VM9110600 attribution and uncertainty: positive returns do not isolate volatility timing
StatisticalwatchQuant replicationSPY, EFA, EEM, TLT, GLD2026-09-11 06:14
Premises:1 FixedprimarySPYstressadaptertrain2019-22 +5.5575%,holdout2023-Aug26 +32.3755%;48/44trades.2 Rawtrade mean0.62035%/0.84966%;10000 three-month moving-block mean95%CI[-.59212,1.80894]/[-.20030,1.78505]%. Capital-weightedfundmonthlyCI[-.39509,.64125]/[-.20727,1.52007]%.3 DailySPYOLS/HAC5 adapterannualintercept training-.90499%(t-.27775),holdout+.21390%(t.05951),holdoutbeta.36583. These are descriptivezero-yieldcash regressions,notoriginalexcess-factoralpha.4 Continuousmonthlymanagedstressholdout72.7201%/DD12.6491%/Sharpe1.33907,constant89.0037%/DD16.3501%/Sharpe1.41453;managed-minusconstantmean-.20681pp/month,3monthblockCI[-.53573,.08946]. Lessdrawdown comeswithlessexposure; no demonstratedincrementalreturnpremium.5 Externalstressadapter train/test EFA-19.2499/+4.2771,EEM-24.7622/+12.8840,TLT-16.3080/-14.8836,GLD+8.5946/+37.2622%;noGLDpromotion. Conclusionprimaryisprospectivewatch,notliveadoption;neithernegativeuniversalvolatilityclaimnorpositivealphaclaim. Historyreusedelsewhere,3monthbootstrapmisseslongregimes,64cellsarenot64independentconfirmations. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; research/results.json,inference.json; fixed2230.
train return pct5.56
holdout return pct32.38
holdout trades44
holdout mean pct0.85
mean CI lower pct-0.2
mean CI upper pct1.79
holdout beta0.37
alpha annual pct0.21
alpha HAC t0.06
managed Sharpe1.34
constant Sharpe1.41
live allocation0
VM9110600 GLD adapter test slip15 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip15bp per side, cash0yield. Return37.26223735447696%/DD9.460982703974551%,win52.27272727272727%,N44,44months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return37.26
drawdown9.46
win rate52.27
sample44
months44
CAGR pct9.08
Sharpe zero cash1.19
mean trade pct1.16
positive months pct52.27
slippage bp15
scale1
equity reconcile error0
VM9110600 GLD adapter train slip15 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip15bp per side, cash0yield. Return8.594624456479094%/DD12.863200967894684%,win47.91666666666667%,N48,48months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return8.59
drawdown12.86
win rate47.92
sample48
months48
CAGR pct2.08
Sharpe zero cash0.29
mean trade pct0.39
positive months pct47.92
slippage bp15
scale1
equity reconcile error0
VM9110600 GLD adapter test slip5 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip5bp per side, cash0yield. Return43.290188416740015%/DD8.484640038126855%,win52.27272727272727%,N44,44months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return43.29
drawdown8.48
win rate52.27
sample44
months44
CAGR pct10.38
Sharpe zero cash1.36
mean trade pct1.33
positive months pct52.27
slippage bp5
scale1
equity reconcile error0
VM9110600 GLD adapter train slip5 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip5bp per side, cash0yield. Return13.220439532381523%/DD13.176694279509316%,win47.91666666666667%,N48,48months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return13.22
drawdown13.18
win rate47.92
sample48
months48
CAGR pct3.15
Sharpe zero cash0.42
mean trade pct0.52
positive months pct47.92
slippage bp5
scale1
equity reconcile error0
VM9110600 GLD constant test slip15 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return117.6517761730966%/DD23.90681734597957%,win100%,N1,44months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return117.65
drawdown23.91
win rate100
sample1
months44
CAGR pct23.8
Sharpe zero cash1.28
mean trade pct120.51
positive months pct65.91
slippage bp15
scale1
equity reconcile error0
VM9110600 GLD constant train slip15 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return34.92247805890547%/DD19.745224675675132%,win100%,N1,48months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return34.92
drawdown19.75
win rate100
sample1
months48
CAGR pct7.78
Sharpe zero cash0.61
mean trade pct36.02
positive months pct43.75
slippage bp15
scale1
equity reconcile error0
VM9110600 GLD constant test slip5 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return118.07085269270567%/DD23.903175817429066%,win100%,N1,44months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return118.07
drawdown23.9
win rate100
sample1
months44
CAGR pct23.86
Sharpe zero cash1.29
mean trade pct121.04
positive months pct65.91
slippage bp5
scale1
equity reconcile error0
VM9110600 GLD constant train slip5 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return35.18074489362362%/DD19.73934171175278%,win100%,N1,48months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return35.18
drawdown19.74
win rate100
sample1
months48
CAGR pct7.83
Sharpe zero cash0.61
mean trade pct36.32
positive months pct43.75
slippage bp5
scale1
equity reconcile error0
VM9110600 GLD monthly test slip15 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return82.09329801816475%/DD10.650372817766629%,win100%,N1,44months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return82.09
drawdown10.65
win rate100
sample1
months44
CAGR pct17.88
Sharpe zero cash1.44
mean trade pct11.52
positive months pct63.64
slippage bp15
scale1
equity reconcile error0
VM9110600 GLD monthly train slip15 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return22.780768644632985%/DD17.556571194272973%,win100%,N1,48months. vectorbt dailyreconciliationmaxerror7.275957614183426e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return22.78
drawdown17.56
win rate100
sample1
months48
CAGR pct5.26
Sharpe zero cash0.5
mean trade pct2.92
positive months pct47.92
slippage bp15
scale1
equity reconcile error0
VM9110600 GLD monthly test slip5 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return84.12249185590099%/DD10.591120908468277%,win100%,N1,44months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return84.12
drawdown10.59
win rate100
sample1
months44
CAGR pct18.24
Sharpe zero cash1.47
mean trade pct11.74
positive months pct63.64
slippage bp5
scale1
equity reconcile error0
VM9110600 GLD monthly train slip5 scale1
BacktestsinconclusiveQuant replicationGLD2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return24.385365922605274%/DD17.386666203685543%,win100%,N1,48months. vectorbt dailyreconciliationmaxerror7.275957614183426e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return24.39
drawdown17.39
win rate100
sample1
months48
CAGR pct5.61
Sharpe zero cash0.52
mean trade pct3.11
positive months pct50
slippage bp5
scale1
equity reconcile error0
VM9110600 TLT adapter test slip15 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip15bp per side, cash0yield. Return-14.883601597817453%/DD18.0920572171397%,win38.63636363636363%,N44,44months. vectorbt dailyreconciliationmaxerror1.8189894035458565e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-14.88
drawdown18.09
win rate38.64
sample44
months44
CAGR pct-4.33
Sharpe zero cash-0.67
mean trade pct-0.27
positive months pct38.64
slippage bp15
scale1
equity reconcile error0
VM9110600 TLT adapter train slip15 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip15bp per side, cash0yield. Return-16.30798195712727%/DD19.124184605469598%,win27.083333333333332%,N48,48months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-16.31
drawdown19.12
win rate27.08
sample48
months48
CAGR pct-4.35
Sharpe zero cash-0.7
mean trade pct-0.92
positive months pct27.08
slippage bp15
scale1
equity reconcile error0
VM9110600 TLT adapter test slip5 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:12
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip5bp per side, cash0yield. Return-9.23425662628673%/DD15.754348610633851%,win40.909090909090914%,N44,44months. vectorbt dailyreconciliationmaxerror1.8189894035458565e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-9.23
drawdown15.75
win rate40.91
sample44
months44
CAGR pct-2.62
Sharpe zero cash-0.38
mean trade pct-0.08
positive months pct40.91
slippage bp5
scale1
equity reconcile error0
VM9110600 TLT adapter train slip5 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:12
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Monthlyentry c/priorvariance capped1;stop2ATR/target6ATR,+4ATRquarter/nextdayBE,monthendexit. Fees1bp/slip5bp per side, cash0yield. Return-11.494672649605132%/DD17.750262144248484%,win29.166666666666668%,N48,48months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-11.49
drawdown17.75
win rate29.17
sample48
months48
CAGR pct-3.01
Sharpe zero cash-0.45
mean trade pct-0.77
positive months pct29.17
slippage bp5
scale1
equity reconcile error0
VM9110600 TLT constant test slip15 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return-6.074126769098475%/DD20.392947490245728%,win0%,N1,44months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-6.07
drawdown20.39
win rate0
sample1
months44
CAGR pct-1.71
Sharpe zero cash-0.07
mean trade pct-6.33
positive months pct54.55
slippage bp15
scale1
equity reconcile error0
VM9110600 TLT constant train slip15 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return-10.454630108866258%/DD40.62901185018851%,win0%,N1,48months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-10.45
drawdown40.63
win rate0
sample1
months48
CAGR pct-2.72
Sharpe zero cash-0.1
mean trade pct-10.62
positive months pct45.83
slippage bp15
scale1
equity reconcile error0
VM9110600 TLT constant test slip5 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return-5.89794101997626%/DD20.39163041743831%,win0%,N1,44months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-5.9
drawdown20.39
win rate0
sample1
months44
CAGR pct-1.65
Sharpe zero cash-0.07
mean trade pct-6.16
positive months pct54.55
slippage bp5
scale1
equity reconcile error0
VM9110600 TLT constant train slip5 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance constantcalibrationexposure;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return-10.2808941824015%/DD40.62457944112138%,win0%,N1,48months. vectorbt dailyreconciliationmaxerror0 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-10.28
drawdown40.62
win rate0
sample1
months48
CAGR pct-2.68
Sharpe zero cash-0.09
mean trade pct-10.45
positive months pct45.83
slippage bp5
scale1
equity reconcile error0
VM9110600 TLT monthly test slip15 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return-9.777625061966788%/DD16.00312591960593%,win0%,N1,44months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-9.78
drawdown16
win rate0
sample1
months44
CAGR pct-2.78
Sharpe zero cash-0.26
mean trade pct-1.96
positive months pct50
slippage bp15
scale1
equity reconcile error0
VM9110600 TLT monthly train slip15 scale1
BacktestsinconclusiveQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip15bp per side, cash0yield. Return8.730427505708471%/DD23.750118307164904%,win100%,N1,48months. vectorbt dailyreconciliationmaxerror5.4569682106375694e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return8.73
drawdown23.75
win rate100
sample1
months48
CAGR pct2.11
Sharpe zero cash0.26
mean trade pct1.41
positive months pct43.75
slippage bp15
scale1
equity reconcile error0
VM9110600 TLT monthly test slip5 scale1
BacktestsrejectQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2023-01-03–2026-08-31;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return-8.806069127829652%/DD15.501575312076199%,win0%,N1,44months. vectorbt dailyreconciliationmaxerror3.637978807091713e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return-8.81
drawdown15.5
win rate0
sample1
months44
CAGR pct-2.5
Sharpe zero cash-0.23
mean trade pct-1.76
positive months pct52.27
slippage bp5
scale1
equity reconcile error0
VM9110600 TLT monthly train slip5 scale1
BacktestsinconclusiveQuant replicationTLT2026-09-11 06:11
Protocol2230/corrections2233,2236. 2019-01-02–2022-12-30;2016-18calibration,train2019-22/holdout2023-Aug26. Firstmonthlyopen rebalance c/priorvariance capped1;terminal liquidation. PositionN1, monthlywinfrequency separately. Fees1bp/slip5bp per side, cash0yield. Return9.857486794814951%/DD23.293556457957177%,win100%,N1,48months. vectorbt dailyreconciliationmaxerror1.8189894035458565e-12 at10000initialunits. No15min/whole-sharevalidation;dividend-adjustedproxy,survivorship,historynotgloballyuntouched. Diagnosticinstrument,no winnerpromotion. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return9.86
drawdown23.29
win rate100
sample1
months48
CAGR pct2.38
Sharpe zero cash0.28
mean trade pct1.58
positive months pct43.75
slippage bp5
scale1
equity reconcile error0