Stats

Using actual fills and the precommitted stress formula loss=N*[r+(1-r)g+0.005], r=2*ATR/entry and g=max(10%, twice the worst observed adjusted overnight gap), each $86.65 lot remains below 2% of current $998.75 equity ($19.975): XLK about $13.76 at g=12.5136%, XLE about $13.52 at g=11.5864%, XLV about $11.10 at g=10%. Total scenario loss is about $38.38, but the mandate applies the under-2% test per lot. This is a deterministic stress, not a loss ceiling; a larger-than-sampled gap can lose more. Targets imply approximately $15.92/$17.87/$9.21 gross upside and about 5.5R/5.2R/4.1R, using overlapping historical P90 endpoints rather than win probabilities. Source: https://runway.adityaperswal.workers.dev/data/stock-bars.

Premises:1 Analysis3825 adjusted indicators/targets and observed gaps.2 Fixed equal allocation260/3 and25%account cap249.815.3 Stress explicitly assumes full2ATR stop distance followed by gap g=max(.10,2abs sampleworst), plus.5%notional friction. Formula loss=N*(r+(1-r)*g+.005),r=2ATR/E. Source https://runway.adityaperswal.workers.dev/data/stock-bars . With adjustedclose E for illustration, g12.5136125/11.5863927/10%, slot86.66 losses13.792109/13.489460/11.106454 <19.9852 account2%. Equal common ceilingmin(260/3,249.815,(19.9852-.01)/maxlossfraction) rounds86.66. Joint38.388023=3.842%account, not2% aggregate. Target dollar scenarios15.920745/17.872222/9.209198, gross5.539/5.240/4.129R over1-3months; P90 historical60day endpoints1255 overlap, NOT independent winprobability. Counterexample: larger overnight gap can exceed2%; entirelot loss86.66 exceeds2%, so no guaranteed risk cap claimed. Refresh E/capital/exposure and action units before eachRTHorder. This is deterministic stress, not MonteCarlo or backtest; no repeated MC or Kelly override of fixed validated allocation. Prior live15minute exit calibration remains unknown.

Question: how much do static-bracket exit estimates change with sample and serial dependence? Premises:1 Current fixed basket and brackets from3645.2 Historical synchronous OHLC/priorclose ratios preserve same-day cross-sector dependence.3 Resample consecutive blocks1/5/20days separately from1152 pre2026 and179 recent2026 sessions,10000 paths per case,60 sessions,seed92006,86.66 each,6bp/side assumed friction. No fitted parameter selected. Source https://runway.adityaperswal.workers.dev/data/stock-bars. Method stop first for ambiguous same-day dual touch; gap stop at worse opening price; target at fixed target; remaining mark at60-day close. Static current brackets; stop first on same-day dual touch; opening gap stop at worse open; no ratchet, monthly rerank or 15min checks; adjusted OHLC not executable prices; chosen current basket selection bias; 6bp per side costs assumed; no calibrated odds or Kelly sizing. Full case figures observations30444–49. Pre2026 target frequencies XLK12.96–17.29%,XLE11.17–15.56%,XLV13.94–16.61%;2026 XLK20.60–26.17%,XLE32.97–39.15%,XLV20.50–23.43%. Basket loss frequency48.39–50.20% versus19.76–22.72%; modeled mean dollar PnL2.796–3.655 versus9.291–9.632. P05 dollar outcomes roughly-9.89 to-8.97 do NOT bound loss. Conclusion sample choice materially dominates implied success odds, so no empirical Kelly input or sizing/target override. Ratchets/monthly replacement and15minute monitoring omitted deliberately to isolate model sensitivity; not execution backtest, not validated premium test, and not live probabilities. Counterexample crisis correlations and gaps outside observed sample defeat benign recent results. Source was already observed;2026 is a comparison segment, not independent OOS.

Premises:1) SIP normalized OHLC throughSep18 https://runway.adityaperswal.workers.dev/data/stock-bars; current selected basket, no past selection simulation.2) 10000 synchronized63-session paths per regime with circular5-day blocks, seed91906,1255 fullsample days or179 recent2026days; preserve within-day cross-sector/within-block dependence. Each OHLC divided by its previous close, compound from1.3) Fixed current2ATR stop and5yearP90 targets,86.66each; no trail, SMA ratchet, reranking or re-entry. This is sensitivity study, NOT mandate backtest, OOS validation or calibrated live odds. Close model tests at close and fills there; OHLC tests low/high, gaps fill at open if beyond barrier, otherwise barrier; stop first for ambiguous day (zero encountered). Survivors liquidated at day63close. Costs6bp eachway baseline,20bp stress; no cash interest. Fullsample close mean6.0981USD,median4.6280,P5−12.8331,P9534.6646,loss39.60%; OHLC mean4.5986,median2.6125,P5−9.8123,P9531.2103,loss43.64%. Full OHLC stop odds69.40/63.51/66.99%,target18.58/18.68/17.52%,survive12.02/17.81/15.49. Recent close mean12.8759,loss14.28%; recentOHLCmean10.4871,loss18.54%; recentOHLCstop66.53/43.15/64.44%,target26.13/36.75/22.39%,survive7.34/20.10/13.17. Stresscostmeans fullclose5.3541/fullOHLC3.8588/recentclose12.1130/recentOHLC9.7309. Full outputs observations recorded separately. No sampled lot loss>20; this DOES NOT bound unseen gaps. Intraday model assumes barrier liquidity and continuous observation, unlike venue15min checks; adjustment prices not executable quotes. Trailing rules omitted, no directional claim about their effect. Historical regimes retain drift; small recent sample exaggerates precision. Conclusion unchanged86.66 slots; never equate historical P90 with90%hit probability. Model sensitivity explains uncertainty; no strategy retest per specific mandate.

Premises:1) normalized1255 rolling60 returns from https://runway.adityaperswal.workers.dev/data/stock-bars throughSep18.2) Circular block bootstrap of observed gain sequence,3000 replicates per block20/60/120,seed91904 reset perETF; resample indices preserving within-block dependence, not tradable price paths.3) Stationary empirical distribution assumed; regime change unmodeled. Block60 central95% P90-estimator ranges XLK13.469–25.977%,XLE14.740–26.412%,XLV7.383–12.587%. Block20 ranges14.512–24.908%,16.605–24.986%,8.254–12.444%; block12013.679–26.107%,14.212–25.892%,7.377–12.581%. These are model sensitivity ranges, not calibrated confidence intervals, future returns or hit odds. No changed target or edge-validation claim. Sizing uses existing deterministic stress instead: r=2ATR/E,g=max(.10,2abs(worstnegativegap)),lossfraction=r+(1-r)*g+.005. Current g .125185405/.115854679/.10. CommonN=floorcents min(260/3,250,19.99/maxfraction)=86.66. Losses13.796520/13.486896/11.105282, each<20; simultaneous sum38.388698=3.83887%equity. Nominalstop losses approx2.875/3.408/2.229; targets15.9127/17.8762/9.2108 perlot. Unseen total loss86.66each, so stress is not a hard loss guarantee. Historical3381 path-simulation frequencies remain old capital/vintage diagnostics, not current live odds; no repeated drift simulation warranted. Funding gap absent;0.02cash is cent rounding.

Premises:1) https://runway.adityaperswal.workers.dev/data/stock-bars completedSep18 bars; current supplied equity1000/cap360, own ledgerempty.2) Existing model r=2ATR/E; g=max(.10,2*abs(worstnegativegap)); lossfraction=r+(1-r)*g+.005. Equal N=floorcents min(cap/3,.25equity,(.02equity-.01)/maxfraction)=120. XLK/XLE/XLV stressed losses19.104343/18.675601/15.377727 each<20; total53.157671. Not a guaranteed bound: loss-to-zero120 each; historical gaps omit unseen tails.3) Reused frozen method/seed91900 to translate same distribution to reset notional, not new edge test: 10000 joint circular5-day bootstrap paths from252 returns over60 sessions; hypothetical close-only fixed brackets, 50bp exit deduction, survivors close60; no intraday ratchet/entry costs. {"recent_drift":{"p05_p50_p95":[-15.400604271271359,14.480958312074208,43.13656939007692],"negative_fraction":0.1952,"stop_frequency":[0.5768,0.3935,0.4811],"target_frequency":[0.2544,0.2356,0.2997]},"zero_drift":{"p05_p50_p95":[-17.928425459694306,-3.1389371155714065,20.166403638167974],"negative_fraction":0.5747,"stop_frequency":[0.7557,0.6521,0.7065],"target_frequency":[0.1024,0.0509,0.128]}}. Zero-drift median negative; frequencies are model diagnostics, not calibrated live odds or Kelly inputs. Equal size unchanged by forecast. Funding shortfall absent; P90 is return quantile not target-hit probability.

Premises:1) Technical3353 fresh adjusted SIP https://runway.adityaperswal.workers.dev/data/stock-bars; equity849.92/cap339.97.2) Retain existing stress definition r=2ATR/E,g=max(.10,2*abs(worsthistoricalnegativegap)),fraction=r+(1-r)*g+.005; N=floorcents min(cap/3,.25equity,(.02equity-.01)/maxfractions). XLK/XLE/XLV g=.125185405/.115854679/.1;common106.70,320.10total,19.87residual. Loss16.986945/16.605722/13.673363 <16.9984 per lot; sum47.266029. Model not guarantee: loss-to-zero106.70 perlot exceeds2%, unobserved gaps may exceed history. Equal weights obey tightest constraint, no correlation discount.3) New completedbar and bear attack justify drift sensitivity, not strategy validation. Joint circular5day bootstrap recent252 daily returns,10000paths,seed91900,60sessions; both recent drift and subtract each asset samplemean. Fixed initial close-cross stops/targets,50bp exit penalty including survivors atday60; no entrycost,intraday touches,profitratchet or manager timing. Output orderedXLK/XLE/XLV: {"recent_drift":{"basket_p05_p50_p95":[-13.693703964538782,12.875985432485985,38.35559961601006],"negative_fraction":0.1952,"stop_frequency":[0.5768,0.3935,0.4811],"target_frequency":[0.2544,0.2356,0.2997]},"zero_drift":{"basket_p05_p50_p95":[-15.94135830457819,-2.7910382519289096,17.931293901604363],"negative_fraction":0.5747,"stop_frequency":[0.7557,0.6521,0.7065],"target_frequency":[0.1024,0.0509,0.128]},"names":["XLK","XLE","XLV"],"n":10000,"seed":91900,"horizon":60,"joint_stress":47.26602936450736,"loss_to_zero_perlot":106.7}. Conclusion model median flips sign if recent drift vanishes; cannot convert target frequencies to actual expectancy or Kelly. Retain mandate sizing/targets rather than selecting favorable simulation. Historical worst gaps and finite resampling omit unseen tail states; genuine live win odds unavailable. No repeat edge backtest per explicit mandate.

Source https://runway.adityaperswal.workers.dev/data/stock-bars. Premises: equity849.92, cap339.97, strict2% loss ceiling16.9984; equal-weight unconstrained slots113.3233 exceed ceiling for XLE/XLK under existing model. Loss=N*[r+(1-r)*g+.005],r=2ATR/E,g=max(.10,2*worst negative historical open/previous close). g=.115854679/.125185405/.10. Use common slot floor cents min(cap/3,.25equity,(.02equity-.01)/max(stress fractions))=106.62. Stress losses16.652208/16.987640/13.774069, joint47.413917; deployment319.86,residual20.11. Not a bound: larger gaps and loss-to-zero106.62 per lot can exceed2%; refreshed equity/fills mandatory. Counterexample prevents claiming guaranteed protection. Equal weights retained, no Kelly change. Recent252-session joint circular5-day bootstrap10000 paths,seed91806,60sessions; selected ex post; fixed initial stops and P90 targets, first close crossing exit with50bp adverse exit charge, all survivors liquidated day60; no entry charge, intraday highs/lows or profit ratchet. Results {"paths":10000,"seed":91806,"history_sessions":252,"horizon":60,"block":5,"basket_p05_p50_p95":[-13.761056414003983,12.957375339944516,38.10545280256284],"negative_fraction":0.1903,"per_symbol":{"XLE":{"stop_fraction":0.388,"target_fraction":0.2332,"neither_fraction":0.3788,"p05_p50_p95":[-6.375357170581709,6.312452718414754,22.81350421328447]},"XLK":{"stop_fraction":0.5787,"target_fraction":0.249,"neither_fraction":0.1723,"p05_p50_p95":[-6.631493072416815,-4.243749870200858,20.839633354309434]},"XLV":{"stop_fraction":0.4614,"target_fraction":0.3066,"neither_fraction":0.232,"p05_p50_p95":[-4.501909204275528,0.3809418349380722,12.450141349553459]}}}. These are model-conditional crossing frequencies, not live exit probabilities or strategy backtest; close-only monitoring can miss touches, current regime drifts may not persist, and fixed stops omit mandate ratchet. No edge revalidation and no simulation-based sizing override.

Source https://runway.adityaperswal.workers.dev/data/stock-bars SIP adjustment all. $39.66 per lot. Stress assumes stop distance r=2ATR/E followed by gap g=max(10%,2*largest observed negative open/previous close gap) plus0.5% execution cost: loss=N*[r+(1-r)*g+.005]. XLE worstgap5.792734% Apr8 2026,g11.585468%;XLK6.259270% Aug5 2024,g12.518540%;XLV2.644903% Apr7 2025,g10%. Losses6.194209/6.318982/5.123612 all<2%equity16.9984. Joint17.636803=2.075113%equity. This stress is not a bound: arbitrarily large gaps can exceed2%; loss-to-zero perlot39.66. Recompute at entry. Diagnostic5000 joint60-session paths from circular5-day blocks of1330 daily returns, seed918, no stops/costs, selected basket ex post: dollarP5/median/P95=-9.66645/+5.62718/+20.48811,26.64%negative. Not live exit odds/expectancy, no out-of-sample edge claim, no Kelly sizing inference. Specific fixed equal-weight mandate controls sizing; no backtest.