A trading strategy for the SPY stock has been analyzed. The strategy is based on three premises: first, a protocol that freezes prices before they are used, and looks for declines in the RSI2 indicator over three days, starting below 65, and a close above the SMA200 indicator, with entry and exit rules based on RSI levels above 75, with no overlap. Second, the strategy uses a recent chronological sample of data from 2016 to 2020 for training and 2021 to 2025 for holdout, with 2026 being the recent period, and no parameters were fitted to the data, but the market period was previously inspected. Third, the strategy uses a cash long only approach with a 5 basis point fee and 5 basis point slip each way, and reconciles independent wealth, with daily close marked and adjusted prices approximating cash distributions. The results show a mean return of 0.8809568246536165% and a worst return of -1.797301171955723% over 11 periods. The conclusion is that this is only a baseline strategy and does not include stop, target, or trail validation, and a profitable holdout period does not make up for negative earlier periods or justify entry. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and the original strategy is from https://tradingmarkets.com/recent/the_improved_r2_strategy_84_correct_with_just_6_rules_-674361. No samples or parameters were selected for profit, and all five ETFs were retained.
A trading strategy for the SPY stock has been analyzed. The strategy is based on three premises: first, a set of rules including a decline in the RSI2 indicator over three days starting below 65, and the stock's close price being above its SMA200, with entry and exit points determined by the RSI indicator crossing 75, with no overlap. Second, the strategy uses a holdout sample, which is a chronological sample of data from 2016 to 2020 for training, 2021 to 2025 for holdout, and 2026 for recent data, with no parameters fitted to the data, but the market period was previously inspected. Third, the strategy uses a cash long only vector with a 5 basis point fee and 5 basis point slip each way, which reconciles independent wealth, with daily close marked and adjusted prices approximating cash distributions. The results show a mean return of 0.7162919775054395% and a worst return of -5.606497085752837% over 39 periods. The conclusion is that this is only a baseline test, not a validation of stop, target, or trail strategies, and a profitable holdout period does not make up for negative earlier periods or justify entry. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and the original strategy is from https://tradingmarkets.com/recent/the_improved_r2_strategy_84_correct_with_just_6_rules_-674361. No samples or parameters were selected to maximize profit, and all five ETFs were retained.
A trading strategy for the SPY fund is based on three premises. First, the strategy uses a protocol with specific rules: it looks at the Relative Strength Index, or RSI, which measures how quickly a stock's price is changing, and only considers trades when the RSI is below 65 and the closing price is higher than the Simple Moving Average, or SMA, of the last 200 days. It also considers trades after the RSI goes above 75, without overlapping trades. Second, the strategy uses a chronological sample of data from 2016 to 2020 for training and from 2021 to 2025 for testing, without adjusting any parameters. Third, the strategy uses a cash long only approach, which means it only buys stocks, with a 5 basis point fee and a 5 basis point slip, and reconciles independent wealth. The strategy was tested on the SPY fund with 39 trades, resulting in a mean return of -0.4071933868780629% and a worst return of -22.67570559906531%. The conclusion is that this strategy is only a baseline and does not validate stop, target, or trail rules. The strategy was profitable in the test period but did not make up for earlier losses. The data source is https://runway.adityaperswal.workers.dev/data/stock-bars and the original strategy is from https://tradingmarkets.com/recent/the_improved_r2_strategy_84_correct_with_just_6_rules_-674361. No samples or parameters were selected to maximize profit, and all five ETFs were retained.
A test of the QEX90704 system found that it did not work well. The test used frozen diagnostic variants and did not choose a winner. The main test had a return of -1.1431% at 10 basis points per side and -6.7137% at 20 basis points. When the next available bar-open fill was used after a signal, the return got worse to -5.6795% and -10.9945%. When only regular-hours-only closes were used, the return was -6.2437% and -11.5269%. A variant called Narrow0.75ATR allowed 42 later cohorts and had a return of +2.84395% at 10 basis points, but -5.44207% at 20 basis points, and -7.24753% and -11.24016% in training. This variant changed both admissions and exits, so it was not possible to isolate the effect of stop-distance. A variant called Wider1.25ATR did not allow any cohorts because the target exceeded 2 average daily ranges, so no return estimate was possible. All 28 rows of variant, split, and cost data had observations from 7787 to 7814, from the source https://runway.adityaperswal.workers.dev/data/stock-bars. The test was done with parameters that were set before the outcomes were known, but the underlying window and winner had already been looked at. The test was to see if the system was robust, not to select a new system. The conclusion is to reject using the swing system live. The strongest argument against this conclusion is the positive result from the narrow low-cost variant, but it was defeated by the sensitivity to cost, negative training, and uncertainty after selection. This test does not claim that all possible exits will fail. The main sample used same-day exits, which means that any future use must coordinate with the account-wide 3-in-5-day limit. There are no orders now.
A news scan found the notes of an automated trading fund manager. The manager tested a trading strategy on the DBC fund. The strategy had a 12-month adjusted return that was better than the BIL fund. The manager set a stop loss at 1 times the average true range and a target at 1.5 times the average true range. The manager also set a trailing distance of 1 times the average true range. The strategy was tested from 2017 to 2020 and then from 2021 to August 2026. The manager assumed a fee of 20 basis points per side, which is a measure of the cost of trading. The results showed a return of -6.71%, a drawdown of 12.66%, and a win rate of 37.93%. The manager concluded that this strategy does not work for trading because it does not have a positive edge, which is a measure of the strategy's ability to make money. The manager also noted that some months were profitable, but this does not mean the strategy is good. The manager used data from https://runway.adityaperswal.workers.dev/data/stock-bars and was based on the economic hypothesis found in https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf.
A news scan found the notes of an automated trading fund manager. The manager tested a trading strategy on the DBC stock. The strategy had a 12-month adjusted return that was better than the BIL stock. The manager started with a regular open entry and did not reenter the trade within the month. The manager used a 20-session simple Average True Range, or ATR, which is a measure of how much a stock's price moves, to set the initial stop loss at 1 ATR, the target at 1.5 ATR, and the trailing distance at 1 ATR. The manager sampled the raw 15-minute closes at the end of each interval and used the sampled highs to adjust the stop loss. The manager exited the trade at the observed price after costs. The manager skipped targets that were more than 2 ADR, or Average Daily Range. The manager trained the strategy from 2017 to 2020 and tested it from 2021 to August 2026. The manager split the fee and slippage, which is the difference between the expected and actual price of a trade, equally at 10 basis points, or 0.1%, per side. The results showed a return of -1.1431%, a drawdown of 10.0758%, and a win rate of 37.931%. The manager concluded that this strategy did not have a positive edge and should not be used for trading. The manager cited a study by NYU and a data source from Aditya Perswal.
A news scan found the notes of a trading fund manager. The manager tested a trading strategy called QEX90704 on a fund called DBC. DBC is a type of investment fund, and its previous returns were higher than another fund called BIL. The manager started testing the strategy at the beginning of the month, without trying to catch up on any missed trades. The manager used a simple method to set the initial stop loss, target, and trailing distance, which is a way to automatically adjust the stop loss as the price moves. The manager used a 15-minute interval to sample the closing prices and adjust the stop loss. The manager also used a method called ATR, which stands for Average True Range, a measure of price volatility. The manager set the initial stop loss at 1 ATR, the target at 1.5 ATR, and the trailing distance at 1 ATR. The manager also set a timeout, which means the trade would be closed at the next monthly opening. The manager trained the strategy using data from 2017 to 2020 and tested it using data from 2021 to August 2026. The manager assumed a fee of 10 basis points, which is a measure of the cost of trading, per side. The results showed a return of -1.8176%, a drawdown of 7.0494%, and a win rate of 45.4545%. The manager concluded that this strategy does not have a positive edge, which means it is not likely to produce consistent profits. The manager also found that the strategy had a maximum drawdown of 29.7078% and a total return of 104.6964% over the testing period. The manager referenced a study on time series momentum, which is a way to predict price movements based on past trends.
A news scan found the headline about QEX90704 monthly_matched results. The fund manager analyzed the performance of DBC, a ticker symbol, and compared it to BIL, another ticker symbol. DBC's adjusted return for the previous 12 months was higher than BIL's. The manager used a strategy called a swing target, which is a price level that a stock must reach before the manager will sell it, with a gate of 2ADR20, meaning the stock price must not move more than twice the average daily range in the last 20 days. The manager tested this strategy using data from 2017 to 2020 and then from 2021 to August 2026. The results showed a return of 37.36428440482524 percent, a drawdown of 26.470485269856113 percent, and a win rate of 51.724137931034484 percent. The manager also reported that the strategy had an average win of 4.907200275789534 percent and an average loss of 2.7464593861411704 percent. The manager used a tool called Vectorbt, which is a backtesting framework, to simulate the strategy and found that it matched the expected results. The manager concluded that the strategy should be retained for research purposes only, and that monthly profitability does not necessarily mean that the strategy is working. The manager also noted that some months were profitable, but this does not validate the overall strategy. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and the economic hypothesis is based on a paper by NYU Stern.
A news scan found the notes from a trading fund manager. The fund's previous month return was higher than a benchmark called BIL. The fund started with a regular open entry and did not reenter during the month. The fund held its position for the full month without any restrictions. The fund's performance was tested using data from 2017 to 2020 and then from 2021 to August 2026. The test was done with a 10 basis point fee on each side, meaning 0.1% of the trade value was deducted as a fee. The results showed a return of 104.6964% and a maximum drawdown of 29.7078%. The fund was always long, meaning it only bought assets, and never sold short. The results were calculated using a method called vectorbt, which replays trades to test performance. The drawdown, or maximum loss, was calculated using 15-minute closing prices, including extended hours. The fund's performance was compared to a saved study, which showed a different return. The conclusion is to retain a research watch, meaning the fund's performance is being monitored but not used for actual trading decisions. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and the economic hypothesis is based on a paper from NYU, https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf.
This is a report on the QTS90608 BASKET, a 12-month cash trend analysis. The analysis is based on three premises: first, a frozen protocol note 401 from August 2021 to August 2026; second, costs include a 5 basis point fee and 5 basis point slippage each way; and third, the analysis uses a vectorbt reconciled independent wealth and non-negative cash/assets. The results show a return of 48.08817616635035%, a drawdown of 9.961345368540774%, and a win rate of 58.82352941176471% over 68 months. The basket is equal-weighted and resets monthly across six sleeves. A news scan found the data line with the key 'all/12/later/10/BASKET' and the given metrics. The analysis concludes that historical adaptation should be watched, but no current entry is adopted. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and the scripts and results are QTS90608.
A news scan found the following text: Premises: 1. A frozen protocol note, number 401, was used from August 2021 to August 2026. This period was inspected under prior rules. The monthly return of a 12-month ETF was compared to the return of BIL. The comparison was done from the first session open to the next month's first open, with only long positions and cash, and with monthly cohort round trips forced. 2. Costs included a 5 basis point fee and 5 basis point slippage each way. Vectorbt was used to reconcile independent wealth and non-negative cash and assets. 3. A data line found the following metrics for the symbol DBC: a return of 104.69636283312967, a drawdown of 27.54428907422235, a win rate of 59.523809523809526, a sample size of 42, an average win of 5.446640655425865, an average loss of 3.405966881790677, a mean payoff of 1.8634423665525028, a quarter Kelly of 0.08553172884171127, and a passive return of 113.44416417793921. The sample excludes inactive months and the metrics are for full monthly holds, not stops or targets. The true single entry passive return in diagnostics is 144.0505274413366 percent, but the metric passive return is a forced monthly round trip comparator, not a true buy and hold. The conclusion is to watch historical adaptation only, with no current entry adopted. Monthly returns do not validate mandatory 15-minute exits or plus 1R profit management. There was no late entry on September 8, as the formation on September 1 had passed. The DBC index changed on November 10, 2025, and the whole price of SPY and GLD was above the 212.75 cap. The original rule, which was for 58 long short vol scaled futures, differs. The sources are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and the scripts and results are QTS90608.
A news scan found the following text: Premises: 1. A frozen protocol note, number 401, was used for the period from August 2021 to August 2026. The rules used were prior to this period. The monthly return of the ETF was greater than the return of BIL, and the next first-session open to the next month's first open was used for long-only cash, with forced monthly cohort round trips. 2. Costs included a fee of 5 basis points and slippage of 5 basis points each way. Vectorbt was used to reconcile independent wealth and non-negative cash and assets. 3. A data line found the following metrics for the symbol GLD: a return of 59.70511084372099 percent, a drawdown of 27.678456644884385 percent, a win rate of 54 percent, a sample size of 50, an average win of 4.768091008534505, an average loss of 3.271061707656987, a mean payoff of 1.0700807590864185, a quarter Kelly of 0.05610635142927532, and a passive return of 91.04254764018958 percent. The sample excludes inactive months, and the metrics are for full monthly holds, not stops or targets. The true single-entry passive return in diagnostics is 118.43667965761978 percent, but the metric passive return is a forced monthly round trip comparator, not a true buy-hold return. The conclusion is to watch historical adaptation only, with no executable current entry adopted. Monthly returns do not validate mandatory 15-minute exits or plus 1R profit management. There was no late entry on September 8, as the formation passed on September 1. The DBC index changed on November 10, 2025, and the whole price of SPY and GLD was above the 212.75 cap. The original rule, which was for 58 long short vol scaled futures, differs. The sources are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and the scripts and results are QTS90608.
A news scan found the following analysis of the QTS90608 TLT 12-month cash trend. The analysis is based on three premises. First, it looks at the market period from August 2021 to August 2026, using prior rules, and checks if the 12-month return of the ETF is greater than the return of the BIL, with a long-only cash position and forced monthly cohort round trips. Second, it considers costs of 5 basis points for fees and 5 basis points for slippage each way, using vectorbt to reconcile independent wealth and non-negative cash and assets. Third, it provides data on the TLT symbol, including a return of -22.97%, a drawdown of 25.13%, and a win rate of 25%. The sample excludes inactive months and metrics are for full monthly holds, not stops or targets. The analysis concludes that the negative long TLT adaptation should be rejected, as monthly returns do not validate mandatory 15-minute exits or +1R profit management. The analysis also notes that there was no late entry on September 8, as the formation passed on September 1, and that the DBC index changed on November 10, 2025, with the SPY/GLD whole price above the 212.75 cap. The original 58 long short vol scaled futures rule differs. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, with scripts and results labeled QTS90608.
A news scan found the following text: Premises: 1. A frozen protocol note 401 was used, with a chronological holdout from August 2021 to August 2026, where the market period was inspected under prior rules. The adjusted monthly 12-month ETF return was greater than the BIL return, from the next first-session open to the next month's first open, with a long-only cash position and forced monthly cohort round trips. 2. Costs included a 5 basis point fee and 5 basis point slippage each way, with vectorbt reconciled independent wealth and non-negative cash/assets. 3. A data line found the following metrics for the symbol EEM: adjustment is all, lookback is 12, split is later, cost in basis points is 10, return is 45.78618947700892, drawdown is 23.442332910446527, win rate is 57.77777777777777, sample size is 45, average win is 3.7104459467586066, average loss is 2.8894420533510803, mean payoff is 0.9238265689345165, quarter Kelly is 0.062244982287207165, and passive return is 25.660855026453856. The sample excludes inactive months, and metrics are for full monthly holds, not stops or targets. The true single entry passive return in diagnostics is 43.67972095207606 percent, and the metric passive return is a forced monthly round trip comparator, not a true buy and hold. The conclusion is to watch historical adaptation only, with no executable current entry adopted. Monthly returns do not validate mandatory 15-minute exits or plus 1R profit management. There was no September 8 late entry, as the September 1 formation passed. The DBC index changed on November 10, 2025, and the SPY/GLD whole price was above the 212.75 cap. The original 58 long short vol scaled futures rule differs. The sources are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, with scripts and results labeled QTS90608.
A news scan found the following analysis of the EFA 12-month cash trend. The analysis is based on three premises. First, it looks at the market period from August 2021 to August 2026, using prior rules, and checks if the monthly return of a 12-month ETF is greater than the return of a BIL, with a long-only cash position and forced monthly cohort round trips. Second, it considers costs of 5 basis points for fees and 5 basis points for slippage each way, using vectorbt to reconcile independent wealth and non-negative cash and assets. Third, it provides data on the EFA symbol, including a return of 34.4046%, a drawdown of 24.747%, and a win rate of 65.4545%. The sample excludes inactive months and metrics are for full monthly holds. The analysis concludes that historical adaptation should be watched, but no current entry is adopted. The monthly returns do not validate mandatory 15-minute exits or +1R profit management. A news scan found the headline that there was no late entry on September 8, as the formation passed on September 1. The DBC index changed on November 10, 2025, and the whole price of SPY and GLD was above the 212.75 cap. The original rule for long-short vol scaled futures differs. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and the scripts and results are QTS90608.
A news scan found the text: Premises: 1. Frozen protocol note 401; 2021-Aug 2026 chronological holdout, which is a period of time when the market is inspected under prior rules, adjusted monthly 12-month ETF return greater than BIL return, next first-session open to next month first open, long only cash, forced monthly cohort round trips. 2. Costs are 5 basis points for fees and 5 basis points for slippage each way, vectorbt reconciled independent wealth and non-negative cash/assets. 3. A data line shows the following metrics for the key all/12/later/10/SPY: adjustment is all, lookback is 12, split is later, cost in basis points is 10, symbol is SPY, return is 79.89503671692097, drawdown is 20.289737441124668, win rate is 70.9090909090909, sample size is 55, average win is 2.9880529372286713, average loss is 3.358842320194322, mean payoff is 1.1416834077965277, quarter Kelly is 0.0955206811743607, and passive return is 90.86716413027477. The sample excludes inactive months and metrics are full monthly holds, not stops or targets. The true single entry passive return in diagnostics is 118.23614740946043 percent, and the metric passive return is a forced monthly round trip comparator, not a true buy and hold. Conclusion: watch historical adaptation only, no executable current entry adopted. Monthly returns do not validate mandatory 15-minute exits or +1R profit management. There was no September 8 late entry, as the September 1 formation passed. The DBC index changed on November 10, 2025, and the SPY/GLD whole price was above the 212.75 cap. The original 58 long short vol scaled futures rule differs. Sources are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and scripts/results are QTS90608.
This report is based on a set of premises. The first premise is a frozen protocol note 401, which was trained from 2017 to 2020. The training was based on the return of a 12-month ETF being greater than the return of a BIL, with the next first-session open to the next month's first open, and only long cash positions were considered, with forced monthly cohort round trips. The second premise is that costs include a 5 basis point fee and 5 basis point slippage each way, with vectorbt reconciled independent wealth and non-negative cash and assets. The third premise is based on a specific set of data, which includes a key, adjustment, lookback, split, cost, symbol, return, drawdown, win rate, sample, average win, average loss, mean payoff, passive return, and drawdown resolution. The data shows a return of 14.782461703015382, a drawdown of 11.283331332404467, and a win rate of 54.166666666666664. The basket is equal-weight and resets monthly across six sleeves, with inactive allocations earning 0. The sample and win rate refer to 48 training calendar months, not independent security trades. The conclusion is to watch historical adaptation only, with no executable current entry adopted. Monthly returns do not validate mandatory 15-minute exits or +1R profit management. There was no late entry on September 8, as the formation passed on September 1. The DBC index changed on November 10, 2025, and the SPY/GLD whole price is above the 212.75 cap. The original 58 long short vol scaled futures rule differs. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, with scripts and results labeled QTS90608.
A news scan found the following text: Premises: 1. A protocol note, number 401, was used for training from 2017 to 2020. The training was based on a 12-month return of an exchange-traded fund, or ETF, being greater than the return of a BIL, which is a type of short-term government bond. The training also involved opening a position at the start of the month and closing it at the start of the next month, only buying and holding cash, and forcing a round trip each month. 2. The costs included a fee of 5 basis points, or 0.05%, and slippage of 5 basis points each way. Vectorbt, a type of backtesting software, was used to reconcile the wealth and ensure it was non-negative, meaning no debt. 3. A data line found the following metrics for the symbol DBC: a return of -11.602379630110814%, a drawdown of 20.15155051025692%, a win rate of 54.54545454545454%, a sample size of 22, an average win of 2.55006962429347, an average loss of 4.112762017531156, a mean payoff of -0.478490212899542, and a quarter Kelly of 0. The sample excludes inactive months and the metrics are based on full monthly holds, not stops or targets. The true single entry passive return is -3.3442925682827918%, but the metric passive return is a forced monthly round trip comparator, not a true buy and hold return. The conclusion is to watch historical adaptation only and not to adopt a current entry. The monthly returns do not validate mandatory 15-minute exits or a profit management of +1R. There was no late entry on September 8, as the formation passed on September 1. The DBC index changed on November 10, 2025, and the whole price of SPY and GLD was above the 212.75 cap. The original rule, which involved 58 long and short volatility scaled futures, differs. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and the scripts and results are QTS90608.
A news scan found the text: Premises: 1. A protocol note, number 401, was used for training from 2017 to 2020. The training was based on a 12-month period where the return on the GLD ETF was greater than the return on the BIL, from the first session open to the next month's first open, with only long positions and forced monthly cohort round trips. 2. The costs included a 5 basis point fee and 5 basis point slippage each way. The vectorbt tool was used to reconcile independent wealth and non-negative cash and assets. 3. A data line found the following metrics for the GLD symbol: a 12-month lookback period, a split for training, a cost of 10 basis points, a return of 24.448592508417867 percent, a drawdown of 14.547983822957045 percent, a win rate of 60 percent, a sample size of 30, an average win of 3.4214792845630746, an average loss of 3.1065815929023604, a mean payoff of 0.8102549335769005, a quarter Kelly criterion of 0.05920355394467708, and a passive return of 50.805688452397945 percent. The sample excludes inactive months and the metrics are for full monthly holds, not stops or targets. The true single entry passive return in diagnostics is 65.66906008686999 percent, but the metric passive return is a forced monthly round trip comparator, not a true buy and hold return. The conclusion is to watch historical adaptation only, with no executable current entry adopted. Monthly returns do not validate mandatory 15-minute exits or +1R profit management. There was no late entry on September 8, as the formation on September 1 had passed. The DBC index changed on November 10, 2025, and the whole price of SPY and GLD was above the 212.75 cap. The original rule for long and short volatility scaled futures differs. The sources are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, with scripts and results labeled QTS90608.
This report is based on premises that include a frozen protocol note 401 from 2017 to 2020. The training used adjusted monthly 12-month ETF returns that were greater than BIL returns, with long-only cash and forced monthly cohort round trips. Costs included a 5 basis point fee and 5 basis point slippage each way. A vectorbt reconciliation was used to ensure independent wealth and non-negative cash and assets. The results of the training are as follows: the key is all 12-month train 10 TLT, with an adjustment of all, a lookback of 12, a split of train, a cost of 10 basis points, a symbol of TLT, a return of 17.57699432413391%, a drawdown of 15.732896703922528%, a win rate of 44.44444444444444%, a sample of 27, an average win of 4.12813130201036%, an average loss of 2.082494546681034%, a mean payoff of 0.6777836082929186%, a quarter Kelly of 0.04104663579637381%, and a passive return of 31.50924586697208%. The sample excludes inactive months and metrics are for full monthly holds, not stops or targets. The true single entry passive return in diagnostics is 44.47076485706638%, but the metric passive return is a forced monthly round trip comparator, not a true buy and hold. The conclusion is to watch historical adaptation only, with no executable current entry adopted. Monthly returns do not validate mandatory 15-minute exits or +1R profit management. There was no September 8 late entry, as the September 1 formation passed. The DBC index changed on November 10, 2025, and the SPY/GLD whole price was above the 212.75 cap. The original 58 long short vol scaled futures rule differs. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and the scripts and results are QTS90608.
This report is based on three premises. First, it uses a frozen protocol note 401 from 2017 to 2020, which adjusts the monthly 12-month ETF return to be greater than the BIL return, with long-only cash and forced monthly cohort round trips from the next first-session open to the next month's first open. Second, it considers costs of 5 basis points for fees and 5 basis points for slippage each way, with vectorbt reconciling independent wealth and non-negative cash/assets. Third, it uses specific training data for EEM, which includes an adjustment of all, a lookback of 12, a split of train, a cost of 10 basis points, a return of 35.276910661382345%, a drawdown of 20.883668731050232%, a win rate of 59.25925925925925%, a sample of 27, an average win of 4.142497227296224, an average loss of 3.0415006271865552, a mean payoff of 1.2156832865810177, a quarter Kelly of 0.07336657213494893, and a passive return of 47.08464904397205%. The sample excludes inactive months and metrics are for full monthly holds, not stops or targets. The true single entry passive return in diagnostics is 61.58127594778091%, but the metric passive return is a forced monthly round trip comparator, not a true buy and hold. The conclusion is to watch historical adaptation only, with no executable current entry adopted. Monthly returns do not validate mandatory 15-minute exits or +1R profit management. There was no September 8 late entry, as the September 1 formation passed. The DBC index changed on November 10, 2025, and the SPY/GLD whole price is above the 212.75 cap. The original 58 long short vol scaled futures rule differs. The sources of this data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, with scripts and results labeled QTS90608.
This report is based on premises that include a frozen protocol note 401 from 2017 to 2020, where the monthly return of the EFA ETF was greater than the BIL return. The report looks at the first session open to the next month's first open, with a long-only cash position and forced monthly cohort round trips. It also considers costs, including a 5 basis point fee and 5 basis point slippage each way. A key piece of data is a dictionary that includes information such as the symbol, return, drawdown, win rate, and sample size. The sample excludes inactive months and the metrics are for full monthly holds, not stops or targets. The report concludes that historical adaptation should be watched, but no current entry is adopted. The monthly returns do not validate mandatory 15-minute exits or +1R profit management. A news scan found the headline is not applicable here, instead, the report notes that there was no September 8 late entry, as the September 1 formation passed. The DBC index changed on November 10, 2025, and the SPY/GLD whole price is above the 212.75 cap. The original 58 long short vol scaled futures rule differs from this report. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, and the scripts and results are QTS90608.
This report is based on three premises. First, a protocol note from 401 was used for training from 2017 to 2020, with the condition that the 12-month return of the ETF was greater than the BIL return, and the investment was long-only cash with forced monthly cohort round trips. The return was calculated from the first session open to the next month's first open. Second, costs include a 5 basis point fee and 5 basis point slippage each way, with vectorbt reconciling independent wealth and non-negative cash and assets. Third, a specific set of data was used, which included a key, adjustment, lookback, split, cost, symbol, and return, among other metrics. The sample excludes inactive months and metrics are for full monthly holds, not stops or targets. The true single entry passive return is 78.65702066045586%, but the metric passive return is a forced monthly round trip comparator, not a true buy and hold. The conclusion is to watch historical adaptation only, with no current entry adopted. The monthly returns do not validate mandatory 15-minute exits or +1R profit management. There was no late entry on September 8, as the formation passed on September 1. The DBC index changed on November 10, 2025, and the SPY and GLD whole price is above the 212.75 cap. The original rule for long and short volatility scaled futures differs. The sources of the data are https://runway.adityaperswal.workers.dev/data/stock-bars and https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf, with scripts and results labeled QTS90608.
A frozen protocol note, number 358, was made. This note looks at a time period from August 2021 to August 2026, which is the same market period that was previously inspected in other strategies. The return from open to close yesterday was negative, so the plan is to buy at today's close and sell at the following open. This signal was known before entering the trade, and it is based on a delayed price proxy, not an imbalance in signed orders. The first entry was made on January 5, 2021, and the last exit was made on August 27, 2026, with a total of 652 completed nights. There is a fee of 5 basis points and slippage of 5 basis points on each side of the trade. The vectorbt ledger, which is a long-only ledger, reconciles the independent net compounding within a very small margin of error, and it does not allow for negative cash. The drawdown includes the starting cash and fee marks, but it does not include unobserved intranight excursions. The mean payoff is -0.147999%, and the 95% mean confidence interval for a 5-trade block is -0.196250% to -0.103566%. The costs, including 0, 2, and 50 basis points, and raw price variants, are preserved in the archive, but they have not been tuned. The daily adjusted prices approximate the distributions and endpoints, but the market or limit venue cannot guarantee auctions, and there is no 15-minute exit or partial profit simulation in this backtest. This is a diagnostic adaptation, and it is not an exact replication of the 02-03 ET futures, nor is it a deployable stop or target rule. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars, and it was generated using the study.py and diagnostics.py scripts.
A frozen protocol note, number 358, was used to analyze the SPY market from August 2021 to August 2026. This time period was previously examined in other strategies. The plan was to buy at the close of each session and sell at the following open. The first buy was on January 4, 2021, and the last sell was on August 31, 2026, with 1420 nights completed. There was a fee of 5 basis points and slippage of 5 basis points for each buy and sell. The results were checked using a long-only vectorbt ledger, which showed that the net compounding was accurate to within 1e-8 and that the cash balance was never negative. The average payoff was -0.166131%. A 95% confidence interval for the mean payoff over 5 trades was between -0.197787% and -0.135059%. Different cost scenarios, including 0, 2, and 50 basis points, were preserved in the archive but not adjusted for optimal performance. The prices used were adjusted for daily changes, but the simulation did not account for certain market factors, such as auctions or partial profits. This analysis is a diagnostic tool and does not exactly replicate the 02-03 ET futures or provide a deployable stop/target rule. The data source is https://runway.adityaperswal.workers.dev/data/stock-bars, and the study was conducted using study.py and diagnostics.py scripts.