VM9110600 EEM adapter test slip15 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 06:11
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. Return12.883997182270646%/DD18.846476101385136%,win47.72727272727273%,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.
return12.88
drawdown18.85
win rate47.73
sample44
months44
CAGR pct3.38
Sharpe zero cash0.36
mean trade pct0.51
positive months pct47.73
slippage bp15
scale1
equity reconcile error0
VM9110600 EEM adapter train slip15 scale1
BacktestsrejectQuant replicationEEM2026-09-11 06:11
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-24.762156998451978%/DD43.999468717403%,win33.33333333333333%,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-24.76
drawdown44
win rate33.33
sample48
months48
CAGR pct-6.87
Sharpe zero cash-0.57
mean trade pct-0.26
positive months pct33.33
slippage bp15
scale1
equity reconcile error0
VM9110600 EEM adapter test slip5 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 06:11
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. Return19.83487452325221%/DD17.78322013890761%,win47.72727272727273%,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.
return19.83
drawdown17.78
win rate47.73
sample44
months44
CAGR pct5.09
Sharpe zero cash0.51
mean trade pct0.66
positive months pct47.73
slippage bp5
scale1
equity reconcile error0
VM9110600 EEM adapter train slip5 scale1
BacktestsrejectQuant replicationEEM2026-09-11 06:11
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-14.870198591222184%/DD42.916488123227126%,win35.41666666666667%,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-14.87
drawdown42.92
win rate35.42
sample48
months48
CAGR pct-3.94
Sharpe zero cash-0.29
mean trade pct0.03
positive months pct35.42
slippage bp5
scale1
equity reconcile error0
VM9110600 EEM constant test slip15 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 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. Return73.49998728871863%/DD14.972165090313162%,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.
return73.5
drawdown14.97
win rate100
sample1
months44
CAGR pct16.33
Sharpe zero cash1
mean trade pct78.48
positive months pct68.18
slippage bp15
scale1
equity reconcile error0
VM9110600 EEM constant train slip15 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 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. Return6.9403397381326615%/DD35.27627543391352%,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.
return6.94
drawdown35.28
win rate100
sample1
months48
CAGR pct1.69
Sharpe zero cash0.18
mean trade pct6.96
positive months pct52.08
slippage bp15
scale1
equity reconcile error0
VM9110600 EEM constant test slip5 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 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. Return73.82284179675555%/DD14.97087506792436%,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.
return73.82
drawdown14.97
win rate100
sample1
months44
CAGR pct16.39
Sharpe zero cash1.01
mean trade pct78.89
positive months pct68.18
slippage bp5
scale1
equity reconcile error0
VM9110600 EEM constant train slip5 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 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. Return7.143491049706818%/DD35.27153425719338%,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.
return7.14
drawdown35.27
win rate100
sample1
months48
CAGR pct1.74
Sharpe zero cash0.19
mean trade pct7.17
positive months pct52.08
slippage bp5
scale1
equity reconcile error0
VM9110600 EEM monthly test slip15 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 06:10
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. Return68.54262559605463%/DD15.549896957604304%,win100%,N1,44months. 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.
return68.54
drawdown15.55
win rate100
sample1
months44
CAGR pct15.41
Sharpe zero cash0.96
mean trade pct21.79
positive months pct68.18
slippage bp15
scale1
equity reconcile error0
VM9110600 EEM monthly train slip15 scale1
BacktestsrejectQuant replicationEEM2026-09-11 06:10
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. Return-0.9303762412577687%/DD31.475732190328763%,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-0.93
drawdown31.48
win rate0
sample1
months48
CAGR pct-0.23
Sharpe zero cash0.08
mean trade pct-0.19
positive months pct50
slippage bp15
scale1
equity reconcile error0
VM9110600 EEM monthly test slip5 scale1
BacktestsinconclusiveQuant replicationEEM2026-09-11 06:10
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. Return69.42229454318145%/DD15.518137983819958%,win100%,N1,44months. 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.
return69.42
drawdown15.52
win rate100
sample1
months44
CAGR pct15.57
Sharpe zero cash0.97
mean trade pct22.02
positive months pct68.18
slippage bp5
scale1
equity reconcile error0
VM9110600 EEM monthly train slip5 scale1
BacktestsrejectQuant replicationEEM2026-09-11 06:10
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. Return-0.048481014134449385%/DD31.193884881492362%,win0%,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.
return-0.05
drawdown31.19
win rate0
sample1
months48
CAGR pct-0.01
Sharpe zero cash0.09
mean trade pct-0.01
positive months pct50
slippage bp5
scale1
equity reconcile error0
VM9110600 EFA adapter test slip15 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return4.277085141387316%/DD17.797992253073534%,win45.45454545454545%,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.
return4.28
drawdown17.8
win rate45.45
sample44
months44
CAGR pct1.16
Sharpe zero cash0.17
mean trade pct0.28
positive months pct45.45
slippage bp15
scale1
equity reconcile error0
VM9110600 EFA adapter train slip15 scale1
BacktestsrejectQuant replicationEFA2026-09-11 06:10
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-19.24993022293591%/DD26.84716311835046%,win39.58333333333333%,N48,48months. 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.
return-19.25
drawdown26.85
win rate39.58
sample48
months48
CAGR pct-5.2
Sharpe zero cash-0.62
mean trade pct-0.19
positive months pct39.58
slippage bp15
scale1
equity reconcile error0
VM9110600 EFA adapter test slip5 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return11.00021993637197%/DD16.478975701870823%,win45.45454545454545%,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.
return11
drawdown16.48
win rate45.45
sample44
months44
CAGR pct2.91
Sharpe zero cash0.37
mean trade pct0.44
positive months pct45.45
slippage bp5
scale1
equity reconcile error0
VM9110600 EFA adapter train slip5 scale1
BacktestsrejectQuant replicationEFA2026-09-11 06:10
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-9.791543497569688%/DD20.83371906457947%,win43.75%,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-9.79
drawdown20.83
win rate43.75
sample48
months48
CAGR pct-2.54
Sharpe zero cash-0.25
mean trade pct0.09
positive months pct43.75
slippage bp5
scale1
equity reconcile error0
VM9110600 EFA constant test slip15 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return68.89241210000993%/DD12.481923756298885%,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.
return68.89
drawdown12.48
win rate100
sample1
months44
CAGR pct15.47
Sharpe zero cash1.15
mean trade pct73.98
positive months pct70.45
slippage bp15
scale1
equity reconcile error0
VM9110600 EFA constant train slip15 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return24.212469850999497%/DD30.35552971447504%,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.
return24.21
drawdown30.36
win rate100
sample1
months48
CAGR pct5.57
Sharpe zero cash0.38
mean trade pct24.08
positive months pct60.42
slippage bp15
scale1
equity reconcile error0
VM9110600 EFA constant test slip5 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return69.20518637653915%/DD12.481738926862441%,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.
return69.21
drawdown12.48
win rate100
sample1
months44
CAGR pct15.53
Sharpe zero cash1.16
mean trade pct74.38
positive months pct70.45
slippage bp5
scale1
equity reconcile error0
VM9110600 EFA constant train slip5 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return24.453406075542116%/DD30.354470021404133%,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.
return24.45
drawdown30.35
win rate100
sample1
months48
CAGR pct5.62
Sharpe zero cash0.39
mean trade pct24.34
positive months pct60.42
slippage bp5
scale1
equity reconcile error0
VM9110600 EFA monthly test slip15 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return57.96449093831391%/DD11.583296443854197%,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.
return57.96
drawdown11.58
win rate100
sample1
months44
CAGR pct13.37
Sharpe zero cash1.03
mean trade pct14.45
positive months pct70.45
slippage bp15
scale1
equity reconcile error0
VM9110600 EFA monthly train slip15 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return8.063182173909889%/DD22.094108846007956%,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.
return8.06
drawdown22.09
win rate100
sample1
months48
CAGR pct1.96
Sharpe zero cash0.22
mean trade pct1.77
positive months pct56.25
slippage bp15
scale1
equity reconcile error0
VM9110600 EFA monthly test slip5 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return59.000753911733874%/DD11.583296443854207%,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.
return59
drawdown11.58
win rate100
sample1
months44
CAGR pct13.58
Sharpe zero cash1.04
mean trade pct14.67
positive months pct70.45
slippage bp5
scale1
equity reconcile error0
VM9110600 EFA monthly train slip5 scale1
BacktestsinconclusiveQuant replicationEFA2026-09-11 06:10
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. Return8.995053923013941%/DD22.046958036847585%,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
drawdown22.05
win rate100
sample1
months48
CAGR pct2.18
Sharpe zero cash0.23
mean trade pct1.97
positive months pct56.25
slippage bp5
scale1
equity reconcile error0
VM9110600 SPY adapter test slip15 scale2
BacktestsinconclusiveQuant replicationSPY2026-09-11 06:10
Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error3.637978807091713e-12 on10000initialunits. Sensitivity diagnostic only, never promoted. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return37.115872086747295%,DD14.068000496405809%,positionwinrate52.27272727272727%,N44;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.
return37.12
drawdown14.07
win rate52.27
sample44
months44
CAGR pct9.05
Sharpe zero cash0.92
mean trade pct0.85
positive months pct52.27
slippage bp15
scale2
equity reconcile error0