A news scan found the report of a frozen turn-of-month test for QTM90800 EFA delay train. The report states that Protocol829 was frozen before a return inspection, and from 2016 to 2020, 58 completed cohorts were finished after a warm-up period, with cross-split turns purged. The strategy is to buy at the open of the last monthly session and sell at the open of the fourth next-month session. This timing adaptation is different from the original close-to-close paper and does not include a stop or target. The report also mentions an explicit long-only cash-only vectorbt order ledger with a 5 basis point fee and 5 basis point slippage. The cash compounding is independent and reconciles the final equity within $0.00001 USD on an initial cash of $10,000, with nonnegative cash. The sample counts include full entry cohorts, not partial fills. Drawdown includes open and close, as well as synthetic threshold marks, but not all intrabar excursions. Historical adjusted ETF prices are used to approximate distributions, with a 10 basis point audit and 2/20 basis point sensitivity saved but not selected. The report notes that 15-minute and extended-hours fills, whole-share profit management, and exact time execution were not verified. Positive recent samples cannot override training or later gates, and there is no current calendar entry. The sources cited are 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. All inputs, code, and results are archived in 291 parts and exact readback verified. This is an ETF adaptation, not an exact CRSP replication, and does not have deployable approval.
A news scan found a report about a frozen turn-of-month test for QTM90800 EFA parent. The test has three parts. First, it froze Protocol829 before a return inspection from 2026 through September 4, completing 8 cohorts. It buys at the close of the second-to-last monthly session and sells at the close of the third session of the next month. The test looks at four daily returns at the turn of the month, using auction prices as proxies, without a stop or target. Second, it uses a long-only cash-only order ledger with a 5 basis point fee and 5 basis point slippage. The test reconciles final equity within $0.00001 on $10,000 initial cash, with nonnegative cash. Sample counts include full entry cohorts, not partial fills. Drawdown includes open and close, and synthetic threshold marks, but not all intrabar excursions. Third, historical adjusted ETF prices are used, with a 10 basis point audit and 2/20 basis point sensitivity saved but not selected. The test does not verify 15-minute or extended-hours fills, whole-share profit management, or exact-time execution. Recent positive samples cannot override training or later gates, with no current calendar entry. The sources are 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. All inputs, code, and results are archived in 291 parts and verified. This is an ETF adaptation, not an exact CRSP replication, with no deployable approval.
A news scan found a report about a test called QTM90800 EFA parent later, which is a frozen turn-of-month test. The test has three parts. First, a protocol called Protocol829 was frozen before a return inspection that took place from 2021 to 2025, which included 59 completed cohorts. These market years were previously inspected for other rules, but not in a completely independent way. The test involves buying at the close of the second-to-last monthly session and selling at the close of the third session of the next month. It looks at four daily returns at the turn of the month, using auction prices as substitutes, without setting stop or target prices. Second, the test uses a long-only cash-only order system with a 5 basis point fee and 5 basis point slippage, which is a measure of the difference between expected and actual trade prices, known as slippage. The test also includes cash compounding, which is the process of adding interest to interest, and it ensures that the final equity is accurate to within 1e-5 USD on an initial cash amount of 10,000 USD, with nonnegative cash. The test counts full entry cohorts, not partial fills, and includes drawdown, which is a measure of the decline in value, including open and close prices, but not all intrabar excursions, which are price movements within a given time period. Third, the test uses historical adjusted ETF prices, which are approximate distributions, and saved raw 10bp audit and 2/20bp sensitivity, but did not select them. The test did not verify 15-minute or extended-hours fills, whole-share profit management, or exact-time execution. Recent positive samples cannot override training or later gates, and there is no current calendar entry. The sources of the information are 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. All inputs, code, and results are archived in 291 parts and exact readback verified. This is an adaptation of an ETF, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the text describing the QTM90800 EFA parent train frozen turn-of-month test. The test has three main points. Firstly, Protocol829 was frozen before a return inspection, and from 2016 to 2020, 58 completed cohorts were trained after a warm-up period, with cross-split turns purged. The strategy is to buy at the close of the second-to-last monthly session and sell at the close of the third session of the next month. This strategy uses four daily returns at the turn of the month, with auction prices used as proxies, and there are no stop or target prices. Secondly, the test uses a long-only cash-only order ledger with a 5 basis point fee and 5 basis point slippage, which is a measure of the difference between the expected price of a trade and the actual price. The test also uses independent cash compounding, which means that the cash balance is updated after each trade, and the final equity is reconciled to within 1e-5 USD on an initial cash balance of 10,000 USD, with non-negative cash. The sample counts include all full entry cohorts, not just partial fills. The drawdown, or loss, includes open and close prices and synthetic threshold marks, but not all intrabar excursions, which are price movements within a single bar or period. Thirdly, the test uses historical adjusted ETF prices, which are approximate distributions, and raw 10 basis point audit and 2/20 basis point sensitivity were saved but not selected. The test does not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. Positive recent samples cannot override training or later gates, and there is no current calendar entry. The sources of the information are 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. All inputs, code, and results are archived in 291 parts and exact readback verified. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the headline 'QTM90800 IWM swing recent: frozen turn-of-month test'. This refers to a test of a trading strategy for the IWM ETF, which is based on the Russell 2000 index. The strategy, called QTM90800, was frozen before a return inspection. From 2026 through September 4, the strategy completed 8 cohorts, which are groups of trades, and a recent check was done to see how it worked. The strategy buys the IWM ETF at the open of the last monthly trading session and sets a stop loss, which is a price at which to automatically sell, at 1 ATR, or average true range, below the buy price. The ATR is a measure of how much the price of a stock or ETF typically moves. The strategy also sets a target price at 1.5 ATR above the buy price. If the price reaches 1 ATR above the buy price, half of the position is sold, and the stop loss is moved to the break-even price. The remaining position is sold at the open of the fourth next-month trading session. The strategy also has a daily stop loss to limit losses if the price moves against the trade. If the price reaches 1R, or one times the risk, which is the amount of money at risk, and also hits the entry price, the remaining position is closed at the entry price. The strategy uses a long-only cash-only approach, which means it only buys the ETF and does not short sell, and it uses a vectorbt order ledger, which is a type of trading record. The strategy also takes into account a 5 basis point fee and 5 basis point slippage, which is the difference between the expected price and the actual price of a trade. The strategy reconciles the final equity, or the total value of the account, within $0.00001 USD on an initial cash balance of $10,000, and it only allows non-negative cash balances. The strategy includes open and close prices, as well as synthetic threshold marks, but it does not include all intrabar excursions, which are price movements within a trading bar. The strategy uses historical adjusted ETF prices, which are prices that have been adjusted for dividends and splits, and it saves raw 10 basis point audit and 2/20 basis point sensitivity results, but it does not select them. The strategy does not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. The strategy notes that positive recent samples cannot override training or later gates, and there is no current calendar entry. The sources for the strategy include a paper on equity returns at the turn of the month and a website with stock bar data. All inputs, code, and results are archived in 291 parts and exact readback is verified. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the headline 'QTM90800 IWM swing later: frozen turn-of-month test'. This is a description of a trading protocol. The protocol, called Protocol829, was frozen before it was inspected again. From 2021 to 2025, 59 groups of trades, called cohorts, were completed. These market years were previously inspected for other rules. The protocol buys at the open of the last monthly session. It uses a simple average true range, or ATR, stop and target. The ATR is a measure of how much a stock's price moves. The stop is set at 1 ATR and the target is set at 1.5 ATR. Half of the position is closed when the target is reached, and the remaining position is closed at the fourth next-month open. There is also a daily stop. If a bar, or a single trading session, hits the target and also the entry point, the remainder of the position is closed at the entry point. A gap stop, which is a stop set at the open of a trading session, may also close the remainder of the position. The protocol uses a long-only cash-only order ledger, which means it only buys stocks and does not short sell. The ledger includes a 5 basis point fee and 5 basis point slippage. A basis point is a unit of measurement for interest rates and fees. The protocol also includes independent cash compounding, which means that the cash is reinvested to earn more interest. The final equity is reconciled within $0.00001 on an initial cash amount of $10,000. The protocol only includes nonnegative cash, meaning that it does not allow for debt. The sample counts only include full entry cohorts, not partial fills. The drawdown, or loss, includes open and close prices, as well as synthetic threshold marks, but not all intrabar excursions. The historical adjusted ETF prices are approximate distributions. A raw 10 basis point audit and 2/20 basis point sensitivity were saved but not selected. The protocol does not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. Recent samples cannot override the training or later gates, and there is no current calendar entry. The sources for this protocol include a paper on equity returns at the turn of the month and a dataset of stock bars. All inputs, code, and results are archived in 291 parts and have been verified. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the text of a trading fund manager's notes. The manager froze a test called Protocol829 before checking its results. From 2016 to 2020, the test completed 58 training sessions after a warm-up period. The test buys the IWM ETF at the opening price of the last monthly trading session. It uses a simple average true range, or ATR, stop loss and a target price. The ATR is a measure of how much a stock's price moves. The test sells half of the ETF when it reaches a 1 ATR profit, and the rest when it breaks even. It exits the remaining position at the fourth next-month open. The test also has daily stop-loss rules. If a trading bar hits a 1R profit, which is a measure of the profit compared to the risk, and also the entry price, the test closes the remaining position at the entry price. The test uses a long-only cash-only strategy, which means it only buys the ETF and does not short sell. The test assumes a 5 basis point fee and 5 basis point slippage, which is a measure of the difference between the expected and actual price of a trade. The test reconciles the final equity within 1e-5 USD on an initial cash amount of 10,000 USD. The test includes drawdown, which is a measure of the decline in the value of the ETF. The test uses historical adjusted ETF prices, which are approximate distributions. The test did not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. The test sources include a Purdue University publication and a stock bars dataset. All inputs, code, and results are archived in 291 parts and verified. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the report of a frozen turn-of-month test for QTM90800 IWM delay. The report has three main points. Firstly, Protocol829 was frozen before a return inspection, which was completed from 2026 through September 4, with 8 completed cohorts and a recent descriptive check. The strategy is to buy at the last monthly session open and sell at the fourth next-month session open. This timing adaptation is different from the original close-to-close paper and does not include a stop or target. Secondly, the system uses a long-only cash-only vectorbt order ledger with a 5 basis point fee and 5 basis point slippage per fill. The cash compounding is independent and reconciles the final equity within 1e-5 USD on an initial cash of 10,000 USD, with non-negative cash. The sample counts include full entry cohorts, not partial fills, and the drawdown includes open and close, as well as synthetic threshold marks, but not all intrabar excursions. Thirdly, historical adjusted ETF prices are used to approximate distributions, with a 10 basis point audit and 2/20 basis point sensitivity saved but not selected. The report notes that 15-minute and extended-hours fills, whole-share profit management, and exact time execution have not been verified. Additionally, positive recent samples cannot override training or later gates, and there is no current calendar entry. The sources of the information are 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. All inputs, code, and results are archived in 291 parts and have been verified with exact readback. This is an ETF adaptation and not an exact CRSP replication, with no deployable approval.
A news scan found the headline 'QTM90800 IWM delay later: frozen turn-of-month test'. This is a report about a trading test. The test uses a set of rules called Protocol829, which was frozen before being inspected again from 2021 to 2025. This time period includes 59 completed sets of market years that were previously checked for other rules. The test involves buying at the open of the last monthly trading session and selling at the open of the fourth trading session of the next month. The test does not use stop-loss or target prices, which is different from the original plan. The test uses a system called vectorbt to track orders, with a fee of 5 basis points and a slippage of 5 basis points. The test starts with $10,000 in cash and ensures that the cash balance never goes below zero. The test also checks for drawdown, which includes the difference between the highest and lowest prices, but does not include all price movements within a trading session. The test uses historical prices of ETFs, which are adjusted to approximate real distributions. The test saves audit and sensitivity results, but does not verify fills at specific times or profit management. Recent positive results do not override previous rules or gates. The sources of the data are from Purdue University and a website called runway.adityaperswal.workers.dev. All inputs, code, and results are archived in 291 parts and verified. This test is an adaptation of an ETF, not an exact replication of a previous study, and has not been approved for deployment.
A news scan found the text describing the QTM90800 IWM delay train, which is a frozen turn-of-month test. The protocol, called Protocol829, was frozen before a return inspection, and from 2016 to 2020, it completed 58 training cohorts after a warm-up period, during which some data was removed. The strategy is to buy at the open of the last monthly session and sell at the open of the fourth session of the next month. This timing is different from the original research paper, which looked at closing prices, and it does not use stop-loss or target prices. The system uses a type of order called a vectorbt order ledger, which is long-only, meaning it only buys, and cash-only, meaning it does not use borrowed money, with a fee of 5 basis points, or 0.05%, plus 5 basis points of slippage, which is the difference between expected and actual prices. The cash balance is calculated independently and is always non-negative, meaning it never goes below zero, and the initial cash was $10,000. The drawdown, or loss, includes both the opening and closing prices and some synthetic, or artificial, marks, but not all price movements within a trading period. Historical prices of exchange-traded funds, or ETFs, were adjusted to approximate real distributions, and some audit and sensitivity tests were saved but not used. The system does not verify if trades were executed exactly on time or if profits were managed correctly. Recent positive results cannot override the training data or later gates, and there is no current calendar entry. The sources of the information are a research paper from Purdue University and a data set from a website. All inputs, code, and results were archived in 291 parts and verified to be exact. This is an adaptation of an ETF, not an exact replication of a specific stock market index, and it has not been approved for deployment.
A news scan found the report of a frozen turn-of-month test for QTM90800 IWM parent. The test has three parts. First, it froze Protocol829 before a return inspection from 2026 through September 4, completing 8 cohorts. It checked the results and found that buying at the close of the second-to-last monthly session and selling at the close of the third session of the next month gave four daily returns at the turn of the month. The test used auction prices and did not set stop or target prices. Second, it used a long-only cash-only order system with a 5 basis point fee and 5 basis point slippage. The test started with $10,000 and kept track of the cash, making sure it did not go below zero. It counted all the times it entered the market and checked the drawdown, which included open and close prices and some threshold marks. Third, it used historical adjusted ETF prices, which are prices that have been changed to reflect the true value of the ETF, and saved the results of a 10 basis point audit and a 2/20 basis point sensitivity test. The test did not verify fills in extended hours, whole-share profit management, or exact time execution. The test also found that recent positive results cannot override the training and later gates, and there is no current calendar entry. The sources of the information are a Purdue University publication and a stock bars dataset. All the inputs, code, and results were archived in 291 parts and verified. This is an adaptation of an ETF, not an exact replication of the CRSP, and it has not been approved for deployment.
A news scan found the following text: 1. Protocol829 was frozen before a return inspection from 2021 to 2025, which is a later window with 59 completed cohorts. These market years were previously inspected for other rules and are not pristine or independent out-of-sample data. The strategy is to buy at the close of the second-to-last monthly session and sell at the close of the third session of the next month. This involves four daily returns at the turn of the month, using auction prices as proxies, with no stop or target prices. 2. The strategy uses a long-only, cash-only order ledger with a 5 basis point fee and 5 basis point slippage. The cash compounding is independent and reconciles the final equity within $0.00001 on an initial cash amount of $10,000, with non-negative cash. The sample count includes full entry cohorts, not partial fills. The drawdown includes open and close prices, as well as synthetic threshold marks, but not all intrabar excursions. 3. Historical adjusted ETF prices are used to approximate distributions, with a 10 basis point audit and 2/20 basis point sensitivity saved but not selected. The strategy does not verify 15-minute or extended-hours fills, whole-share profit management, or exact-time execution. Recent positive samples cannot override training or later gates, and there is no current calendar entry. The sources of this information are 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. All inputs, code, and results are archived in 291 parts and have exact readback verification. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the text describing the QTM90800 IWM parent train frozen turn-of-month test. The protocol, called Protocol829, was frozen before a return inspection. From 2016 to 2020, the training was completed 58 times after a warm-up period. The training involved buying at the close of the second-to-last monthly session and selling at the close of the third session of the next month. The test looked at four daily returns at the turn of the month, using auction prices as substitutes, without setting stop or target prices. The test used a long-only cash-only order system, with a 5 basis point fee and 5 basis point slippage, which is a measure of the difference between expected and actual trade prices, and basis point means one hundredth of a percent. The cash balance was calculated independently and reconciled to ensure it was accurate to within $0.00001 on an initial cash balance of $10,000, and the cash balance was never negative. The test counted all completed trades, not partial ones. The drawdown, or loss, included both open and close prices and some threshold marks, but not all price movements within a trading period. Historical adjusted prices of exchange-traded funds, or ETFs, were used to approximate real-world results. A 10 basis point audit and 2/20 basis point sensitivity test were saved but not selected. The test did not verify if trades were executed at exact times or if profits were managed on a whole-share basis. Recent positive results cannot override the training data or later tests, and there is no current calendar entry. The sources of the information are 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. All inputs, code, and results were archived in 291 parts and verified. This test is an adaptation for ETFs and not an exact replication of the CRSP, or Center for Research in Security Prices, and it has not been approved for deployment.
A news scan found the headline 'QTM90800 SPY swing recent: frozen turn-of-month test'. This refers to a test of a trading strategy. The strategy has 1. a set of rules, called Protocol829, which were not changed before being inspected from 2026 through September 4. The rules say to buy at the open of the last monthly session, and set a stop loss at 1 average true range, or ATR, which is a measure of price volatility. The target is 1.5 ATR. Half of the position is closed when the price reaches 1 ATR, and the rest is closed at the fourth open of the next month. There is also a daily stop loss. 2. The strategy uses a long-only, cash-only approach, meaning it only buys and never sells short, and it only uses cash, not margin. It also uses a 5 basis point fee and 5 basis point slippage, which is a measure of the difference between the expected price and the actual price. The strategy reconciles the final equity within 1e-5 USD on an initial cash amount of 10,000 USD. 3. The strategy uses historical adjusted ETF prices, which are approximate, and does not include 15-minute or extended-hours fills, whole-share profit management, or exact time execution. The sources of the data are 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. All inputs, code, and results are archived in 291 parts and verified.
A news scan found the headline 'QTM90800 SPY swing later: frozen turn-of-month test'. This refers to a test of a trading strategy. The strategy has two main parts. First, it freezes a protocol called Protocol829 before inspecting its performance. The test looked at 59 groups of market years from 2021 to 2025. These years were previously checked for other rules, but not in a completely independent way. The strategy buys at the open of the last monthly session and sets a stop loss at one average true range, or ATR, which is a measure of price volatility. The target is one and a half ATRs away. If the price reaches one ATR, half of the position is sold and the stop loss is moved to the entry price. The remaining position is sold at the fourth next-month open. There is also a daily stop loss that is triggered if there is ambiguity, and if a bar hits the target and also the entry price, the remainder is closed at the entry price. A gap stop, which is a stop loss triggered by a large price gap, may also close the remainder at the open. The second part of the strategy is an explicit long-only cash-only order ledger, which means it only buys and sells with cash, and does not use margin or short selling. The ledger includes a 5 basis point fee and 5 basis point slippage, which is a measure of the difference between the expected and actual price of a trade. The test also includes independent cash compounding, which means that the interest earned on the cash is added to the principal, and reconciles the final equity within 1e-5 USD on an initial cash amount of 10,000 USD. The test only includes full entry cohorts, not partial fills, and the drawdown includes open and close prices, but not all intrabar excursions, which are price movements within a bar. The historical adjusted ETF prices used in the test are approximate distributions, and the test saved but did not select a 10 basis point audit and 2/20 basis point sensitivity. The test did not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. The test found that positive recent samples cannot override the training or later gates, and there is no current calendar entry. The sources used in the test include a paper on equity returns at the turn of the month and a dataset of stock bars. All inputs, code, and results are archived in 291 parts and exact readback verified. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the text of a trading fund manager's notes. The manager froze a test called Protocol829 before checking its performance. From 2016 to 2020, the test completed 58 training sessions after a warm-up period. The test was designed to buy the SPY ETF on the last trading day of the month and set a stop loss at a price one average true range, or ATR, below the entry price, with a target price one and a half ATRs above the entry price. The test would sell half of the position at a price one ATR above the entry price, and then move the stop loss to the breakeven point. The remaining position would be sold at the fourth trading day of the next month. The test also included a daily stop loss to limit potential losses. The manager used a long-only cash-only trading strategy, with a 5 basis point fee and 5 basis point slippage. The test started with an initial cash balance of $10,000 and reconciled the final equity to within $0.00001. The manager noted that the test results were based on historical adjusted ETF prices and did not include all possible trading scenarios. The sources of the data used in the test 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. The manager archived all inputs, code, and results in 291 parts and verified the exact readback. This test was an adaptation of an ETF strategy and not an exact replication of the CRSP methodology, and it did not have deployable approval.
A news scan found the headline 'QTM90800 SPY delay recent: frozen turn-of-month test'. This refers to a test of a trading strategy. The strategy, called QTM90800, was frozen before it could be reviewed. From 2026 through September 4, the strategy completed 8 cohorts, which is a group of things that happen at the same time. The strategy buys at the opening of the last monthly session and sells at the opening of the fourth session of the next month. This is different from the original strategy, which was based on closing prices. The strategy does not have a stop loss, which is a price at which a trade is automatically stopped to limit losses, or a target price. The strategy uses a type of order called a vectorbt order, which is a way of buying and selling, and it only buys and sells with cash. The strategy also takes into account a 5 basis point fee, which is a small cost, and 5 basis point slippage, which is a small difference between the expected price and the actual price. The strategy starts with $10,000 in cash and makes sure that the cash never goes below zero. The strategy also looks at how much money is lost, called a drawdown, but it does not look at every small change in price. The strategy uses historical prices that have been adjusted for things like dividends, which is a payment made to shareholders. The strategy did not look at prices during extended hours or at exactly the right time. The strategy cannot be used for actual trading without further approval. The strategy is based on research from Purdue University and uses data from a website called runway.adityaperswal.workers.dev. All of the inputs, code, and results are archived in 291 parts and have been verified.
A news scan found the headline 'QTM90800 SPY delay later: frozen turn-of-month test'. This refers to a test of an automated trading strategy. The test, called Protocol829, was stopped before it could be reviewed again. It looked at 59 groups of market years from 2021 to 2025. These years were already checked for other rules, so they are not completely independent. The strategy buys at the opening of the last monthly trading session and sells at the opening of the fourth trading session of the next month. This timing is different from the original strategy, which was based on closing prices. There are no stop-loss or target prices. The test used a long-only, cash-only strategy, with a 5 basis point fee and 5 basis point slippage. The cash balance was updated independently and matched the final equity within 1e-5 USD on an initial cash balance of 10,000 USD. The test only counted complete trades, not partial ones. The drawdown included both open and close prices, as well as some synthetic marks, but not all price movements within a trading session. The test used historical adjusted ETF prices, which are approximate. A 10 basis point audit and 2/20 basis point sensitivity test were saved but not selected. The test did not verify 15-minute or extended-hours trading, whole-share profit management, or exact-time execution. Recent positive results cannot override the training data or later gates, and there is no current calendar entry. The sources for this test are a research paper from Purdue University and a dataset from Aditya Perswal. All inputs, code, and results were archived in 291 parts and verified. This is an adaptation of an ETF strategy, not an exact replication of the CRSP strategy, and it has not been approved for deployment.
A news scan found the text describing the QTM90800 SPY delay train test, which is a frozen turn-of-month test. The test has three main points: first, the Protocol829 was frozen before a return inspection, and from 2016 to 2020, 58 completed cohorts were trained after a warm-up period, with cross-split turns purged. The strategy is to buy at the open of the last monthly session and sell at the open of the fourth next-month session. The timing adaptation is different from the original close-to-close paper and does not include a stop or target. Second, the test uses a long-only cash-only vectorbt order ledger with a 5 basis point fee and 5 basis point slippage per fill. The cash compounding is independent and reconciles the final equity within 1e-5 USD on an initial cash amount of 10,000 USD, with nonnegative cash. The sample count includes full entry cohorts, not partial fills. The drawdown includes open and close, as well as synthetic threshold marks, but not all intrabar excursions. Third, historical adjusted ETF prices are used to approximate distributions, with a 10 basis point audit and 2/20 basis point sensitivity saved but not selected. The test does not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. Recent positive samples cannot override the training or later gates, and there is no current calendar entry. The sources of the information are 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. All inputs, code, and results are archived in 291 parts and have exact readback verified. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.
A news scan found the headline 'QTM90800 SPY parent recent: frozen turn-of-month test'. This refers to a test of the SPY fund, which is an exchange-traded fund, or ETF, that tracks the S&P 500 stock market index. The test has three parts. First, the test looks at the returns of the SPY fund from 2026 through September 4, using what is called a turn-of-month strategy, which means buying at the end of one month and selling at the beginning of the next month. The test uses a method called close-to-close, which means it looks at the prices at the close of each day, and it does not use stop-loss or target prices, which are prices at which to automatically sell a security. Second, the test uses a system called vectorbt, which is a way of automatically placing trades, with a fee of 5 basis points, or 0.05%, and slippage, which is the difference between the expected price and the actual price, also of 5 basis points. The test also looks at the drawdown, which is the decrease in value of the fund, and it includes both the decrease from the opening price to the closing price, and a synthetic threshold, which is a minimum amount of decrease that is considered significant. Third, the test uses historical prices that have been adjusted for things like stock splits, and it does not include prices from extended hours or from very small time periods, such as 15 minutes. The test also does not verify that the trades were executed at exactly the right time, or that the profits were managed in a specific way. The results of the test are based on past data and do not guarantee future performance. The test is based on research published by Purdue University and uses data from a website called runway.adityaperswal.workers.dev. All of the inputs and code used for the test are archived and have been verified to be accurate.
A news scan found the headline 'QTM90800 SPY parent later: frozen turn-of-month test'. This is a description of a test of an automated trading strategy. The test was done in two parts: first, a set of rules called Protocol829 was applied to historical data from 2021 to 2025. This protocol involves buying at the close of the second-to-last trading session of the month and selling at the close of the third trading session of the next month. The test looked at the daily returns at the turn of the month, using auction prices as a substitute for actual prices, without setting a stop loss or target price. The test used a total of 59 sets of data, which had been previously used to test other rules. The second part of the test involved using a system called vectorbt to place orders, with a fee of 5 basis points and a slippage of 5 basis points. The test started with $10,000 in cash and made sure that the cash balance never went below zero. The test also looked at the drawdown, which is the difference between the highest and lowest values of the cash balance, including both open and close prices, but not all the small changes within each trading session. The test used historical prices of exchange-traded funds, or ETFs, which are similar to stocks but can be traded like funds. The test did not verify if the trades could be executed exactly at the specified times or if the profits could be managed exactly. The test results cannot be used to make current trades. The sources of the data used in the test are 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. All the inputs, code, and results of the test have been archived in 291 parts and verified to be accurate.
A news scan found the text of a trading fund manager's notes. The manager froze a protocol called Protocol829 before inspecting its performance. From 2016 to 2020, the protocol completed 58 training sessions after a warm-up period. The manager removed some data from the training sessions. The protocol buys the SPY ETF at the close of the second-to-last trading session of the month and sells it at the close of the third trading session of the next month. The protocol looks at the daily returns at the start of the month, using auction prices as a substitute for actual prices, without setting a stop loss or target price. The manager used a system called vectorbt to record orders, with a fee of 5 basis points and a slippage of 5 basis points. The manager also tracked the cash balance, making sure it never went negative, and checked that the final balance was correct to within $0.00001. The manager counted all the times the protocol entered the market, not just the times it partially filled an order. The manager also looked at the drawdown, which includes the difference between the high and low prices, but not all the small changes in price during the trading session. The manager used historical prices for the ETF that had been adjusted for dividends and splits, and saved the results of two tests, one with a 10 basis point error and one with a 2/20 basis point sensitivity. The manager did not check if the protocol worked with 15-minute or extended-hours trading sessions, or if it made a profit from whole shares, or if it executed trades at the exact right time. The manager noted that recent good results cannot override the training data, and that there is no current plan to enter the market. The manager cited two sources: a research paper from Purdue University and a website with stock market data. The manager archived all the inputs, code, and results in 291 parts and verified that they could be read back exactly. This is an adaptation of a trading strategy for an ETF, not an exact copy of a strategy from the Center for Research in Security Prices, and it has not been approved for deployment.
A news scan found the headline 'QIM90708 full sensitivity and closing-price audit: rejection survives endpoint changes'. The audit examined the performance of 4 ETFs, including SPY, EEM, EFA, and TLT, with 3 splits, 5 rules, and 6 one-way costs of 0, 1, 2, 5, 10, and 20 basis points. The main results showed holdout returns at 10 basis points: SPY -77.7773%, EEM -71.3673%, EFA -70.4248%, and TLT -59.6151%. At 5 basis points, all 20 ETF/rule holdout cells were negative. The TLT main 2 basis point holdout return was +0.8522% over 5 years, with a training return of -21.0091% and a 2026 return of -3.937%. The ROD 2 basis point holdout return was +3.769%, with a training return of -17.864% and a recent return of -3.526%. No cheap cost variant was adopted. The audit excluded early closes using the exchange_calendars 4.13.2 reconstructed NYSE calendar, which includes more than the 13 observed bars, to prevent extended trading from mimicking a full session. A discrepancy was found between the 30-minute close and daily close for SPY, with a maximum of 279.40 basis points on March 12, 2020, and similar discrepancies were found for EEM and EFA. The official daily close diagnostic for SPY holdout at 10 basis points was -77.1045%, with a gross return of -6.4085%. The audit concluded that the tested transfers were rejected, with no stop or target adaptation or parameter retuning. The sources for the data include https://runway.adityaperswal.workers.dev/data/stock-bars and https://www.nyse.com/trade/hours-calendars, as well as primary papers in analysis 660.
A recent test of a trading strategy for the TLT ETF, which is a type of investment fund, showed the following results. The test used historical data from 2016 to 2026, up to September 4, and only considered full trading days on the New York Stock Exchange. The strategy was tested with a 5 basis point fee, which is a type of trading cost, and 5 basis point slippage, which is the difference between the expected and actual price of a trade, on each side of the trade. The results showed a return of -16.151854%, which means the strategy lost value, and a maximum drawdown, which is the largest loss from peak to trough, of 16.151854%. The strategy had a win rate of 1.176471%, a mean return of -0.206994%, an average win of 0.028136%, and an average loss of 0.209793%. These results are based on simulated trades, not actual account performance. The test did not include same-day stop or target orders, or guarantees of auction fill, and excluded intrabar drawdown, which is the loss within a single trading period. The conclusion is to reject this strategy due to its poor performance. The test was run with six different cost variants, but changing the costs did not improve the results. The original research papers used for this test can be found at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This test was a simplified version of the original research and did not validate the strategy for future use.
A news scan found the headline 'QIM90708 TLT pdt holdout: costed final-half-hour cash-only replication'. This is a report about a trading strategy test. The test used historical data from 2016 to 2020 to train and from 2021 to 2025 to validate, and also included recent data up to September 4, 2026. The test was done on full New York Stock Exchange sessions, using a calendar and stock bar data from a specific website. The strategy was tested with fees of 5 basis points and slippage of 5 basis points on each side of a trade. The test results showed a return of -55.191299%, with 11.350294% of trades being winners, and an average win of 0.135632% and an average loss of 0.194284%. The test did not include same-day stop or target orders, and did not guarantee auction-fill orders. The results are simulated and not actual account performance. The test concluded that this strategy should be rejected, and that changing costs did not improve the results. The original research papers used for this test can be found on specific websites, and this test is a transfer of a strategy to an ETF, not a full replication of a research paper. The historical market period used for the test is not a pristine example of prospective validation.