Stats

Frozen1720/1721. Same50ETFuniverse; firstmonthlysessionenteronlyall1/3/12excesssignspositive,prior20ADRstop1/target1.5,half+1R;breakevennextday,maximum5sessions. Dailyopen gaporderingknown,otherwise stop-firstbarambiguity; openingprofitsfilledconservativelyatlevel. Fees1bp+5/15slip; vectorbtamountorderledger reconcilescustomcash perasset<1e-8. Synthetic9/12/16hour slotsencodeordering,NOTobservedfilltimes; drawdownsampledmarkapproximation,15minovernightunvalidated. Equallyfundedindependent50sleeves,notpooled100%pertradecompounding. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"swing","era":"train","cost_side":0.0016,"return":-5.342637130094719,"drawdown":-5.364315855521484,"win_rate":37.09449929478138,"sample":709,"avg_win_pct":0.638899658656277,"avg_loss_pct":0.9927569801379375,"mean_trade_pct":-0.3875021197671641,"quarter_kelly_diagnostic":0,"monthly_clusters":34,"mean_holding":2.3413258110014104,"vectorbt_reconciled":true}

Frozen1720/1721. Same50ETFuniverse; firstmonthlysessionenteronlyall1/3/12excesssignspositive,prior20ADRstop1/target1.5,half+1R;breakevennextday,maximum5sessions. Dailyopen gaporderingknown,otherwise stop-firstbarambiguity; openingprofitsfilledconservativelyatlevel. Fees1bp+5/15slip; vectorbtamountorderledger reconcilescustomcash perasset<1e-8. Synthetic9/12/16hour slotsencodeordering,NOTobservedfilltimes; drawdownsampledmarkapproximation,15minovernightunvalidated. Equallyfundedindependent50sleeves,notpooled100%pertradecompounding. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"swing","era":"2026","cost_side":0.0006,"return":-0.837390516077452,"drawdown":-2.6756370346532887,"win_rate":52.093023255813954,"sample":215,"avg_win_pct":1.3435491263306152,"avg_loss_pct":1.863295064902291,"mean_trade_pct":-0.19275297458561413,"quarter_kelly_diagnostic":0,"monthly_clusters":9,"mean_holding":2.353488372093023,"vectorbt_reconciled":true}

Frozen1720/1721. Same50ETFuniverse; firstmonthlysessionenteronlyall1/3/12excesssignspositive,prior20ADRstop1/target1.5,half+1R;breakevennextday,maximum5sessions. Dailyopen gaporderingknown,otherwise stop-firstbarambiguity; openingprofitsfilledconservativelyatlevel. Fees1bp+5/15slip; vectorbtamountorderledger reconcilescustomcash perasset<1e-8. Synthetic9/12/16hour slotsencodeordering,NOTobservedfilltimes; drawdownsampledmarkapproximation,15minovernightunvalidated. Equallyfundedindependent50sleeves,notpooled100%pertradecompounding. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"swing","era":"holdout","cost_side":0.0006,"return":-3.5853043981237565,"drawdown":-6.375064357293558,"win_rate":46.48910411622276,"sample":1239,"avg_win_pct":1.1366843295470295,"avg_loss_pct":1.2592056317905695,"mean_trade_pct":-0.14537785315420393,"quarter_kelly_diagnostic":0,"monthly_clusters":72,"mean_holding":2.4624697336561745,"vectorbt_reconciled":true}

Frozen1720/1721. Same50ETFuniverse; firstmonthlysessionenteronlyall1/3/12excesssignspositive,prior20ADRstop1/target1.5,half+1R;breakevennextday,maximum5sessions. Dailyopen gaporderingknown,otherwise stop-firstbarambiguity; openingprofitsfilledconservativelyatlevel. Fees1bp+5/15slip; vectorbtamountorderledger reconcilescustomcash perasset<1e-8. Synthetic9/12/16hour slotsencodeordering,NOTobservedfilltimes; drawdownsampledmarkapproximation,15minovernightunvalidated. Equallyfundedindependent50sleeves,notpooled100%pertradecompounding. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"swing","era":"train","cost_side":0.0006,"return":-2.635043849171137,"drawdown":-2.943814217606766,"win_rate":42.73624823695346,"sample":709,"avg_win_pct":0.7446188077803125,"avg_loss_pct":0.8841538956012193,"mean_trade_pct":-0.18807754986835026,"quarter_kelly_diagnostic":0,"monthly_clusters":34,"mean_holding":2.3413258110014104,"vectorbt_reconciled":true}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":"passive","cost_side":0.0016,"era":"2026","return":13.724894459343773,"drawdown":-8.11908472523587,"win_rate":86,"sample":50,"avg_win_pct":17.067620076698525,"avg_loss_pct":6.7991879797932375,"quarter_kelly_diagnostic":0.2010571316783848,"annual_return":20.67156565696415,"mean_daily_pct":0.07879571072878316,"vol_annual_pct":14.223079988627596,"sharpe_zero_cash":1.3960772996798243,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":"passive","cost_side":0.0016,"era":"holdout","return":77.39577595673421,"drawdown":-29.686335533123042,"win_rate":94,"sample":50,"avg_win_pct":82.91660269182037,"avg_loss_pct":8.96818326635472,"quarter_kelly_diagnostic":0.23337761383573194,"annual_return":10.031989087023785,"mean_daily_pct":0.04343735205773449,"vol_annual_pct":16.481427168339913,"sharpe_zero_cash":0.6641544210186046,"open_positions":0}

Premise1 frozen1722 prior tocomputingreturns: buyT-3open/sellT-1close beforeactualissuerdates19625;preferredstop1prior20ADR,target1.5ADR.2024train4,2025–May2026holdout6,adjustedSIP. Fees5bp/side,slip10bpbase/25bpstress. DailyH/Lstop-first if both;gapstop atmin(open,stop); targetconservative. Vectorbt twofillobservationsperevent reproducescostedledger; notnative15min,+1Rpartial/BE,fullintradayDD or executablefills. Premise2 preferredtraining-5.422920%base/-6.551066%stress. Holdoutbase+5.708773%,stress+3.823032%;stresswins4/6,avgwin2.643210%,avgloss3.262591%,mean.674609%;50000seed2026091002 bootstrapmeanCI[-1.778946,3.065121]%. Event-closeDD3.668236%;vectorbtsampledDD3.956487% (differentmarkgrid); neitherworstintraday. Premise3 all12offset3/5,stop0/1/1.5,costbase/stress variants losttraining; no winnereligible. Time-onlyT3stressholdout+10.456184% cannotbe selectedafterseeingholdout orignore mandatoryexits. Conclusion REJECT live;rawholdoutquarterKelly.063806 is descriptive, approved0 becausefailedtraining/uncertainty/execution. Strongcounterargumentchangedroyaltymix may make2024stale; needsprospectiveproof notretrospectivedeletion. Datesretrospectivelyverified; advanceannouncement/earlynews/dividendexecutioncomplete audit remainsgap. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=EPM&feed=sip&adjustment=all&timeframe=1Day ; https://ir.evolutionpetroleum.com/news-events/news-releases ;19625actualdateURLmap. FutureSep15AMCsource https://ir.evolutionpetroleum.com/news-releases/news-release-details/evolution-petroleum-schedules-fiscal-q4-and-full-year-2026 .

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":"passive","cost_side":0.0016,"era":"train","return":33.04901076986295,"drawdown":-17.822829741004465,"win_rate":98,"sample":50,"avg_win_pct":33.94444098527958,"avg_loss_pct":10.661824731701195,"quarter_kelly_diagnostic":0.24342951829191636,"annual_return":10.021907782507732,"mean_daily_pct":0.039939242162321704,"vol_annual_pct":10.187884991733197,"sharpe_zero_cash":0.987907601339425,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":"passive","cost_side":0.0006,"era":"2026","return":13.952572096657988,"drawdown":-8.119084725235936,"win_rate":86,"sample":50,"avg_win_pct":17.302009882450044,"avg_loss_pct":6.612579607424165,"quarter_kelly_diagnostic":0.20162350282815392,"annual_return":21.024684009024732,"mean_daily_pct":0.07995452287652759,"vol_annual_pct":14.214391569886033,"sharpe_zero_cash":1.4174746534751963,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":"passive","cost_side":0.0006,"era":"holdout","return":77.75092292197321,"drawdown":-29.68633553312302,"win_rate":94,"sample":50,"avg_win_pct":83.28282239156854,"avg_loss_pct":8.785917230151693,"quarter_kelly_diagnostic":0.23341757574169797,"annual_return":10.06869769989811,"mean_daily_pct":0.04356934609810567,"vol_annual_pct":16.48038216244716,"sharpe_zero_cash":0.6662148431084862,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":"passive","cost_side":0.0006,"era":"train","return":33.315375355762036,"drawdown":-17.822829741004387,"win_rate":98,"sample":50,"avg_win_pct":34.21261824564346,"avg_loss_pct":10.482949371648012,"quarter_kelly_diagnostic":0.2434679703119502,"annual_return":10.095532305485566,"mean_daily_pct":0.04020459105128569,"vol_annual_pct":10.187861252772898,"sharpe_zero_cash":0.9944733927512432,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":12,"cost_side":0.0016,"era":"2026","return":12.652638875446364,"drawdown":-7.9762544242265925,"win_rate":65,"sample":60,"avg_win_pct":18.27104928228229,"avg_loss_pct":3.786189909436414,"quarter_kelly_diagnostic":0.1443679479236617,"annual_return":19.012928221907654,"mean_daily_pct":0.07311567997987553,"vol_annual_pct":13.917123248215363,"sharpe_zero_cash":1.323919536121903,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":12,"cost_side":0.0016,"era":"holdout","return":31.297330195582873,"drawdown":-15.795237483747048,"win_rate":43.66197183098591,"sample":284,"avg_win_pct":22.28359889309118,"avg_loss_pct":6.8880149180692545,"quarter_kelly_diagnostic":0.06561874178027188,"annual_return":4.646044077827849,"mean_daily_pct":0.01977521205153735,"vol_annual_pct":9.295417883603923,"sharpe_zero_cash":0.5361085966643298,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":12,"cost_side":0.0016,"era":"train","return":11.98964311841706,"drawdown":-13.89016784569611,"win_rate":59.45945945945946,"sample":148,"avg_win_pct":10.0738776126303,"avg_loss_pct":4.867545313540335,"quarter_kelly_diagnostic":0.09967720842857629,"annual_return":3.8601423643699118,"mean_daily_pct":0.016096566286717816,"vol_annual_pct":7.362665575765926,"sharpe_zero_cash":0.5509329009325423,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":12,"cost_side":0.0006,"era":"2026","return":12.9164524179755,"drawdown":-7.969869188682088,"win_rate":66.66666666666666,"sample":60,"avg_win_pct":18.049197418516112,"avg_loss_pct":3.781317519453858,"quarter_kelly_diagnostic":0.14920828411473333,"annual_return":19.420340712904572,"mean_daily_pct":0.07447154968361418,"vol_annual_pct":13.907936465750502,"sharpe_zero_cash":1.3493612489879947,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":12,"cost_side":0.0006,"era":"holdout","return":32.714881480437356,"drawdown":-15.527755926989506,"win_rate":44.36619718309859,"sample":284,"avg_win_pct":22.170973223244573,"avg_loss_pct":6.7865232234357515,"quarter_kelly_diagnostic":0.06834179862516034,"annual_return":4.833632844144531,"mean_daily_pct":0.020486728282477263,"vol_annual_pct":9.293483328543937,"sharpe_zero_cash":0.5555135081942556,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":12,"cost_side":0.0006,"era":"train","return":12.64417830055451,"drawdown":-13.779417138856044,"win_rate":61.48648648648649,"sample":148,"avg_win_pct":9.956674741798178,"avg_loss_pct":4.926073466009103,"quarter_kelly_diagnostic":0.10607973066214499,"annual_return":4.062784104918227,"mean_daily_pct":0.01686899490862431,"vol_annual_pct":7.360692195381743,"sharpe_zero_cash":0.577525401706172,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":3,"cost_side":0.0016,"era":"2026","return":9.358813838283652,"drawdown":-7.351399802803671,"win_rate":61.53846153846154,"sample":78,"avg_win_pct":11.473882329858764,"avg_loss_pct":2.783318903385474,"quarter_kelly_diagnostic":0.13052128350677739,"annual_return":13.963397663276588,"mean_daily_pct":0.05464328272525098,"vol_annual_pct":11.506014619237055,"sharpe_zero_cash":1.1967747045741475,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":3,"cost_side":0.0016,"era":"holdout","return":45.87299039167434,"drawdown":-10.696500654864716,"win_rate":45.233265720081135,"sample":493,"avg_win_pct":15.224192496731067,"avg_loss_pct":4.874967612560477,"quarter_kelly_diagnostic":0.06924076413388247,"annual_return":6.49957294042296,"mean_daily_pct":0.0264673889020352,"vol_annual_pct":8.477084264754668,"sharpe_zero_cash":0.7868014278263045,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":3,"cost_side":0.0016,"era":"train","return":14.306380512096206,"drawdown":-11.209897738629815,"win_rate":55.06072874493927,"sample":247,"avg_win_pct":8.952589154846553,"avg_loss_pct":4.493850620421134,"quarter_kelly_diagnostic":0.08125741781960794,"annual_return":4.573898073512028,"mean_daily_pct":0.018637916502406236,"vol_annual_pct":6.738428059691685,"sharpe_zero_cash":0.6970104773695944,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":3,"cost_side":0.0006,"era":"2026","return":9.695504014789558,"drawdown":-7.337137905363456,"win_rate":61.53846153846154,"sample":78,"avg_win_pct":11.697073453035019,"avg_loss_pct":2.5886707470497834,"quarter_kelly_diagnostic":0.13256641667478453,"annual_return":14.47637736288696,"mean_daily_pct":0.05642596927191758,"vol_annual_pct":11.493910788412876,"sharpe_zero_cash":1.2371197687438023,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":3,"cost_side":0.0006,"era":"holdout","return":48.64499307763008,"drawdown":-10.364238382573133,"win_rate":47.05882352941176,"sample":493,"avg_win_pct":14.857720578411277,"avg_loss_pct":4.848150145599255,"quarter_kelly_diagnostic":0.07445961781272206,"annual_return":6.834461686275861,"mean_daily_pct":0.02771569990188647,"vol_annual_pct":8.476160592243211,"sharpe_zero_cash":0.8240000055764617,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":3,"cost_side":0.0006,"era":"train","return":15.425279913670842,"drawdown":-11.010769148343936,"win_rate":57.08502024291497,"sample":247,"avg_win_pct":8.848571177592667,"avg_loss_pct":4.509627254008149,"quarter_kelly_diagnostic":0.08803407245709802,"annual_return":4.915171280484776,"mean_daily_pct":0.01992949691124022,"vol_annual_pct":6.736328987187456,"sharpe_zero_cash":0.7455445289541022,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":1,"cost_side":0.0016,"era":"2026","return":4.462375800089524,"drawdown":-7.594363348139376,"win_rate":46.96969696969697,"sample":132,"avg_win_pct":6.3672792021447595,"avg_loss_pct":2.6192418394489425,"quarter_kelly_diagnostic":0.06288792320298117,"annual_return":6.586060873688537,"mean_daily_pct":0.02778053393079898,"vol_annual_pct":11.008935288039073,"sharpe_zero_cash":0.6359102281369043,"open_positions":0}

Frozen1720/1721/1724. Fifty predetermined cash ETF sleeves,2016warmup,2017–19train/2020–25holdout/2026separate. Monthend1/3/12returnminusSHYsigns; mixpositivefraction/3,componentsdiagnostics,no selection; passivefullsleeve. Nextsessionopenmonthlytargetweightwithinindependentlycompoundingsleeves,1bpfees+5/15slippage,finaleraclosecostedliquidation. Vectorbtpositionepisodesaggregatepartialresizes; correlatedpositionsnotIIDedge. Inactivecashzero,expensesembeddedprices. Thisislongcashadaptation,notAQRriskbalancedshortfutures; no mandatoryADRexits henceunapproved. Source https://runway.adityaperswal.workers.dev/data/stock-bars?feed=sip&adjustment=all ; https://www.aqr.com/-/media/AQR/Documents/Insights/Journal-Article/AQR-JPM-Fall-2017.pdf . Fullmetrics={"family":"monthly","signal":1,"cost_side":0.0016,"era":"holdout","return":31.563513578995185,"drawdown":-23.163194329116322,"win_rate":44.713656387665196,"sample":908,"avg_win_pct":9.323533406376454,"avg_loss_pct":4.361832258759633,"quarter_kelly_diagnostic":0.047122561896515786,"annual_return":4.681397174618174,"mean_daily_pct":0.019747360940023353,"vol_annual_pct":8.84778262407613,"sharpe_zero_cash":0.5624386547816556,"open_positions":0}