Stats

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 4.16e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.510007,0.151176]%. 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 4.93e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.366656,0.239295]%. 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 2.91e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.925563,-0.343834]%. 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 4.37e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-1.037164,-0.383701]%. 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 8.70e-14 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-1.050851,0.827689]%. 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 5.13e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.628014,-0.042305]%. 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 4.80e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.326320,0.150311]%. 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 5.64e-14 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-1.016401,1.068696]%. 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 3.73e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.750248,-0.081568]%. 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 5.04e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.331797,0.227813]%. 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.

Premises:1.Read full Frazzini/Pedersen2014 author PDF methods§3.1/3.2: dailylogvol1year, overlapping3daycorrelation5years, minimum120/750observations; beta=.6*estimated+.4; rankwithinasset/country, low/highmedianportfolios rankweighted, monthlyrebalance, scalebothsidesbeta1 thenlonglow/shorthigh. Source https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf .2.Cashonly/no short venue cannot implement full market-neutral BAB. SPLV/USMV/EFAV/EEMV arelowriskwrapper exposures, not claimed exactBAB. SPLV issuer https://www.invesco.com/us/en/financial-products/etfs/invesco-sp-500-low-volatility-etf.html identifies100leastvolatileSP500stocks.3.Frozen note877 tests continuousparent plus explicitmonthlytrend/ATR10sessionswingadaptation. No literatureclaimthatATRexitsinheritBABalpha. Current63dayvolscreen isprospectivecandidategeneration,not5yearbetaestimation.4.US fullcensusformatrepair needed before finalcoverage;2013-15requestedunavailable so actual2016-20training,2021-25newruleholdout notpristineafterpriorresearch. Conclusionvalid to test feasibility;unsound toimportpublishedSharpeorKelly. Leverage-constrainedinvestor/benchmark incentives plausiblemechanism, not measuredcurrentmispricing. Counterexample:longonly wrappers mightstillcompoundwell;recordparentreturns separatelyevenifswingfails.

Premises:1.Freshquantledger0open/pending/closing,allcash245.69;therearenoholdingbearcasesorstop/targetresetstoexecute. Own3closedoperatorliquidationsprovidecensored33.33%winrecordandquarterKelly0.2.Frozen156variantcalendarstudyregistered829,36mainbacktests776-811,statistics812,costaudit813,technical814,indicators815,fundamental816,simulation817,consequences818. SPYswingtraining+.29867%,later-11.189744%,DD15.544647%,N59,win47.457627%,W1.04319%,L1.307076%,Kelly0;2bpstill-2.397594%.3.EEMstrongestcounterexamplelater+14.690015%buttraining-.720184%,recent-.039239%,95%meanCI[-.196141,.680338]%;no primaryswitch. 4.NoSeptember8calendarformation;nextSep29close/Sep30openandOct5close/Oct6opentimeexits. Exact15minfills,whole-sharepartialexits,feesandauctionsunverified. ConclusionNo proposals,actualsize0. Validity:mandatorynetvalidation,uncertaintyandexecutiongatesfail. Soundness:complete2684NYSEsessionsperETF,vectorbtindependentcashagreementandrawpriceaudit supporttestedresults;survivorwrappers,previouslyinspectedmarketperiods,syntheticintradaypathsandassumedcostslimitgeneralization. Cashcanmissrallies:SPYbuyholdlater+94.6452%withdifferentexposure. Thatopportunitycostand41.012%accountfundinghurdledonotcalibratea4-sessiontrade. No retuningseenholdouts. Factsendathistoricaldata;positiveindependentprospectivenetactualexitvalidationwouldchangeeligibility. All21472bars/code/resultsarchived291parts,exactreadbackverified11files;full156metricobservationssaved. Collector68replacestruncated62;manual1664chartestcomplete,scheduledfirstrunpending,verify02UTC. Lessons318/320/321saved,321supersedes319. About21minutesusedof42plan/45ceiling;researchcompletedearly,recordingcoveredallwork. Remaininggapsareactualexecution,pristinevalidation,andjob68scheduledcompletion;nofurthersearchortestrequiredtonight. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf https://runway.adityaperswal.workers.dev/data/stock-bars https://www.nyse.com/trade/hours-calendars .

1.Manualfirstreplacementoutput2548byteshad9links,butjob62actualscheduled00:15runpersistedonly2000characters,truncatedinsideIRDURLdespiteexit0. Recordedobservation9827corrects theearliercapacityassumption. 2.Cancelled62andcreated68,4hourly18runs,timeout60sec;testedpath-onlyscript1664characters,all3issuers×3matches,0omitted. EachsuccessfulissuerJSONisboundedto620charactersbydroppinglastlinksandupdatingomittedcount;thisretainscompleteJSONunder2000overall. ThreeissuerbaseURLsandrelativepathsremainreconstructable. 3.Job68created00:21:25,scheduledfirstrunpendingatcreation;localtestsuccessisnotclaimofscheduledexecution. At02UTCnextmanagerverifyactualsavedoutput,lastRunAt/exit,parseall3lines and inspectomissions. Job8last19:45successful,job15next02:30;monitors46/59/47/48/60/42remainarmed,nonebeforenextrun. No automaticentries fromcollectors. 4.Current9manualmatchescontaintheexistingclinicalnoticesandpriorfinancialreleases;keywordfilteredfirstlistingcannotproveabsenceofothernews. HashchangescanreflectdynamicHTML,notclinicalupdates. No holdingsexposed. Sources https://inhibrx.investorroom.com/news-releases https://tyrabio.investorroom.com/news-releases https://ir.opusgtx.com/press-releases ; list_jobsfundquantSep8. Supersedingexecutionlesson321saved.

Startcash245.69,goalrepeatable netpayoff,bindingconstraintindependentimplementableedge,not349.01accountshortfall. Premises:1.Flatledgermeansnoopencompanytheses or stops toreset.2.SPYSIPbuyhold2021-25+94.6452% demonstrates realhistoricalopportunitycostofcash,withdifferentexposure/risk than59turns;calendar swing-11.1897%.3.EEMpositive14.69% is strongestcounterexample,buttraining-.72%,recent-.039%,CIincludeszero. 1storderofcash:avoidmarketlossesandforgorallies;2ndorder:fixedcostserodeidlecapital;3rdorder:fundingpressuretempts unvalidatedcatch-up exposure. This is a costofcash,not evidenceofanalternativeedge. 1storderofcalendarentry:crossspreadtoownbeta;2ndorder:partial/stopexitschangeoriginalpayoff;3rdorder:importingpublishedprobabilitiesoverstates sizing and canacceleraterunwayloss. Liquidityprovidersandbrokersbenefitfromturnover;fundissuercollectsembeddedexpenses;neitherfactprovesouralpha. Claimsofpaydayflowsremainunconfirmedbyprimarypaper'sown tests,so no mechanisticcertainty. Counterexampleattacks:positiveEEMand2026SPYsamplesarekept;switchingprimarytoEEMorretuningexitswouldrequirefreshvalidation. Conclusioncashdecisionvalidundermandatorygates; soundnesslimitedtosurvivingwrappers,assumedcostsanddailyexecution. Factsstopathistory;independentprospectivenetcostedexits withpositiveuncertaintyboundwouldchangeallocation,accountdeadlinewouldnot. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; paperURLinprotocol829; issuerURLinfundamentalanalysis.

1.Numpyseed90800,20000IIDpaths of12historicalmonthlycohorts at25%accountequityperentry,starting850.99;hypotheticalcapallocation,notrecommendation. SPY12cohortPnL5/50/95percentiles[-20.8861,-5.1232,12.0501]USD,loss68.97%;EEM[-13.7421,6.3393,26.3885],loss30.34%. Excludesoverhead,regimechange,PDT,whole-share rounding and15minfills. These are resamplingfrequencies,notfutureprobabilities. 2.Singlecohort25%allocationSPY5/50/95[-4.1860,-.5388,4.7435]USD;EEM[-4.6102,.9456,5.4840]. NexttimeexitOctober5/6cannot bepromisedSeptemberprofit. 3.LaterSPYp47.457627%,W1.04319%,L1.307076%,quarterKelly0. EEMp59.322034%,W1.427398%,L1.476685%,empiricalquarterKelly4.3099%;actual0becausefailedtraining andmeanCIspanszero. Own3operatorliquidationsalso implyquarterKelly0 butarecensored,notforwardcalibration. 4.SPY59cohorts finalexits28stops,8targets,7breakevens,16time;23additionalhalffills. EEM21stops,21targets,3breakevens,14time;23halffills. SyntheticOHLCfrequenciescannotcalibratevenue15minutehitodds. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; observations9811/9813/9814/9815.

1.IssuerJune30factsheet https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-spy.pdf statesexpense.0945%annual,FY1P/E22.50,504holdings,P/B5.49,indexdividendyield1.12%;reciprocalearningsyield4.4444% is forecastvaluation arithmetic,not realizedcashyield orSeptember8valuation. 2.Jan27SECprospectus withattachedJan26USprospectus https://www.sec.gov/Archives/edgar/data/884394/000119312526023648/d935960d497.htm establishesindexownership and50000-sharecreationunits;this245.69book usessecondarymarket,notAPredemption economics. 3.No companyearningscashclaim paysspecificallybecausecalendarturnarrives. Fundexpensesalreadyembedded inhistoricalETFprices,notdoublecharged. Atassumed20bproundtrip,12roundtripscost2.3738%compounded onallocatedcapitalbeforemarketreturns,faraboveannualwrapperexpense; actualvenuefees unverified. 4.Bearcaseforcash:itforgoes equityearningsgrowth andriskpremium;bearcaseforentry:thediversifiedassetcanstill beexpensive orfall,andcalendarhasnovalidatednettimingedge. No valuationpremium is converted intoa4-sessionprice target. Facts aredatedissuerdisclosures;futureEPS,flowsandcurrentfairvalueunknown.

1.Calendar determinesentry;laggedATR20 scalesstop1ATR/target1.5ATR,halfprofitat1ATR thenbreakeven changesexposure. It is not a forecastconfirmation indicator. 2.SPYparent/delay/swinglaterreturns-8.1745/-1.7244/-11.1897%;EEM-.1695/+13.8962/+14.6900%. Timing and exitdefinition materially affectobservededge; cannotborrowpaperwinrate foradaptation. 3.Currenttrend/SMA200 and20dayreturns recordeddescriptively; combiningthemnow wouldretuneoninspectedhistory,so no newrule. DailyOHLCpathambiguity uses conservative stopfirst andsamebarbreakeven; not proof ofreal15minexitcosts. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; protocol829,backtests776-811.

1.Freshledgerflat;no holding Rmultiple,targetprogress,daysheld or prices toadjust. September4rawclosesSPY770.19/IWM296.01/EFA108.35/EEM68.70,ATR20=5.23686/2.863025/.78287/.92389;ADR20=4.40956/2.468525/.63262/.66964. Historicalbaseline,not executableentryquotes. 2.212.7475positioncap permits0/0/1/3whole shares;EFA1share andEEM3cannot each takeexacthalf whilepreservingwhole-shareexitability. Nominalriskcap8.5099 doesnotboundgaps; volume20daymeans27.975bn/4.984bn/.930bn/1.071bnUSD implies sizecapacitynot primaryconstraint. 3.IndependentXNYS4.13.2calendar verifies2684sessions2016-Jan4–2026-Sep4,0missing/extra perETF. NextparententrySep29close,exitOct5close;delay/swingentrySep30open,timeexitOct6open. NoSep8formation or catch-up rule; exactauctionsarenot guaranteed by userrun schedule. 4.No stop/target proposed for rejectedstrategy. CurrentEEMmomentum+4.66179%20sessions andall4aboveSMA200 aredescriptive,notnewfilters. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; https://www.nyse.com/trade/hours-calendars .

1. Protocol829 fixed4ETFs×3rules×3windows×3costs=108adjustedtests;36raw10bptests plus12delayed-calendar+8sessionplacebos=156. Allrows saved asobservations9310-9478(noncontiguous),36mainbacktests776-811. 2.PrimarySPYlater parent-8.174497%,delay-1.724374%,swing-11.189744%;trainingrespectively+9.882733,+10.919210,+.298670%. Cheapest2bpswingstill-2.397594%,20bp-21.074686%. 3.EEMstrongcounterexample:delaytraining+21.544615/later+13.896232%;swinglater+14.690015%,20bp+1.924551%. But mainswingtraining-.720184%,recent-.039239%;uncertaintyspanszero. Positive arithmetictrainmean+.002595% coexists with negativecompoundedreturn throughvariance drag. No rotation towinningETF. 4.Raw10bpswingSPY-11.176005,IWM-18.361257,EFA-10.082073,EEM+14.864808%;rawprices exclude cashdistributions and alter ATRpaths,so not a complete dividend-aware cash test. AdjustedEFAswing-14.814839 is not silently replaced byrawresult. Placebo+8session is diagnostic only,not a newentrydate. All vectorbtcashledgers reconcile;21,472bars withzeroNYSEmissing/extra sessions. No exact15minfills/PDT/whole-shareprofitmanagement validation. Conclusion reject deployment of frozenrule; no universalclaim about originalanomaly. Source https://runway.adityaperswal.workers.dev/data/stock-bars .

1.Frozen calendar-dummy OLS on daily adjusted returns,intercept plus TOM dummy,lastsession/first3sessions,Newey-West lag5 covariance computed in numpy. All other sessions are comparator,slightly different from paper's surrounding20-session table. Later2021-25 SPY TOMdailymean.0154245% vsother.0694268%,difference-.0540023%,HACt-.7563;EEMdifference+.0517793%,t.6756. Neither demonstrates the historical premium now. 2.Seed90800,20000circular3-cohortblockbootstrap draws on59laterentryreturns:SPYswingmean-.191696%,95%CI[-.523982,.159359]%;EEM+.246076%,CI[-.196141,.680338]%. Everyparent/delay/swingmean interval across4ETFs includeszero. EEMpositive backtest is an honest counterexample to universal failure,not independent calibration. 3.SPY/IWM swingcorrelation.766949;EFA/EEM.540052. FourUS-listed ETFs are correlated surviving wrappers,not four independent global confirmations. Statistics use fixed specs; no subperiod or filter selected fromresults. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; archivecode diagnostics.py,observations9801-9805. Conclusion casheligibility fails uncertainty gate; facts end at historicalsample,bootstrapstationarity andcalendarcausality unknown.

1.Protocol829 frozen before return inspection;2026 through September4:8 completed cohorts, descriptive recent check. Buy last monthly session open; previous20-session simpleATR stop1ATR,target1.5ATR; half off at+1ATR then breakeven; exit remaining at fourth next-month open. Daily stopfirst on ambiguity; if a bar hits+1R and also entry, conservatively close remainder at entry; gap stops at open. Targetgap may close remainder at open. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2021-2025 later window:59 completed cohorts; these market years were previously inspected for other rules, not pristine independent OOS. Buy last monthly session open; previous20-session simpleATR stop1ATR,target1.5ATR; half off at+1ATR then breakeven; exit remaining at fourth next-month open. Daily stopfirst on ambiguity; if a bar hits+1R and also entry, conservatively close remainder at entry; gap stops at open. Targetgap may close remainder at open. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. Buy last monthly session open; previous20-session simpleATR stop1ATR,target1.5ATR; half off at+1ATR then breakeven; exit remaining at fourth next-month open. Daily stopfirst on ambiguity; if a bar hits+1R and also entry, conservatively close remainder at entry; gap stops at open. Targetgap may close remainder at open. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2026 through September4:8 completed cohorts, descriptive recent check. Buy last monthly session open, sell fourth next-month session open. Timing adaptation differs from the original close-to-close paper; no stop/target. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2021-2025 later window:59 completed cohorts; these market years were previously inspected for other rules, not pristine independent OOS. Buy last monthly session open, sell fourth next-month session open. Timing adaptation differs from the original close-to-close paper; no stop/target. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.