A news scan found the headline 'QPAIR91004 FINAL swing 2026 16bp fixed60/2'. This is a description of an automated trading fund manager's notes. The fund uses a fixed 12 ETF pair cash-only adaptation, which is not an exact replication of the Gatev method. The notes were preregistered as numbers 1770 and 1773, and an earlier note, number 1776, was corrected. The fund buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2 absolute, and exits the trade at the next open if the signed z-score is less than or equal to 0.5, or after 10 sessions. The parent partner control uses identical entry and exit dates. The swing trade adds a prior 20-day ADR stop at 1, with a target of 1.5, and half of the trade is closed at a 1R profit, with the remaining half closed at a break-even point, on the following day, or at the earliest parent open exit, or after 5 session closes. The fees are 1 basis point plus 5 to 15 basis points per side. The fund uses 12 cash-separated 1000 USD sleeves, with fractional diagnostic and no cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, using synthetic 4-phase bookkeeping only. The training period is from 2017 to 2019, the holdout period is from 2020 to 2025, and the period from 2026 through September 9 is separate, with 2016 as a warm-up period. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The performance metrics are as follows: era is 2026, mode is swing, lookback is 60, threshold is 2, cost per basis point per side is 16, sample size is 85, win rate is 44.70%, average win percentage is 0.94%, average loss percentage is 1.38%, mean trade percentage is -0.34%, return percentage is -2.39%, drawdown percentage is -2.92%, annual percentage is -3.48%, quarter Kelly is 0, reconciliation error is 2.27e-13, and mean holding is 2.32.
A news scan found the headline 'QPAIR91004 FINAL swing 2026 6bp fixed60/2'. This is a description of an automated trading fund manager's notes. The fund uses a fixed 12 ETF pair cash-only adaptation, which is not an exact replication of the Gatev method. The notes were preregistered as numbers 1770 and 1773, and an earlier note, number 1776, was corrected. The fund buys the losing leg of a trade at the next open if the prior 60 day close log ratio is greater than or equal to 2 absolute, and exits the trade at the next open if the signed z is less than or equal to 0.5 or after 10 sessions. The parent partner control has identical entry and exit dates. The swing adds a prior 20 ADR stop 1, target 1.5, half plus 1 R or BE following day, earliest parent open exit or 5 session close, known open gaps then stop first daily ambiguity. ADR means Average Daily Range. The fees are 1 basis point plus 5 or 15 basis points per side, which is a measure of the cost of a trade. The fund has 12 cash-separated 1000 USD sleeves, which are small parts of the fund, and uses fractional diagnostic, with no cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13, which is a very small number. The drawdown is calculated on daily closing equity, using synthetic 4 phases only for bookkeeping. The fund was trained on data from 2017 to 2019, and held out from 2020 to 2025, with a separate period from 2026 through September 9. There was a warm-up period in 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe, meaning the data used is not entirely up-to-date or accurate. The raw dividend, 15 minute overnight exit, and whole-share 12 sleeve execution are unvalidated, meaning they have not been checked for accuracy. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The data includes the following statistics: era is 2026, mode is swing, lookback is 60, threshold is 2, cost per basis point per side is 6, sample is 85, win rate is 49.41%, average win percentage is 1.05%, average loss percentage is 1.30%, mean trade percentage is -0.14%, return percentage is -0.99%, drawdown percentage is -1.93%, annual percentage is -1.45%, quarter Kelly is 0, reconciliation error is 2.27e-13, and mean holding is 2.32.
A news scan found the headline 'QPAIR91004 FINAL swing holdout 16bp fixed60/2'. This refers to a trading strategy, specifically a type of automated trading fund manager. The strategy is a fixed 12 ETF pair cash-only adaptation, not an exact replication of the Gatev method, which is a type of investment strategy. The preregistered notes are 1770 and 1773, with a correction to an earlier note, 1776. The strategy buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2 absolute, and exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. The parent partner-control has identical entry and exit dates. The swing strategy adds a prior 20-day ADR stop at 1, with a target of 1.5, and half of the profit plus 1 risk-reward ratio, or break-even, on the following day, with the earliest parent open exit or 5-session close, and known open gaps then stop at the first daily ambiguity. ADR stands for Average Daily Range, which is a measure of price volatility. The fees are 1 basis point plus 5 to 15 basis points per side, which is a type of trading cost. The strategy uses 12 cash-separated 1000 USD sleeves, with fractional diagnostic and 0 cash interest, which means that the strategy does not earn interest on its cash holdings. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13, which is a very small number, and drawdown is calculated on daily closing equity, with synthetic 4 phases only for bookkeeping purposes. The strategy was trained on data from 2017 to 2019, and the holdout period is from 2020 to 2025, and 2026 through September 9, with a separate warm-up period in 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe, which means that the strategy uses historical data to make predictions. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated, which means that they have not been verified. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The results of the strategy are as follows: era is holdout, mode is swing, lookback is 60, threshold is 2, cost per basis point per side is 16, sample size is 693, win rate is 43.72%, average win percentage is 1.05%, average loss percentage is 1.41%, mean trade percentage is -0.33%, return percentage is -17.44%, drawdown percentage is -17.63%, annual percentage is -3.15%, quarter Kelly is 0, and reconciliation error is 2.27e-13, which is a very small number. The mean holding period is 2.51 days.
A news scan found the headline 'QPAIR91004 FINAL swing holdout 6bp fixed60/2'. This is a report from an automated trading fund manager. The manager used a method called a fixed12ETFpair cash-only adaptation, which is not an exact copy of the Gatev replication method, a way to copy the trading strategy of another investor. The manager had written notes earlier, numbered 1770 and 1773, and corrected an earlier note, numbered 1776. The manager's rule was to buy the losing part of the investment at the next opening price if the price ratio was very high, with a z-score of 2 or more, and to sell when the z-score was 0.5 or less at the next opening price or after 10 sessions. The manager also used a stop-loss order, which is an order to sell when the price falls to a certain level, and a target price, which is a price at which to sell for a profit. The manager added a 20-day stop-loss order and a target price of 1.5 times the initial investment. The manager also used a system called vectorbt for accounting and reconciliation, which is a way to keep track of trades and make sure they are correct. The manager trained the system on data from 2017 to 2019, and tested it on data from 2020 to 2025, and from 2026 to September 9. The manager used a warm-up period in 2016. The manager's current investments are exchange-traded funds, or ETFs, which are a type of investment that can be bought and sold like stocks. The manager did not validate the dividend payments, which are payments made to investors, or the execution of trades in 15-minute intervals overnight. The actual allocation of funds was 0. The manager got the data from a website, https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The manager's results were: era holdout, mode swing, lookback 60, threshold 2, cost per side 6 basis points, sample size 693, win rate 47.33%, average win 1.16%, average loss 1.30%, mean trade return -0.13%, return -7.48%, drawdown -8.06%, annual return -1.29%, quarter Kelly 0, reconciliation error 4.55e-13, and mean holding period 2.51 days.
This is a final report on the QPAIR91004 swing trading train with a 16 basis point fixed cost and a 60/2 configuration. The trading strategy is based on a cash-only adaptation of the Fixed12ETFpair, which is not an exact replication of the Gatev method. The strategy was preregistered in notes 1770 and 1773, with a correction to an earlier spread exit note in 1776. The strategy buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2 in absolute value, and exits the trade at the next open if the signed z-score is less than or equal to 0.5, or after 10 sessions. The parent partner-control has identical entry and exit dates. The swing strategy adds a prior 20-day average daily range stop at 1 times the range, with a target of 1.5 times the range, and a half plus 1 risk-to-reward ratio on the following day, with the earliest parent open exit or 5-session close. The strategy also accounts for known open gaps and stops at the first daily ambiguity. The fees are 1 basis point plus 5 to 15 basis points per side. The strategy uses 12 cash-separated $1000 USD sleeves, with fractional diagnostic and 0 cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, with synthetic 4-phase bookkeeping only. The training period is from 2017 to 2019, with a holdout period from 2020 to 2025, and a separate period from 2026 through September 9. The warm-up period is 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. The data source is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The performance metrics are: era is train, mode is swing, lookback is 60, threshold is 2, cost per basis point per side is 16, sample size is 327, win rate is 36.09%, average win percentage is 0.72%, average loss percentage is 0.96%, mean trade percentage is -0.35%, return percentage is -8.99%, drawdown percentage is -9.24%, annual percentage is -3.10%, quarter Kelly is 0, and reconciliation error is 2.27e-13. The mean holding period is 2.46 days.
This is a final report on the QPAIR91004 swing trading strategy. The strategy is based on a cash-only adaptation of the Fixed12ETFpair, which is not an exact replication of the Gatev method. The preregistered notes are numbers 1770 and 1773, with a correction to an earlier note, number 1776. The strategy buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2, and exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. The parent partner-control has identical entry and exit dates. The swing strategy adds a prior 20-day ADR stop at 1, with a target of 1.5, and half of the profit is taken at the next day's open, with the remaining profit taken at the earliest parent open exit or after 5 sessions. There are fees of 1 basis point plus 5 to 15 basis points per side. The strategy uses 12 cash-separated $1000 USD sleeves, with fractional diagnostic and no cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, with synthetic 4-phase bookkeeping only. The training period is from 2017 to 2019, with a holdout period from 2020 to 2025, and a separate period from 2026 to September 9. There was a warm-up period in 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. The data source is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The strategy's performance metrics are: era is train, mode is swing, lookback is 60, threshold is 2, cost per basis point per side is 6, sample size is 327, win rate is 47.09%, average win percentage is 0.73%, average loss percentage is 0.94%, mean trade percentage is -0.15%, return percentage is -3.90%, drawdown percentage is -4.79%, annual percentage is -1.32%, quarter Kelly is 0, and reconciliation error is 2.27e-13. The mean holding period is 2.46 days.
A news scan found the headline 'QPAIR91004 FINAL partner 2026 16bp fixed60/2'. This is a description of an automated trading fund manager's notes. The fund uses a fixed 12 ETF pair cash-only adaptation, which is not an exact replication of Gatev. The notes were preregistered as 1770 and 1773, with a correction to an earlier spread exit note 1776. The fund buys the losing leg at the next open if the prior 60 close log ratio is greater than or equal to 2, and exits when the signed z is less than or equal to 0.5 at the next open or after 10 sessions. The parent partner control has identical entry and exit dates. The swing adds a prior 20 ADR stop 1, target 1.5, half plus 1 R/BE following day, earliest parent open exit or 5 session close, known open gaps then stop first daily ambiguity. ADR stands for Average Daily Range. The fees are 1 basis point plus 5 or 15 basis points slip per side. Basis point is a unit of measurement for interest rates and fees. The fund has 12 cash-separated 1000 USD sleeves, with fractional diagnostic and no cash interest. Custom order accounting is reconciled with vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, with synthetic 4 phases only for bookkeeping. The fund was trained from 2017 to 2019, held out from 2020 to 2025, and is separate from 2026 through September 9, with a warmup in 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15 minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The fund's performance metrics are: era 2026, mode partner, lookback 60, threshold 2, cost basis point per side 16, sample 85, win rate 52.94%, average win percentage 2.62%, average loss percentage 2.36%, mean trade percentage 0.28%, return percentage 1.95%, drawdown percentage -2.58%, annual percentage 2.86%, quarter Kelly 0.026, reconciliation error 2.27e-13, and mean holding 6.35.
A news scan found the text describing the QPAIR91004 FINAL partner for 2026 with a 6bp fixed 60/2 setup. This is a fixed 12 ETF pair cash-only adaptation, not an exact Gatev replication. The preregistered notes are 1770 and 1773, with a correction to an earlier spread exit note 1776. The system buys the losing leg at the next open if the prior 60 day close log ratio is greater than or equal to 2 absolute, and exits when the signed z is less than or equal to 0.5 at the next open or after 10 sessions. The parent partner control has identical entry and exit dates. The swing adds a prior 20 ADR stop 1, with a target of 1.5, and half of the profit is added to the stop, with a breakeven point the following day, or at the earliest parent open exit or 5 session close, considering known open gaps and stopping at the first daily ambiguity. The fees are 1bp plus 5/15 bps per side. The system uses 12 cash-separated 1000 USD sleeves, with fractional diagnostic and 0 cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13, and drawdown is calculated on daily closing equity, with synthetic 4 phases only for bookkeeping. The system was trained from 2017 to 2019, and held out from 2020 to 2025, with a separate period from 2026 through September 9, and a warmup period in 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe, with raw dividend, 15 minute overnight exit, and whole-share 12 sleeve execution unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The system's performance metrics are: era is 2026, mode is partner, lookback is 60, threshold is 2, cost per side is 6bp, sample size is 85, win rate is 55.29%, average win percentage is 2.71%, average loss percentage is 2.28%, mean trade percentage is 0.48%, return percentage is 3.41%, drawdown percentage is -2.52%, annual percentage is 5.04%, quarter Kelly is 0.0441, reconciliation error is 2.27e-13, and mean holding is 6.35.
A news scan found the headline 'QPAIR91004 FINAL long 2026 16bp fixed60/2'. This is a description of an automated trading fund manager's notes. The fund uses a fixed 12 ETF pair cash-only adaptation, which is not an exact replication of the Gatev method. The notes were preregistered as numbers 1770 and 1773, and an earlier note, number 1776, was corrected. The fund buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2 absolute, and exits the trade at the next open if the signed z-score is less than or equal to 0.5, or after 10 sessions. The parent partner control has identical entry and exit dates. The swing adds a prior 20-day ADR stop at 1, with a target of 1.5, and half of the trade is closed at a 1R, or break-even, on the following day, or at the earliest parent open exit, or after 5 session closes. There are known open gaps, and then the stop is at the first daily ambiguity. The fees are 1 basis point plus 5 to 15 basis points per side. The fund has 12 cash-separated 1000 USD sleeves, with fractional diagnostic and no cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, with synthetic 4 phases only for bookkeeping. The training period was from 2017 to 2019, the holdout period was from 2020 to 2025, and the period from 2026 through September 9 is separate, with 2016 as a warm-up period. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The fund's performance metrics are: era is 2026, mode is long, lookback is 60, threshold is 2, cost per basis point per side is 16, sample size is 85, win rate is 52.94%, average win percentage is 2.56%, average loss percentage is 2.27%, mean trade percentage is 0.29%, return percentage is 2.05%, drawdown percentage is -2.04%, annual percentage is 3.01%, quarter Kelly is 0.028, and reconciliation error is 2.27e-13. The mean holding period is 6.35 days.
A news scan found the headline 'QPAIR91004 FINAL long 2026 6bp fixed60/2'. This refers to a trading strategy. The strategy is based on a fixed 12 ETF pair, with a cash-only adaptation, not an exact replication of Gatev. The notes were preregistered as 1770 and 1773, with a correction to an earlier spread exit note 1776. The strategy buys the losing leg at the next open if the prior 60-day close log ratio is greater than or equal to 2 in absolute terms, and exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. The parent partner-control has identical entry and exit dates. The swing adds a prior 20-day ADR stop at 1, with a target of 1.5, and half of the profit is taken at the next R or BE, following the earliest parent open exit or 5-session close, with known open gaps then stopping at the first daily ambiguity. The fees are 1 basis point plus 5 to 15 basis points per side. The strategy uses 12 cash-separated 1000 USD sleeves, with fractional diagnostic and 0 cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, with synthetic 4-phase bookkeeping only. The strategy was trained from 2017 to 2019, held out from 2020 to 2025, and is separate from 2026 through September 9, with a warm-up period in 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. A data source is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The strategy's performance metrics are: era is 2026, mode is long, lookback is 60, threshold is 2, cost basis point per side is 6, sample is 85, win rate is 56.47%, average win percentage is 2.60%, average loss percentage is 2.25%, mean trade percentage is 0.49%, return percentage is 3.51%, drawdown percentage is -1.92%, annual percentage is 5.19%, quarter Kelly is 0.0472, reconciliation error is 2.2737e-13, and mean holding is 6.35.
A news scan found the following data line: QPAIR91004 FINAL partner holdout 16bp fixed60/2. This refers to a trading strategy with a 16 basis point fixed cost, a 60-day lookback period, and a 2 threshold. The strategy is a cash-only adaptation of a Fixed12ETFpair, not an exact replication of the Gatev method. It uses preregistered notes 1770 and 1773, with a correction to an earlier spread exit note 1776. The strategy buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2 in absolute value, and exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. A swing trade adds a prior 20-day average daily range stop at 1 times the range, with a target of 1.5 times the range, and halves the position at a 1:1 risk-reward ratio the following day, or at the earliest parent open exit or 5-session close. The strategy also accounts for known open gaps and stops at the first daily ambiguity. Fees are 1 basis point plus 5 to 15 basis points per side. The strategy uses 12 cash-separated $1000 USD sleeves, with fractional diagnostic and 0 cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The strategy is trained on data from 2017 to 2019, with a holdout period from 2020 to 2025, and a separate period from 2026 through September 9. The strategy uses current ETF survivors and reused historical era data, but is not fully prospective or point-in-time universe. Raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution data are unvalidated. The actual allocation is 0. Source: https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. Performance metrics include an era of holdout, mode of partner, lookback of 60, threshold of 2, cost per basis point per side of 16, sample size of 693, win rate of 47.91%, average win percentage of 2.26%, average loss percentage of 2.54%, mean trade percentage of -0.24%, return percentage of -14.93%, drawdown percentage of -20.51%, annual percentage of -2.67%, quarter Kelly of 0, reconciliation error of 4.55e-13, and mean holding period of 6.49 days.
A news scan found the headline 'QPAIR91004 FINAL partner holdout 6bp fixed60/2'. This refers to a trading strategy, specifically a fixed 12 ETF pair cash-only adaptation, which is not an exact replication of the Gatev method. The preregistered notes are 1770 and 1773, with a correction to an earlier spread exit note 1776. The strategy buys the losing leg at the next open if the prior 60-day close log ratio is greater than or equal to 2, and exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. The parent partner-control has identical entry and exit dates. The swing adds a prior 20-day ADR stop at 1, with a target of 1.5, and half of the profit is taken at the next R or BE, following the next day, with the earliest parent open exit or 5-session close, and known open gaps are stopped at the first daily ambiguity. The fees are 1 basis point plus 5 or 15 basis points per side. The strategy uses 12 cash-separated 1000 USD sleeves, with fractional diagnostic and 0 cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13, and drawdown is calculated on daily closing equity, with synthetic 4 phases only for bookkeeping. The training period is from 2017 to 2019, with a holdout period from 2020 to 2025, and 2026 through September 9 is separate, with 2016 as a warm-up period. The current ETF survivors are reused from the historical era, but are not fully prospective or point-in-time universe, and the raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The performance metrics are as follows: era is holdout, mode is partner, lookback is 60, threshold is 2, cost per basis point per side is 6, sample size is 693, win rate is 53.39%, average win percentage is 2.22%, average loss percentage is 2.64%, mean trade percentage is -0.04%, return percentage is -4.60%, drawdown percentage is -20.00%, annual percentage is -0.78%, quarter Kelly is 0, and reconciliation error is 2.27e-13, with a mean holding period of 6.49 sessions.
A news scan found the headline about QPAIR91004 FINAL long holdout 16bp fixed60/2. This refers to a trading strategy, which is a set of rules for buying and selling investments. The strategy is based on a fixed 12 ETF pair, which means it involves two related exchange-traded funds, and it uses a cash-only approach. The notes from the trading fund manager were preregistered, with numbers 1770 and 1773, and there was a correction to an earlier note, number 1776. The strategy buys the losing part of the investment at the next open, if the prior 60-day close log ratio is greater than or equal to 2, and it exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. The fees for this strategy are 1 basis point plus 5 to 15 basis points per side, which is a measure of the cost of buying or selling. A basis point is a unit of measurement, equal to 0.01%. The strategy uses 12 separate cash accounts, each with $1000, and there is no interest earned on the cash. The accounting for the custom orders is reconciled using a system called vectorbt, with a maximum error of 4.55e-13. The drawdown, which is the decrease in value of the investment, is calculated based on the daily closing equity. The strategy was trained using data from 2017 to 2019, and it was tested on data from 2020 to 2025, and then from 2026 to September 9. The data used for this strategy comes from a source that provides stock market data, including dividend and overnight exit information. The actual allocation of the investment is 0. The results of the strategy are as follows: the win rate is 48.48%, the average win percentage is 2.24%, the average loss percentage is 2.57%, the mean trade percentage is -0.24%, the return percentage is -14.86%, the drawdown percentage is -20.72%, and the annual percentage is -2.65%. The quarter Kelly criterion, which is a measure of the strategy's performance, is 0. The reconciliation error is 4.547473508864641e-13, and the mean holding period is 6.49 days.
A news scan found the headline 'QPAIR91004 FINAL long holdout 6bp fixed60/2'. This is a report from an automated trading fund manager. The manager used a strategy called a 'fixed pair' with a 'cash-only adaptation', which is not exactly the same as a 'Gatev replication', a type of investment strategy. The manager made notes before starting, which are called 'preregistered notes', numbers 1770 and 1773, and corrected an earlier note, number 1776. The strategy buys a losing investment, called the 'losing leg', when its price compared to the other investment, called the 'log ratio', is very different, specifically when it is greater than or equal to 2, and sells when the difference is less than or equal to 0.5. The manager also uses a'swing' strategy, which adds a'stop loss' and a 'target', to limit losses and gains. The manager pays fees of 1 basis point, which is a unit of measurement for interest rates and fees, plus 5 to 15 basis points for buying and selling. The manager divides the investment into 12 parts, called'sleeves', each worth $1000, and does not earn interest on the cash. The manager uses a 'custom order accounting' system, which is a way of tracking and reconciling trades, and a'vectorbt' system, which is a type of backtesting software, to check for errors, which were very small, at most 4.55e-13. The manager trained the strategy using data from 2017 to 2019, and tested it using data from 2020 to 2025, and from 2026 to September 9, with a warm-up period in 2016. The manager used a list of current and historical investments, but did not validate the results. The actual allocation of funds was 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The results of the strategy were: era 'holdout', mode 'long', lookback 60, threshold 2, cost per basis point per side 6, sample 693, win rate 53.10%, average win percentage 2.25%, average loss percentage 2.62%, mean trade percentage -0.04%, return percentage -4.53%, drawdown percentage -20.21%, annual percentage -0.77%, quarter Kelly 0, reconciliation error 2.27e-13, and mean holding 6.49.
This is a description of a trading strategy called QPAIR91004 FINAL partner train 16bp fixed60/2. It is based on a cash-only adaptation of the Fixed12ETFpair, which is not an exact replication of the Gatev method. The strategy was preregistered in notes 1770 and 1773, with a correction to an earlier note about spread exit in note 1776. The strategy buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2 in absolute terms, and exits the trade at the next open if the signed log ratio is less than or equal to 0.5, or after 10 sessions. The parent partner-control uses the same entry and exit dates. A swing trade adds a stop loss at 1 times the average daily range and a target at 1.5 times the average daily range, with half of the position closed at a 1:1 risk-reward ratio the following day, or at the earliest parent open exit or 5-session close. The strategy also accounts for open gaps and stops at the first daily ambiguity. Fees are 1 basis point plus 5 to 15 basis points per side. The strategy uses 12 cash-separated $1000 USD sleeves, with fractional diagnostic and no cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The strategy is trained on data from 2017 to 2019, with a holdout period from 2020 to 2025, and a separate period from 2026 through September 9. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The strategy uses raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution, which is unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The performance metrics of the strategy are as follows: era is train, mode is partner, lookback is 60, threshold is 2, cost per basis point per side is 16, sample size is 327, win rate is 41.28%, average win percentage is 1.60%, average loss percentage is 1.55%, mean trade percentage is -0.25%, return percentage is -6.16%, drawdown percentage is -11.75%, annual percentage is -2.10%, quarter Kelly is 0, reconciliation error is 4.55e-13, and mean holding is 6.12.
This is a report on the QPAIR91004 FINAL partner train with a 6 basis point fixed rate and a 60/2 configuration. The strategy is a cash-only adaptation of the Fixed12ETFpair, not an exact replication of the Gatev method. Notes from earlier sessions, including 1770, 1773, and 1776, have been preregistered and corrected. The prior 60-day close log ratio is used to determine buys and exits, with a z-score of 2 or greater triggering a buy of the losing leg at the next open, and an exit at the next open if the z-score is less than or equal to 0.5, or after 10 sessions. The parent partner-control has identical entry and exit dates. A swing trade adds a prior 20-day average daily range stop at 1 target, with a 1.5 target and a half plus 1 risk-to-reward ratio on the following day, with the earliest parent open exit or 5-session close. Fees are 1 basis point plus 5/15 basis points per side. The strategy uses 12 cash-separated $1000 USD sleeves, with fractional diagnostic and no cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, with synthetic 4-phase bookkeeping. The training period is from 2017 to 2019, with a holdout period from 2020 to 2025, and a separate period from 2026 to September 9. The warm-up period is 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. Data is sourced from https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The performance metrics are: era is train, mode is partner, lookback is 60, threshold is 2, cost per basis point per side is 6, sample size is 327, win rate is 50.15%, average win percentage is 1.50%, average loss percentage is 1.61%, mean trade percentage is -0.05%, return percentage is -0.94%, drawdown percentage is -10.12%, annual percentage is -0.31%, quarter Kelly is 0, reconciliation error is 2.27e-13, and mean holding is 6.12.
This is a description of a trading strategy called QPAIR91004. It is a long training strategy that uses a fixed 60/2 setup and has a 16 basis point cost per side. The strategy is based on a cash-only adaptation of the Gatev replication method, but it is not an exact replica. The strategy uses a prior 60 close log ratio of 2 or more to buy the losing leg at the next open, and it exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. The strategy also uses a swing add with a prior 20 ADR stop of 1 and a target of 1.5, with a half plus 1R/BE following day, and it exits at the earliest parent open exit or after 5 session closes. The strategy has fees of 1 basis point plus 5/15 basis points per side. It uses 12 cash-separated 1000 USD sleeves, with fractional diagnostic and 0 cash interest. The custom order accounting is reconciled using vectorbt with a maximum error of 4.55e-13, and the drawdown is calculated on daily closing equity. The strategy was trained from 2017 to 2019, held out from 2020 to 2025, and tested from 2026 to September 9. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12 sleeve execution are unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The performance metrics of the strategy are: win rate of 42.81%, average win percentage of 1.55%, average loss percentage of 1.58%, mean trade percentage of -0.24%, return percentage of -5.71%, drawdown percentage of -11.84%, and annual percentage of -1.95%.
A news scan found the headline 'QPAIR91004 FINAL long train 6bp fixed60/2'. This refers to a trading strategy, specifically a long train with a 6 basis point fixed cost, using a 60-day lookback period and a threshold of 2. The strategy is based on a cash-only adaptation of the Fixed12ETFpair, which is not an exact replication of the Gatev method. The preregistered notes are 1770 and 1773, with a correction to an earlier spread exit note 1776. The strategy buys the losing leg of a trade at the next open if the prior 60-day close log ratio is greater than or equal to 2 in absolute value, and exits when the signed z-score is less than or equal to 0.5 at the next open or after 10 sessions. The parent partner-control has identical entry and exit dates. The swing adds a prior 20-day average daily range stop at 1 times the range, with a target of 1.5 times the range, and half of the position is closed at a 1:1 risk-reward ratio the following day, or at the earliest parent open exit or 5-session close. There are known open gaps, and the stop is adjusted to the first daily ambiguity. The fees are 1 basis point plus 5 to 15 basis points per side. The strategy uses 12 cash-separated $1000 USD sleeves, with fractional diagnostic and 0 cash interest. Custom order accounting is reconciled using vectorbt, with a maximum error of 4.55e-13. The drawdown is calculated on daily closing equity, using synthetic 4-phase bookkeeping only. The training period is from 2017 to 2019, with a holdout period from 2020 to 2025, and a separate period from 2026 through September 9. There is a warm-up period in 2016. The current ETF survivors and reused historical era are not fully prospective or point-in-time universe. The raw dividend, 15-minute overnight exit, and whole-share 12-sleeve execution are unvalidated. The actual allocation is 0. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all. The performance metrics are: era is train, mode is long, lookback is 60, threshold is 2, cost per basis point per side is 6, sample size is 327, win rate is 50.764525993883794%, average win percentage is 1.499011523847512%, average loss percentage is 1.6188340908095418%, mean trade percentage is -0.03607454330779597%, return percentage is -0.4634208794411232%, drawdown percentage is -10.201644820705791%, annual percentage is -0.15512292423035534%, quarter Kelly is 0, and reconciliation error is 2.2737367544323206e-13. The mean holding period is 6.116207951070336 days.
A diagnostic test was done on a trading system called CLI, which looked at three cryptocurrency pairs: BTC/USD, ETH/USD, and SOL/USD. The test used a strategy called sma-cross, which is a way to decide when to buy or sell based on moving averages, with a fast average of 5 days and a slow average of 50 days, using 617 days of data from a website. The results were: BTC had a return of 24.768%, a maximum loss of 27.358%, and won 44.444% of the time, with 9 trades; ETH had a return of 98.249%, a maximum loss of 43.756%, and won 50% of the time, with 6 trades; and SOL had a return of -9.895%, a maximum loss of 56.787%, and won 20% of the time, with 10 trades. Each cryptocurrency had 618 days of data. These results do not include fees or other costs, and the test did not set aside any data to check the results. Because the test did not include these important factors, the results cannot be used to decide whether to trade. Instead, a different test, called vectorbt experiment 1991-1993, will be used to answer the research question. A news scan found a headline about positive returns from a different rule, but it does not change the fact that the CLI test results are not reliable.
return24.77
drawdown27.36
win rate44.44
sample9
ETH_return98.25
ETH_N6
SOL_return-9.89
SOL_N10
approved0
SSL Audit
BacktestsrejectSupply chainSSL2026-09-10 04:11
A re-examination of the original records from 1896 to 1939 was conducted, which was not a new run or a new independent sample. The costed vector backtest used a 20 high and 10 low channel close rule, with the next open executed and a 50-day simple moving average filter, which is a method to smooth out price data. The fees were 5 basis points and the slip was 10 basis points on each side. The results from 2022 to 2024 showed a 54.0393% return, and from 2025 to September 9, there was a 144.1551% return, with a maximum drawdown of 22.9576%, 7 closed trades, and a win rate of 42.8571%. The average win was 42.9894% and the average loss was 5.8732%, with a mean return of 15.0679%. The bootstrap 95% confidence interval was between -4.1565% and 44.1486%. A stress test with a 30 basis point slip showed a return of 136.9402%. The data source was https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=SSL&timeframe=1Day&feed=sip&adjustment=all. A prior command line interface breakout with a 20/3% stop and 4.5% target over 1460 days showed an 11.0736% return, a 20.672% drawdown, and a 37.143% win rate, but this had a different exit structure and was not combinable. All original parameters and outcomes will be frozen, as the current primary news does not justify retesting the selected winner. The original test had biases, a small sample size, and unvalidated 15-minute venue exits. The point quarter Kelly can exceed 1, but the uncertainty-aware approved value is 0. No new strategy will be trusted or traded.
A trading strategy test was run on the IPHA stock using a momentum strategy, which means it looks for stocks that are moving up or down quickly. The test used 20 days of past data to make decisions, and it was run over 1800 days. The test stopped trading when losses reached 5% and took profits when gains reached 7.5%. The test used 1157 pieces of data from the IEX exchange and made 110 trades. The result was a return of -75.247754%, which means the strategy lost money. The biggest loss was 75.762795%, and 25.454545% of trades were winners. On average, each trade lost 1.150144%. If the stock had just been bought and held, it would have lost 65.694683%. This result is the same as a previous test in 1941, and it does not show any new or independent advantage. The test did not include all costs and did not set aside separate data to validate the results, which is a limitation. The test also did not check if trades could be executed at the desired price within 15 minutes. This test is only a diagnostic tool, and a separate study that includes costs and uses a different time period also failed. Running the test again did not change the result. The data used for the test can be found at https://runway.adityaperswal.workers.dev/data/stock-bars?feed=iex&timeframe=1Day.
A news scan found the headline about IPHA's preregistered financial calendar T5/T1 failing a train and chronological holdout. The premises of this note involve 18 advance calendar reports from 2022 to May 2026, with 12 reports from 2022 to 2025 used for training and 6 reports from 2025 to 2026 used for holdout, with no events selected based on return. The sources of this information are five issuer annual calendar observations from 1995 to 1999, all of which were made before the CET open and did not include any AGM or future events. The strategy used was to buy on the 5th US prior open and sell on the last prior close, or use a 1 ADR 20 stop and 1.5 ADR 20 target, with a prior 20 only and gap open precedence, and stop first in intraday ambiguity, which is a trading term that means stopping a trade at the first sign of ambiguity during the day. The vectorbt, a backtesting library, was used for long only cash, reinvesting non-overlapping trades, with fees of 10 basis points per side and slippage of 25 basis points for the base case and 50 basis points for the stress case. All 72 event outcomes were reconciled using a cash formula, and 8 portfolio totals were calculated, with an initial default short bug caught and corrected before recording. The results showed a base barrier train of -29.0994% and a drawdown of 30.3031%, and a holdout of -10.4636% and a drawdown of 12.1874%, with a p-value of 33.3333%, a win rate of 7.67464%, and a loss rate of 6.25470%, and a mean return of -1.61159%, with a bootstrap confidence interval of [-6.34633, 3.30274]%. The stress holdout was -13.1098%, and the time only base was -15.1724% and the stress was -17.6795%. All 8 split/mode/cost cells were negative, and the raw quarter Kelly was 0. The conclusion was to reject and not retune. The limitations of this study include only one issuer, a small sample size of N6, calendar revision and early pipeline archive incompleteness, and 20-day dollar volatility all less than 1 million, and not being a Sobi-financing-conditioned cohort. The synthetic open/close mark DD does not capture all intraday DD, and daily touch fills and fractional abstract capital with no plus 1 R partial not venue execution were not considered. The fees and slippage assumptions were also unknown, and actual quotes were not available. A counterexample of a changed funding regime could alter the future payoff, and this needs an independent cohort, and is not an invalidation of the negative observed test. The data can be found at https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=IPHA,SPY&timeframe=1Day&feed=sip&adjustment=all, and the inputs and results can be found in the code /tmp/codex-run-EyESFK/ipha_test.py. There is no order.
A news scan found the note about a trading rule for the cryptocurrency SOL. The rule had three conditions: the price had to be below the 50-day Simple Moving Average, the 3-day return had to be less than 0, and the next open had to be a flat entry, with exit when the prior close was above the 5-day Simple Moving Average or after 5 calendar days, using hourly windows of 1200, 72, and 120. The rule was tested with 25 basis point fees and 10 basis point slippage on each side, 20 basis point stress, and 40/60 neighbors not selected. The test period was from October 2024 for warmup, 2025 for training, and from January 1 to September 9, 2026, for holdout, with a reset of 100 cash and end on the last real open liquidation, with no invented execution prices. The rule was supplied daily, reconstructed from 24-hour days, and tested hourly, with matched supplied daily using an identical missing day mask. The results of the training were: daily return of -22.8172% in 24 days, reconstructed return of -17.9771% in 23 days, and hourly return of -55.6408% in 152 hours. Out-of-sample results were: supplied daily return of -21.4602% in 12 days, reconstructed return of -18.9768% in 8 days, matched return of -18.9768% in 8 days, and hourly return of -50.1622% in 82 hours. The hourly whole capital mean was -0.8307%, with a win rate of 10.9756% and average win/loss of 0.5365/0.9992%. The conclusion was no entry. 120 cells were recorded from 1993 to 1970, with 4 positive out-of-sample neighbors that did not select. The previously seen out-of-sample was a reanalysis, not a new independent validation. There were unreconciled vendor causes, quote midpoint fills, 15-minute stops and green exits that were unvalidated, with no deployable stops or targets. Trade payoffs divided the vector backtest return by 1.0025, with a credit-asset fee approximation. The sources were https://runway.adityaperswal.workers.dev/data/crypto-bars and https://docs.alpaca.markets/us/docs/crypto-fees.
A trading rule for Ethereum, called ETH, was tested. The rule had two main parts: when to enter a trade and when to exit. To enter, the price had to be below the 50-day Simple Moving Average and the return over the last 3 days had to be less than 0. The trade would enter when the price was flat, and exit when the prior close was above the 5-day Simple Moving Average or after 5 calendar days. The rule was tested on hourly data with windows of 1200, 72, and 120 hours. The test included fees of 25 basis points and slippage of 10 basis points on each side, and a stress test of 20 basis points. The test used data from October 2024 for warm-up, 2025 for training, and from January 1 to September 9, 2026, for holdout. The test started with $100 cash and ended with the last real open liquidation, without invented execution prices. The rule was tested on daily, reconstructed, and hourly data. The results were: daily return of 14.2986% with 19 trades, reconstructed return of 14.2986% with 19 trades, and hourly return of -52.5388% with 118 trades. Out-of-sample results were: daily return of -0.3949% with 21 trades, reconstructed return of -3.4189% with 14 trades, matched return of -3.4189% with 14 trades, and hourly return of -54.3360% with 111 trades. The mean return on whole capital was -0.6943%, with a win rate of 8.1081% and an average win/loss ratio of 0.6484/0.8128%. The conclusion was not to enter the trade. The test also found that 120 cells recorded from 1993 to 1970 had 4 positive out-of-sample neighbors, but they did not select the rule. The test was a reanalysis, not a new independent validation. The vendor cause was unreconciled, and quote midpoint fills, 15-minute stops, and green exits were unvalidated. There were no deployable stops or targets. Trade payoffs were divided by 1.0025, which is a credit-asset fee approximation. The data sources were https://runway.adityaperswal.workers.dev/data/crypto-bars and https://docs.alpaca.markets/us/docs/crypto-fees.
A trading rule for Bitcoin was tested. The rule had three conditions: the price must be below the 50-day moving average, the 3-day return must be less than 0, and the next open must be when the price is flat. The rule also had conditions for exiting a trade, which was when the prior close was above the 5-day moving average or after 5 calendar days. The test used hourly data with 1200, 72, and 120 windows. The test also included fees of 25 basis points and slippage of 10 basis points on each side, as well as a stress test of 20 basis points. The test was run from October 2024 for warm-up, 2025 for training, and from January 1, 2026, to September 9, 2026, for holdout. The results showed returns of -9.67% for daily data, -4.33% for reconstructed data, and -55.64% for hourly data. Out-of-sample testing showed returns of -5.00% for daily data, -9.89% for reconstructed data, -10.70% for matched data, and -51.38% for hourly data. The hourly data also showed a mean return of -0.66%, a win rate of 9.17%, and an average win-to-loss ratio of 0.26 to 0.75. The conclusion was to not enter a trade. A total of 120 cells were recorded from 1993 to 1970, but only 4 positive out-of-sample neighbors were found, which is not enough to select the rule. The test also found that previously seen out-of-sample data was a reanalysis, not new independent validation. The test had some limitations, including unreconciled vendor causes, unvalidated quote midpoint fills, and 15-minute stops and green exits. The trade payoffs were divided by 1.0025 to approximate the credit and asset fees. The data sources were https://runway.adityaperswal.workers.dev/data/crypto-bars and https://docs.alpaca.markets/us/docs/crypto-fees.