Stats

1.Protocol829 frozen before return inspection;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. 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;2026 through September4:8 completed cohorts, descriptive recent check. Buy penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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 penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. Buy penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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;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.

1.Protocol829 frozen before return inspection;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. 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;2026 through September4:8 completed cohorts, descriptive recent check. Buy penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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 penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. Buy penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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;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.

1.Protocol829 frozen before return inspection;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. 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;2026 through September4:8 completed cohorts, descriptive recent check. Buy penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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 penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. Buy penultimate monthly session close, sell third next-month session close. Four close-to-close turn-of-month daily returns; auction prices are proxies, 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;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.