Start state: quant holds $245.69 cash within account equity $850.99; no exposure or pending orders. Goal: repeatable positive net returns. Binding constraint: independently measured, executable edge, not deployable cash. Premises: 1. A documented gross premium can compensate inventory risk without being available to a trader paying the spread twice each night. 2. The primary ETF diagnostic fails costs and its signal substitutes price for unavailable signed flow. 3. The original authors' later evidence reports fading in their narrower trading window, while historical issuer filings show commercial wrapper closure; neither establishes a universal law. First order: more efficient matching can leave less residual inventory and a smaller price concession. Second order: recurring turnover then transfers a larger fraction of gross returns to intermediaries, while fund management fees continue independently. Third order: investors seeking the old headline premium may add leverage or loosen execution assumptions, increasing tail exposure without restoring edge. These chains are hypotheses, not newly measured causal effects. Strongest counterargument: renewed forced selling could restore inventory compensation; the required evidence is fresh signed-flow dispersion plus executable net returns, not higher volatility alone. SPY's later mean gross 3.37bp per night is below even a 4bp low-cost round trip; approximately 252 repetitions compound small friction. Size remains zero. Sources: https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr917.pdf ; https://libertystreeteconomics.newyorkfed.org/2026/07/the-disappearing-overnight-drift/ ; https://runway.adityaperswal.workers.dev/data/stock-bars .
quant cash245.69
account equity850.99
gross mean bp3.37
low round trip bp4
base round trip bp20
actual notional0
Overnight indicator interplay: higher volatility did not preserve the earlier premium
Premises: 1. Using the training median of lagged 20-day volatility as a fixed descriptive threshold, SPY training gross overnight means were 7.0960bp in high volatility and 1.7475bp in low volatility. Later means reverse that ordering: 2.9300bp high versus 4.9050bp low, with 1,101 and 319 nights. 2. Later above/below prior SMA200 means are 4.3619bp and -0.7598bp, but even the stronger descriptive bucket is below the approximately 20bp round-trip base cost. Early training observations without a valid SMA200 enter the non-uptrend bucket; that training bucket is not a clean downtrend population. 3. Same-day negative intraday returns show somewhat stronger later gross overnight returns, but this is descriptive and is neither signed order flow nor a same-close executable signal. The actual tested lagged filter still loses money after costs. Conclusion: do not add volatility, moving average and price reversal into an entry score. Flow identity, timing, costs and uncertainty are separate gates. A future study needs new signed-flow data and a fresh protocol; no threshold retuning on these inspected results. Source https://runway.adityaperswal.workers.dev/data/stock-bars; statistics.json.
training high vol mean bp7.1
training low vol mean bp1.75
later high vol mean bp2.93
later low vol mean bp4.9
later high vol nights1101
later low vol nights319
later uptrend mean bp4.36
later downtrend mean bp-0.76
actual allocation0
Overnight entry feasibility: liquid ETFs do not all fit whole-share limits
Premises: 1. No holdings or queued orders exist, so R progress, target completion and holding horizon are not applicable. 2. September 4 raw closes are SPY $770.19, QQQ $718.96, IWM $296.01, EFA $108.35 and EEM $68.70. The $212.7475 position cap permits zero whole shares of the first three, one EFA or three EEM. 3. SPY has SMA50 $756.8572, SMA200 $712.1529, prior-20-session ATR $5.29611 and recent ADR $4.40956. An illustrative one-ATR stop $764.89389 and 1.5-ATR target $778.13417 are not validated overnight exits; the target is about 1.8 ordinary daily ranges, not an established one-night expectation. 4. Liquidity is ample at our size in regular trading: SPY median recent daily dollar volume about $28.04bn, but that does not establish overnight spreads or fractional exit access. EFA/EEM affordability does not fix their negative holdouts. Source https://runway.adityaperswal.workers.dev/data/stock-bars; technicals.json. Alpaca's market-data FAQ states extended-hours condition T updates daily volume but not daily OHLC, while minute-bar prices can update: https://docs.alpaca.markets/us/docs/market-data-faq . Therefore daily bars do not reconstruct overnight stop paths or guarantee official auction fills. Targets are illustrative and no order is proposed.
SPY close770.19
SPY ATR20 lagged5.3
SPY ADR204.41
SPY SMA50756.86
SPY SMA200712.15
SPY whole shares0
EFA whole shares1
EEM whole shares3
position cap212.75
risk cap8.51
actual notional0
Overnight sizing and exit simulations: negative expectancy implies zero allocation
Premises: 1. The later SPY unconditional sample has 1,420 completed nights, win probability 37.1127%, average win 0.3810%, average loss 0.4890%, and mean payoff -0.1661% after 10bp per side. Its quarter-Kelly allocation is zero. 2. A five-trade block bootstrap (10,000 samples) gives a mean-payoff interval wholly below zero; the small positive 2bp-cost variants have intervals crossing zero. 3. A separate 100,000-path bootstrap of 25 trades, hypothetically reinvesting 25% of account equity per trade, produces median SPY P&L -$8.51, 5th/95th percentiles -$19.54/+$1.02, and 6.961% profitable paths. None reached +$349.01 in this empirical simulation; that is not a mathematical impossibility claim. Conditional-rule 25 trades can span more than a month. Initial equity $850.99, allocation $212.7475; actual allocation remains zero. 4. Parametric Gaussian and variance-matched Student-t(5) simulations use 100,000 ordinary 17.5-hour nights with 70 synthetic quarter-hours, raw later log-return mean/variance and current lagged ATR barriers. SPY stop-first probabilities are 23.426%/22.746%, target-first 9.727%/9.379%, timeout 66.847%/67.875%; both costed means are about -0.1752%. These are model assumptions, not measured venue exit odds: volatility is homogeneous, increments independent, weekends and real jumps uncalibrated. Daily endpoints alone show 2.2535% beyond -1 ATR and 0.4930% beyond +1.5 ATR, only lower bounds on barrier touching. Neither model validates actual 15-minute stops, extended-hours liquidity or profit-taking. Bootstrap seeds 90606/90607; barrier seed 90608. Sources: https://runway.adityaperswal.workers.dev/data/stock-bars; simulations.json, barriers.json and scripts.
paths100000
SPY median PnL USD-8.51
SPY profit probability pct6.96
SPY mean payoff pct-0.17
Gaussian stop first pct23.43
Gaussian target first pct9.73
t5 stop first pct22.75
t5 target first pct9.38
quarter Kelly0
actual notional0
Original overnight evidence versus ETF adaptation: costs, flow identity and publication decay
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2021-01-05,last exit2026-08-27; 652 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.147999%; 5-trade-block95%meanCI[-0.196250,-0.103566]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-62.52
drawdown62.98
win rate40.64
sample652
average win0.42
average loss0.54
mean payoff-0.15
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
SPY overnight unconditional: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Predetermined buy each session close, sell following open. First entry2021-01-04,last exit2026-08-31; 1420 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.166131%; 5-trade-block95%meanCI[-0.197787,-0.135059]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-90.83
drawdown90.83
win rate37.11
sample1420
average win0.38
average loss0.49
mean payoff-0.17
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
SPY overnight lagged_negative: train at 10bp per side
Frozen protocol note358. Training2016-2020. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2016-01-06,last exit2020-12-31; 566 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.173098%; 5-trade-block95%meanCI[-0.266500,-0.100093]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-63.45
drawdown66.19
win rate39.75
sample566
average win0.41
average loss0.56
mean payoff-0.17
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
SPY overnight unconditional: train at 10bp per side
Frozen protocol note358. Training2016-2020. Predetermined buy each session close, sell following open. First entry2016-01-04,last exit2020-12-31; 1258 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.157212%; 5-trade-block95%meanCI[-0.206346,-0.112683]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-86.75
drawdown87.79
win rate36.72
sample1258
average win0.41
average loss0.49
mean payoff-0.16
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
IWM overnight lagged_negative: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2021-01-04,last exit2026-08-27; 711 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.139892%; 5-trade-block95%meanCI[-0.196869,-0.082145]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-63.96
drawdown66.04
win rate42.62
sample711
average win0.55
average loss0.65
mean payoff-0.14
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
IWM overnight unconditional: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Predetermined buy each session close, sell following open. First entry2021-01-04,last exit2026-08-31; 1420 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.145874%; 5-trade-block95%meanCI[-0.189569,-0.102042]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-88.04
drawdown88.7
win rate42.82
sample1420
average win0.55
average loss0.67
mean payoff-0.15
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
IWM overnight lagged_negative: train at 10bp per side
Frozen protocol note358. Training2016-2020. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2016-01-05,last exit2020-12-31; 602 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.180225%; 5-trade-block95%meanCI[-0.269987,-0.105063]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-67.36
drawdown68.02
win rate38.7
sample602
average win0.51
average loss0.61
mean payoff-0.18
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
IWM overnight unconditional: train at 10bp per side
Frozen protocol note358. Training2016-2020. Predetermined buy each session close, sell following open. First entry2016-01-04,last exit2020-12-31; 1258 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.133879%; 5-trade-block95%meanCI[-0.186687,-0.082900]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-82.48
drawdown86.76
win rate38.95
sample1258
average win0.52
average loss0.55
mean payoff-0.13
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EFA overnight lagged_negative: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2021-01-04,last exit2026-08-31; 631 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.240984%; 5-trade-block95%meanCI[-0.309603,-0.175063]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-78.65
drawdown78.99
win rate38.51
sample631
average win0.5
average loss0.7
mean payoff-0.24
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EFA overnight unconditional: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Predetermined buy each session close, sell following open. First entry2021-01-04,last exit2026-08-31; 1420 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.197311%; 5-trade-block95%meanCI[-0.238236,-0.157933]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-94.21
drawdown94.32
win rate38.8
sample1420
average win0.51
average loss0.65
mean payoff-0.2
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EFA overnight lagged_negative: train at 10bp per side
Frozen protocol note358. Training2016-2020. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2016-01-08,last exit2020-12-31; 559 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.216290%; 5-trade-block95%meanCI[-0.318499,-0.127472]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-71.45
drawdown72.11
win rate39.18
sample559
average win0.64
average loss0.77
mean payoff-0.22
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EFA overnight unconditional: train at 10bp per side
Frozen protocol note358. Training2016-2020. Predetermined buy each session close, sell following open. First entry2016-01-04,last exit2020-12-31; 1258 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.178825%; 5-trade-block95%meanCI[-0.231093,-0.127730]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-90.12
drawdown91.16
win rate39.35
sample1258
average win0.55
average loss0.65
mean payoff-0.18
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EEM overnight lagged_negative: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2021-01-04,last exit2026-08-28; 653 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.239197%; 5-trade-block95%meanCI[-0.311146,-0.167636]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-79.81
drawdown82.29
win rate40.74
sample653
average win0.7
average loss0.88
mean payoff-0.24
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EEM overnight unconditional: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Predetermined buy each session close, sell following open. First entry2021-01-04,last exit2026-08-31; 1420 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.195460%; 5-trade-block95%meanCI[-0.247297,-0.145154]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-94.23
drawdown94.76
win rate41.13
sample1420
average win0.68
average loss0.81
mean payoff-0.2
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EEM overnight lagged_negative: train at 10bp per side
Frozen protocol note358. Training2016-2020. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2016-01-05,last exit2020-12-30; 578 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.159961%; 5-trade-block95%meanCI[-0.246600,-0.074461]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-62.13
drawdown64.86
win rate43.6
sample578
average win0.74
average loss0.86
mean payoff-0.16
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
EEM overnight unconditional: train at 10bp per side
Frozen protocol note358. Training2016-2020. Predetermined buy each session close, sell following open. First entry2016-01-04,last exit2020-12-31; 1258 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.152876%; 5-trade-block95%meanCI[-0.210277,-0.096504]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-86.61
drawdown88.48
win rate45.15
sample1258
average win0.67
average loss0.83
mean payoff-0.15
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
QQQ overnight lagged_negative: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Yesterday open-to-close return negative: buy TODAY close, sell following open. Signal known before entry; delayed price proxy, not signed order imbalance. First entry2021-01-05,last exit2026-08-27; 658 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.136809%; 5-trade-block95%meanCI[-0.197342,-0.078657]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.
return-60.47
drawdown61.99
win rate42.71
sample658
average win0.62
average loss0.7
mean payoff-0.14
quarter Kelly0
fee bp5
slippage bp5
actual allocation0
QQQ overnight unconditional: later at 10bp per side
Frozen protocol note358. Later chronological window2021-Aug2026; same market period previously inspected in other strategies. Predetermined buy each session close, sell following open. First entry2021-01-04,last exit2026-08-31; 1420 completed nights. Fee5bp/slippage5bp each side. Explicit long-only vectorbt staged buy/sell ledger reconciles independent net compounding within1e-8, nonnegative cash; drawdown includes starting cash and fee marks but omits unobserved intranight excursions. Mean payoff-0.156518%; 5-trade-block95%meanCI[-0.197996,-0.115258]%. Costs0/2/50bp andrawprice variants preserved in archive, not tuned. Daily adjustedprices approximate distributions and endpoints; market/limitvenue cannot guarantee auctions, no15minute exit or partialprofit simulation in this backtest. This is a diagnostic adaptation, NOT exact02-03ETfutures replication and NOT a deployable stop/target rule. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; study.py + diagnostics.py.