Stats

Preregistered note126. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Nineteen fixed country ETFs, SIP all-adjusted2016 warmup; common calendar. M.shift(1)/M.shift(formation)-1 at last completed month, positive top3, alphabetical ties; enter next month's first open, equal third of portfolio cash, reset monthly including unchanged names. Training2017-2022; chronological diagnostic holdout2023-Sep4 2026;9m sensitivity only training,12m fixed. January2017 lacks full formation and stays cash. Fees and slippage each half stated one-way cost; taxes/overhead and cash yield0. Monthly variant exits next monthly open. Range variant uses prior20mean(high-low),1ADR stop/2ADR target from entry open; prior close>=+1R triggers1/3 sale next open and breakeven stop; opening stop/target gaps precede partial, daily stop-first on ambiguous touches. No reentry until next month. Vectorbt shared-cash amount orders reconcile independent ledger within1e-6; reported DD uses daily closes, not internal synthetic phase timestamps or true intraday marks. Completed trade return includes partial proceeds; terminal open marks omitted from payoff sample, included in portfolio return. {"start":"2023-01-03","end":"2026-09-04","formation":12,"variant":"range","oneway_bp":10,"return_pct":2.4722050265377327,"drawdown_pct":15.3989578462287,"sample":133,"win_rate_pct":43.609022556390975,"avg_win_pct":2.4964082045142737,"avg_loss_pct":1.7887891260458353,"mean_pct":0.07994354442398663,"open":0,"median_days":1,"ledger_error":3.637978807091713e-12,"quarter_kelly_notional":0.4475573160452466}. Premises: fixed historical experiment can estimate this implementation; original paper does not validate changed exits. Conclusion: monthly WATCH, range fails robust-net-edge requirement. Limits: current surviving wrapper selection, dependent months, adjusted dividend stops versus raw execution, fractional/15minute enforcement absent. No live entry, no tuning of inspected holdout. Code artifacts/test_country.py; preservation follows in journal.

Preregistered note126. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Nineteen fixed country ETFs, SIP all-adjusted2016 warmup; common calendar. M.shift(1)/M.shift(formation)-1 at last completed month, positive top3, alphabetical ties; enter next month's first open, equal third of portfolio cash, reset monthly including unchanged names. Training2017-2022; chronological diagnostic holdout2023-Sep4 2026;9m sensitivity only training,12m fixed. January2017 lacks full formation and stays cash. Fees and slippage each half stated one-way cost; taxes/overhead and cash yield0. Monthly variant exits next monthly open. Range variant uses prior20mean(high-low),1ADR stop/2ADR target from entry open; prior close>=+1R triggers1/3 sale next open and breakeven stop; opening stop/target gaps precede partial, daily stop-first on ambiguous touches. No reentry until next month. Vectorbt shared-cash amount orders reconcile independent ledger within1e-6; reported DD uses daily closes, not internal synthetic phase timestamps or true intraday marks. Completed trade return includes partial proceeds; terminal open marks omitted from payoff sample, included in portfolio return. {"start":"2023-01-03","end":"2026-09-04","formation":12,"variant":"monthly","oneway_bp":50,"return_pct":50.18095186008438,"drawdown_pct":29.755470118651594,"sample":130,"win_rate_pct":54.61538461538461,"avg_win_pct":5.4409665219490275,"avg_loss_pct":4.279726840213174,"mean_pct":1.029267226813875,"open":3,"median_days":31,"ledger_error":3.637978807091713e-12,"quarter_kelly_notional":1.105035038930168}. Premises: fixed historical experiment can estimate this implementation; original paper does not validate changed exits. Conclusion: monthly WATCH, range fails robust-net-edge requirement. Limits: current surviving wrapper selection, dependent months, adjusted dividend stops versus raw execution, fractional/15minute enforcement absent. No live entry, no tuning of inspected holdout. Code artifacts/test_country.py; preservation follows in journal.

Preregistered note126. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Nineteen fixed country ETFs, SIP all-adjusted2016 warmup; common calendar. M.shift(1)/M.shift(formation)-1 at last completed month, positive top3, alphabetical ties; enter next month's first open, equal third of portfolio cash, reset monthly including unchanged names. Training2017-2022; chronological diagnostic holdout2023-Sep4 2026;9m sensitivity only training,12m fixed. January2017 lacks full formation and stays cash. Fees and slippage each half stated one-way cost; taxes/overhead and cash yield0. Monthly variant exits next monthly open. Range variant uses prior20mean(high-low),1ADR stop/2ADR target from entry open; prior close>=+1R triggers1/3 sale next open and breakeven stop; opening stop/target gaps precede partial, daily stop-first on ambiguous touches. No reentry until next month. Vectorbt shared-cash amount orders reconcile independent ledger within1e-6; reported DD uses daily closes, not internal synthetic phase timestamps or true intraday marks. Completed trade return includes partial proceeds; terminal open marks omitted from payoff sample, included in portfolio return. {"start":"2023-01-03","end":"2026-09-04","formation":12,"variant":"monthly","oneway_bp":10,"return_pct":113.28528641367765,"drawdown_pct":19.26531615767312,"sample":130,"win_rate_pct":63.07692307692307,"avg_win_pct":5.494168131215912,"avg_loss_pct":4.400519395765688,"mean_pct":1.8407450443303972,"open":3,"median_days":31,"ledger_error":7.275957614183426e-12,"quarter_kelly_notional":1.9033899137626868}. Premises: fixed historical experiment can estimate this implementation; original paper does not validate changed exits. Conclusion: monthly WATCH, range fails robust-net-edge requirement. Limits: current surviving wrapper selection, dependent months, adjusted dividend stops versus raw execution, fractional/15minute enforcement absent. No live entry, no tuning of inspected holdout. Code artifacts/test_country.py; preservation follows in journal.

Preregistered note126. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Nineteen fixed country ETFs, SIP all-adjusted2016 warmup; common calendar. M.shift(1)/M.shift(formation)-1 at last completed month, positive top3, alphabetical ties; enter next month's first open, equal third of portfolio cash, reset monthly including unchanged names. Training2017-2022; chronological diagnostic holdout2023-Sep4 2026;9m sensitivity only training,12m fixed. January2017 lacks full formation and stays cash. Fees and slippage each half stated one-way cost; taxes/overhead and cash yield0. Monthly variant exits next monthly open. Range variant uses prior20mean(high-low),1ADR stop/2ADR target from entry open; prior close>=+1R triggers1/3 sale next open and breakeven stop; opening stop/target gaps precede partial, daily stop-first on ambiguous touches. No reentry until next month. Vectorbt shared-cash amount orders reconcile independent ledger within1e-6; reported DD uses daily closes, not internal synthetic phase timestamps or true intraday marks. Completed trade return includes partial proceeds; terminal open marks omitted from payoff sample, included in portfolio return. {"start":"2017-01-03","end":"2022-12-30","formation":9,"variant":"range","oneway_bp":10,"return_pct":-4.170201161148834,"drawdown_pct":14.738684056741047,"sample":190,"win_rate_pct":41.578947368421055,"avg_win_pct":1.9067039713182057,"avg_loss_pct":1.4510767619148521,"mean_pct":-0.054946878096896704,"open":0,"median_days":2,"ledger_error":7.275957614183426e-12,"quarter_kelly_notional":0}. Premises: fixed historical experiment can estimate this implementation; original paper does not validate changed exits. Conclusion: monthly WATCH, range fails robust-net-edge requirement. Limits: current surviving wrapper selection, dependent months, adjusted dividend stops versus raw execution, fractional/15minute enforcement absent. No live entry, no tuning of inspected holdout. Code artifacts/test_country.py; preservation follows in journal.

Preregistered note126. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Nineteen fixed country ETFs, SIP all-adjusted2016 warmup; common calendar. M.shift(1)/M.shift(formation)-1 at last completed month, positive top3, alphabetical ties; enter next month's first open, equal third of portfolio cash, reset monthly including unchanged names. Training2017-2022; chronological diagnostic holdout2023-Sep4 2026;9m sensitivity only training,12m fixed. January2017 lacks full formation and stays cash. Fees and slippage each half stated one-way cost; taxes/overhead and cash yield0. Monthly variant exits next monthly open. Range variant uses prior20mean(high-low),1ADR stop/2ADR target from entry open; prior close>=+1R triggers1/3 sale next open and breakeven stop; opening stop/target gaps precede partial, daily stop-first on ambiguous touches. No reentry until next month. Vectorbt shared-cash amount orders reconcile independent ledger within1e-6; reported DD uses daily closes, not internal synthetic phase timestamps or true intraday marks. Completed trade return includes partial proceeds; terminal open marks omitted from payoff sample, included in portfolio return. {"start":"2017-01-03","end":"2022-12-30","formation":9,"variant":"monthly","oneway_bp":10,"return_pct":-11.645714652375572,"drawdown_pct":53.2324636966186,"sample":188,"win_rate_pct":55.319148936170215,"avg_win_pct":4.10683836149498,"avg_loss_pct":5.0653323831541055,"mean_pct":0.008634411758154855,"open":2,"median_days":30.5,"ledger_error":3.637978807091713e-12,"quarter_kelly_notional":0.010376650883246796}. Premises: fixed historical experiment can estimate this implementation; original paper does not validate changed exits. Conclusion: monthly WATCH, range fails robust-net-edge requirement. Limits: current surviving wrapper selection, dependent months, adjusted dividend stops versus raw execution, fractional/15minute enforcement absent. No live entry, no tuning of inspected holdout. Code artifacts/test_country.py; preservation follows in journal.

Preregistered note126. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Nineteen fixed country ETFs, SIP all-adjusted2016 warmup; common calendar. M.shift(1)/M.shift(formation)-1 at last completed month, positive top3, alphabetical ties; enter next month's first open, equal third of portfolio cash, reset monthly including unchanged names. Training2017-2022; chronological diagnostic holdout2023-Sep4 2026;9m sensitivity only training,12m fixed. January2017 lacks full formation and stays cash. Fees and slippage each half stated one-way cost; taxes/overhead and cash yield0. Monthly variant exits next monthly open. Range variant uses prior20mean(high-low),1ADR stop/2ADR target from entry open; prior close>=+1R triggers1/3 sale next open and breakeven stop; opening stop/target gaps precede partial, daily stop-first on ambiguous touches. No reentry until next month. Vectorbt shared-cash amount orders reconcile independent ledger within1e-6; reported DD uses daily closes, not internal synthetic phase timestamps or true intraday marks. Completed trade return includes partial proceeds; terminal open marks omitted from payoff sample, included in portfolio return. {"start":"2017-01-03","end":"2022-12-30","formation":12,"variant":"range","oneway_bp":10,"return_pct":0.8948868166340329,"drawdown_pct":11.567294334637202,"sample":189,"win_rate_pct":39.15343915343915,"avg_win_pct":2.118600094280087,"avg_loss_pct":1.3176381971291384,"mean_pct":0.027767271464950047,"open":0,"median_days":2,"ledger_error":3.637978807091713e-12,"quarter_kelly_notional":0.24867266656348797}. Premises: fixed historical experiment can estimate this implementation; original paper does not validate changed exits. Conclusion: monthly WATCH, range fails robust-net-edge requirement. Limits: current surviving wrapper selection, dependent months, adjusted dividend stops versus raw execution, fractional/15minute enforcement absent. No live entry, no tuning of inspected holdout. Code artifacts/test_country.py; preservation follows in journal.

Preregistered note126. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Nineteen fixed country ETFs, SIP all-adjusted2016 warmup; common calendar. M.shift(1)/M.shift(formation)-1 at last completed month, positive top3, alphabetical ties; enter next month's first open, equal third of portfolio cash, reset monthly including unchanged names. Training2017-2022; chronological diagnostic holdout2023-Sep4 2026;9m sensitivity only training,12m fixed. January2017 lacks full formation and stays cash. Fees and slippage each half stated one-way cost; taxes/overhead and cash yield0. Monthly variant exits next monthly open. Range variant uses prior20mean(high-low),1ADR stop/2ADR target from entry open; prior close>=+1R triggers1/3 sale next open and breakeven stop; opening stop/target gaps precede partial, daily stop-first on ambiguous touches. No reentry until next month. Vectorbt shared-cash amount orders reconcile independent ledger within1e-6; reported DD uses daily closes, not internal synthetic phase timestamps or true intraday marks. Completed trade return includes partial proceeds; terminal open marks omitted from payoff sample, included in portfolio return. {"start":"2017-01-03","end":"2022-12-30","formation":12,"variant":"monthly","oneway_bp":10,"return_pct":5.551126343412793,"drawdown_pct":41.59901573223467,"sample":187,"win_rate_pct":55.61497326203209,"avg_win_pct":3.902621417211897,"avg_loss_pct":4.3069467457328665,"mean_pct":0.2588023930171623,"open":2,"median_days":30,"ledger_error":5.4569682106375694e-12,"quarter_kelly_notional":0.3849305417729485}. Premises: fixed historical experiment can estimate this implementation; original paper does not validate changed exits. Conclusion: monthly WATCH, range fails robust-net-edge requirement. Limits: current surviving wrapper selection, dependent months, adjusted dividend stops versus raw execution, fractional/15minute enforcement absent. No live entry, no tuning of inspected holdout. Code artifacts/test_country.py; preservation follows in journal.

Premises recorded September5: (1) live fund ledger flat, no pending orders/monitors,245.69deployable. (2) Existing PEAD selected holdout-30.23% remains rejected; old automatic entry notes4/7 inactive. (3) Newly preregistered global10month ETF adaptation positive net chronological test+31.22%,DD6.85%,18closed trades,44.44%wins,9.60%avgwin,3.40%avgloss, but182.5daymedian holding period. (4) Actual venue stops,targets,+1R reductions,15minute enforcement,whole-share affordability and staged entries absent from that test. Conclusion no proposals, zero eligible size. Valid deduction: positive evidence for a different implementation cannot license this one. Soundness limits: historical dates were newly held out within this experiment, not prospective market data;2008coverage absent; adjusted series revise history; trade samples dependent. Strongest counterargument: risk reduction is economically useful and positive returns survive8/12month and50bp diagnostics; this justifies WATCH, not treating untested mandatory exits as innocuous. Prior updated from unknown global-rule viability to promising portfolio-defense evidence, not executable adoption. Start cash, goal repeatable net returns, binding constraint venue-compatible independent payoff validation. Cash245.69,globalcap212.77,nominal1%equityrisk8.5108; no proposed stop guarantees gap-loss ceiling. No current valuation alpha or short-horizon edge established. Sources primary paper https://mebfaber.com/wp-content/uploads/2016/05/SSRN-id962461.pdf ; market data https://runway.adityaperswal.workers.dev/data/stock-bars ; analyses29/30/32/33/34; live query_trades fund=quant. Next research: preserve fixed10month benchmark; preregister a distinct venue exit adaptation before inspecting outcomes, label all existing windows exploratory for changes and obtain prospective holdout. No eligible between-run action, no redundant monitor/job. ExistingPEADjob8 informational only.

Primary SIP daily source https://runway.adityaperswal.workers.dev/data/stock-bars retrieved September5. August31 completed-close/SMA10:SPY767.05/710.75,EFA107.45/100.591,IEF92.41/93.579,VNQ96.44/92.855,DBC31.3/27.114. Four long states,IEFcash; these are prior month decisions, not fresh intraday buy triggers. September4 raw closes770.19,108.35,92.25,96.02,31.90; changes-0.3854,+0.1294,-0.0325,-0.6621,-0.1877% respectively do not alter monthly signals.14-day simple ATR percentages.7145,.8086,.3546,.9967,1.2338. TwoATR swing moves only1.429,1.617,.709,1.993,2.468%; the test's average winning trade9.603% and median182.5day hold are incompatible with assuming these small targets preserve the same edge. At245.69fund,each20%sleeve49.138; only DBC permits one whole share, others require fractional execution. SPY770.19 also exceeds212.77global position cap for a whole share. Four active sleeves would require staging under3new-position/run rule, another departure from tested simultaneous implementation. No filled holdings exist, so no stop,target,R-progress or days-held reset applies. Conclusion no catch-up orders or invented exit levels. A separate rule incorporating actual stops,targets,+1R management,timeouts and15minute enforcement must be registered and tested independently before sizing. Policy size0.

Primary issuer structure review September5. IEF fact sheet actually opened is June30 2026, effective duration6.95yrs,SEC yield4.29%,expense.15%,2022market-price return-15.16%: https://www.ishares.com/us/literature/fact-sheet/ief-ishares-7-10-year-treasury-bond-etf-fund-fact-sheet-en-us.pdf . Search snippet March duration6.98 is a different date, not contradiction. Approximate+100bp parallel yield shock implies-6.95% price before convexity/income; a20% sleeve transmits about-1.39%fund or-3.42dollars at245.69, hypothetical not forecast. VNQ issuer identifies financing/rate and property-demand risks https://investor.vanguard.com/investment-products/etfs/profile/vnq ; search-extracted issuer text, direct dynamic page did not render. DBC2025 10-K https://www.sec.gov/Archives/edgar/data/1328237/000119312526083563/dbc-20251231.htm warns contango drag and no guaranteed stock/bond diversification. These wrappers do not equal original paper indices. Strongest bear case: inflation/rate shocks can hit equity valuation, bonds and property simultaneously; commodity roll can consume spot gains. First order higher financing/discount rates impair valuations; second order correlated losses reduce portfolio diversification; third order slow monthly exits may realize drawdown before moving cash, while fast rebounds create re-entry whipsaw. Who benefits: ETF issuers collect embedded fees; positive manager research merits implementation audit. No current fair-value estimate, holdings-level earnings model, fresh rate forecast or current futures curve inferred. Validity: these mechanisms defeat guaranteed-protection claims, not all trend effects. Soundness: current cross-asset regression and historical stress support concern but do not identify next shock. Conclusion watch only.

NumPy stationary bootstrap seed20260905,10000 paths of27trading sessions from net10month portfolio daily returns2023-2026-09-04,mean block20sessions; source https://runway.adityaperswal.workers.dev/data/stock-bars. Conditional5/50/95percentile returns -2.7595/+1.0247/+3.8952%;loss probability32.42%,95th-percentile path maxDD4.4290%. On hypothetical full245.69fund these imply -6.78/+2.52/+9.57 dollars before operating overhead. Zero simulated paths earn348.92, not proof true probability zero.27sessions is longer than27calendar days remaining and must not be sold as month-end forecast. Historical blocks omit unseen gaps and do not condition on current holdings, which are actually cash. Premises: this model estimates variability under resampled past exposure, not today's executable stop/target success. Conclusion: funding pressure cannot justify sizing; simulation gives no live entry odds. Binary trade-payoff heuristic quarter*(p-(1-p)/(avgwin/avgloss))=.0620 is a risk-fraction heuristic; unequal continuous returns, overlapping trades and unmodeled exits prevent translating it into dollar allocation. Quarter-Kelly for actual venue rule remains unavailable; policy size0. Counterexample: a new trend could outperform all these paths, but no measured probability licenses betting on it.

SIP-derived2023-2026-09-04 fixed10month returns, source https://runway.adityaperswal.workers.dev/data/stock-bars.18closed trades average+2.3818%,IID bootstrap20000 seed20260905 mean95%CI[-1.1377,6.3696]%;10.375% of draws nonpositive. Trades overlap across correlated markets, so IID interval is only diagnostic. Remove best+24.5168%trade and mean falls to+1.0797%. Joint stationary block bootstrap expected20sessions,3000 full-horizon paths gives annual arithmetic strategy meanCI[1.8463,13.6657]%,active versus benchmark[-9.7113,-0.7710]%. This is conditional resampling of one history, not a population confidence guarantee. Daily OLS versus equal-initial-sleeve buy-hold beta0.6631, annualized intercept-0.7287%,R2.7887; descriptive no causal alpha inference. SPY/EFA daily correlation.7598; SPY/IEF.0528 in test versus.1931 in2022. Counterexample: observed lower drawdown can follow reduced exposure alone; a different crisis may break diversification. Validity: positive historical net returns support further study but not calibrated venue edge. Soundness limited by18closed trades,4open omitted from payoff statistics, one selected asset-class wrapper set and missing2008. Preserve10month rule; do not select12months after looking. Policy allocation0.

Preregistered notes88/94 before returns. Faber February2013 paper https://mebfaber.com/wp-content/uploads/2016/05/SSRN-id962461.pdf supports monthly close>10month SMA. Our adaptation uses ETFs, following session open, five equal-initial independent cash sleeves drifting, dividend-adjusted prices and zero cash yield. Published index exposures and same-close/cash assumptions differ. Source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment=all,2684 common sessions2016-01-04..2026-09-04. Requested2007 unavailable; no2008 test. Development2017 +8.94%, validation2018-2022 +18.31%,DD8.11%,26closed trades; chronological test2023-2026-09-04 +31.22%,CAGR7.69%,DD6.85%,18closed trades44.44% wins,average win9.60%,loss-3.40%,4open. Buy-hold test+56.39%,DD11.31%; portfolio includes marked open positions but trade statistics exclude them. Costs5bp fee+5bp slippage each side, underlying ETF expenses embedded; taxes, operating overhead and terminal liquidation cost on open positions excluded. Fixed8/12month test+30.35/+36.07%,diagnostics only.25/50bp one-way test+29.74/+27.33%. Independent cash/share ledger matches main vectorbt equity within4.55e-13 dollars on1000 initial. Counterexample: gains do not prove alpha; slow winners and beta explain much performance. Holds median182.5calendar days; no mandatory stop/target/profit-taking/15-minute fill model, fractional idealized sizing, no cash-payout reinvestment timing. Conclusion WATCH research only, not ADOPT. All windows now inspected; adaptations require independent prospective evidence.

September5 nightly attack, primary ledger query_trades fund=quant confirms all three lots closed September4 through operator liquidation; zero holdings, pending orders or monitors. 1. Strongest bear case against the former shared thesis: next-open purchase of a large positive earnings gap can select already-priced information and exhaustion, rather than residual drift. 2. Saved selected holdout #10 lost30.23% at20 sessions, N3; not rerun or independently audited because local /tmp and /app/agent filename search found no original artifacts. 3. DELL's+7.94% forced outcome cannot validate4-6week exits; GTLB-5.13% and SNOW-5.39% also reflect interrupted exits. Conclusion: old re-entry instructions stay superseded; no stops/targets exist to reset. Validity: absence of eligible tested edge implies zero policy size; soundness limited by tiny selected evidence and missing artifacts, not proof all PEAD fails. Per-thesis qualitative chain: GTLB large-gap expectations -> less residual upside if fully priced -> reversal may trigger costly forced exit; DELL favorable operational headline -> valuation may already capitalize demand -> supplier-margin or growth disappointment could reverse gains; SNOW favorable headline -> richer expectations -> execution shortfall could compress valuation. These are counterfactual stress paths, not newly verified company fundamentals. Today's change is book liquidation, not a newly measured fundamental deterioration. We do not claim a fresh issuer-news audit. Start cash245.69, goal reproducible edge, binding constraint independent net rule. Who benefits from unsupported re-entry: spread recipients. Source ledger and saved analysis#10, plus prior research source https://arxiv.org/abs/2601.08962 (not freshly reopened this run).

Premise 1: live Quant memory read in notes/observations/analyses/lessons order contains no adopted executable rule after strategy #17; superseded GTLB notes #4/#7 stay inactive. Premise 2: saved backtest #10 reports 20-session holdout -30.23%, five-session holdout -6.38%, selected full sample seven completed events, last-three holdout and omitted costs. Inherited figures, not recomputed this run. Premise 3: current query_trades fund=quant and list_monitors fund=quant confirm zero active/pending orders and zero monitors; three closed forced exits already have lessons. Conclusion: keep $245.69 cash; no entry, exit or adjustment. Validity: mandate requires validated executable positive expectancy, absent here. Soundness limits: selected tiny holdout cannot disprove all PEAD; unavailable raw artifacts and natural-exit payoff distribution preclude reliable Kelly. Counterexamples: DELL's forced gain does not test planned horizon; future favorable headline or lower price could yield a gain but supplies no calibrated entry rule. Prior cash unchanged. Start flat; goal repeatable net gains; binding constraint preregistered broad chronological OOS validation with costs, actual entry/exit semantics and affordable cash-only lots. Quarter-Kelly undefined; policy size zero. Primary abstract https://arxiv.org/abs/2601.08962 reread this run supports efficient post-2016 post-announcement price formation, but uses a different strategy and is the same source, not independent confirmation of our holdout. Unsupported turnover benefits spread recipients; first order abstention avoids transaction costs, second preserves capital, third prevents funding pressure driving replacement risk. Fresh headline feed supplies no validated Quant rule; no claim about its issuer fundamentals is being acted on. No fresh backtest, Monte Carlo or indicator sweep undertaken for this unchanged rejected rule. No Quant monitor requires action before September 5 00:00 UTC research; job #8 remains informational per supplied schedule. Other funds' items are outside this review.

Changed-state trading review, not a new backtest. Premise 1: live query_research fund=quant notes/observations/analyses/lessons contains no rule adopted after rejection #14; notes #4/#7 remain superseded by #64. Premise 2: backtest #10 reports selected next-open positive-surprise >=8% gap rule with seven completed 20-session events, last-three holdout -30.23%, five-session holdout -6.38%, and costs omitted. These are inherited results, not recomputed today. Premise 3: query_trades and list_monitors fund=quant at 21:06 UTC confirm zero active/pending positions and zero monitors. Conclusion: no proposal; retain $245.69 cash. Validity: no validated implementable positive edge implies zero size under mandate. Soundness limits: tiny selected holdout does not disprove all PEAD, and three operator exits cannot calibrate strategy win/loss probabilities or slippage. Counterexamples: DELL's profitable liquidation does not validate the intended horizon; a new headline or a cheaper entry might change future returns but does not supply a tested rule. Prior was cash; evidence did not change it. Start state flat; goal repeatable net positive expectancy; binding constraint broad preregistered chronological OOS validation with costs and actual venue entry/exit semantics. Do not derive positive Kelly from pooled pre-holdout winners. Source recheck https://arxiv.org/abs/2601.08962 supports efficient post-2016 post-announcement price formation but differs from our rule and is not independent confirmation of our specific holdout. Unsupported turnover benefits spread recipients; first-order avoiding entry avoids that cost, second-order preserves research capital, third-order prevents the monthly shortfall from weakening standards. No fresh backtest, indicator sweep or simulation is necessary for this unchanged rejected rule. Quant job #8 remains informational per supplied schedule; no validated signal requires an intervening watch or new order before 00:00 UTC.

Premise 1: Live query_trades and list_monitors show three closed quant trades, no active or queued orders, and no quant monitors. Premise 2: Saved backtest #10 rejects next-open positive-surprise >=8% gap PEAD: 20-session last-three holdout -30.23%, five-session holdout -6.38%, selected sample only seven completed events, costs omitted. Premise 3: No other quant rule has a recorded implementable validated edge. Conclusion: retain $245.69 deployable cash, proposed size zero; September 2 notes #4/#7 are superseded by September 4 analyses #10/#12. The three forced liquidations are execution outcomes, not tests of the intended 4-6 week horizon. Counterexample: DELL's profitable exit cannot rescue a strategy on three forced exits. Source: quant query_research analyses #10/#12 and query_trades #1/#7/#9, retrieved this run; https://arxiv.org/abs/2601.08962 rechecked September 4 supports post-2016 efficient post-announcement price formation. Binding constraint: broad preregistered chronological OOS validation net of fees/slippage for the actual venue-compatible rule. First order: avoid an unvalidated re-entry; second: preserve capital; third: require evidence rather than the monthly funding shortfall to change sizing. No fresh backtest was run in this trading review.

Premise 1: classic SUE-decile PEAD is cross-sectional and often long-short; this venue used adjusted-EPS beat + guidance + positive gap, long-only. Premise 2: Martineau finds large-cap PEAD absent since 2006. Premise 3: 2026 tick research finds ~70% of price discovery within five minutes and post-2016 BBO returns 0.01% before latency. Premise 4: our next-open screen lost 30.2% in the last-three holdout. Conclusion is valid if these evidence sets map to liquid US names; soundness is limited by our small selected sample and differing signal definitions. First order: next-open buyers receive the residual after most information is priced. Second order: selecting large gaps concentrates reversal/tail risk; one -20.8% five-day loss erased six winners. Third order: stops do not protect opening gaps and apparent 4-6 week PEAD exposure is mostly unvalidated idiosyncratic risk. Who benefits: fast after-hours liquidity providers and informed traders; late market buyers pay the discovery premium. Binding constraint is a pre-registered, broad OOS sample showing positive net next-open returns. Current GTLB/DELL/SNOW must liquidate under operator directive; do not re-enter from this thesis.

On the seven qualified events with 20-day outcomes, OLS of SPY-adjusted 20-day return on opening gap and log(1+EPS surprise) gives gap coefficient -1.45, surprise coefficient +0.0083, R-squared 49.7%; simple gap/return correlation is -0.703 and log-surprise/return correlation -0.155. These estimates are descriptive only: N=7, heteroskedastic, a single HPE outcome is influential, universe chosen from current news/candidates, and adjusted-versus-GAAP EPS definitions conflict (e.g. GTLB). Counterexample: DELL Feb continued +28.0% over 20d after a 13.1% gap; HPE reversed -28.1% after 33.7%. Conclusion: neither larger gap nor larger headline surprise supports stronger expected drift here; if anything the gap may flag exhaustion. No sizing edge.

Hypothesis: long liquid US stocks at the next open when reported EPS surprise is positive and the opening gap is >=8%; hold 1/5/10/20 sessions. Method: 43 firm-quarters, Nasdaq reported surprise, Alpaca IEX adjusted OHLC; 8 qualified. Returns enter at next open and exit at close, benchmark SPY; 10 bp costs were not deducted (so results are optimistic). Results: 20d N=7, raw compound -10.69%, max sequential drawdown 41.05%, win 57.14%, average win 11.40%, average loss -15.61%; mean abnormal +1.14% but bootstrap 95% CI -11.27% to +14.16%. Chronological last-three holdout compounded -30.23% versus +28.01% earlier. At 5d, +9.16% compound and 85.7% wins, but one HPE loss was -20.76% and holdout lost 6.38%. Selection-biased universe and N=7 prevent broad inference, but the rule fails its own holdout. Reject; do not use this calibration to open or size trades.

Hypothesis: Classic TSMOM (Moskowitz/Ooi/Pedersen documented at AQR) — long-only 50/200 day SMA crossover should capture crypto major trends better than short lookback momentum already rejected. Method: backtest.js sma-cross --fast 50 --slow 200 --days 730 on BTC/USD and ETH/USD individually, no fees/slippage adjustment beyond CLI defaults. Result: BTC: -20.6% vs buy&hold +31.0%, maxDD 24.5%, winRate 0% (2 losing trades). ETH: +21.5% vs buy&hold -5.0%, but only 1 trade in 731 days -- not statistically meaningful (N=1).

Hypothesis: Log-spread z-score pairs trade and single-asset momentum/mean-reversion on crypto majors can produce positive absolute returns. Method: backtest.js pairs ETH/USD,SOL/USD lookback20/entry2/exit0.5/365d (requires long+short spread legs); momentum BTC lookback20/365d; mean-reversion BTC lookback10-20/entry1.5-2/180-365d. Result: Pairs ETH/SOL: +17.9% return vs b&h -48.1%, maxDD 14.6%, winRate 63.6% -- looks good but the venue has no short-selling tool, so the short leg can't be executed; not implementable with only open_position(buy)/close_position(sell). BTC momentum: -5.1% vs b&h -30.3% (beats b&h but still loses money). BTC mean-reversion: -7.4% to -9.5% across params, underperforming or barely beating a negative b&h -- not a positive-return edge.

Hypothesis: Classic cross-sectional/sector momentum (Jegadeesh-Titman, Faber sector rotation): buy top-3 of 10 by 60-120d trailing return, rebalance monthly, should beat equal-weight buy&hold. Method: backtest.js xs-momentum on (a) AAPL,MSFT,NVDA,GOOGL,AMZN,META,AVGO,TSLA,JPM,XOM at lookback 60-120d/top3/rebalance20-30d over 365-700d; (b) sector ETFs XLE,XLF,XLK,XLV,XLI,XLU,XLP,XLY,XLB,XLRE same params. Result: Mega-cap tech: 90/3/30/365d return -9.9% vs b&h +6.8%; 60/3/20/365d -5.0% vs +9.2%; 120/3/30/700d +40.5% vs b&h +52.6% (still trails). Sector ETFs: 90/3/30/700d -45.7% vs -12.0%; 90/3/30/365d -3.5% vs +9.9%; 60/3/20/700d -28.6% vs -9.2%. Underperformed buy&hold in every window tested; concentrating in top-3 of a correlated universe adds switching cost without capturing dispersion.

Hypothesis: Cross-sectional momentum (buy top-2 of 6 crypto majors by trailing return, rebalance weekly/monthly) should outperform buy&hold in a documented factor style. Method: backtest.js xs-momentum, lookback 30d/top2/rebalance7d over 365d, and lookback30/top2/rebalance7 over 180d. Data: Alpaca crypto-bars daily. Result: 365d: return -61.1% vs buy&hold -53.7%, maxDD 71.8%, winRate 40.4%. 180d: return -1.72% vs buy&hold +5.12%, maxDD 33.8%, winRate 47.6%. Underperforms buy&hold in both windows; high whipsaw switching costs in a correlated, trending-down universe.