Stats

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; 560 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-0.142774%; 5-trade-block95%meanCI[-0.228171,-0.067808]%. 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.

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-0.140482%; 5-trade-block95%meanCI[-0.185974,-0.096823]%. 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.

Numbered premises: 1. Quant has245.69cash, no positions/orders; own3operatorliquidatedPEADtrades do not calibrate merger probabilities. 2. Originalpaper documents long-horizon diversified liquidity premium with downside market exposure, not guaranteed quiet-price income. 3. Frozen quarterly ATR swing test fails on both wrappers: MRGR holdout-6.07399%,DD6.78027%,N19,p42.10526%,W.16209%,L.68477%; MNA-5.04680%,DD5.04680%,N19,p42.10526%,W.55255%,L.86749%. Bothfail2bplowcostdiagnostic and50bpstress;quarterKelly0. 4. PassiveMRGR20.68199% versusBIL19.32620% isnotrobustcash-excessalpha;95%annualizedarithmeticexcessCI[-2.96955,3.59355]. SparseMRGRprints undermine tightATRexecution. 5. TXNM61.25cash consideration/58price is5.60345% grossspread; currentparentfee175m,notoriginal350m. Sep2replacementofferingclosed,butNMPRCmeritsunresolved; theoreticalrequiredp isnotestimatedp. Conclusionvalidgivenpremises: no PROPOSE, EXIT, ADJUST or FUND; actualallocation0. Soundnesslimits: nofullpoint-in-timefailed/deadmergercohort,standalonebreakvaluation,currentindependentNRCverification,or15minuteexitimplementation. Not a blanketrejectionofmergerarbitrage. Monitor42 chosenSep10 12:30UTC reviewsSep9compliance-response deadlinebothways,notapproval;nonewjob neededbefore06UTC,nopendingexposure. Analyses304-305,311-322,328-329,332-333,341;lessons125-127. 44numericrowsplus54archiverecords saveallmeasuredresults;archiveQMER90604readbackall54byteverified,SHA2567da88a56b1484ac9d892e81eea696e60e3154d8ff5805c4b13edf4442bb30aa2;manifestnote340. Approximately17minutesused,finishwithin43planned/45hard. Sources https://bpb-us-w2.wpmucdn.com/voices.uchicago.edu/dist/d/2771/files/2020/09/JF_riskarb-1.pdf ; https://www.sec.gov/Archives/edgar/data/81023/000110842626000042/txnm07172026ex101.htm ; https://www.sec.gov/Archives/edgar/data/1108426/000110842626000058/pnm-20260902.htm ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Premises: 1.TXNM's fixed cash deal,475days old, currently58 versus61.25 requires a regulatory probability model; SMA50positive/SMA200negative andATR.267 cannot supply it. 2.MRGR/MNA diversify underlying deals but have distinct methodologies; MRGR's lowvolume/zero-range flags weaken price-based risk estimates. 3.Frozen19-cohort holdouts lose6.07399% and5.04680% at15bpone-waycosts; both remainnegative at2bp andworsenat50bp. MRGR trainingalsofailed; MNA's modest positive trainingdoesnotpersist. 4.Passivecash-excessCIscrosszero andmonthlydownsidebetasremainpositive. Conclusion: combine indicators as gates rather than additive scores: contracttermscurrent,probabilitycalibrated,liquidityexecutable,netOOSedgepositive,tailriskaffordable. None passesallgates. This is focusedresearch,notnewmarket-widecensus; no transferofthisequitycash-dealmechanismtounrelatedcrypto/non-USsignals. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; https://www.sec.gov/Archives/edgar/data/81023/000110842626000042/txnm07172026ex101.htm ; https://www.proshares.com/our-etfs/strategic/mrgr .

Start state:245.69quantcash,850.99accountequity,zeroexposure. Goal: repeatablepositivecostedreturns. Bindingconstraint: independentnetedge andtailriskcalibration,notlackofdeployablecash. Premises:1.Fixedcashconsiderationboundsordinarycompletionupside.2.Regulatorydelaycreatesfunding/carrycosts andcanchangefeeprotection.3.Wrapperdiversificationreducessingledealriskbutretainsdownsidebeta andtradingfriction. Firstorder:PIPEunwindrequires400mrepayment; replacementoffering396mnet largelyfundsloanbutunderwriting/othercostsconsumevalue. Secondorder: regulatorybanonpassingunwindcoststoratepayersputsburdenonshareholdersunlessfutureauthorization; lenderandunderwritergetpaid,acquirerpreservesdealoption,consumersseekprotection. Thirdorder: timeextensionandlowerfeechangeexpectedpayoffwhilequietstockenterslowvolrankings; concentrationbyfactorinvestorscanexposecashbooks tohiddeneventrisk. MRGR's sparseprintsaddanobservationproblem,notjustaninvestmentproblem. Strongestcaseagainstcash: dealmightcloseandpassiveMRGRgained20.68%; rejectingallmergerarbitragewouldoverreach. Revisedconclusion: rejecttestedshortswingadaptations andcurrentTXNMentry,retainmechanismforfutureindependentdealcohortresearch. A $349.01monthlygapdoesnotalter61.25considerationorprovecompletionprobability;3sharesgrosscompletionprofitonly9.75USDbeforedividends/costs,expectedmanymonthslater. Sources https://www.sec.gov/Archives/edgar/data/1108426/000110842626000058/pnm-20260902.htm ; https://www.sec.gov/Archives/edgar/data/81023/000110842626000042/txnm07172026ex101.htm ; https://www.txnmenergy.com/~/media/Files/P/PNM-Resources/rates-and-filings/2025%20Blackstone%20Infrastructure/PNM/FINAL%20ORDER%20ON%20SHOW%20CAUSE%20PROCEEDING.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Premises: 1.TXNM Sep4price58,offer61.25 gives3.25USD/5.60345% gross spread. Sensitivity uses break40/45/50/55,180/270/365days,hurdle0/4/6% and either no dividends or assumedcontinued.4225quarterly prorated. These are assumptions, not estimated probabilities or standalone valuations. At break50,270days and4%annual alternative return, requiredsuccess probability87.1697% withoutdividends or76.1309% with1.25014USD assumeddividends. Costed win7.59741%/loss11.89916% in dividendcase; no empiricalp means actualsize0. Acquisitioncashsettlement hasno modeledsellfee; faileddealmarketexitcosted15bpeachway. 2.Numpy100000Bernoulli paths per36p/break/horizon scenarios,seed90605,check analyticalmeans; assumed60/75/90%success produceswidelydifferentKelly. Unknownp cannotbecomethemarket-impliedthresholdbyassertion. 3.Wrapper19quarterlypayoffs,circular3-cohort blocks,10000paths,seed90604:MRGR mean-.32820%,95%CI[-.50152,-.17937];MNA-.26958%,CI[-.59914,.05320]. QuarterKellyclipped0both. Hypothetical25%fundallocation for4quarters (notproposed) MRGR5/50/95percentileterminal-.61930/-.31185/-.03280%;MNA-.88974/-.21603/.32215%. These stationarysmall-sampleblockscannotboundunseencrashes. 4.Own3operatorliquidations p33.33%,W7.93994%,L5.26143%,mean-.86097%,Kelly0; notnaturalstrategyoutcomes. NeverpoolthesePEADtradeswithmergerdeals. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; query_trades fundquant ; https://www.txnmenergy.com/investors/acquisition.aspx ; https://www.prnewswire.com/news-releases/txnm-energy-board-declares-quarterly-common-stock-dividend-302699014.html .

Premises: 1.No holdings or queued orders; R progress and time held do not apply. Sep4 rawTXNM58.00, SMA50=57.458,SMA200=58.434,ATR20=.267,ADR20=.256. Above50/below200 with small ranges is not a deal probability. Illustrative ATRstop57.733/target58.4005 gives1.5R and1.56daily ranges, but an adverse ruling can skip that stop. Prior Avangrid termination announcedJan2 2024; feed opens38.64 versus prior41.60 (-7.1154%), closes39.11 (-5.9856%). One historical failure illustrates gap mechanism, not frequency estimate. 2.TXNM median20-session dollar volume46.52m and3whole shares affordable174USD; a hypothetical break to50 loses24USD on3shares, above8.5099account riskcap. 3.MRGR45.4816,ATR.117475,ADR.073625;1.5ATRtarget2.39daily ranges, already beyond preferredone-to-two rangeguidance. Last20median volume792shares/35987.89USD,3zero-rangebars; later275/1169zero-rangebars(23.52%),training946/1509(62.69%). Small reported volatility partly reflects sparseprints. MNA36.68,median dollarvolume833046.14,target1.60ranges,butbacktestfails. Conclusion: price levels and affordability cannot override failed edge and unbounded gap exposure. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; https://www.sec.gov/Archives/edgar/data/1634997/000119312524000160/d677779dex991.htm ; https://www.proshares.com/our-etfs/strategic/mrgr .

Premises: 1.Date-aligned adjusted closes, Jan2016–Dec2021 training and Jan2022–Aug2026 later diagnostic. Later1168 close-to-close returns; passive MRGR20.68199%, MNA15.04870%, BIL19.32620%, SPY70.66035%, before investor entry/exit friction but reflecting fund expenses. MRGR CAGR4.13930% versus BIL3.88576%; not a large current premium. 2.Circular21-session blocks,10000 bootstrap samples,seed90606: annualized arithmetic MRGR-minus-BIL mean0.31483%,95%CI[-2.96955,3.59355]; MNA mean-.66184%,CI[-4.12471,2.98204]. These are uncertainty estimates, not distributions of future deal success. 3.Numpy piecewise OLS: excess ETF return on excess SPY and hinge below-1%daily/-4%monthly; Newey-West lag5daily/3monthly. Training monthly MRGR normal beta.0682,tail.2776; MNA.0372/.6376. Later monthly MRGR normal-.0404,tail.2211,alpha t1.20; MNA.0234/.2004,alpha t.13. Only9later tailmonths,55monthlyreturns; earliermonth omitted by firstclose baseline. Daily intercepts also insignificant later. 4.Low unconditional volatility/correlation does not imply no crash exposure or alpha. MRGR sparse prints can bias estimates; ETF wrappers and eras are not independent corroborations. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; original nonlinear-model motivation https://bpb-us-w2.wpmucdn.com/voices.uchicago.edu/dist/d/2771/files/2020/09/JF_riskarb-1.pdf . Complete8regressions,8passive rows andCIs archived. Conclusion: passive exposure may diversify, but evidence cannot authorize this fund's short swing trades.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee0bp plus slippage2bp each way. Gap stops at open; ambiguous daily bars stop first. 19 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.009944%, average win0.814326%, average loss0.609413%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage45bp each way. Gap stops at open; ambiguous daily bars stop first. 19 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.965262%, average win0.115454%, average loss1.092405%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 19 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.269581%, average win0.552549%, average loss0.867493%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max40 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 23 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean0.114560%, average win1.332183%, average loss0.822073%; quarter Kelly0.021499. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 23 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean0.060697%, average win1.208300%, average loss0.822073%; quarter Kelly0.012558. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max10 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 23 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.031775%, average win0.995613%, average loss0.822073%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee0bp plus slippage2bp each way. Gap stops at open; ambiguous daily bars stop first. 19 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.068713%, average win0.400042%, average loss0.490593%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage45bp each way. Gap stops at open; ambiguous daily bars stop first. 19 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-1.023470%, average win0.000000%, average loss1.023470%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 19 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.328197%, average win0.162090%, average loss0.684770%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max40 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 23 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.249348%, average win0.703346%, average loss0.513986%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max20 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 23 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.249348%, average win0.703346%, average loss0.513986%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Frozen protocol note294. Actual training data Jan2016–Dec2021 (requested2015 unavailable); holdout Jan2022–Aug2026. Quarterly first-session open after prior-quarter close; prior ATR20 sets stop1ATR and target1.5ATR, max10 sessions then next open; no reentry that quarter. Long-only, cash-only vectorbt order ledger and independent compounded trade returns agree within1e-8. Fee5bp plus slippage10bp each way. Gap stops at open; ambiguous daily bars stop first. 23 completed cohorts, not independent merger deals; no unfinished endpoints counted. Training10/40 variants are sensitivity checks; frozen20 used later. Net mean-0.235721%, average win0.683850%, average loss0.491158%; quarter Kelly0.000000. Drawdown includes initial cash and session-ending marks. Daily adjusted bars approximate distributions and fills; neither sparse trading nor 15-minute stop/partial-profit execution validated. This is an exit adaptation, not exact original-paper trading. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; local study.py, trades.json, metrics.json.

Questiontree/priornote291; frozenprotocol294. AuthorsMitchell/Pulvino2001study4750simplecash/stockmergers1963-1998, includingfailedbidsanddelistedtargets. TheirRAIMentersafterannouncement,limitsdealweight10%,includesliquiditycostsandholdstodealresolution; reported4%annualriskadjustedexcessisahistoricalestimate. Cash-onlydirectcashdealsfitvenue,buthedgedstockdealsrequirewrapper. MRGRsystematicS&Pwrapperprimary,MNAsecondmethodology; underlyingETFhistoricalreturnsreflect actualmanagedportfolios,notourpoint-in-timereconstruction. CurrentMNA360daydeletionrulewouldnotstraightforwardlyretain475dayoldTXNM; methodologydatedcurrent,notassumedstablethroughhistory. Passivewrapperdiagnosticandquarterly20sessionATRexitadaptationtestedseparately. Adaptationisourrule,notpaperreplicationexactly. Claimclassification: premiumcompensatesliquidity/tailrisk,notguaranteedconvergence. NewerHeath/Mitchell2020researchfindscashcancellationcrashlinkdoesnotapplysamewaytodefinitiveagreements; avoidunconditionaldoublingofTXNMfailureprobability. Bindinggap: noindependentfailed/delisteddealcohortwithknownpoint-in-timeterms/calibratedprobabilities; singlecurrenttargetcannotestablishthisedge. Sources https://bpb-us-w2.wpmucdn.com/voices.uchicago.edu/dist/d/2771/files/2020/09/JF_riskarb-1.pdf ; https://www.aqr.com/Insights/Research/Working-Paper/Market-Crashes-and-Merger-Completions ; https://www.proshares.com/our-etfs/strategic/mrgr ; https://www.newyorklifeinvestments.com/assets/documents/index-nyli/index-nyli-merger-arbitrage-index-methodology.pdf .

Premises: 1.Fixed61.25cash remains contingent onclosing;July31issuer expectsH12027. 2.July17executedwaiver halvesparentterminationfee350mto175m andwaivesenddateterminationuntilMay31 2027;thispaymentgoestocompany,notdirectholderfloor.3.Sep2offeringclosed7,079,646shares,396mnet,for400mloanrepayment;8mPIPEshareswereunwound,so replacementissuancealoneisnot7.08mnetnewsharesrelativeoriginalfundingstate.4.July2NMPRCvoidedPIPEbutdidnotrejectmergerorrequireimmediaterefiling;costscannotfallonratepayerswithoutfutureauthorization.Aug27orderallowsnarrowrefinancing,notmerger. Conclusion: strong evidence of procedural/financingprogress coexists with unresolvedmerits andweakerfeeprotection. No calibratedsuccessprobability. Counterexampletofailurecertainty: regulatorsleftapplicationalive; counterexampletoclosingcertainty: priorAvangriddealterminatedafterNMPRCdenial despiteotherapprovals. Soundness: signedwaiverandregulatorordersstrong;futurebreakvalueandtimingassumptionsweak. Validity: this supportswatchandzerosize,notclaimthatthedealwillfail. Sources https://www.sec.gov/Archives/edgar/data/81023/000110842626000042/txnm07172026ex101.htm ; https://www.sec.gov/Archives/edgar/data/1108426/000110842626000058/pnm-20260902.htm ; https://www.txnmenergy.com/~/media/Files/P/PNM-Resources/rates-and-filings/2025%20Blackstone%20Infrastructure/PNM/FINAL%20ORDER%20ON%20SHOW%20CAUSE%20PROCEEDING.pdf ; https://www.sec.gov/Archives/edgar/data/1634997/000119312524000160/d677779dex991.htm .

1. Quant is entirely in cash, with no queued orders or holdings to review for exits. Three own closed trades were operator liquidations and give no positive Kelly edge. 2. Broad work covered13,155 current US directory entries,12,685 returned snapshots,2,578 liquid histories and2,472 sufficient-history factor rows. After heuristic common-stock/fund filters1,704 remained; missing470 and delisted-history gaps are explicit. Foreign47/48 sampled names and36USDcrypto pairs were screened, not claimed as complete worldlisting coverage. 3. Primary research identified TXNM cash-merger risk, WOLF cancelled/replacement-equity discontinuity, Fortis regulatory/financing/dilution constraints, RBC credit losses, Allianz earnings-definition differences and crypto mechanism mismatches. No current screen winner chooses the historical experiment. 4. Frozen defensive wrapper adaptation tested27 variants with vectorbt and independent cash ledger. Completed Jan2023-Aug2026 SPLV returned-15.83031%, DD18.75841%,44trades,p29.54545%,W1.32691%,L1.10213%,mean-.38446%;95%block CI[-.70870,-.03333]%. USMV-4.41428%,EFAV-8.06220%,EEMV+.89197%; EEMV CI crosseszero andstress-29.04475%. Primary stressed-40.80519%; lower2bpcost doesnotrescueprimary. 5. Passive lower volatility is observed, but marketmodel intercepts do not establish alpha and mandatory swing exits fail. Right-censored September cohorts separated, daily adjusted fills are only screening approximations, not15minute/profitmanagement/cashdividend validation. Conclusion: no PROPOSE, EXIT, ADJUST or FUND. Actual size0; retain245.69cash. All statistical, fundamental, technical, simulation, consequence, strategy andbacktestwork recorded; lessons104-106 apply next run. Current country/newsjobs remain informational; no eligible dated catalyst or required action before04UTC, so no newmonitor/job. WatchlistFTS/RY/ALV.DE; TXNMonly future separately registeredmerger-risk research; WOLFexcludeduntilentitlementmapping. Do not retune inspectedwindows. Sources https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/Understanding-Defensive-Equity.pdf ; https://www.txnmenergy.com/investors/acquisition.aspx ; https://runway.adityaperswal.workers.dev/data/stock-bars ; primaryissuerlinks inobservations3451-3457. Archive656parts acknowledged/latest500verified; remainingreadbacklimitedbyquerycap,notmissingwrites. Finished approximately21minutes within43planned/45hard, no spending pressure used tojustifyrisk.

Premises: 1. Both NasdaqTrader non-test current directories contain13,155 entries. Snapshot requests returned12,685;12,084 hadSep4 dailybars,2,578 passedclose>=5USD,daily dollarvolume>=20m andfreshness. Missing470 include384unsupported punctuation/preferred forms and86other missing instruments; not full historical coverage. 2. Paginated adjustedSIP histories returnedall2,578,798,828bars;106 have<253bars,leaving2,472factorrows. Zero duplicate timestamps/OHLC violations, but WOLF proves those checks do not verify economiccontinuity. 3. Name-based common/ordinary/ADR classification andmedian20day dollarvolume>=20m produces1,709stocklike rows; explicit fund-like filter reduces1,704. Classification is heuristic and not exchange security-master eligibility. ETFs retained separately; historical winner-selection not backtested. 4. TXNMlowestvol5.05% tiedtocashdeal; FTS13.92%, RY15.65% arewatchonly; BRK.A/Bwhole-share pricesexceedcap; PDIisclosedendfund; WOLFspuriousmomentum rejected; AXTIrealgrowthbutexpensive/highvolandnoedge. 5. Foreign48preselectedlargecompanies spanJapan,Korea,Taiwan,HK,Europe,Canada,Australia,Brazil,India;47historiesreturned,ROG.SW404. Not exhaustiveforeignlistingcensus andlocalreturnsomitFX/dividends. ALV.DE12.07%vol63/RY.TO16.90%leaddefensive sample; semiconductorleadersvolatile. 6. All36listedUSDcryptopairs returned;stablesandgoldnotstockfactorproxies. Conclusion: broader net changes research priorities and catches invalid leaders, but no screenisentryauthorization. Sources https://www.nasdaqtrader.com/dynamic/SymDir/nasdaqlisted.txt ; https://www.nasdaqtrader.com/dynamic/SymDir/otherlisted.txt ; https://runway.adityaperswal.workers.dev/data/stock-bars ; https://query1.finance.yahoo.com/v8/finance/chart/ ; https://alpaca.markets/support/what-cryptocurrencies-does-alpaca-currently-support . Everyderivedrow andclassification/rejectionarchived; foreign/cryptoindividualobservations saved.

Start:245.69 quant cash, no exposure; goal: repeatable net returns. Binding constraint is independent executable edge, not lack of a ticker or the monthly shortfall. Premises: 1. AQR leverage-aversion theory can support long-horizon lower-risk exposure; measured ETF risks are lower, but swing adaptation fails. 2. TXNM low volatility reflects a pending cash offer, FTS depends on regulated capital recovery, WOLF history crosses a security cancellation. 3. Current directories omit delisted history and local foreign returns omit FX. First order: investors seeking safety bid up low-vol names, while takeover prices become anchored to deal consideration. Second order: sector concentration, financing costs and deal-break risk can replace visible volatility with hidden tail exposure; utility investment needs capital before rate recovery. Third order: tight daily-range stops may realize repeated losses while collecting little long-run premium, and budget pressure can encourage mistaken recovery bets. Who benefits: stable businesses gain financing, shareholders may receive regulated earnings or deal cash, intermediaries collect turnover costs; those incentives do not ensure our payoff. Strongest counterargument to cash: passiveSPLV rose26.70% in later period while cash misses gains. That supports an opportunity-cost statement, not a positive swing expectancy. Strongest counterargument to rejection: separately measured merger probabilities or long-horizon portfolio constraints might support future rules. Reframe future work around those economic claims and a fresh validation sample, not another threshold search. Sources https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/Understanding-Defensive-Equity.pdf ; https://www.txnmenergy.com/investors/acquisition.aspx ; https://www.fortisinc.com/news/news-releases/detail?id=9871 ; issuer WOLF restructuring sources in observation3452. No new FUND: all these mechanisms already fit quant mandate.