A trading strategy called QIM90708 TLT was tested. The test used historical data from 2016 to 2020 and held out data from 2021 to 2025, with recent data up to September 4, 2026. The test only used full New York Stock Exchange sessions and was calibrated with a tool called exchange_calendars version 4.13.2. The data was adjusted using SIP bars from a website. The test had fees of 5 basis points and slippage of 5 basis points on each side of a trade. The test only considered long positions, used all available capital, and reconciled cash independently. The results showed a return of -71.383763%, with a maximum drawdown of 71.383763%. The test had 659 trades, with a win rate of 4.552352%, a mean return of -0.189575%, an average win of 0.119127%, and an average loss of 0.204299%. These results are simulated and not actual account performance. The test did not guarantee same-day stops or targets, and did not account for intrabar drawdown. The conclusion is to reject this costed transfer, with a size of 0. Six different cost variants were tested, but changing costs did not select a winner. The original sources of the strategy are two academic papers, and this test is a transfer of an ETF long-only strategy, not a full replication. The historical market period used is not a pristine prospective validation.
A news scan found the report of a trading simulation. The simulation used historical data from 2016 to 2020 to train and 2021 to 2025 to test, with additional recent data up to September 4, 2026. It only considered full New York Stock Exchange sessions and adjusted for certain market factors. The simulation assumed a 5 basis point fee and 5 basis point lippage, which is a measure of the difference between the expected price of a trade and the actual price, on each side of a trade. The strategy was long-only, meaning it only considered buying, and used all available capital. The results showed a return of -72.035476%, with a maximum drawdown of 72.035476%. The simulation had 649 trades, with a win rate of 4.776579%, a mean return of -0.195917%, an average win of 0.145722%, and an average loss of 0.213055%. These results are based on simulated full-capital returns, not actual account performance. The simulation did not guarantee same-day stops or targets and excluded intrabar drawdown, which is a measure of the decline in value of a trade during a single trading period. The conclusion was to reject this costed transfer, with no actual size. Six different cost variants were recorded, but changing costs did not select a winner. The original sources of the data were from academic papers. This simulation was for an ETF long-only transfer, not a full replication of a research paper. The historical market period used was not a pristine prospective validation, meaning it was not a perfect test of the strategy's potential performance in the future.
A recent test of a trading strategy called QIM90708 EFA had the following results. The test used historical data from 2016 to 2026, up to September 4, and only considered full New York Stock Exchange sessions. The data was adjusted using a tool called exchange_calendars version 4.13.2 and stock bars from a website. The test assumed a 5 basis point fee and 5 basis point lippage, which is a type of trading cost, on each buy and sell. The test only considered long positions, meaning it only bought stocks, and used all available capital. The results showed a return of -14.042114 percent, with a maximum drawdown of -14.042114 percent. The test had 91 trades, with a win rate of 6.593407 percent. The average win was 0.210324 percent and the average loss was 0.192614 percent. These results are simulated and do not reflect actual account performance. The test did not use same-day stop or target prices, and did not guarantee auction-fill, which is a type of order. The test also excluded intrabar drawdown, which is a type of risk measure. Based on these results, the strategy was rejected. The test was run with six different cost variants, but changing the costs did not improve the results. The original research papers used for this test can be found at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This test was a simulation of an ETF long-only transfer, not a full replication of a research paper. The historical market period used for the test is not a pristine prospective validation, meaning it is not a perfect test of the strategy's potential performance.
The automated trading fund manager analyzed the EFA product using a costed final-half-hour cash-only replication method. The analysis involved frozen notes 651 and 653 with a positive result, and the earliest signal allowed by the maximum three trades per rolling five sessions. The entry point was at 15:30 bar open and the exit point was at the same 30-minute bar close, resulting in a flat position on the same day. The training period was from 2016 to 2020, the holdout period was from 2021 to 2025, and the recent period was from 2026 through September 4. The analysis only considered full NYSE sessions and was calibrated with exchange calendars version 4.13.2, using adjusted SIP bars from a specific website. A 5 basis point fee and 5 basis point slippage were applied to each side of the trade, with a long-only direction and all available strategy capital, and cash was reconciled independently. The results showed a return of -64.124066%, a closed wealth drawdown of 64.124066%, 538 trades, a win rate of 5.018587%, a mean return of -0.190258%, an average win of 0.160302%, and an average loss of 0.208781%. These results are simulated full-capital returns and not actual account performance. The analysis did not include same-day stop or target, or auction-fill guarantee, and intrabar drawdown was excluded. The PDT throttle was applied per isolated ETF, not as a combined account allocation. The conclusion was to reject this costed transfer, with an actual size of 0. All six cost variants were recorded, but changing costs did not select a winner. The original sources were from specific research papers, and this analysis was an ETF long-only transfer, not a full paper replication. The inspected historical market period was not a pristine prospective validation.
A trading fund manager analyzed a strategy called QIM90708 EFA. The manager used past data from 2016 to 2020 to train the strategy and data from 2021 to 2025 as a holdout to test it. The most recent data used was from 2026 up to September 4. The manager only looked at full trading sessions on the New York Stock Exchange and used a tool called exchange_calendars to adjust the data. A news scan found the data source https://runway.adityaperswal.workers.dev/data/stock-bars. The manager assumed a 5 basis point fee and 5 basis point slippage for each trade, which means a small cost for buying or selling. The strategy was set to only buy, not sell, and used all available capital. The results showed a return of -70.597717 percent and a maximum loss of 70.597717 percent. There were 649 trades, with 5.855162 percent of them being winners. The average win was 0.138181 percent and the average loss was 0.208630 percent. These results are based on simulated trades, not actual account performance. The manager did not use same-day stop or target orders and did not guarantee auction-fill orders. The manager also did not include losses that happened within a single trading period. The conclusion was to reject this strategy due to its costs. The manager tested six different cost variants, but changing the costs did not improve the results. The original research papers used for this analysis can be found at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This strategy is for a long-only ETF transfer, not a full replication of a research paper. The historical market data used is not a perfect test of the strategy's potential future performance.
A news scan found the report of an automated trading fund manager. The manager tested a trading strategy on the EFA ETF, which is a type of investment fund that tracks a stock market index. The test used historical data from 2016 to 2020 to train the strategy and data from 2021 to 2025 to evaluate its performance. The test also used recent data from 2026 up to September 4. The strategy was tested on full New York Stock Exchange sessions, using a calendar of exchange sessions and adjusted data from a website. The test assumed a 5 basis point fee, which is a small cost, and 5 basis points of slippage, which is the difference between the expected and actual price of a trade, on each side of a trade. The test used a long-only strategy, which means it only bought stocks and did not sell them short, and it used all available capital. The test also reconciled cash independently, which means it kept track of cash separately from other investments. The results showed a return of -70.424826%, a closed wealth drawdown of 70.424826%, 639 trades, a win rate of 5.477308%, a mean return of -0.190357%, an average win of 0.154433%, and an average loss of 0.210336%. These results are simulated and do not reflect actual account performance. The test did not guarantee same-day stop or target prices or auction fill, and it excluded intrabar drawdown, which is the loss of value of a trade during a single trading session. The conclusion was to reject this costed transfer, with an actual size of 0. Six cost variants were recorded, but changing costs did not select a winner. The original sources of the strategy were two academic papers, and this test was a transfer of an ETF long-only strategy, not a full replication of a research paper. The historical market period used in the test was not a pristine prospective validation, which means it was not a perfect test of the strategy's potential performance in the future.
A news scan found the report of a trading simulation. The simulation used historical data from 2016 to 2020 to train and 2021 to 2025 to test, with recent data up to September 4, 2026. It only used full New York Stock Exchange sessions and adjusted the data for certain market factors. The simulation had a 5 basis point fee and 5 basis point slippage on each trade, which means a small cost was added to each buy and sell, and slippage refers to the difference between expected and actual trade prices. The simulation only considered long positions, meaning it only bought stocks, and used all available capital. The results showed a return of -70.815321%, a closed wealth drawdown of 70.815321%, 661 trades, a win rate of 6.656581%, a mean return of -0.185949%, an average win of 0.219224%, and an average loss of 0.214843%. These results are simulated and not actual account performance. The simulation did not guarantee same-day stops or targets and did not account for intrabar drawdown, which refers to losses within a single trading period. The conclusion was to reject this transfer method, with no actual size used. Six different cost variants were tested, but changing costs did not select a winner. The original sources of the data are from academic papers, and this simulation is a transfer of an ETF long-only strategy, not a full replication. The historical market period used is not a pristine prospective validation, meaning it is not a perfect test of future performance.
The QIM90708 EFA training program was tested with a costed replication of the final half-hour of cash-only trading. The test used frozen notes 651 and 653, with an entry point at 15:30 when the price was higher than the previous day's close. The test was run from 2016 to 2020, with a holdout period from 2021 to 2025, and recent data from 2026 up to September 4. The test only used full New York Stock Exchange sessions and was calibrated with exchange calendars version 4.13.2, using adjusted SIP bars from https://runway.adityaperswal.workers.dev/data/stock-bars. The test included 5 basis point fees and 5 basis point lippage on each side of the trade, with a long-only direction and all available strategy capital, and cash was reconciled independently. The results showed a return of -72.435609%, with a closed wealth drawdown of 72.435609%, 666 trades, a win rate of 6.606607%, a mean return of -0.193105%, an average win of 0.212972%, and an average loss of 0.221831%. These results are simulated full-capital returns, not actual account performance. The test did not include same-day stop or target orders, or auction-fill guarantees, and intrabar drawdown was excluded. The conclusion is to reject this costed transfer, with an actual size of 0. All six cost variants were recorded, but changing costs did not select a winner. The original sources are https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf, and this is an ETF long-only transfer, not a full paper replication. The historical market period tested is not a pristine prospective validation.
The QIM90708 EEM recent costed final-half-hour cash-only replication analysis is based on frozen notes 651 and 653. The entry point was at 15:30 bar open, with an exit at the close of that 30-minute bar, and the position was flat by the end of the same day. The analysis was trained on data from 2016 to 2020, held out from 2021 to 2025, and considered recent data up to September 4, 2026. It only included full New York Stock Exchange sessions, calibrated with exchange calendars version 4.13.2, and used adjusted Securities Information Processor bars from https://runway.adityaperswal.workers.dev/data/stock-bars. The analysis included 5 basis point fees and 5 basis point slippage on each side of the trade, with a long-only direction and all available strategy capital, and cash was reconciled independently. The results showed a return of -13.086596%, a closed wealth drawdown of 13.197733%, 96 trades, a win rate of 14.583333%, a mean return of -0.145764%, an average win of 0.219555%, and an average loss of 0.208136%. These results are simulated full-capital returns, not actual account performance. The analysis did not include same-day stop or target orders, or auction-fill guarantees, and intrabar drawdown was excluded. The conclusion is to reject this costed transfer, with an actual size of 0. All six cost variants were recorded, but changing costs did not select a winner. The original sources are https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf, and this analysis is an ETF long-only transfer, not a full paper replication. The inspected historical market period is not a pristine prospective validation.
A news scan found the following notes about an automated trading fund manager's decisions. The manager tested a trading strategy on the EEM fund, which is an exchange-traded fund, a type of investment that trades on a stock exchange like a stock. The test used data from 2016 to 2020 to train the strategy and data from 2021 to 2025, and up to September 4, 2026, to test it. The strategy was only tested on full days when the New York Stock Exchange was open, using a calendar of exchange hours, and was adjusted for differences in how stock prices are reported. The test assumed a 5 basis point fee, which is a type of trading cost, and 5 basis points of slippage, which is the difference between the expected price of a trade and the actual price, on both the buy and sell sides of each trade. The strategy was set to only buy, not sell short, which means selling a security that the trader does not own. The test results showed a return of -65.193973%, which means the strategy lost value, and the largest loss from the highest point to the lowest point was also 65.193973%. The strategy had 521 trades, with a win rate of 5.182342%, a average win of 0.113640%, and an average loss of 0.219525%. These results are based on simulated trades, not actual account performance. The strategy did not use stop-loss orders, which automatically sell a security when it reaches a certain price, or target prices, which automatically sell a security when it reaches a certain price, and did not guarantee that trades would be filled at a certain price. The test was run on a per-ETF basis, not on a combined account basis, which means that the strategy was tested on the EEM fund separately from other funds. The conclusion was to reject this strategy due to its costs. The original research papers that this strategy is based on can be found at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This test was not a full replication of the research papers, but rather a test of a long-only transfer strategy, which means buying and holding a security, on an ETF.
A news scan found the report of an automated trading fund manager. The report is about a costed final-half-hour cash-only replication of EEM, which is an exchange-traded fund. The manager used frozen notes from 651 to 653, and the entry was at 15:30 bar open, with an exit at the close of that 30-minute bar, resulting in a flat position on the same day. The training period was from 2016 to 2020, the holdout period was from 2021 to 2025, and the recent period was from 2026 through September 4. The manager only used full New York Stock Exchange sessions, calibrated with exchange calendars version 4.13.2, and adjusted SIP bars from a specific website. The manager applied 5 basis point fees and 5 basis point slippage on each side of the trade, using a long-only direction with all available strategy capital, and cash was reconciled independently. The return was -72.989801%, the closed wealth drawdown was 72.989801%, with 631 trades, a win rate of 4.754358%, a mean return of -0.207122%, an average win of 0.108031%, and an average loss of 0.222853%. These results are simulated full-capital returns, not actual account performance. The manager did not use same-day stop or target, and there was no guarantee of auction-fill, with intrabar drawdown excluded. The conclusion was to reject this costed transfer, with an actual size of 0. All six cost variants were recorded, but changing costs did not select a winner. The original sources were from specific academic websites, and this is an ETF long-only transfer, not a full paper replication. The inspected historical market period is not a pristine prospective validation.
A news scan found the report of an automated trading fund manager. The manager tested a trading strategy on the EEM ETF, which is a type of investment fund that tracks a specific stock market index. The test used historical data from 2016 to 2020 to train the strategy and data from 2021 to 2025, and up to September 4, 2026, to test it. The strategy was only tested on full trading days on the New York Stock Exchange, using a calendar of exchange trading days, and was adjusted for certain market data. The test assumed a 5 basis point fee, which is a type of trading cost, and 5 basis points of slippage, which is the difference between the expected and actual price of a trade, on each buy and sell transaction. The strategy was set to only buy, not sell, and used all available capital. The results showed a return of -71.367297%, which means the strategy lost value, and the largest loss was also 71.367297%. The strategy had 609 trades, with a win rate of 5.582923%, and the average win was 0.104456%, while the average loss was 0.223336%. These results are simulated and do not reflect actual account performance. The test did not guarantee that trades would be filled at a certain price or that stops and targets would be executed on the same day. The test also did not account for potential losses within a trading period. The conclusion was to reject this trading strategy due to its poor performance. The original research papers that this strategy is based on can be found at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This test was a simulation of an ETF trading strategy and not a full replication of a research paper.
A news scan found the following text: 1. The system analyzed notes 651 and 653. It looked at the stock market from 15:00 to the previous daily close, and if that was more than 1, it entered at 15:30 and exited at the close of that 30-minute period, with no action on the same day. The system was trained on data from 2016 to 2020, held out from 2021 to 2025, and looked at recent data from 2026 up to September 4. It only considered full New York Stock Exchange sessions, using a calendar tool called exchange_calendars version 4.13.2, and adjusted the stock prices using a website https://runway.adityaperswal.workers.dev/data/stock-bars. 2. The system added 5 basis points in fees and 5 basis points in slippage to each buy and sell, using a tool called vectorbt that only considered long positions, using all available capital, and keeping track of cash separately. The results showed a return of -72.776051%, with a maximum drawdown of 72.776051%, 685 trades, a win rate of 10.948905%, a mean return of -0.189558%, an average win of 0.166518%, and an average loss of 0.233338%. These results are simulated and not based on actual account performance. 3. The system did not guarantee same-day stops or targets, or auction fills, and did not consider losses within a trading period. The conclusion was to reject this transfer, with a size of 0. All six cost variants were recorded, but changing costs did not select a winner. The original sources are https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This is a long-only transfer of an ETF, not a full replication of a research paper, and the historical market period analyzed is not a pristine prospective validation.
A news scan found the notes of an automated trading fund manager. The manager trained a model called QIM90708 on the EEM stock from 2016 to 2020 and tested it from 2021 to 2025 and recently up to September 4, 2026. The model only used full New York Stock Exchange sessions and was calibrated with a tool called exchange_calendars version 4.13.2. The model also used adjusted stock bar data from a website. The manager applied a 5 basis point fee and 5 basis point lippage, which is a type of trading cost, to each trade. The model only made long trades, meaning it only bought stocks, and used all available capital. The results showed a return of -72.392945 percent and a maximum drawdown of 72.392945 percent. The model had 664 trades, with a win rate of 11.144578 percent. The average win was 0.162341 percent and the average loss was 0.238069 percent. These results are simulated and do not reflect actual account performance. The model did not use same-day stop or target orders and did not guarantee auction-fill orders. The manager concluded that this model should be rejected due to its high costs. The manager tested six different cost variants, but changing the costs did not improve the results. The original research papers for this model can be found at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This model is a long-only transfer of an ETF, not a full replication of a research paper. The historical market period used to test the model is not a pristine prospective validation, meaning it is not a perfect test of the model's performance.
The QIM90708 SPY recent costed final-half-hour cash-only replication analysis is based on frozen notes 651 and 653. The entry point was at 15:30 bar open, with an exit at the close of that 30-minute bar, resulting in a flat position on the same day. The analysis was trained on data from 2016 to 2020, with a holdout period from 2021 to 2025, and recent data up to September 4, 2026. Only full New York Stock Exchange sessions were considered, calibrated with exchange calendars version 4.13.2 and adjusted SIP bars from https://runway.adityaperswal.workers.dev/data/stock-bars. A 5 basis point fee and 5 basis point slippage were applied to each side of the trade. The vectorbt direction was set to long only, with all available strategy capital and cash reconciled independently. The results showed a return of -16.249382%, with a closed wealth drawdown of 16.249382%, 93 trades, a win rate of 8.602151%, a mean return of -0.190383%, an average win of 0.129372%, and an average loss of 0.220477%. These simulated full-capital returns do not reflect actual account performance. The analysis did not include same-day stop or target orders, or auction-fill guarantees, and excluded intrabar drawdowns. The conclusion is to reject this costed transfer, with an actual size of 0. All six cost variants were recorded, but changing costs did not select a winner. The original sources are https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf, and this analysis is an ETF long-only transfer, not a full paper replication. The inspected historical market period is not a pristine prospective validation.
A news scan found the following text: 1. Frozen notes 651/653, with a positive result; the earliest signal allowed by a maximum of 3 trades per rolling 5 sessions, entry at 15:30 bar open, exit at that 30-minute bar close; the position was closed the same day. The training period was from 2016 to 2020, the holdout period was from 2021 to 2025, and the recent period was from 2026 through September 4. Only full New York Stock Exchange sessions were used, calibrated with exchange calendars version 4.13.2; adjusted SIP bars can be found at https://runway.adityaperswal.workers.dev/data/stock-bars. 2. A 5 basis point fee and 5 basis point slippage were applied to each side of the trade; the vectorbt direction was long only, using all available strategy capital, with cash reconciled independently. The return was -71.726262%, the closed wealth drawdown was 71.726262%, with 569 trades, a win rate of 13.532513%, a mean return of -0.221451%, an average win of 0.168343%, and an average loss of 0.282455%. These are simulated full-capital returns, not actual account performance. 3. There was no same-day stop or target, and no auction-fill guarantee; intrabar drawdown was excluded. The PDT throttle is per isolated ETF, not a combined account allocation. The conclusion is to reject this costed transfer, with an actual size of 0. All six cost variants were recorded, but changing costs did not select a winner. The original sources are https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf; this is an ETF long-only transfer, not a full paper replication. The inspected historical market period is not pristine prospective validation.
This is a report on a trading strategy test. The test used historical data from 2016 to 2020 to train the strategy and data from 2021 to 2025, and up to September 4, 2026, to test it. The test only used full trading days on the New York Stock Exchange and adjusted for certain market factors. The strategy was tested with a 5 basis point fee and 5 basis point slippage on each trade, which means a small cost was added to each buy and sell order. The test results showed a return of -75.849062%, which means the strategy lost value, and the largest loss from peak to trough was also -75.849062%. The strategy had 674 trades, with 13.798220% of them being winners, and the average win was 0.136409%, while the average loss was 0.265807%. These results are based on simulated trades, not actual account performance. The test did not guarantee that trades would be filled at certain prices or that stops and targets would be executed on the same day. The test also did not account for potential losses within a trading period. The conclusion is to reject this strategy due to its poor performance. The test was based on two research papers, but it is not a full replication of the papers' findings, and the historical data used may not be a perfect representation of future market conditions.
A news scan found the report of an automated trading fund manager. The report is about a costed final-half-hour cash-only replication of the SPY, which is a type of exchange-traded fund. The manager used frozen notes from 651 to 653, and the entry point was at 15:30 when the price was higher than the previous day's close. The manager exited at the close of the same 30-minute bar and was flat by the end of the day. The training period was from 2016 to 2020, the holdout period was from 2021 to 2025, and the recent period was from 2026 to September 4. The manager only used full New York Stock Exchange sessions and calibrated the data with exchange calendars version 4.13.2. The manager also adjusted the bars using a specific website. The manager paid 5 basis points in fees and 5 basis points in slippage on each side of the trade. The manager used a long-only strategy with all available capital and reconciled the cash independently. The return was -77.777294%, the closed wealth drawdown was 77.777294%, and there were 704 trades. The win rate was 13.778409%, the mean return was -0.213134%, the average win was 0.147373%, and the average loss was 0.270744%. These results are simulated and not based on actual account performance. The manager did not use same-day stop or target orders and did not guarantee auction fills. The manager also excluded intrabar drawdowns from the results. The conclusion is to reject this costed transfer with an actual size of 0. The manager recorded all six cost variants but found that changing costs did not select a winner. The original sources of the information are two academic papers, and this is an ETF long-only transfer, not a full paper replication. The historical market period inspected is not a pristine prospective validation.
A news scan found a report about a trading strategy test. The test used historical data from 2016 to 2026 to see how well a strategy would work. The strategy was tested on the SPY stock, which is a type of investment fund, and it only considered buying, not selling. The test included costs of 5 basis points, which is a measure of the cost of a trade, and 5 basis points of slippage, which is the difference between the expected price and the actual price. The results showed a return of -73.724632%, which means the strategy lost value. The strategy had 12% winning trades, with an average win of 0.283811% and an average loss of 0.254857%. The test did not guarantee that trades would be filled at a certain price or that losses would be limited. The conclusion was to reject this strategy. The test was based on research papers from academic sources, but it is not a perfect test of the strategy's potential performance.
A news scan found the report of an automated trading fund manager. The manager tested a trading strategy on the SPY stock, which is an exchange-traded fund, or ETF, that tracks the S&P 500 index. The test used data from 2016 to 2020 to train the strategy and data from 2021 to 2025 as a holdout period, and also included recent data up to September 4, 2026. The test only used full New York Stock Exchange sessions and was calibrated with a specific calendar version, 4.13.2, and adjusted for certain stock bar data found at https://runway.adityaperswal.workers.dev/data/stock-bars. The strategy had fees of 5 basis points, or 0.05%, and slippage of 5 basis points on each side of a trade, meaning the strategy paid a small cost to buy and sell stocks. The strategy was set to only buy stocks, not sell them short, and used all available capital. The test results showed a return of -75.820904%, a closed wealth drawdown of 75.820904%, 684 trades, a win rate of 11.111111%, a mean return of -0.206817%, an average win of 0.271463%, and an average loss of 0.266602%. These results are simulated and do not reflect actual account performance. The test did not guarantee that trades would be filled at a certain price or that stops and targets would be executed on the same day. The test also did not include drawdown that occurred within a single bar, or period, of trading. The conclusion was to reject this strategy due to its poor performance, with no trades actually being made, or a size of 0. Six different cost variants were tested, but changing the costs did not improve the results. The original sources of the strategy were found in two research papers at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf and https://academicweb.nd.edu/~zda/intramom.pdf. This test was a transfer of a strategy to an ETF, not a full replication of a research paper, and the historical market period used was not a pristine, or perfect, test of the strategy's potential future performance.
The New York Stock Exchange website confirms that the stock market was closed on September 7 and the next two stock sessions will be on September 8 and 9. There are no current quant positions, pending orders, or due monitors. A review of held positions, targets, and horizons is not applicable. Other fund due monitors are not quant positions or delegated tasks. The following issuer events are scheduled: INBX will have a clinical call on September 8 at 8 ET, BRZE and CASY will release earnings after the close on September 8, GME will release full results on a date following a pre-announcement, CHWY and ASO will release earnings before the open on September 9, TYRA and IRD will have clinical calls on September 9 at 8 ET, and Inditex will release results on September 9. Existing monitors 46, 47, and 48, and clinical job 35 remain active. New quant monitors 59 and 60 have been added. The economic calendar includes the Census QF on September 8 at 10 ET, the NY Fed SCE on September 8 at 11 ET, and the Fed credit on September 8 at 15 ET. On September 9, the ECEC and QSS will be released at 10 ET. A search of FDA meetings found policy and town hall meetings, but no newly confirmed PDUFA on September 8 or 9. The TLX deadline is September 11, with the possibility of an early decision. There are no pre-open orders or stops, and the edge is unvalidated. The strategy is to record complete prospective evidence and test independent net payoff for favorable events, and to record equally and stay cash for adverse or ambiguous events. Changes will only be made with positive training, holdout, cost stress, uncertainty above zero, executable actual management, fresh signal, and sizing within 21.27475 position, 8.5099 nominal risk, and 245.69 fund cash. News, gaps, or monthly shortfalls alone cannot satisfy these conditions. Primary URLs are recorded in observations 8930-8944.
A news scan found the report that the QIM90708 own-record calibration resulted in three liquidations with returns of -5.392364%, +7.939941%, and -5.130499%. The average win was 7.939941% and the average loss was 5.261432%, with a mean of -0.860974% and a realized loss of $1.046053. This is based on a first-party query of trades from the quant fund on September 7, with exact arithmetic saved in research/ledger.json. The report notes that all three exits were operator liquidations, not planned stop or target exits, and that entry orders were market orders without reference quotes, making it impossible to compare slippage. The report concludes that the results should not be transferred to intraday momentum or claimed as a PEAD win probability, despite DELL's 7.94% gain, as one selected winner cannot identify the intended payoff.
A news scan found the headline about GameStop's preliminary results. On August 31, the company announced preliminary sales of $780-800 million and operating income of $150-170 million. This implies a revenue decline of 18.741% and an operating margin of 20.253%, compared to 6.830% in the prior year. However, store closures make it hard to compare the numbers. The company also reported a gain of $163 million from its investment in eBay, which is 54.333% of its midpoint net income of $300 million. The company's cash and securities decreased by 41.799% to $5060 million, partly due to its investment in eBay. On September 8, the company will release its complete results, which should be compared to the preliminary ranges announced on August 31. A higher EPS headline alone will not be a surprise. The strongest counterargument is that the operating margin improvement could be lasting. The company's fair equity value cannot be determined without considering debt and dilution. The source of this information is the GameStop investor website.
The QIM90708 trading rule is based on intraday momentum replication. It uses a last-half-hour timing rule with a same-day exit, as defined by GHLZ, which can be found in a research paper at https://smallake.kr/wp-content/uploads/2015/01/SSRN-id2440866.pdf. Robeco-affiliated authors have also studied rest-of-day momentum in a broader futures universe, but they note that their results do not include costs, as seen in their paper at https://academicweb.nd.edu/~zda/intramom.pdf. Our cash account has certain limitations, including only allowing long exposure, a maximum of three day trades per rolling five sessions, and no guaranteed closing-auction execution or automated scheduled time exit. Based on these conditions, we will test long-only ETF transfers under frozen notes 651/653 and reject them if the net economics are not favorable. The original rule is different from previous experiments that used an Average True Range template, which were not successful. The actual order size is currently zero, and the results or implementation of stop, target, or time-exit strategies have not been validated. We have selected four ETFs to test, but they are not a representative sample of the global universe. The historical period from 2021 to 2025 has not been tested under this rule, although the market during this time has been examined by the fund. The current dealer gamma and exact costs are unknown. We will not optimize the strategy based on the inspected holdout period. We start with $245.69 in cash, aiming to achieve a replicable net edge, with the goal of maximizing tradable payoff, rather than minimizing monthly shortfall.
The final decision for QR290706 is to reject the R2 venue adaptation and retain $245.69 in cash. The reasons for this decision are as follows: 1. The frozen protocol 596/598 and 255 recorded tests show no exchange-traded fund (ETF) with positive main training and holdout results. Specifically, the SPY swing holdout results were 1.45192% gain, 11.4322% drawdown, 64 trades, 43.75% win rate, average win of 1.19768%, and average loss of 0.879921%. The training results were -15.0578% and cost stress was -10.7372%. 2. The SPY mean 95% block interval was [-0.22752, 0.33007]%, which spans 0; the other four holdouts lost. 3. There are currently no R2 signals, and the whole-share capacity for SPY/IWM is 0; 19 extended exits observed in SPY cannot be transferred to fractions. 4. The quant has $245.69 in cash, with no open or pending exposure; four future monitors show none before 08UTC, and job 8 ran at 07:01, while job 35 last ran at 05:15 and retains all three issuer lines. The conclusion is that there are no proposals, and the actual size is 0. The validity of this decision is based on frozen adoption gates failing. The soundness of this decision is supported by vectorbt/cash agreement and source audit, while quote/poll/dividend/selection limitations preclude stronger claims. The strongest counterargument is the SPY daily baseline of 31.37% with a positive later mean interval, but the different payoff and negative training do not authorize exits. The goal is to validate the net edge, and the binding constraint is the actual rule economics. Facts end at history, and the future edge is unknown. The decision is to stop generic ATR-template adaptations after consecutive DBC/R2 failures. The next research needs a distinct entry/exit mechanism and point-in-time data, not another threshold sweep. Full analyses were conducted on 553/554 main backtests, and 642-647 observations were made on all 255 rows, with stats and audits verified. The code was verified on lines 629-633, index 634, and hash manifest 635. No orders or new jobs are needed. The sources used include https://runway.adityaperswal.workers.dev/data/stock-bars, https://tradingmarkets.com/recent/the_improved_r2_strategy_84_correct_with_just_6_rules_-674361, and https://pages.stern.nyu.edu/~afrazzin/pdf/Trading%20Cost%20of%20Asset%20Pricing%20Anomalies%20-%20Frazzini,%20Israel%20and%20Moskowitz.pdf.