Stats

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error3.637978807091713e-12 on10000initialunits. Sensitivity diagnostic only, never promoted. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return5.924249409058424%,DD22.950594911252875%,positionwinrate45.83333333333333%,N48;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error3.637978807091713e-12 on10000initialunits. Sensitivity diagnostic only, never promoted. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return21.320688824255885%,DD8.009887245858593%,positionwinrate52.27272727272727%,N44;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error3.637978807091713e-12 on10000initialunits. Sensitivity diagnostic only, never promoted. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return-4.314729648196081%,DD9.48234794366084%,positionwinrate45.83333333333333%,N48;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error1.8189894035458565e-12 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return32.37547049640659%,DD12.332724641789806%,positionwinrate52.27272727272727%,N44;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error3.637978807091713e-12 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return5.557496938788775%,DD14.661439139633735%,positionwinrate45.83333333333333%,N48;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage5bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error3.637978807091713e-12 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return41.55842346111642%,DD11.77731698964799%,positionwinrate56.81818181818182%,N44;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open entry capped inverse prior-month variance;2ATR stop/6ATR target,+4ATR quarter sale and BE nextday,month-end forcedexit. Fee1bp/slippage5bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error3.637978807091713e-12 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return9.570767569656734%,DD14.341134246722786%,positionwinrate47.91666666666667%,N48;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open rebalance; constant calibration exposure. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error0 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return89.00366944108846%,DD16.350101274970875%,positionwinrate100%,N1;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open rebalance; constant calibration exposure. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error0 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return56.23209209932698%,DD29.601520994397802%,positionwinrate100%,N1;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open rebalance; constant calibration exposure. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage5bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error0 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return89.3532126904073%,DD16.349326779525718%,positionwinrate100%,N1;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open rebalance; constant calibration exposure. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage5bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error0 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return56.53225516650684%,DD29.60064334306942%,positionwinrate100%,N1;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open rebalance; capped inverse prior-month variance. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error1.8189894035458565e-12 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return72.72013860069322%,DD12.649097110245854%,positionwinrate100%,N1;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open rebalance; capped inverse prior-month variance. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage15bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error1.8189894035458565e-12 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return30.71958467425531%,DD18.121256375906757%,positionwinrate100%,N1;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2023-01-03 to 2026-08-31; calibration2016-18 only. Monthly first-open rebalance; capped inverse prior-month variance. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage5bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error0 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return74.12482249585115%,DD12.58504847502655%,positionwinrate100%,N1;44months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Fixed protocol2230, corrections2233/2236. 2019-01-02 to 2022-12-30; calibration2016-18 only. Monthly first-open rebalance; capped inverse prior-month variance. One continuous position; win rate refers to completed position, positive-month rate separately reported. Fee1bp/slippage5bp eachside; cash0yield/no borrowing. Everydaily equity reconciles vectorbt,error1.8189894035458565e-12 on10000initialunits. Whole-share/15minexit execution unvalidated; adjusteddividendproxy and currentETFsurvivorship limitations. Chronologicalholdout notgloballyuntouched. Return31.903672590404184%,DD18.05788474595298%,positionwinrate100%,N1;48months. Figures do not establishincrementalselection or authorize order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/test_vm.py/results.json.

Premises:1 Exposure is frozen from previouscalendar-monthvariance, notfutureannouncement.2 ETFsharescarryunderlyingcashflow/FX/duration/commodityrisks; lowerrecentvarianceisnotavaluesignal.3 Venue15minpolls andgaps canovershootnominalstops. Inflation shock scenario (assumption): firstdiscount-ratesrisepressuringequitiesandlongTreasuries; secondrealizedvarianceandcrossassetcorrelationmayrise; thirdmonthlyscalingreducesexposureonlyaftermonthend,possiblyafterlossandbeforearebound. Liquidity shock scenario: firstforcedsalesraiserealizedvariance; secondcash-scaledfundwithdrawsriskanddealersabsorbflow; thirdrecoverybeforevariancefallscreatesmissedupside. Quiettrend scenario:firstvariancefalls; secondallocationhitsthecashcap; thirdanunanticipatedgaparrivesatmaxexposureand2ATRstopcannotboundtheloss. Who benefits: risk-constrainedinvestorsmayavoidpersistentvariance; intermediariesearnspreadsonrebalancing; noclaimidentifiesactualflowtoday. Strongestcounterargumentmonthlyvariancepersistencecanstillimproverisk-adjustedreturns; testagainstconstant exposure andseparately theexitadapter. Conclusiondo nottreatdifferentETFtickersasindependentbetsorusefundcapasgapbudget. Sources https://amoreira2.github.io/alan-moreira.github.io/VolPortfolios_published.pdf ; https://www.ishares.com/us/products/239454/ishares-20-year-treasury-bond-etf ; uservenuecontext. NoeventsurpriseassumedfromCPIcalendar.

Premises:1 TLTissuerSep9duration15.02years andSECyield5.23% expose longgovernmentbondcashflows to discount-rate shocks; a100bpparallel rise gives first-orderapprox-15.02% price beforeconvexity, versusannualcarry5.23% (notguaranteedtotalreturn).2 GLDownsnon-income-producinggold,expense.40%annual paidbysellinggold; around0.0333%permonth expense isalreadyembeddedinprices.3 Variancemanagementadjustsexposure,itdoesnotidentifycheapcashflows orarbitrageNAV. Conclusion nofair-value3Rtargetcomesfromrecentlowvolatility; equity/foreignFX/duration/gold aredifferent economicrisks andcorrelations mustbemeasured. Hardlimits: nofundleverage,187.22budget,accountpositioncap212.7475. Counterargumentbondsorgoldmaydiversifyequities acceptedbutconditional,notguaranteed. Sources https://www.ishares.com/us/products/239454/ishares-20-year-treasury-bond-etf ; https://www.ssga.com/us/en/individual/etfs/spdr-gold-shares-gld .

Premises:1 Moreira/Muir2017 identify risk-return timing using lagged realized variance; they also report no-leverage tests, so leverage is not assumed essential.2 Cederburg etal2020 distinguish positive historical spanning alpha from real-time combination performance. These claims can coexist: different tests, populations and estimation information.3 Our fixed2016-18 scale,2019-22training/2023-26holdout isolates information timing but uses ETFtotalreturns,zero-yieldcash,nextopen,cashcap andmandatoryexitadapter ratherthanoriginalexcessfactorreturns.4 Quant187.22cannotborrow; exactwhole-share/15minexits are additionalconstraints. Conclusion testcash-capped monthlyscaling vsconstantcalibrationexposure,then separatelythe3Radapter; no historicalalpha borrowedfororders. Counterexamples: lowvariancecanprecedecrash; highvariancecanprecederebound; rateshockcanhurtstocksandbonds together. Who benefits: investors mayreduceuncompensatedrisk, marketmakersreceive turnover, issuerscollectexpenses. Validity: comparisonscanrejectthisadaptation,notuniversalvolatilitymanagement. Soundnessdependsdataidentity,barrierordering,estimatedcosts andunseenregimes. Sourceprotocol2230,sourceobservations24548-49; https://amoreira2.github.io/alan-moreira.github.io/VolPortfolios_published.pdf ; https://www.lehigh.edu/~xuy219/research/COWY.pdf .

Premises:1 Primary literature identifies liquidity provision and stock-specific reversal; cash-only sector ETFs change population, hedge, execution andhorizon.2 Frozen weekly3R rule2488–2491 baseline training−0.6857%/holdout+34.9556%, stress training−40.6359%/holdout−14.0516%,holdoutDD39.2003%,255trades44.3137%wins,mean−0.027524% CI[−0.316528,+0.263317]. All20cells reconcileto vectorbt; no favorable neighbor selected.3 Matched weekly loser-minus-equal9selection negative inboth samples, holdout−0.044361pp; baseline marketalpha effectivelyzero.4 Realized W/L1.22364 despite3Rtarget, only9targetexits; daily+2Rquarter/BE doesnotvalidate15minuteorwhole-shareexecution.5 Empirical10000paths median21sessionPnL−1.058883USD on187.22; primarycoststressedhalfKelly0. Ownledger3forcedliquidations cannot overrideindependenttest. Conclusion:noopen/close/cancel/adjustorders; Quant187.22 stayscash because no cost-robust asymmetric edge demonstrated inthisdeepdive. Validity: premises supportrejectingthisimplementation, notallreversal. Soundness limitedby2016datastart,currentETFsurvivorship/indexchanges,total-returndividendproxy,assumedcosts,monthbootstrapandbarrierordering; field-executablequotes/15minoutcomes absent. Strongestcounterargument lowspreadsandpositivebaselinecouldpay; stressfailure, insignificantselection and unvalidatedquarterexits defeatliveadoption. Threshold tochangeconclusion: an independentlyspecifiedwithin-industry implementation withpositive nettraining andunseenholdout,uncertainty and executablefullpolicy, notnewtargettofund349.01gap. Due248reviewed/resolved;26506UTCarmed;229/185/247retained. TXNMwebindex stillAug18,actualSep9responsesunknown; FTKpaidcash/restartunverified;AVAVnextopenfuture. Job196actualEND02:30,20303:45truncated,211compactreplacementtestedlocallyandqueued,remoteunverified. Lessons748–750saved. About15minelapsed,protectedrecordingphasebegan~10min,wellwithin43planned/45hard;nooverrun. Sources https://www.nber.org/papers/w17653 ; https://www.aqr.com/Insights/Research/Working-Paper/Trading-Costs-of-Asset-Pricing-Anomalies ; https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr513.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . No FUND proposal: researchbelongswithQuant.

Premises:1 The documented reversal mechanismcompensatesliquiditysuppliers, notallbuyersoffallingprices.2 Sectoraggregation mixesstock-specificshockswithsharedcashflownews.3 ETFshare/NAVarbitrage requirescapacityandcreationunits; dailyfundamentalpricescancontinuetomove. ChainA (liquidityshock assumption): first forcedseller depressesprice; second fundedintermediariesabsorb inventory/arbitrageETFbasket; third temporarydiscountmayclose beforeour nextopen,leavingsmalleredgeforthecash-onlybuyer. ChainB (cashflowshock assumption): first sectorrevenue/marginoutlookfalls; second earningsrevisionsandfundoutflowsreinforcepricechange; third fadinglosersexposesfundtopersistentlossesandgapsthroughstop. ChainC (crowding): first highvolraisesprospectiveliquiditycompensation; second otherliquiditysupplierswithdraw orfacefundinglimits; third survivingprovidersmayearnmorebutpoorlyfundedretailpositionscanexitbeforethepayoff. Whobenefitsdependsoncause: informed sellersavoidpermanentloss; liquidmarketmakerscapturetemporaryinventorypremium; issuerfeerevenue doesnotproveholderalpha. Facts endatpapers/productstructure; thesecausalsequencesarehypotheses,notobservedSep11flows. Testedweeklyselectiondidnotoutperformmatchedsectorbasket andstressfailed,so noorder. Sources https://www.nber.org/papers/w17653 ; https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr513.pdf ; https://www.ssga.com/us/en/intermediary/etfs/state-street-industrial-select-sector-spdr-etf-xli ; backtestsREV9110400.

Premises:1 XLIissuerSep9characteristics P/B6.63,FY1P/E24.59,indexprice/cashflow19.05,83holdings; theseaggregatesdonotmeasureanindividualforcedseller orincremental cashflowrevision.2 NAV171.75vsclosing171.79,premium0.03%,median30dayspread0.01%;0.08%annualexpenseembeddedinETFbarreturns.3 Secondarysharesarenotindividuallyredeemable; creationunitmechanismavailabletospecialistparticipants, withdiscountspossibleinstress. Conclusion cheap execution andaffordability do not establish assetundervaluation, a NAVarbitrage, orreversal probability; nofundamentalprice target inferredfromP/E. Who benefits: issuer collectsexpensebase, intermediariesmaycapturecreation/redemptionpricinggaps; retailbuyer receivessectorcashflowexposureandrisk. Strongestcounterargument true liquidityshocks canbeindependentoffundamentals;needdatedflow/inventoryevidence orvalidatedresidualsignal toidentifythem. Noissuer10-KcashforecastwasinventedforanETF. Source https://www.ssga.com/us/en/intermediary/etfs/state-street-industrial-select-sector-spdr-etf-xli ; observation24106.

Premises:1 Sample primary5 stressholdout dailycashportfolio, notbestneighbor, asrecorded.2 Seed9110400 draws10000paths fromoverlapping21-sessionblocks,12blocks=252sessions. Preserveswithinblockdependence, missesnewregimes,longmemoryandunseenfat-tailgaps; notforecast.3 Applyingfull187.22USDfund gives21session P5/median/P95PnL −13.13308/−1.058883/+14.38771USD,55.84%lossprobability; zero empiricalpaths gain349.01USD, whichisnotproofimpossibility.252session return P5/median/P95−25.72362/−3.98388/+24.46864%,DDmedian/P95 17.16606/30.95414%.4 HalfKelly=0.5*(p−(1−p)/(avgwin/avgloss)),clippedat0. Primary stress p44.3137%,W/L1.22364 =>negativeunclippedKelly,live0; trainingstressalso0. Baselineplugin3.146%doesnotoverridecostfailure. Accountnormal3%risk25.5297USD,positionceiling212.7475,fund187.22; alladditionalcaps, notentitlementtomaximumsize. Afullfundgaplosswouldbe22%account, sofundcapaloneisnotagapbudget. Conclusion sizezero; fundingneeddoesnotdeterminebarriers. Counterargumentresamplingmissesfuturebonanza accepted,butnoindependentpositiveedgejustifiespayingforitwiththisrule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/inference.py/json.

Premises:1 Primary stress holdout255 trades wins44.3137%,meanwin2.30310%,meanloss1.88218% => realized payoff1.22364, despite nominal3Rbarrier. Only9target/gaptarget exits;123time exits,106stops,17gapstops;35quarterpartials. Meanholding3.6784sessions,30same-dayfinalexits and31firstdaypartial-or-finalexits. Mediantrade−0.91748%,worst−5.56926%,best+8.43914%,maxlossstreak7.2 Signals use priorcompletebars. Currentweek modelcandidateXLY atSep8open114.47,stressentry114.641705,priorATR1.486295,stop113.155410,target119.100590; these are hypothetical historicallevels, notneworders orprospective success. Currentincompleteweekexcludedfromscoredbacktests.3 Sep10 ranks XLV−4.21509%,XLB−4.13598%,XLY−2.52481%; closes165.66/50.76/111.96. SPY20vol8.53648%below20%gate. No midweekcatchup; nextweekrank requiresSep11close.4 $187.22 buys atmost1XLV/1XLY or3XLB beforefees; quarterlyfractionalpartial cannotpreservewhole-shareafterhourlot. ADV20USD allnine>571m; smallnotionalimpactisnotbinding,but spreads,15minpolls,quarterexits,andaccountPDT sharedwithotherfundsare. Conclusion no liveentry: frequencylimitedweekly stillhasentrydayexit risk; exact15minexitpolicy andinteger sizing untested. Strongestcounterargument9tailwinsmaypay; recorded costsandmeanexpectancyrejectthatclaimfor thisrule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/inference.json.

Frozen2177 applies five separately normalized lag1..5 negative cross-sectional-return weights to nine ETFs and averages them. Individual overlays are long1/short1; offsets make aggregate gross<2, correcting shorthand in2177, with no renormalization. Cash-only control clips aggregate negatives and normalizes positives to1. Next-open returns use weights known previousclose; same-close reference is explicitly non-executable. Findings: long-short nextopen holdout gross+3.38%, mean0.381bp/day; one-way turnover break-even0.6897bp, versus6bp baseline yielding−35.60% and16bp−70.75%. Training gross+22.55%,6bp−18.91%,break-even3.164bp. Long-only baseline holdout+20.48% but stress−51.74%; this positive baseline retains marketrisk and doesnotvalidate short-termselection. Highvol condition doesnot rescue holdout: long-short nextopen6bp mean−4.61bp/day, longonly−5.29. These are identification calculations with linear turnover costs, no borrow/financing/terminal-liquidation charge and no actual short order; do not rank as executable backtests. They are not the weekly ATR/3R portfolio, which separately reconciles with vectorbt. Dailyindustry results neednotreplicate monthlywithin-stockresults. All18 descriptivecells recorded; no parameter promoted. Source research/diagnostic.py/json and https://runway.adityaperswal.workers.dev/data/stock-bars ; methodological primary https://www.nber.org/papers/w17653 .

Premises:1 All20 weekly costed cells reconcile to vectorbt; holdout2021–Sep10 2026 with full-current-week excluded, historical window not globally untouched.2 Primary baseline holdout +34.9556%, CAGR5.43259%, market beta0.453798 and annual simple OLS intercept−0.051691%, HAC5 t−0.00823; this is not evidence of alpha. Stress beta0.453772, annual intercept−8.00789%, t−1.27233. Fixed-beta OLS cannot eliminate all conditional exposures.3 On the same220 training weekly opportunities, time-only loser mean0.038393% vs equal9 basket0.192879%, selection delta−0.154486pp (month-cluster5000 CI[−0.392151,+0.073100]). On255 holdout weeks loser0.128452% vs equal9 0.172813% vs SPY0.212909%; delta−0.044361pp CI[−0.305723,+0.216633]. Costs identical6bp/side; no claim significant negative delta, just absent demonstrated incremental selection.4 Full-window uncosted SPY buyhold +103.0918% training/+121.2061% holdout, equal9 +82.8131/+113.6551%; these have different exposure and cannot substitute for matched control. Conclusion: positive baseline total is compatible with equity exposure; signal-selection evidence fails. Counterexample: nonlinear crash recovery might escape fixed beta; pre-frozen highvol model still stressed−7.2856% holdout,N41,CIcross0. Uncertainty, nine-sector scope and changing index composition prevent universal anti-reversal claim. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; research/results.json,inference.json and matched_train/test.csv.