424547766938,"exit_counts":{"stop":3,"target":2,"time":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":["-1.06312481225143","0.09515681742900996"]},"portfolio_return":-2.2318371221277777,"portfolio_drawdown":4.389145815311924}. All datapoints were recorded in matching observations. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A news scan found the headline 'QOE90906 OEF primary: extension narrow week3 16bps'. Frozen protocol 1388–1389 uses OEF as the primary fund, with SPY and IWM as comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development, 2021 to 2025 for holdout, and January to August 2026 for the complete window, with entries and exits only within each partition. A 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and from the open to the last close, with a managed stop at 1.5 times the average daily range, and a narrow range of 0.75 to 1.125, and a wide range of 1.25 to 1.875. The stop is raised to the breakeven point after a high of +1 average daily range. The Vectorbt system is used for explicit long-only trades, with a fee of 1 basis point plus 15 basis points for slippage per side, and 1000 USD for each independent sleeve, with idle cash set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies, not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and equal-sleeve portfolio: the SPY fund has a sample size of 8, a win rate of 25, a mean return of -0.6366, an average win of 1.0381, an average loss of 1.1948, a quarter Kelly criterion of 0, a worst return of -1.6959, a return of -5.0186, a drawdown of 5.581, exit counts of 4 stops, 2 stop gaps, 1 time exit, and 1 target gap, with a mean confidence interval percentage of -1.4879 to -0.3379. The IWM fund has a sample size of 8, a win rate of 37.5, a mean return of -0.5425, an average win of 1.1059, an average loss of 1.5316, a quarter Kelly criterion of 0, a worst return of -2.8323, a return of -4.3377, a drawdown of 6.0123, exit counts of 3 stops, 2 time exits, 1 target, 1 stop gap, and 1 target gap, with a mean confidence interval percentage of -0.9206 to -0.4051. The portfolio return is -3.8537, and the portfolio drawdown is 5.2187. All datapoints were recorded in matching observations. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete. The common 20-session warmup removes only January 2016. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are all considered, with a narrow stop of 0.75 and 1.125 and a wide stop of 1.25 and 1.875. A breakeven raises the stop the next session after a +1 ADR high. The Vectorbt system is used for explicit long-only trades, with a fee of 1 basis point plus 5 basis points for slippage per side, and 1000 USD for each independent sleeve, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is from 10,000 quarter-block samples. The holdout has been historically reused across other strategies. The OEF figures are below, along with comparison figures and equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":8,"win_rate":25,"mean":-0.4376696034672556,"avgwin":1.240348089516663,"avgloss":0.9970088344618951,"quarterkelly":0,"worst":-1.4990580326544323,"return":-3.4867034837302753,"drawdown":4.536594295687257,"exit_counts":{"stop":4,"stop_gap":2,"time":1,"target_gap":1},"ambiguous":0,"mean_ci_pct":["-1.2907621595293248","-0.13833191259634334"]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.34340841841646874,"avgwin":1.3083226828918124,"avgloss":1.3344470792014373,"quarterkelly":0,"worst":-2.6378118069097845,"return":-2.794742123123558,"drawdown":4.9544357612364305,"exit_counts":{"stop":3,"time":2,"target":1,"stop_gap":1,"target_gap":1},"ambiguous":0,"mean_ci_pct":["-0.72221600621015","-0.20571638438380663"]},"portfolio_return":-2.303021304180708,"portfolio_drawdown":4.1702618843194035}. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. The OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete windows, where entries and exits only occur within these time frames. A common 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and from the open to the last close. A managed stop is in place, with a 1.5 average daily range target, and a breakeven point that raises the stop in the next session after a high of +1 average daily range. The stop is subject to first open, high, low, and close ambiguity, with adverse gaps at open and favorable gaps capped at the target. Time exits are based on the last close. The vectorbt system is used, with an explicit long-only strategy, a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD allocated to each independent fund, with no idle cash. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The results for OEF and the comparison funds are as follows: a news scan found the headline 'QOE90906 OEF primary: extension breakeven week3 16bps'. A data line from the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051 shows the performance of the funds.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The extension period is from January to August 2026, with certain rules for buying and selling. A common 20-session warm-up period is used, which removes January 2016 from consideration. Week 3 is determined by the calendar Friday, and holidays use the last actual trading session. The investment strategy is based on the previous week's last close to the current week's last close, with specific rules for opening and closing positions. A managed stop is used, with a target of 1.5 times the average daily range, and a breakeven point that raises the stop in the next session after a high of +1 average daily range. The strategy uses a long-only approach, with fees of 1 basis point plus 5 basis points for slippage per side, and $1000 for each independent investment. The results are reconciled to ensure accuracy, and drawdown is observed at open and close marks. The data is based on 10,000 quarter-block samples, and the holdout period is historically reused across other strategies. The results for OEF and the comparison investments are as follows: OEF had a sample size of 8, a win rate of 37.5%, a mean return of -0.2173, and a drawdown of 4.0675. SPY had a sample size of 8, a win rate of 37.5%, a mean return of -0.3339, and a drawdown of 5.3576. IWM had a sample size of 8, a win rate of 37.5%, a mean return of -0.3339, and a drawdown of 5.3576. The portfolio return was -1.9239, and the portfolio drawdown was 3.8816. The data points were recorded in matching observations. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The extension period is from January to August 2026, with certain rules for buying and selling. A 20-session warmup period is used, which removes January 2016 from consideration. The third week is determined by the calendar Friday. If there is a holiday, the last actual trading session is used. The investment strategy is based on the previous week's closing price to the current week's closing price. A managed stop is used, which is a way to limit losses, with a target of 1.5 times the average daily range, or ADR, which is a measure of how much a stock's price moves in a day. The stop loss is adjusted if the investment makes a profit of more than 1 ADR. The investment strategy is long-only, meaning it only buys stocks, and it uses a fee of 1 basis point, or 0.01%, plus a 15 basis point slippage per trade. Each investment sleeve starts with 1000 USD and idle cash is set to 0. The return on investment is calculated using compounded cash trade returns and trade count. Drawdown, or the decrease in value, is observed at the open and close of trading, not throughout the day. The results are based on 10,000 quarter-block samples and the holdout period is from 2021 to 2025. The results for OEF and the comparison investments, SPY and IWM, are as follows: OEF had a return of -3.2136%, a drawdown of 4.5461%, and an average win of 1.1306%. SPY had a return of -3.2136%, a drawdown of 4.5461%, and an average win of 1.1306%. IWM had a return of -4.3009%, a drawdown of 6.4110%, and an average win of 1.4869%. The portfolio return was -3.6553% and the portfolio drawdown was 4.9351%. The data was sourced from https://runway.adityaperswal.workers.dev and https://www.sciencedirect.com.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete. The common 20-session warmup removes only January 2016. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are all considered, with a lagged 20-session average daily range and target of 1.5 times the average daily range. The stop loss is raised to breakeven after a +1 average daily range high. A vectorbt explicit long-only strategy is used, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. A news scan found the headline is not available, but data was retrieved from https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The OEF figures and comparison figures are as follows: for SPY, the sample size is 8, win rate is 50, mean is -0.1997, average win is 1.0051, average loss is 1.4044, quarter Kelly is 0, worst is -1.8251, return is -1.6526, drawdown is 4.0675, exit counts are stop gap 3, time 2, target 2, stop 1, and mean CI percentage is between -1.2908 and 0.5146. For IWM, the sample size is 8, win rate is 37.5, mean is -0.3340, average win is 1.6901, average loss is 1.5484, quarter Kelly is 0, worst is -2.6378, return is -2.7574, drawdown is 5.3576, exit counts are stop 3, target 2, time 2, stop gap 1, and mean CI percentage is between -0.8654 and -0.0488. The portfolio return is -2.1014 and portfolio drawdown is 3.8835. All data points were recorded in matching observations.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, and SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2026, divided into development and holdout periods. The common 20-session warmup removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are calculated using specific formulas, including a 20-session average daily range and a target of 1.5 times the average daily range. The stop loss is raised after a +1 average daily range high. The vectorbt system is used for explicit long-only trading, with fees of 1 basis point plus 15 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are provided below, along with comparison figures and equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":8,"win_rate":37.5,"mean":-0.19226197607448564,"avgwin":1.8625184174611158,"avgloss":1.4251302121958465,"quarterkelly":0,"worst":-3.0063434995064364,"return":-1.7019811194487489,"drawdown":5.434892460108176,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-1.599191032223835","1.2677983378347433"]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.07998534849282118,"avgwin":2.777821775890847,"avgloss":1.7946696231230221,"quarterkelly":0,"worst":-3.1529610054731427,"return":-0.9240712787871302,"drawdown":6.2807607488541635,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-1.1476618835420198","0.7034924242777001"]},"portfolio_return":-1.1954302500235992,"portfolio_drawdown":5.414838424117619}. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development, 2021 to 2025 for holdout, and January to August 2026 for the complete window, with entries and exits only within each partition. A 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop with a 1.5 average daily range target and a 20-session lag are all considered. A breakeven stop is raised the next session after a +1 average daily range high. The stop-first open, high, low, close ambiguity, adverse gap at open, and favorable gap capped at target are all taken into account, with time exit at last close. The vectorbt system is used with explicit long-only positions, a 1 basis point fee plus 5 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash at 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. No live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication are claimed. The mean confidence interval is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies, not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and equal-sleeve portfolio. A news scan found the data line: {"SPY":{"sample":8,"win_rate":50,"mean":0.007553465276304017,"avgwin":1.555109709134661,"avgloss":1.540002778582053,"quarterkelly":0.0012142978131920862,"worst":-2.8121618592289455,"return":-0.11656156556653059,"drawdown":4.865795615103363,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-1.40219226777476","1.4705368250515167"]},"IWM":{"sample":8,"win_rate":37.5,"mean":0.12005487105991863,"avgwin":2.9835833353232406,"avgloss":1.5980622074980744,"quarterkelly":0.010059621063585267,"worst":-2.9590728939564936,"return":0.673894951890702,"drawdown":5.701906664954737,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-0.9497591561546649","0.90510116907763"]},"portfolio_return":0.3981593123955962,"portfolio_drawdown":4.845620893070068}. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are comparison investments, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development, 2021 to 2025 for holdout, and January to August 2026 for the complete window, with entries and exits only within each partition. A common 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent investment's performance is measured from the previous week's last close to the current week's last close, and the open is from the first open to the last close. A managed stop is in place, with a lag of 20 sessions, and a target of 1.5 times the average daily range, with narrow and wide ranges of 0.75/1.125 and 1.25/1.875, respectively. The breakeven point raises the stop in the next session after a high of +1 average daily range. A news scan found the headline is not applicable here, instead, a trading system called Vectorbt is used, which is explicit long-only, with a fee of 1 basis point plus 15 basis points of slippage per side, and 1000 USD is allocated to each independent investment. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The results for OEF and the comparison investments are as follows: OEF had a return of -0.30771801079177985 and a drawdown of 4.497635637524777, while SPY had a sample size of 8, a win rate of 37.5, a mean return of -0.1045689015957571, and a drawdown of 4.68893152226525, and IWM had a sample size of 8, a win rate of 50, a mean return of 0.07773835366490234, and a drawdown of 5.533688718988072. A data line found the mean confidence interval from 10,000 quarter-block samples. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The extension period is from 2016 to 2020 for development, 2021 to 2025 for holdout, and January to August 2026 for the complete window. The common 20-session warmup removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent strategy looks at the previous week's last close to the current week's last close, open to last close, and uses a managed stop with a 1.5 average daily range target, which is a measure of price volatility over a specific period, and a 20-session average daily range lag. The stop loss is narrowed to 0.75 and 1.125, and widened to 1.25 and 1.875. If the investment reaches a high of +1 average daily range, the stop loss is raised the next session. The vectorbt system is used for explicit long-only investments, with a fee of 1 basis point plus 5 basis points for slippage per side, and 1000 USD is invested in each independent sleeve. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not during the full trading day. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period is historically reused across other strategies. The OEF figures are provided, along with comparison figures for SPY and IWM, and an equal-sleeve portfolio. A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period, which is a time when the investment strategy is not used to make actual investment decisions, is divided into several timeframes: 2016-2020, 2021-2025, and January to August 2026. The third week of the investment period, which ends on a Friday, has seen a return of 16 basis points. The investment strategy uses a 20-session warm-up period, which removes January 2016 from consideration. The strategy also uses a managed stop-loss, which is a mechanism to limit losses, and a target price, which is a price at which the investment is sold. The strategy is long-only, meaning it only buys investments, and it uses a fee of 1 basis point plus 15 basis points for slippage per side. A news scan found the headline was not available, but data was retrieved from https://runway.adityaperswal.workers.dev and https://www.sciencedirect.com. The results for OEF and the comparison investments, SPY and IWM, are as follows: SPY had a win rate of 36.67%, a mean return of -0.44%, and a drawdown of 24.40%. IWM had a win rate of 45%, a mean return of -0.37%, and a drawdown of 28.71%. The portfolio return was -22.51% and the portfolio drawdown was 24.01%.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period, which is a time frame used to test the investment strategy, is divided into several parts: development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. The common 20-session warmup removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent strategy looks at the previous week's last close to the current week's last close, and the open from the first open to the last close. A managed stop is in place, with a lag of 20 sessions, and the target is 1.5 times the average daily range, or ADR, which is a measure of the average daily price change. The stop is narrowed to 0.75 and 1.125 times the ADR, and widened to 1.25 and 1.875 times the ADR. If the investment reaches a high of +1 ADR, the stop is raised the next session. The investment strategy is long-only, meaning it only buys assets, and it uses a fee of 1 basis point, or 0.01%, plus 5 basis points of slippage per trade. Each independent investment sleeve starts with 1000 USD, and idle cash is set to 0. The final cash return is reconciled with the compounded cash trade returns and trade count. Drawdown, which is the peak-to-trough decline in the investment value, is observed at the open and close marks, not during the full trading day. The mean confidence interval, or CI, is calculated from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are provided below, along with comparison figures and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":60,"win_rate":38.333333333333336,"mean":-0.24269779862796456,"avgwin":1.5742513433779521,"avgloss":1.3721526706856966,"quarterkelly":0,"worst":-3.704643889774295,"return":-14.276268959790118,"drawdown":19.062429033688353,"exit_counts":{"time":23,"stop":22,"target":8,"stop_gap":4,"target_gap":3},"ambiguous":0,"mean_ci_pct":["-0.69589337113738","0.19767031230506077"]},"IWM":{"sample":60,"win_rate":45,"mean":-0.16906777086872715,"avgwin":2.048769766186362,"avgloss":1.9836621193683452,"quarterkelly":0,"worst":-3.1491894677697974,"return":-10.974966084361347,"drawdown":24.72703985846533,"exit_counts":{"stop":24,"time":18,"target":11,"target_gap":4,"stop_gap":3},"ambiguous":0,"mean_ci_pct":["-0.7123096158581645","0.3711953609951456"]},"portfolio_return":-12.629160600331236,"portfolio_drawdown":20.53162577257246}. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period, which is a time when the investment strategy is not used to make actual investment decisions, is divided into several time frames: 2016-2020, 2021-2025, and January to August 2026. The common 20-session warmup removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent strategy uses the previous week's last close to the current week's last close, open first open to last close, and a managed stop with a 1.5 average daily range target, narrow at 0.75 and 1.125, and wide at 1.25 and 1.875. A breakeven raises the stop the next session after a +1 average daily range high. The stop-first open, high, low, and close ambiguity is addressed, and adverse gaps at open are considered, while favorable gaps are capped at the target. Time exit is determined by the last close. The Vectorbt system is used, which is a long-only strategy with a fee of 1 basis point plus 15 basis points slippage per side, and each independent sleeve starts with 1000 USD. Idle cash is set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is from 10,000 quarter-block samples. A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The OEF figures and comparison figures are as follows: the SPY had a sample size of 60, a win rate of 33.33%, a mean of -0.55, an average win of 0.88, an average loss of 1.27, and a return of -28.58%. The IWM had a sample size of 60, a win rate of 41.67%, a mean of -0.39, an average win of 1.53, an average loss of 1.75, and a return of -21.41%. The portfolio return was -24.11% and the portfolio drawdown was 24.78%.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. A 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are all considered, with a narrow stop of 0.75 and 1.125, and a wide stop of 1.25 and 1.875. A breakeven raises the stop the next session after a high of +1 ADR. The Vectorbt system is used, with explicit long-only positions, a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. A news scan found the figures for OEF and comparison funds, including SPY and IWM, with sample sizes, win rates, mean returns, average wins and losses, and worst returns. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A news scan found the headline 'QOE90906 OEF primary: holdout breakeven week3 16bps'. This refers to a trading strategy, where OEF is the main investment, and SPY and IWM are used for comparison. The strategy uses a 'frozen protocol', which is a set of rules that do not change, and 'holdout', which means some data is set aside to test the strategy. The data is divided into different time periods: 2016-2020, 2021-2025, and January to August 2026. The strategy uses a 'common 20-session warmup', which means it ignores the first 20 days of data in 2016. It also uses a'managed stop', which is a rule to limit losses, and a 'breakeven' rule, which means the strategy will stop losing money when it reaches a certain point. The strategy is 'long only', which means it only buys investments, and it uses a'vectorbt' system, which is a type of computer program. The results show that the OEF strategy had a return of -26.94% and a drawdown of 27.35%, while the SPY and IWM comparisons had returns of -26.94% and -23.80%, and drawdowns of 27.35% and 30.48%, respectively. The data comes from two sources: https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.