Stats

1. Preset29-name international sample yields28price series; raw local-currency closing returns are not USD totalreturns. ALV.DE low-vol leader: Sep4 EUR450.60,63dayvol12.0721%,momentum19.2379%; German lastavailableSep4 is not asserted currentSep7close. Aug7 issuer Q2 operatingprofit4.9bnEUR+10.6%, but coreincome2.6bn-12.7% reflects divestment comparison; underlying growth10% is management adjustment. P&C combinedratio91.9% versus91.2% worsens even as profit grows; solvency225% based on quarterly accrual, annualdividend accrual would subtract7points. https://www.allianz.com/en/mediacenter/news/media-releases/financials/260807-2q-2026-earnings-release.html . 2. SHOP.TO momentum leader+31.3960%,vol58.2366%,CAD200.76 Sep4. Aug5issuer Q2 revenue3583mUSDvs2680,OCF658-capex4=FCF654,18%margin; grossprofit1708,operating488. Q3revenuegrowth low30s versus grossprofit mid-high20s and150mSBC guidance means growth and dilution/mix warrant joint assessment. https://www.shopify.com/investors/press-releases/shopify-delivers-big-30-growth-across-gmv-revenue-gross-profit . 3. Both statements are public month-old issuer claims, not a fresh surprise. Currency/venue eligibility and independent strategy validation unresolved; local listing plus US listing are same issuer, not independent signals. Conclusion retain research watch, allocation0. Strongest counterargument is genuine cash growth; evidence that would change eligibility is prospectively validated net price-rule performance, not a larger headline growth number.

1. Final US screen ranks BRK.B lowest volatility among positive-momentum, non-ETF names in the 600-name panel: 63-day vol14.6672%, return3.6671%, Sep4price506.03. Aug8 issuer Q2 release reports operating earnings12983m vs11160m (+16.34%), while underwriting1731m vs1992m and investment income3059m vs3367m decline. Investment marks explain much of GAAP net25667m. Insurance float177.5bn is a liability-backed funding structure, not risk-free cash. https://www.sec.gov/Archives/edgar/data/1067983/000119312526344495/d159922dex991.htm . One whole BRK.B share exceeds212.7475positioncap; fractional purchase still requires independent netedge. 2. O: Sep4price61.25,vol17.579%,momentum1.981%,below100dayMA62.0381. IssuerQ2 AFFO/share1.09 vs1.05, FYguide4.44-4.45raised, but GAAPEPS1.59-1.60lowered; occupancy98.8% vs98.9%March/98.6%prior-year. ForwardAFFO multiple13.7795 versus GAAP38.4013 reflects definitions, not arbitrage. https://www.sec.gov/Archives/edgar/data/726728/000072672826000044/o-991q22026.htm . 3. Binding constraint is validated implementable payoff, not liquidity: median20day traded dollars BRK.B2.158bn/O293.6m far exceed book245.69. Positive operations support watch status but no identified near-term mispricing, own issuer claims not independent corroboration. Counterexample: durable businesses can appreciate while we holdcash; that does not establish monthly ATR-entry expectancy. Conclusion no proposal; source dates and contradictory components retained, zero probability calibration imported from quality labels.

Premises:1.NasdaqTrader primary nasdaqlisted+otherlisted files stamped0904202621:31, retrievedSep8, enumerate13155unique non-testissues. SymbolNA preserved as text. 384unsupportedformats(mainly$preferrednotation)excludedwithnamedrows;12771standardformatsrequested,12682returnSep4dailySIPbars,89no-return. InitialSIPsnapshots403,thenhistoricalbatchesfailedbecauseABR$D poisoned400symbolrequests;repairedformatfilter gives0batcherrors.2.Completeddayclose>=5,price*volume>=10m andsecuritydescriptionfilter yields3261. Boundedhistorytop600bydollarvolume plusfixedETFs=605requested;600have>=100observations;5short-history excluded. Cached1019symbols includespartialpass414extras,NOT1019finalranked. Derive63sessionmomentum/annualvol,20daymedianprice*volume,ATR14/MA100;100observationminimum andliquidity10m. All600rows recorded100packedobservations;partial594rows retainedasdiagnosticonly.3.29prelistednonUScandidates,28returned andROG.SWmissing;localcurrency63daysimpleprice returns notFXconverted/totalreturn,datesSep4/7,notallnonUSlistings.4.Alpaca supporttable36USDpairs,all36dailyseriesreturned;stablecoinsseparatefromdirectionaledge. Venuevolumeisnotglobalvolume.5.Currentcensus excludesdelistedhistory andselectsrecentliquidity;noneoftheseranksbackfilledasunbiasedstrategy. Original allUSrequest is listingfiltercoverage,notcompletepricehistoryforeverylisting. Sources https://www.nasdaqtrader.com/dynamic/SymDir/nasdaqlisted.txt https://www.nasdaqtrader.com/dynamic/SymDir/otherlisted.txt https://runway.adityaperswal.workers.dev/data/stock-bars https://alpaca.markets/support/what-cryptocurrencies-does-alpaca-currently-support https://runway.adityaperswal.workers.dev/data/crypto-bars https://query1.finance.yahoo.com/v8/finance/chart/ . Conclusionwatchranksonly,0validatedentries;missingformats/delistings/FX/venueandlimit600namedgaps.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+20bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.55e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.768018,-0.193765]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+20bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.80e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.879100,-0.205256]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 1.01e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.840583,1.131843]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.92e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.469122,0.117191]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.55e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.566171,0.097840]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 6.53e-14 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-1.591759,1.210684]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 2.43e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.581388,0.097071]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.27e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.647948,0.107154]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+20bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 4.69e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.849032,-0.327937]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+20bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.13e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.851523,-0.199385]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 2.22e-15 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-1.705693,0.823750]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 4.74e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.554674,-0.034357]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.41e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.450050,0.041509]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 8.44e-15 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-1.656603,1.016394]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 4.83e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.551373,0.100114]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.84e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.507839,0.083461]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+20bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 4.19e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.895933,-0.350419]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+20bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 2.74e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.810655,-0.145435]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 7.77e-14 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.834121,0.226791]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.27e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.598364,-0.048365]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.27e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.384520,0.171548]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 1.15e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.717164,0.723895]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.