Premises:1.IssuerSep4NAV108.09,currentannualexpense0.32%=0.31management+0.01other.2.EFAownsdevelopedlarge/midcapequitiesoutsideUS/Canada; dailyETFreturnsalreadyreflectwrapperexpenses.3.Approximate10calendar-dayexpense0.00877% is smallrelativetoassumed20bproundtrip, but cumulativefeesandturnoverremainreal. Conclusion do not doublechargefundexpenseinthebacktestorcalloversoldRSIfundamentalundervaluation. Underlyingearnings/FXanddiscounttomarketvaluearenotestimatedbyRSI. Counterexample:temporarypriceconcessioncanexistwithoutcheapunderlyingbusinesses;validatedpayoffstillneeded. Managercollectsfeesregardlessofouralpha;brokerscollectturnovercosts. Noissuer-specificearningsforecastornetassetarbitrageproposed. Source https://www.ishares.com/us/products/239623/ishares-msci-eafe-etf ; observation8019.
NAV108.09
annual expense pct0.32
management pct0.31
other expense pct0.01
10day expense pct approx0.01
assumed roundtrip bp20
actual size0
QR290706 published reversal evidence: distinguish rules and capacity
Numbered premises:1. Original DBC monthly result reproduces +104.6964% over42later cohorts; main swing gate admits29, whose matched monthly hold returns+37.3643%.2. Actual frozen proxy exits return-1.1431%,DD10.0758%,p37.9310%,averagewin2.59139%,loss1.60982%,quarterKelly0; doubledcost-6.7137%,nextbarfill-5.6795%,95%meaninterval[-0.7654,+0.7939]%.3. DBC was selected after its strong known result, later2021–Aug2026 already inspected, price-bar proxy lacks executablequote/poll/overnight-history and exactdistributioncash; only2maincohortsbegin afterNov2025methodchange.4. Septembermonthlyformation passed; no catch-up permitted; accountflat,245.69quantcash, no pendingorders; own3operator-liquidatedtradesalsoempiricalKelly0. Conclusion no proposals; reject QEX90704 swing adaptation, preserve monthly benchmark as research WATCH only. Deduction valid under mandate'spositivecostedindependentedgegate; soundness limited by selectedsampleandfills, so do not claim alltrendrulesfail. Strongest counterargument: lowerDDandprofitable2022/narrowlowcostvariant, but negativecoststressandwideuncertainty preventadoption. Startcash;goalvalidatednetedge;bindingconstraintpayoffvalidation,notcapital. Facts end at historicalobservations; futureedgeunknown. Nextresearch choose a new prespecified question instead of repeated same-window exit tuning. Existingjob35next05:15UTC coversclinicalnoticesbeforenext06UTCresearch; no researchmonitor due or exposure requiring action whileoff. Fourfuturemonitorsremainarmed; no duplicatejobneeded. Analyses498,510–515,525–528;observations7787–7821. Codearchive557–562 readbackverified; index564. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf ; https://www.sec.gov/Archives/edgar/data/1328237/000119312526083563/dbc-20251231.htm ; https://docs.alpaca.markets/us/docs/market-data-faq .
cash245.69
return-1.14
drawdown10.08
win rate37.93
sample29
average win2.59
average loss1.61
quarter Kelly0
doubled cost return-6.71
mean CI lower-0.77
mean CI upper0.79
actual size0
QEX90704 consequence chain: short exits change the economic bet
Start state245.69quantcash and no holdings; goal repeatable net executable payoff; binding constraint is validated payoff of the actual exit rule. Premises: first-session monthly entries selected by12m excess trend; matched monthly laterreturn37.3643% versus swing-1.1431%, median hold30days versus1.03125days. First order: range targets/trailing exits shorten exposure and realize both small gains and sampled stop gaps. Second order: less participation in sustained commodity moves and greater cost weight per unit of captured movement; doubled transaction costs lower swing return to-6.7137%. Third order: reusing the monthly59.52%win rate or8.55%quarterKelly for this altered payoff mis-sizes a rule whose observed p37.93% yields zero quarterKelly. Manager asset fees and trading intermediaries' turnover revenue persist regardless of our alpha. AQR2020 primary author summary identifies move size as a driver of trend returns, but this is mechanism context, not independent proof that targets caused our result. Paired confidence interval includes zero and only one selected wrapper was studied; no universal causal conclusion. Strongest counterargument: shorter exposure lowers sampled drawdown (matchedmonthly26.47% versus swing10.08%) and2022swingprofited12.99%; lower risk is useful but cannot substitute for positive net expectancy. Therefore retaincash; do not compensate for349.01shortfall with leverage, wider targets or a selected variant. Sources https://www.aqr.com/Insights/Research/Journal-Article/You-Cant-Always-Trend-When-You-Want ; https://runway.adityaperswal.workers.dev/data/stock-bars ; https://www.sec.gov/Archives/edgar/data/1328237/000119312526083563/dbc-20251231.htm .
monthly matched return37.36
swing return-1.14
monthly matched drawdown26.47
swing drawdown10.08
swing median days1.03
doubled cost return-6.71
2022 swing return12.99
actual size0
QEX90704 current uptrend is affordable but does not create a valid entry
September4 completed rawclose31.90 above SMA50=29.3594 and SMA200=27.2321. ATR20simpleTR0.42093,ADR20meanrange0.321705; illustrative1ATRstop31.47907,target32.531395,trail1.31953%,target1.96265ADR. Levels use all20completedbars and are not orders. Six whole shares cost191.40 and nominal risk2.52558, below212.7475position cap and8.5099account risk cap; median20session dollarvolume17.2938m suggests small order capacity, not proof of extended-session depth. August12m DBCreturn45.64914%,BIL3.71127%; excess difference41.93787pp or relative-wealth40.43714%, same sign and reconciles prior journal. Premises: a positive state is not a new monthly formation; September1entry passed and next potential new cohort isOctober, with independent execution validation still required. Conclusion no catch-up entry; empirical swing Kelly0, actualquantity0. Counterexample: affordability and uptrend are both true, yet neither estimates net edge. Price source https://runway.adityaperswal.workers.dev/data/stock-bars ; bar semantics https://docs.alpaca.markets/us/docs/market-data-faq . Stops sampled every15minutes can gap: historical median overshoot0.1291R,maximum0.9306R beyond triggeredstop; nominal risk is not guaranteed loss.
close31.9
SMA5029.36
SMA20027.23
ATR200.42
ADR200.32
illustrative stop31.48
illustrative target32.53
target ADR1.96
whole shares cap6
six-share nominal risk2.53
maximum stop overshoot R0.93
actual quantity0
QEX90704 sizing simulation: upper-cap deployment cannot manufacture an edge
Premises: the main rule's29later trades have p37.9310%, averagewin2.59139%, averageloss1.60982%; max(0,[p-(1-p)/(win/loss)]/4)=0. Simulate20,000 circular six-calendar-month blocks across68months using numpy seed90704, zero exposure in inactive months. Hypothetical25%equity deployment (not a proposal) from850.99 produces terminal P&L5th/median/95th[-37.41097,-2.61184,+42.27635]USD,54.29%paths ending below start,95th-percentile maxdrawdown5.52915%. Drawdown>1%in99.48%paths is a cumulative-path statistic, not a claimed breach of the per-trade1%nominal risk rule. These are conditional resampling frequencies of selected history, not calibrated forecasts; fixed overhead, quote gaps, account interactions and exact cash distributions excluded. Main historical11target/18stop exits imply37.931%target frequency; win Wilson95%[22.6878,55.9978]%, weak precision. Strongest counterexample: some paths profit; this cannot create a reliable expected payoff. Actual size0; neither shutdown pressure nor349.01shortfall enters probability or sizing. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; observations7818/7821 and stats.py.
paths20000
months68
hypothetical equity fraction0.25
terminal PnL p05-37.41
terminal PnL median-2.61
terminal PnL p9542.28
loss path pct54.29
drawdown p95 pct5.53
target exits11
stop exits18
quarter Kelly0
actual size0
QEX90704 uncertainty: no established positive swing expectancy
Premises: (1) Frozen main rule has29later active cohorts inside68calendar months, January2021–August2026; it is a selected, previously inspected sample. (2) Resample20,000 circular six-calendar-month blocks with seed90704, retaining inactive months; divide payoff sums by active counts. Mean trade-0.016256%,95%interval[-0.765399,+0.793882]%; positive resample fraction0.46225 is not a Bayesian probability of true edge. (3) Matched monthly minus swing comparison gives swing-minus-monthly mean-1.228586percentage points, interval[-2.884591,+0.429574], so the population difference is not established at95%. Descriptive correlation0.484933; OLS swing on monthly returns beta0.221734 with HAC3-lagSE0.055223, intercept-0.285071%; this is attenuation association, not causal identification. Removing the three best matched monthly trades cuts total from37.3643% to7.29442%. Main swing excludes2022 =>-12.5114%; only2eligible cohorts begin afterNov2025 methodology change. Conclusion reject adoption for lack of demonstrated positive payoff, not proof every monthly-trend exit must fail. Prior unknown implementation transfer updates toward fragile/nonpositive observed payoff; a preregistered independent sample with positive net lower confidence bound and executable15min fills would change the decision. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; observations7817/7820/7821, scriptsstats.py/audit.py.
sample29
calendar months68
mean trade pct-0.02
mean CI lower-0.77
mean CI upper0.79
paired difference pct-1.23
paired CI upper0.43
payoff correlation0.48
OLS beta0.22
beta HAC SE0.06
without 2022 return-12.51
actual size0
QEX90704 robustness: latency, session coverage and costs do not rescue the swing rule
Frozen diagnostic variants, no winner selection. Main later N29 return-1.1431% at10bp/side and-6.7137% at20bp. Next available bar-open fill after signal worsens later return to-5.6795%/-10.9945%; regular-hours-only closes yield-6.2437%/-11.5269%. Narrow0.75ATR variant admits42later cohorts, +2.84395% at10bp but-5.44207% at20bp and training-7.24753%/-11.24016%; it changes admission as well as exits, so cannot isolate a pure stop-distance effect. Wider1.25ATR admits0cohorts because target exceeds2ADR, no return estimate. All28 variant/split/cost rows recorded observations7787–7814; source https://runway.adityaperswal.workers.dev/data/stock-bars . Premises: parameters frozen before outcomes, but underlying window and winner already inspected; robustness is diagnostic, not fresh selection evidence. Conclusion reject live swing adoption. Strongest counterargument is narrow low-cost positive result, defeated for adoption by cost sensitivity, negative training and post-selection uncertainty. No claim all possible exits fail. Main sample10same-day exits also means future use must coordinate the account-wide3-in5day limit; no orders now.
Frozen notes547/549. DBC previous completed month12m adjusted return exceeds BIL; first session regular open entry, no catch-up or reentry within month. Prior20session simple ATR sets initial stop1ATR, target1.5ATR and fixed-percent1ATR/entry trailing distance; sample raw15Min closes at interval end, ratchet using sampled highs of closes, exit at observed price after costs; skip target>2ADR20. Timeout next monthly first open. Training2017–2020, later2021–August2026; later window already inspected and DBC selected after prior strong results, so this is exploratory chronological testing, not an independent holdout. Fee/slippage equally split within 20bp each side. Raw-price triggers, adjusted total-return reinvestment valuation proxy; actual dividends and executable quotes unavailable. Vectorbt explicitly long-only replay matches independently compounded cash to floating-point tolerance, no negative cash. Results: {"label":"trail_main","split":"later","mult":1,"cost_bp":20,"session":"all","lag":false,"gate":true,"return_pct":-6.713681659033122,"drawdown_pct":12.656278526234054,"win_rate_pct":37.93103448275862,"sample":29,"avg_win_pct":2.386409567822121,"avg_loss_pct":1.806399784928038,"mean_pct":-0.21602382354004657,"quarter_kelly":0,"median_hold_days":1.03125,"target_exits":11,"stop_exits":18,"timeout_exits":0,"extended_exits":13,"replay_difference":-6.661338147750939e-16,"min_cash":0}. Drawdown marked at available15Min closes including extended hours; original monthly later29.7078% here versus saved27.5443%daily, different resolution rather than return disagreement. Fixed monthly total +104.6964% and training -11.6024% reproduce saved study. Premises: same entry population and costs permit descriptive exit comparison; executable fills and fresh independent evidence remain absent. Conclusion reject this adaptation for trading; no positive robust edge and actual size0. Counterexample: some months profit; this does not validate the average. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; economic hypothesis https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf .
Frozen notes547/549. DBC previous completed month12m adjusted return exceeds BIL; first session regular open entry, no catch-up or reentry within month. Prior20session simple ATR sets initial stop1ATR, target1.5ATR and fixed-percent1ATR/entry trailing distance; sample raw15Min closes at interval end, ratchet using sampled highs of closes, exit at observed price after costs; skip target>2ADR20. Timeout next monthly first open. Training2017–2020, later2021–August2026; later window already inspected and DBC selected after prior strong results, so this is exploratory chronological testing, not an independent holdout. Fee/slippage equally split within 10bp each side. Raw-price triggers, adjusted total-return reinvestment valuation proxy; actual dividends and executable quotes unavailable. Vectorbt explicitly long-only replay matches independently compounded cash to floating-point tolerance, no negative cash. Results: {"label":"trail_main","split":"later","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":true,"return_pct":-1.1430862148126497,"drawdown_pct":10.075759941838047,"win_rate_pct":37.93103448275862,"sample":29,"avg_win_pct":2.5913874160504338,"avg_loss_pct":1.6098159515185475,"mean_pct":-0.016256053475140725,"quarter_kelly":0,"median_hold_days":1.03125,"target_exits":11,"stop_exits":18,"timeout_exits":0,"extended_exits":13,"replay_difference":-9.992007221626409e-16,"min_cash":0}. Drawdown marked at available15Min closes including extended hours; original monthly later29.7078% here versus saved27.5443%daily, different resolution rather than return disagreement. Fixed monthly total +104.6964% and training -11.6024% reproduce saved study. Premises: same entry population and costs permit descriptive exit comparison; executable fills and fresh independent evidence remain absent. Conclusion reject this adaptation for trading; no positive robust edge and actual size0. Counterexample: some months profit; this does not validate the average. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; economic hypothesis https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf .
Frozen notes547/549. DBC previous completed month12m adjusted return exceeds BIL; first session regular open entry, no catch-up or reentry within month. Prior20session simple ATR sets initial stop1ATR, target1.5ATR and fixed-percent1ATR/entry trailing distance; sample raw15Min closes at interval end, ratchet using sampled highs of closes, exit at observed price after costs; skip target>2ADR20. Timeout next monthly first open. Training2017–2020, later2021–August2026; later window already inspected and DBC selected after prior strong results, so this is exploratory chronological testing, not an independent holdout. Fee/slippage equally split within 10bp each side. Raw-price triggers, adjusted total-return reinvestment valuation proxy; actual dividends and executable quotes unavailable. Vectorbt explicitly long-only replay matches independently compounded cash to floating-point tolerance, no negative cash. Results: {"label":"trail_main","split":"train","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":true,"return_pct":-1.8176291636592623,"drawdown_pct":7.049404188092845,"win_rate_pct":45.45454545454545,"sample":22,"avg_win_pct":1.237877806449379,"avg_loss_pct":1.168113067267603,"mean_pct":-0.07448085194170204,"quarter_kelly":0,"median_hold_days":1.2552083333333335,"target_exits":8,"stop_exits":14,"timeout_exits":0,"extended_exits":5,"replay_difference":-8.881784197001252e-16,"min_cash":0}. Drawdown marked at available15Min closes including extended hours; original monthly later29.7078% here versus saved27.5443%daily, different resolution rather than return disagreement. Fixed monthly total +104.6964% and training -11.6024% reproduce saved study. Premises: same entry population and costs permit descriptive exit comparison; executable fills and fresh independent evidence remain absent. Conclusion reject this adaptation for trading; no positive robust edge and actual size0. Counterexample: some months profit; this does not validate the average. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; economic hypothesis https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf .
Frozen notes547/549. DBC previous completed month12m adjusted return exceeds BIL; first session regular open entry, no catch-up or reentry within month. Full-month hold on only the same entries that satisfy the swing target<=2ADR20 gate. Training2017–2020, later2021–August2026; later window already inspected and DBC selected after prior strong results, so this is exploratory chronological testing, not an independent holdout. Fee/slippage equally split within 10bp each side. Raw-price triggers, adjusted total-return reinvestment valuation proxy; actual dividends and executable quotes unavailable. Vectorbt explicitly long-only replay matches independently compounded cash to floating-point tolerance, no negative cash. Results: {"label":"monthly_matched","split":"later","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":true,"return_pct":37.36428440482524,"drawdown_pct":26.470485269856113,"win_rate_pct":51.724137931034484,"sample":29,"avg_win_pct":4.907200275789534,"avg_loss_pct":2.7464593861411704,"mean_pct":1.2123300941678148,"quarter_kelly":0.061762819226527266,"median_hold_days":30,"target_exits":0,"stop_exits":0,"timeout_exits":29,"extended_exits":0,"replay_difference":-3.774758283725532e-15,"min_cash":0}. Drawdown marked at available15Min closes including extended hours; original monthly later29.7078% here versus saved27.5443%daily, different resolution rather than return disagreement. Fixed monthly total +104.6964% and training -11.6024% reproduce saved study. Premises: same entry population and costs permit descriptive exit comparison; executable fills and fresh independent evidence remain absent. Conclusion retain research WATCH only; monthly profitability does not license swing exits. Counterexample: some months profit; this does not validate the average. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; economic hypothesis https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf .
Frozen notes547/549. DBC previous completed month12m adjusted return exceeds BIL; first session regular open entry, no catch-up or reentry within month. Original full-month hold, no ADR gate. Training2017–2020, later2021–August2026; later window already inspected and DBC selected after prior strong results, so this is exploratory chronological testing, not an independent holdout. Fee/slippage equally split within 10bp each side. Raw-price triggers, adjusted total-return reinvestment valuation proxy; actual dividends and executable quotes unavailable. Vectorbt explicitly long-only replay matches independently compounded cash to floating-point tolerance, no negative cash. Results: {"label":"monthly_ungated","split":"later","mult":1,"cost_bp":10,"session":"all","lag":false,"gate":false,"return_pct":104.69636283313055,"drawdown_pct":29.707788585251205,"win_rate_pct":59.523809523809526,"sample":42,"avg_win_pct":5.446640655425865,"avg_loss_pct":3.405966881790677,"mean_pct":1.8634423665525028,"quarter_kelly":0.08553172884171127,"median_hold_days":30,"target_exits":0,"stop_exits":0,"timeout_exits":42,"extended_exits":0,"replay_difference":-8.881784197001252e-15,"min_cash":0}. Drawdown marked at available15Min closes including extended hours; original monthly later29.7078% here versus saved27.5443%daily, different resolution rather than return disagreement. Fixed monthly total +104.6964% and training -11.6024% reproduce saved study. Premises: same entry population and costs permit descriptive exit comparison; executable fills and fresh independent evidence remain absent. Conclusion retain research WATCH only; monthly profitability does not license swing exits. Counterexample: some months profit; this does not validate the average. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; economic hypothesis https://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf .