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 period 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 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 breakeven point raises the stop in the next session after a high of +1 average daily range. A news scan found the headline was not necessary for this report, instead, the details of the trading strategy are provided. The strategy is long-only, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD is used for 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 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 provided below, along with comparison figures and an equal-sleeve portfolio. 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 news scan found the headline 'QOE90906 OEF primary: holdout managed week3 16bps'. This refers to a trading fund manager's notes. The fund manager used a frozen protocol, which is a set of rules that do not change, numbered 1388–1389. OEF is the main fund, and 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 traded, was from 2016 to 2020 and 2021 to 2025, with an extension from January to August 2026. The fund manager used a 20-session warmup period, which removes the first 20 trading sessions, in this case, only January 2016. The week is measured by the calendar Friday, and holidays use the last actual trading session. The fund manager made decisions based on the previous week's last close to the current week's last close, and from the first open to the last close. The manager used a managed stop, which is a rule to limit losses, with a lag of 20 sessions, and a target of 1.5 times the average daily range, or ADR, which is the average difference between the high and low prices of a trading day. The stop loss, which is the price at which the manager sells to limit losses, is raised to the breakeven point, or the price at which the trade does not make a loss, after the price reaches 1 times the ADR high. The fund manager used a vectorbt, which is a tool for backtesting trading strategies, with a long-only strategy, which means only buying, not selling, and a fee of 1 basis point, or 0.01%, plus 15 basis points, or 0.15%, slippage per trade, with 1000 USD in each independent fund, and no idle cash. Every cash return is reconciled, or matched, with the compounded cash trade returns and trade count. The drawdown, which is the difference between the highest and lowest prices, is observed at the open and close marks, not during the whole trading day. The fund manager did 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 pristine research-wide out-of-sample, or OOS. The OEF figures are below, as well as the comparison figures and equal-sleeve portfolio. A data line found the following figures for SPY and IWM: SPY had a sample size of 60, a win rate of 33.33%, a mean return of -0.49%, an average win of 1.29%, an average loss of 1.38%, a quarter Kelly criterion, which is a measure of risk, of 0, a worst return of -3.18%, a return of -26.15%, a drawdown of 26.56%, and exit counts of 24 stops, 14 time exits, 11 targets, 6 stop gaps, and 5 target gaps. IWM had a sample size of 60, a win rate of 45%, a mean return of -0.41%, an average win of 1.59%, an average loss of 2.05%, a quarter Kelly criterion of 0, a worst return of -3.53%, a return of -22.93%, a drawdown of 30.48%, and exit counts of 26 stops, 12 time exits, 11 targets, 6 target gaps, and 5 stop gaps. The portfolio return was -24.06%, and the portfolio drawdown was 25.85%. 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 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 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 are based on a lagged 20-session average daily range, with a target of 1.5 times the average daily range. The stop loss is narrowed to 0.75 and 1.125, and widened to 1.25 and 1.875. If the fund reaches a high of +1 average daily range, the stop loss is raised the next session. A news scan found the headline is not applicable here, instead, the Vectorbt system 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 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 from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A data line found the following statistics for SPY and IWM: SPY has a sample size of 60, a win rate of 33.33333333333333%, a mean of -0.2945291391217747, an average win of 1.4913346486277168, an average loss of 1.1874610329965205, a quarter Kelly criterion of 0, a worst loss of -2.9877007192556926, a return of -16.73375946524187, a drawdown of 20.477168617650122, and exit counts of 24 stops, 14 time exits, 11 targets, 6 stop gaps, and 5 target gaps. IWM has a sample size of 60, a win rate of 45%, a mean of -0.2146764681122909, an average win of 1.7937215766184165, an average loss of 1.8579112319828697, a quarter Kelly criterion of 0, a worst loss of -3.3326290969262318, a return of -13.10334656196436, a drawdown of 27.571072460280877, and exit counts of 26 stops, 12 time exits, 11 targets, 6 target gaps, and 5 stop gaps. The portfolio return is -14.378633683217078 and the portfolio drawdown is 22.695845615352372. All 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.
The automated trading fund manager has decided to hold the OEF primary position open for week 3, with a return of 16 basis points. The fund uses a frozen protocol, numbers 1388-1389, and considers OEF as the primary investment, while SPY and IWM are used for comparison. The holdout period is divided into development, from 2016 to 2020, and extension, from 2021 to 2025, and January to August 2026. A 20-session warmup period is used, which removes January 2016 from consideration. The fund's performance is evaluated on a weekly basis, with the week ending on a Friday. The fund uses a managed stop-loss system, which is adjusted based on the stock's average daily range. The system also uses a breakeven stop, which is raised after the stock reaches a certain high. The fund's returns are calculated using a vectorbt system, which is a type of backtesting framework, with a fee of 1 basis point and a slippage of 15 basis points per trade. The results show that the OEF fund has a return of -27.93%, with a drawdown of 29.39%, while the SPY and IWM comparison funds have returns of -27.93% and -35.73%, respectively. The data used to calculate these returns comes from the sources 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 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 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 last close of the previous week to the last close of the current week, and from the first 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 next session after a high of +1 average daily range. A vectorbt model is used, with a long-only strategy, 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 is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not intraday. The mean confidence interval is from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. 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":40,"mean":-0.32288948173834764,"avgwin":1.7025609793739054,"avgloss":1.6731897891465162,"quarterkelly":0,"worst":-5.406892901447968,"return":-18.73784367002339,"drawdown":22.206382789286415,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-0.761479295985527","0.08544783961316062"]},"IWM":{"sample":60,"win_rate":46.666666666666664,"mean":-0.49855739216253836,"avgwin":1.7527389852405046,"avgloss":2.4684417223902013,"quarterkelly":0,"worst":-7.2794686125530745,"return":-27.532133374280953,"drawdown":36.714541438829414,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-1.0921638231656152","0.12097433113459148"]},"portfolio_return":-20.8666154028044,"portfolio_drawdown":26.015785983414407}. 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 and are 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 trades only occurring within these set periods. A common 20-session warm-up period is applied, excluding January 2016. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent strategy looks at the previous week's last close to the current week's last close, open from the first open to the last close, and uses a managed stop with a lag of 20 sessions, an average daily range (ADR) target of 1.5 times the ADR, with narrow, medium, and wide ranges set at 0.75/1.125 and 1.25/1.875, respectively. The stop loss is raised to the next session after a high of +1 ADR, and any ambiguity at the open, adverse gap, or favorable gap is capped at the target, with time exits at the last close. The strategy is explicitly long-only, with fees of 1 basis point plus 15 basis points slippage per trade side, and each independent sleeve starts with $1000, 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 intraday. The mean confidence interval (CI) is 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 for SPY and IWM, and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":60,"win_rate":40,"mean":-0.45527366589125223,"avgwin":1.700161021196986,"avgloss":1.8922301239500776,"quarterkelly":0,"worst":-6.055381329155574,"return":-25.149062672834415,"drawdown":29.309168553048014,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-1.0035406331975347","0.024752591706999873"]},"IWM":{"sample":60,"win_rate":48.333333333333336,"mean":-0.6069232057786861,"avgwin":1.8081613151369234,"avgloss":2.866195822119095,"quarterkelly":0,"worst":-8.37363471690723,"return":-32.38137837171406,"drawdown":43.129032402791964,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-1.3047777733461294","0.12985818514410147"]},"portfolio_return":-27.14079811631206,"portfolio_drawdown":32.6108078407096}. The source of this 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 and are 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 trades only occurring within these set periods. A common 20-session warm-up period is applied, excluding January 2016. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent strategy looks at the previous week's last close to the current week's last close, and from the first open to the last close, with a managed stop that is 1.5 times the average daily range, lagged by 20 sessions. The stop is narrowed to 0.75 or 1.125 times the average daily range, and widened to 1.25 or 1.875 times the average daily range. If the investment reaches a high of +1 average daily range, the stop is raised to the breakeven point at the next session. A news scan found the headline 'Vectorbt explicit longonly', which refers to a type of investment strategy that only buys assets, with fees of 1 basis point plus 5 basis points of slippage per trade, and 1000 USD allocated to each independent investment. Cash returns are reconciled with trade returns and trade counts. Drawdowns are observed at the open and close of trading, not throughout the day. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period has been reused across other strategies. The OEF figures are provided below, along with comparison figures for SPY and IWM, and an equal-sleeve portfolio. A data line found the following statistics for SPY and IWM: SPY has a sample size of 60, a win rate of 41.67%, a mean return of -0.256%, an average win of 1.828%, an average loss of 1.744%, a worst return of -5.867%, a return of -15.606%, a drawdown of 25.184%, and an exit count of 60. IWM has a sample size of 60, a win rate of 50%, a mean return of -0.408%, an average win of 1.950%, an average loss of 2.766%, a worst return of -8.190%, a return of -23.760%, a drawdown of 39.127%, and an exit count of 60. The portfolio return is -17.851% and the portfolio drawdown is 28.669%. 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 training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. The third week is determined by the calendar Friday ordinal, with holidays using the last actual session. The investment strategy uses a managed stop, with a lag of 20 sessions, and a 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 for independent sleeves. The results show a return of -11.575395864137374 for SPY, and -6.722116142443769 for IWM, with a drawdown of 16.49748709719573 for SPY, and 15.956789813250216 for IWM. The portfolio return is -7.858732322364659, with a drawdown of 12.23382201686649. 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 training period is from 2016 to 2020, the holdout period is from 2021 to 2025, and the extension period is from January to August 2026. A 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 fund's previous week last close is compared to the current week last close. The open is from the first open to the last close. A managed stop is in place, with a 1.5 average daily range target, and a breakeven stop that raises the next session after a +1 average daily range high. A news scan found the headline was not applicable, instead, a data line showed the following results for OEF, SPY, and IWM. The results include a 6 basis points return. 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. The results for OEF, SPY, and IWM are as follows: SPY had a sample size of 59, a win rate of 52.54%, a mean return of 0.004051, an average win of 1.177908, an average loss of 1.295577, a quarter Kelly criterion of 0.000859795, a worst return of -5.537784, a return of -0.500722, a drawdown of 14.895684, and exit counts of time 25, stop 20, target 11, and target gap 3. IWM had a sample size of 59, a win rate of 55.93%, a mean return of 0.103138, an average win of 1.618928, an average loss of 1.820749, a quarter Kelly criterion of 0.015926953, a worst return of -6.276535, a return of 4.960402, a drawdown of 11.907888, and exit counts of time 25, stop 18, target 11, stop gap 3, and target gap 2. The portfolio return was 3.681432, and the portfolio drawdown was 8.977276. All datapoints were recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; 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 training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, which removes January 2016 from consideration. The third week is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The investment strategy uses a parent previous week last close to current week 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 the next session 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 drawdown is observed at open and close marks, not full intraday. The results for OEF and the comparison figures are as follows: SPY had a sample size of 59, a win rate of 49.15%, a mean return of -0.0276%, and a drawdown of 8.25%. IWM had a sample size of 59, a win rate of 42.37%, a mean return of -0.3737%, and a drawdown of 24.25%. The portfolio return was -7.9229% and the portfolio drawdown was 10.8444%. The source of this 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 training period for this fund is from 2016 to 2020, with a holdout period from 2021 to 2025 and an extension from January to August 2026. The training data is divided into complete windows, with entries and exits only within each partition. A common 20-session warmup period removes January 2016 from consideration. The week is defined by the calendar Friday ordinal, with holidays using 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 is in place, with a lagged 20-session average daily range (ADR) and a target of 1.5 times the ADR. The stop is narrow, with a range of 0.75 to 1.125, and wide, with a range of 1.25 to 1.875. If the fund reaches a high of +1 ADR, the stop is raised to the next session's breakeven point. The Vectorbt system is used, with an explicit long-only strategy, a fee of 1 basis point plus 5 basis points of slippage per side, and an initial investment of $1000 for each independent fund. The cash return is reconciled with the compounded cash trade returns and trade count. Drawdown is observed at the open and close marks, not at the full intraday level. A news scan found the headline 'No live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication claimed.' The mean confidence interval (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 pristine research-wide out-of-sample (OOS). The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. The source of this 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. The performance metrics for the funds are as follows: OEF had a sample size of 59, a win rate of 50.85%, a mean return of 0.1725, an average win of 1.1094, an average loss of 0.7966, a quarter Kelly criterion of 0.0389, a worst return of -1.7979, a return of 10.2350, a drawdown of 6.2913, and exit counts of target 22, stop 19, time 8, stop gap 6, and target gap 4. IWM had a sample size of 59, a win rate of 42.37%, a mean return of -0.1742, an average win of 1.3782, an average loss of 1.3157, a quarter Kelly criterion of 0, a worst return of -4.3763, a return of -10.3984, a drawdown of 15.0212, and exit counts of stop 32, target 19, time 4, target gap 3, and stop gap 1. The portfolio return was 3.6092 and the portfolio drawdown was 5.8769. All datapoints were recorded in matching observations.
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 training period for the fund is from 2016 to 2020, with a holdout period from 2021 to 2025 and an extension from January to August 2026. The training data is divided into complete windows, with entries and exits only within each partition. A common 20-session warmup period is used, which removes January 2016 from consideration. The third week is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The fund's performance is measured from the last close of the previous week to the last close of the current week, and from the first open to the last close. A managed stop is used, which is lagged by 20 sessions and based on the average daily range, with a target of 1.5 times the average daily range. The stop is narrowed to 0.75 and 1.125 times the average daily range, and widened to 1.25 and 1.875 times the average daily range. If the fund reaches a high of +1 times the average daily range, the stop is raised to the next session. The fund uses a long-only strategy, with a fee of 1 basis point plus 15 basis points of slippage per side, and each sleeve is invested with 1000 USD. The cash return is reconciled with the compounded cash trade returns and trade count. Drawdown is observed at the open and close marks, not at the full intraday range. A news scan found the headline 'No live 15-minute fills, cash-dividend accounting, partial-taking or whole-lot replication claimed.' 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 and is not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A data line found the following figures for SPY and IWM: SPY has a sample size of 59, a win rate of 49.15%, a mean return of 0.0049, an average win of 1.1251, an average loss of 1.0780, a quarter Kelly criterion of 0.0011, a worst return of -2.1688, a return of -0.3328, a drawdown of 9.9680, and exit counts of 20 stops, 15 time exits, 15 target exits, 5 stop gaps, and 4 target gaps. IWM has a sample size of 59, a win rate of 47.46%, a mean return of -0.2244, an average win of 1.4367, an average loss of 1.7247, a quarter Kelly criterion of 0, a worst return of -5.9833, a return of -13.3697, a drawdown of 22.2556, and exit counts of 24 stops, 17 target exits, 13 time exits, and 5 stop gaps. The portfolio return is -5.7362 and the portfolio drawdown is 10.0313. 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 training period for the fund is from 2016 to 2020, with a holdout period from 2021 to 2025 and an extension from January to August 2026. The training uses complete windows with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. 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. The stop is set at 1.5 times the average daily range, with a narrow range of 0.75 to 1.125 and a wide range of 1.25 to 1.875. The breakeven point raises the stop the next session after a high of +1 average daily range. A news scan found the headline was not available, but the data shows the following results for OEF, SPY, and IWM. The results are based on a vectorbt explicit long-only strategy, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each independent sleeve. The mean confidence interval is from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The figures for OEF and the comparison figures are as follows: OEF had a sample size of 59, a win rate of 50.85%, a mean return of 0.205%, an average win of 1.286%, an average loss of 0.913%, a quarter Kelly criterion of 0.0399, a worst return of -1.973%, a return of 12.15%, and a drawdown of 7.97%. The exit counts were 20 stops, 15 time exits, 15 target exits, 5 stop gaps, and 4 target gaps. The mean confidence interval percentage was between -0.182% and 0.609%. The comparison funds, SPY and IWM, had similar results. The portfolio return was 6.07% and the portfolio drawdown was 6.87%. 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 training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. The third 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 the next session 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 from 10,000 quarter-block samples. The results for OEF and the comparison figures are as follows: OEF had a return of -1.91%, a drawdown of 9.97%, and an exit count of 22 stops, 16 time exits, 15 target exits, 4 target gap exits, and 2 stop gap exits. 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 training period for this investment strategy was from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. The third week is determined by the calendar Friday ordinal, with holidays using the last actual session. The investment strategy uses a managed stop, with a lagged 20-session average daily range and a target of 1.5 times the average daily range. The stop loss is adjusted after a +1 average daily range high. A news scan found the headline 'train managed week3 6bps'. The investment strategy is long-only, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD is allocated to each independent sleeve. The results for OEF and the comparison figures are based on 59 samples, with a win rate of 52.54% for SPY and IWM. The mean return for OEF is not provided, but the mean return for SPY is 0.17829139115395584 and for IWM is -0.042651513928642346. A data line found the following statistics for SPY and IWM: win rate, mean return, average win, average loss, quarter Kelly criterion, worst return, total return, drawdown, exit counts, and mean confidence interval percentage. 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 training period for this fund is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. The training uses complete windows, with entries and exits only within these windows. A common 20-session warmup period removes January 2016 from consideration. The week is measured by the calendar Friday ordinal, with holidays using the last actual 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 is in place, with a lag of 20 sessions, using the average daily range, or ADR, as a target, set at 1.5 times the ADR, with narrow and wide ranges set at 0.75 and 1.25 times the ADR, respectively. If the fund reaches a high of +1 ADR, the stop is raised at the next session. The stop is also subject to ambiguity at the open, with adverse gaps at the open and favorable gaps capped at the target. The time exit is set at the last close. The fund uses a long-only strategy, with fees of 1 basis point, or bp, plus 15 bp slippage per side, and 1000 USD is allocated to each independent fund, with idle cash set 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. 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 pristine research-wide out-of-sample, or OOS. The OEF figures are below, 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 investment, while SPY and IWM are used for comparison. The training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. The strategy uses a 20-session warmup period, excluding January 2016. The third week is determined by the calendar Friday. If there is a holiday, the last actual trading session is used. The strategy involves managing stops, which are adjusted based on the average daily range, or ADR, which is a measure of how much a stock's price moves on average each day. The stop loss is set at 1.5 times the ADR, and is adjusted based on the stock's performance. The strategy also involves a breakeven point, where the stop loss is raised to the next session after the stock reaches a high of +1 ADR. The strategy is long-only, meaning it only buys stocks, and does not sell short. The fees are 1 basis point, or 0.01%, plus 5 basis points, or 0.05%, for slippage per trade. Each sleeve, or investment portfolio, starts with 1000 USD, and idle cash is set to 0. The returns are compounded, and the drawdown, or loss, is observed at the open and close of each trading session. 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 investments are as follows: OEF had a return of 11.762449245721553%, with a drawdown of 10.160487883635405%, while SPY had a return of 11.762449245721553%, with a drawdown of 10.160487883635405%, and IWM had a return of 10.906360404161205%, with a drawdown of 19.263304699390115%.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, which removes January 2016 from consideration. The week is defined by the calendar Friday, 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 used, which is lagged by 20 sessions, with a target of 1.5 times the average daily range, and is narrowed or widened based on certain conditions. If the investment reaches a certain level of return, the stop is raised the next session. The strategy uses a vectorbt explicit long-only approach, with a fee of 1 basis point plus 15 basis points of slippage per side, and each independent sleeve starts with 1000 USD. The final cash return is reconciled with the compounded cash trade returns and trade count. Drawdown is observed at the open and close marks, not at the full intraday level. A news scan found the headline is not applicable here, instead, the source is a data output. The results for OEF and the comparison figures are as follows: the SPY had a sample size of 59, a win rate of 54.24%, a mean return of -0.13%, an average win of 1.13%, an average loss of 1.62%, and a worst return of -14.87%. The IWM had a sample size of 59, a win rate of 59.32%, a mean return of -0.07%, an average win of 1.56%, an average loss of 2.46%, and a worst return of -15.81%. The portfolio return was -8.46% and the portfolio drawdown was 24.38%. All data points were recorded in matching observations. The source of this 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 training period for this fund is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. The training period is divided into complete windows, with entries and exits only within those windows. A common 20-session warmup period removes January 2016 from consideration. The week is defined by the calendar Friday ordinal, with holidays using 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 is in place, 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 times the ADR, and widened to 1.25 and 1.875 times the ADR. If the fund reaches a high of +1 ADR, the stop is raised to the next session. If there is a stop-first open, high, low, or close ambiguity, or an adverse gap at open, or a favorable gap capped at the target, the exit is at the last close. The Vectorbt system is used, with an explicit long-only strategy, a fee of 1 basis point, plus 5 basis points of slippage per side, and 1000 USD for each independent fund. 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. There are no 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 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: OEF, SPY, and IWM have the following performance metrics, including sample size, win rate, mean return, average win, average loss, quarter Kelly criterion, worst return, return, drawdown, exit counts, and ambiguous counts. The source of this 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.
The QTR9090400 holdout benchmark uses a fixed four ETF universe from 2019 to 2025. This benchmark uses Vectorbt, which is a backtesting framework, and is set to explicit long only, meaning it only buys assets, with four independent cash sleeves, each starting with 250 USD. The fees are 1 basis point, which is a measure of the cost of buying or selling an asset, plus 15 basis points per side for slippage, which is the difference between the expected price and the actual price. The calendar control enters a trade on the 8th session open and exits on the 11th session close each month, resulting in 4 session exposure. Over 84 months, there were 336 trades. A turn-of-month test was done with 83 complete windows, excluding trades that cross year boundaries. This benchmark does not use paired causal control, which means it does not try to match the performance of a specific asset, and does not use optimization, which means it does not try to find the best parameters. There are no stop or target prices, so this benchmark is not deployable. Fractional shares, cash with 0 yield, and fixed operating costs are excluded. The data source is https://runway.adityaperswal.workers.dev/data/stock-bars, which provides stock bar data for symbols SPY, IWM, EFA, and EEM, and the finish_stats.py script was used to calculate the statistics.
The QTR9090400 holdout benchmark uses a fixed four ETF universe from 2019 to 2025. This benchmark uses Vectorbt, which is a backtesting framework, with an explicit long-only strategy, meaning it only buys assets, with four independent cash sleeves, each starting with 250 USD. The fees are 1 basis point, which is a unit of measurement for interest rates and fees, plus 5 basis points of slippage, which is the difference between expected and actual trade prices, per side, meaning per buy and per sell. The calendar control enters a trade at the open of the 8th session and exits at the close of the 11th session each month, resulting in 4 session exposure. Over 84 months, there were 336 trades. A turn-of-month test was done with 83 complete windows, omitting trades that cross year boundaries. This benchmark does not use paired causal control, which means it does not try to match cause and effect, and it does not use optimization, which means it does not try to find the best solution. There are no stop or target prices, so this strategy is not deployable. Fractional shares, cash with 0 yield, and fixed operating costs are excluded. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars, which provides stock bars for symbols SPY, IWM, EFA, and EEM, and the finish_stats.py script.
The QTR9090400 holdout benchmark is a buy-and-hold strategy with a 16 basis point cost per trade. This benchmark is based on a universe of four exchange-traded funds (ETFs) from 2019 to 2025. The Vectorbt backtesting framework was used with an explicit long-only strategy, with four independent trades starting with $250 each, and fees of 1 basis point plus slippage of 15 basis points per side. The test ran from the first session open to the last session close. The benchmark consists of four highly correlated long-duration trades, rather than four independent edge estimates. It has more market risk and no venue exits. Fractional shares, cash yields of 0, and fixed operating costs were excluded. The data source is a stock bars query from https://runway.adityaperswal.workers.dev, and the results were processed using finish_stats.py.
A news scan found the text describing a trading strategy. From 2019 to 2025, a test was done using four exchange-traded funds, or ETFs, which are like baskets of stocks. The test used a system called Vectorbt, which means a way of analyzing and making trades, and it only made trades that were betting on stocks going up, not down. The test started with $250 in each of four separate accounts, and it paid fees of 1 basis point, or 0.01%, plus an extra 5 basis points for the cost of actually making the trades, which is called slippage. The test ran from the opening to the closing of the trading sessions. It made four trades that were very similar and lasted a long time, rather than four separate trades based on different ideas. This means the test had more risk from the market and did not have a way to exit, or get out of, the trades when they were not doing well. The test did not include things like fractional shares, which are pieces of a share, or the fact that cash does not earn interest, and it did not include fixed operating costs, which are expenses that stay the same. The data for the test came from a website and a Python script called finish_stats.py.
A frozen specification note1344 was made. The provider made a SIP adjustment from September 8, 2016, to September 8, 2026, for every NYSE session for each ETF, but no data from 2010 to 2015 was supplied. This was an extension test where only entries and exits within a partition were considered, and a holdout period from 2019 to 2025 had 83 complete calendar windows and 332 correlated ETF trades, excluding boundary spanning trades. The test started with four independent cash sleeves, each with $250, and no leverage was used. The Vectorbt system was used to make explicit long-only orders with a fee of 1 basis point plus 15 basis points for slippage per side. The cash return was reconciled with the Vectorbt trade profit and loss accounting, considering the entry fee denominator. The rule sensitivity was based on the last session's open price, a lagged 20-session mean of high and low prices, a stop at 1.25 average daily range, and a target at 2 average daily range. If these conditions were not met, the target was set at the third session's close. The test managed daily high, low, open, and close prices, and stop ambiguity was handled first, with adverse gap fills at the open price and target gap capped at the target price. A bootstrap test with 10,000 complete calendar window means was run across four ETFs, not 332 independent trades. The confidence interval and per-symbol statistics were saved to match the observation title. The verdict rejected live adoption when uncertainty, cost, and execution gates failed, and a positive point estimate alone was not enough for adoption. The sources used were https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf and https://runway.adityaperswal.workers.dev/data/stock-bars.
A frozen specification note1344 was made. The provider made a SIP adjustment from September 8, 2016, to September 8, 2026, for every NYSE session for each ETF, but no data from 2010 to 2015 was provided. This was an extension test where only entries and exits within a certain partition were considered, and a holdout period from 2019 to 2025 had 83 complete calendar windows and 332 correlated ETF trades, excluding trades that spanned boundaries. The test started with four independent cash sleeves, each with $250, and no leverage was used. The Vectorbt system was used to make explicit long-only orders with a fee of 1 basis point plus 5 basis points for slippage per side. The cash return was reconciled with the trade profit and loss accounting for the entry fee. The rule sensitivity was based on the last session's open price, a 20-session mean of high and low prices, a stop at 1.25 average daily range, and a target at 2 average daily range. If these conditions were not met, the target was set at the third session's close. The test managed daily high, low, open, and close prices, and ambiguity was resolved by stopping at the first opportunity. Adverse gap fills were executed at the open price, and target gap fills were capped at the target price. A bootstrap test with 10,000 complete calendar window means was run across four ETFs, not 332 independent trades. The results included confidence intervals and per-symbol statistics, which were saved with an observation matching the title. The verdict was to reject live adoption if uncertainty, cost, or execution gates failed, and a positive point estimate alone was not enough to adopt the strategy. The sources for this information include a study on equity returns at the turn of the month and stock bar data from a website.