A diagnostic test of the CLI system was run using a 1-day momentum strategy with a 3% stop loss and a 4.5% target, from September 9, for 616 days, as a basic test, not a full audit. The test included 617 data points and did not account for real-world costs like fees or slippage. The results for BTC, ETH, and SOL were returns of -2.414645%, -5.731119%, and -20.158132%, with drawdowns of 28.990985%, 31.944930%, and 47.359101%. The test also found the following numbers of trades: 164 for BTC, 181 for ETH, and 176 for SOL, with profit percentages of 37.1951%, 35.9116%, and 34.6591%. Since the results were below the benchmark, the test did not show a positive outcome in terms of cash payoff. Therefore, the system was rejected for trading. The test used data from https://runway.adityaperswal.workers.dev/data/crypto-bars and the engine /app/agent/dist/backtest/cli.js, and also separately tested a costed vector with 2025 training data and 2026 holdout data, checking actual closing prices.
A news scan found the headline 'QOE90906 OEF buyhold control extension 16bps'. This refers to an unconditional exposure control, not a candidate for adoption. The Vectorbt long-only strategy was used, which means buying and holding assets without short selling, from the first close to the last close, with 1000 USD invested in each independent sleeve, and a 1 basis point fee plus any remaining costs and slippage per side. A basis point is a unit of measurement, one hundredth of one percent. The periods analyzed were 2016-2020, 2021-2025, and 2026 to September 8. All endpoints were used without a 20-day strategy warm-up. All ETF returns and drawdowns were saved for observation. The OEF sample had one investment, and was compared to SPY and IWM, but these were not independent trials. The results showed a positive buy-hold, not weekly timing alpha, meaning the strategy performed well when holding assets long-term, not just timing the market. Adjusted prices were used as a proxy for distributions, and risk and exits and whole lot caps differed. The results included a 16 basis point extension, with returns of 11.34% for OEF, 12.36% for SPY, and 18.56% for IWM, and drawdowns of 10.82% for OEF, 8.88% for SPY, and 11.03% for IWM, with a sample size of 3 and a win rate of 100%.
A news scan found the headline 'QOE90906 OEF buyhold control extension 6bps'. This refers to an unconditional exposure control, not a candidate for adoption. The Vectorbt strategy, which is a type of trading strategy, uses a long-only approach, meaning it only buys assets, from the first close to the last close, with 1000 USD invested in each independent sleeve, and a 1 basis point fee, plus any remaining costs and slippage per side. Basis point means one hundredth of a percent. The strategy was tested over three periods: 2016-2020, 2021-2025, and 2026 to September 8. It uses all endpoints without a 20-day strategy warm-up, which means it starts using the data right away. All ETF returns and drawdowns, which are losses, were saved for observation. The OEF sample had one investment, and was compared to SPY and IWM, but these were not independent trials. The results showed a positive buy-hold, but not weekly timing alpha, which means the strategy performed well when holding assets, but not when trying to time the market. Adjusted prices were used as a proxy for distributions, and risk and exits and whole lot caps differed. The results included a return of 11.56% for OEF, 12.58% for SPY, and 18.79% for IWM, and a drawdown of 10.81% for OEF, 8.88% for SPY, and 11.03% for IWM, with a sample size of 3 and a win rate of 100%.
A news scan found the headline 'QOE90906 OEF buyhold control holdout 16bps'. This refers to an investment strategy for the OEF fund. The strategy is called 'unconditional exposure control', which means it does not try to time the market. It uses a'vectorbt longonly' approach, which is a type of investment strategy that means 'long only', or always investing, never selling short. The strategy looks at the difference between the first close and last close of each trading period, with 1000 USD invested in each independent part, and a 1 basis point fee, plus any other costs, per trade. A basis point is a unit of measurement, where 1 basis point is equal to 0.01%. The strategy was tested over three periods: 2016-2020, 2021-2025, and 2026 to September 8. It uses all the data available, without ignoring the first 20 days. All the returns and losses of the ETF, or exchange-traded fund, were recorded. The OEF fund was compared to the SPY and IWM funds, but these were not independent tests. The results showed a positive return, but this was not due to weekly timing. The prices were adjusted to account for distributions, or payments made to investors. The results were: OEF return was 114.10%, SPY return was 97.35%, and IWM return was 34.84%. The largest loss, or drawdown, was: OEF 26.47%, SPY 24.50%, and IWM 31.91%. The sample size was 3, and the win rate was 100%. Source is a data feed from https://runway.adityaperswal.workers.dev/data/stock-bars, which is a raw data output.
A news scan found the headline 'QOE90906 OEF buyhold control holdout 6bps'. This refers to a trading strategy for the OEF fund. The strategy is an unconditional exposure control, meaning it does not adjust based on market conditions, and is not a candidate for adoption. It uses a Vectorbt long-only approach, which is a type of trading strategy that only buys assets and never sells short, from the first close to the last close. Each independent sleeve, or part of the investment, is 1000 USD and has a 1 basis point fee, which is a small cost, plus any remaining costs and slippage, which is the difference between expected and actual trade prices, per side. The strategy is tested over three periods: 2016-2020, 2021-2025, and 2026 to September 8. It uses all endpoints without a 20-day strategy warm-up, which is a period of time to allow the strategy to start performing. All ETF returns and drawdowns, which are losses, are saved for observation. The OEF sample 1 investment is compared to the SPY and IWM investments, but these are not independent trials. The results show a positive buy-hold, not weekly timing alpha, which means the strategy performs well when holding the investment for a long time, not just when buying and selling at specific times. Adjusted prices are used as a proxy for distributions, which are payments made to investors, and risk and exits, which are the points at which the investment is sold, and whole lot caps, which are limits on the amount of the investment, differ. The results are: return for OEF is 114.53, for SPY is 97.75, and for IWM is 35.11, drawdown for OEF is 26.47, for SPY is 24.50, and for IWM is 31.91, sample size is 3, and win rate is 100. Source is a data feed from https://runway.adityaperswal.workers.dev/data/stock-bars.
A news scan found the headline 'QOE90906 OEF buyhold control train 16bps'. This refers to an unconditional exposure control, not a candidate for adoption. The strategy uses Vectorbt, a long-only approach, from the first close to the last close, with 1000 USD in each independent sleeve, and a 1 basis point fee plus remaining costs and slippage per side. Basis point means one hundredth of a percent. The periods of analysis are 2016-2020, 2021-2025, and 2026 to September 8. All endpoints are used without a 20-day strategy warm-up. All ETF returns and drawdowns are saved for observation. The OEF sample is an investment of 1, compared to SPY and IWM, which are not independent trials. The results show a positive buy-hold, not weekly timing alpha. Adjusted prices are used as a proxy for distributions, and risk, exits, and whole lot caps differ. The data shows a split of train, with 16 basis points, and returns of 110.31 for OEF, 102.44 for SPY, and 90.52 for IWM. The drawdowns are 31.44 for OEF, 33.79 for SPY, and 41.27 for IWM. The sample size is 3, with a win rate of 100. Source is a data feed from https://runway.adityaperswal.workers.dev/data/stock-bars.
A news scan found the headline 'QOE90906 OEF buyhold control train 6bps'. This refers to a trading strategy, specifically an unconditional exposure control, which is not a candidate for adoption. The strategy uses Vectorbt, a long-only approach, where the first close to last close is considered, with 1000 USD invested in each independent sleeve, and a 1 basis point fee plus any remaining costs and slippage per side. A basis point is a unit of measurement, equal to 0.01%. The strategy is tested over three periods: 2016-2020, 2021-2025, and 2026 to September 8. It uses all endpoints without a 20-day strategy warm-up. All ETF returns and drawdowns are saved for observation. The OEF sample is used for investment, and its performance is compared to SPY and IWM, although these are not independent trials. The results show a positive buy-hold, but not weekly timing alpha. Adjusted prices are used as a proxy for distributions, and risk, exits, and whole lot caps differ. The results are as follows: the return for OEF is 110.73137217374884, for SPY is 102.84819524465156, and for IWM is 90.89713670865416. The drawdown for OEF is 31.435696473102936, for SPY is 33.79381911340268, and for IWM is 41.27328400102065. The sample size is 3, and the win rate is 100. The source of this information is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are comparison investments, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. The common 20-session warmup removes only January 2016. Week 4 is determined by the calendar Friday ordinal, and holidays use the last actual session. The parent investment's previous week last close to current week last close, open first open to last close, and managed stop are all considered. The stop is set at 1.5 times the average daily range, with a narrow range of 0.75 to 1.125 and a wide range of 1.25 to 1.875. If the investment reaches a high of +1 average daily range, the stop is raised the next session. The investment strategy is long-only, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD is invested in each independent sleeve. The cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The OEF figures and comparison figures are as follows: the SPY investment has a sample size of 60, a win rate of 55%, a mean return of 0.1098, an average win of 1.3557, an average loss of 1.4129, a quarter Kelly criterion of 0.0203, a worst return of -2.4252, a return of 6.0127, a drawdown of 7.9428, and exit counts of 24 stops, 18 targets, 13 time exits, 3 target gaps, and 2 stop gaps. The IWM investment has a sample size of 60, a win rate of 48.33%, a mean return of 0.0023, an average win of 2.0329, an average loss of 1.8973, a quarter Kelly criterion of 0.0003, a worst return of -3.1642, a return of -1.3026, a drawdown of 16.5214, and exit counts of 26 stops, 16 targets, 13 time exits, 3 target gaps, and 2 stop gaps. The portfolio return is 4.9665 and the portfolio drawdown is 8.3986. All datapoints were recorded in matching observations. The 16 basis points return was managed in week 4.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period is divided into development, which occurred from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. Week 4 is determined by the calendar Friday ordinal, with holidays using the last actual session. The parent strategy uses the previous week's last close to the current week's last close, open first open to last close, and a managed stop with a 1.5 average daily range target, which is adjusted based on performance. A news scan found the headline was not applicable in this case, as this is a detailed report. The strategy is long-only, with a fee of 1 basis point plus 5 basis points slippage per side, and $1000 invested in each independent sleeve. Cash returns are reconciled and compounded. Drawdown is observed at open and close marks. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are provided, along with comparison figures for SPY and IWM, and an equal-sleeve portfolio. A data line found the following statistics for OEF, SPY, and IWM, including sample size, win rate, mean, average win, average loss, and other metrics. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
The trading protocol 1388-1389 has been frozen. OEF is the primary fund, and SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026, with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. Week 4 is determined by the calendar Friday ordinal, and holidays use the last actual session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and the open is from the first open to the last close. A managed stop is used, with a lagged 20-session average daily range and a target of 1.5 times the average daily range. The stop is narrowed to 0.75 and 1.125, and widened to 1.25 and 1.875. If the fund reaches a high of +1 average daily range, the stop is raised the next session. The Vectorbt system is used for explicit long-only trades, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD is allocated to each independent fund. The cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":60,"win_rate":66.66666666666666,"mean":0.46651101376891346,"avgwin":1.668416616334089,"avgloss":1.9373001913614378,"quarterkelly":0.06990325575783789,"worst":-4.872152188984124,"return":30.32300536499175,"drawdown":11.481615693521475,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-0.03182781264316738","0.9620697275319815"]},"IWM":{"sample":60,"win_rate":56.666666666666664,"mean":0.40788963063530637,"avgwin":2.427934201793397,"avgloss":2.2337071162637354,"quarterkelly":0.04199965863304883,"worst":-6.822558771457676,"return":24.59308381863631,"drawdown":18.417955369660156,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-0.23219879787604578","1.0537297273260702"]},"portfolio_return":28.77722991156304,"portfolio_drawdown":13.2925892517202}. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
The automated trading fund manager used a frozen protocol, numbers 1388 and 1389. OEF is the main fund, and SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026. A common 20-session warmup removes January 2016 only. Week 4 is determined by the calendar Friday ordinal, and holidays use the last actual session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and the open is from the first open to the last close. A managed stop is used, with a lag of 20 sessions, and the target is 1.5 times the average daily range, with narrow and wide ranges of 0.75 to 1.125 and 1.25 to 1.875, respectively. The stop is raised to breakeven after a high of +1 average daily range. The Vectorbt system is used, which is a long-only system, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD is used for each independent fund. The cash return is reconciled with the compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is from 10,000 quarter-block samples. The holdout period has been reused across other strategies. The OEF figures are below, along with comparison figures and equal-sleeve portfolio. A news scan found the data line from https://runway.adityaperswal.workers.dev and a research article from https://www.sciencedirect.com.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026, with entries and exits only within these time frames. A common 20-session warmup period removes January 2016 from consideration. Week 2 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are calculated using a lagged 20-session average daily range, with a target of 1.5 times the average daily range, and narrow and wide ranges of 0.75/1.125 and 1.25/1.875, respectively. The breakeven stop is raised the next session after a high of +1 average daily range. A news scan found the headline was not applicable, instead, the Vectorbt system is used for explicit long-only trades, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is calculated from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies, not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and equal-sleeve portfolio: the SPY fund has a sample size of 60, a win rate of 50, a mean return of -0.084, an average win of 1.217, an average loss of 1.385, a quarter Kelly criterion of 0, a worst return of -2.608, a total return of -5.525, a drawdown of 15.54, and exit counts of 24 stops, 17 targets, 13 time exits, 5 target gaps, and 1 stop gap, with a mean confidence interval percentage of -0.534 to 0.355. The IWM fund has a sample size of 60, a win rate of 40, a mean return of -0.340, an average win of 2.116, an average loss of 1.978, a quarter Kelly criterion of 0, a worst return of -3.062, a total return of -19.616, a drawdown of 23.62, and exit counts of 29 stops, 13 targets, 8 time exits, 6 target gaps, and 4 stop gaps, with a mean confidence interval percentage of -0.898 to 0.24. The portfolio return is -10.164, and the portfolio drawdown is 14.57. All datapoints were recorded in matching observations. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. A 20-session warmup period is used, which removes January 2016 from consideration. Week 2 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent strategy uses the previous week's last close to the current week's last close, and the open from the first open to the last close. A managed stop is used, with a lag of 20 sessions, and a target of 1.5 times the average daily range. The stop is narrowed to 0.75 or 1.125, and widened to 1.25 or 1.875. If the investment reaches a high of +1 times the average daily range, the stop is raised the next session. The investment strategy is long-only, with a fee of 1 basis point plus 5 basis points for slippage per side, and 1000 USD is used for each independent sleeve. The cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at the open and close marks, not during the full trading day. A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The results for OEF and the comparison figures are as follows: the SPY had a sample size of 60, a win rate of 51.67%, a mean return of 0.116%, and a drawdown of 13.05%. The IWM had a sample size of 60, a win rate of 40%, a mean return of -0.140%, and a drawdown of 14.48%. The portfolio return was 1.29%, and the portfolio drawdown was 11.97%.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are comparison investments, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026, with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. Week 2 is determined by calendar Friday ordinal, with holidays using the last actual session. The parent investment's previous week last close to current week last close, open first open to last close, and managed stop are considered, with a lagged 20-session average daily range and target of 1.5 times the average daily range. The stop is raised to breakeven after a high of +1 average daily range. A vectorbt explicit long-only strategy is used, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD each independent sleeve, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The results for OEF and comparison figures are provided, including a sample size of 59, win rate, mean, average win, average loss, quarter Kelly, worst, return, drawdown, and exit counts. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period, which is a time when the fund is not actively trading, is divided into several periods: development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. The fund only enters or exits trades within these set periods. A 20-session warmup period removes January 2016 from consideration. The week is defined by the calendar Friday, and holidays use the last actual trading session. The parent fund's performance is measured from the last close of the previous week to the last close of the current week. The open is measured from the first open to the last close. A managed stop, which is a strategy to limit losses, is in place with a lag of 20 sessions and a target of 1.5 times the average daily range, or ADR, which is a measure of how much a stock's price moves on average each day. The stop is narrowed to 0.75 or 1.125 times the ADR, and widened to 1.25 or 1.875 times the ADR. If the fund reaches a high of +1 ADR, the stop is raised the next session. The fund uses a vectorbt, which is a type of trading strategy, with a long-only approach, meaning it only buys stocks, and fees of 1 basis point plus 5 basis points for slippage per trade. Each independent fund has 1000 USD, and idle cash is set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown, which is a measure of the decline in value of a fund, is observed at the open and close marks, not throughout the entire trading day. The fund does not claim live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication. The mean confidence interval, or CI, is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies, not kept pristine for research-wide out-of-sample testing. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A news scan found the headline and data from https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. The week is determined by the calendar Friday ordinal, with holidays using the last actual session. The parent strategy uses the previous week's last close to the current week's last close, open first open to last close, and a managed stop with a 1.5 average daily range target. The stop loss is raised to breakeven after a +1 average daily range high. A vectorbt explicit long-only strategy is used, with a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD each independent sleeve. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are provided, along with comparison figures and an equal-sleeve portfolio. A news scan found the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026, with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. Week 1 is determined by calendar Friday ordinal, with holidays using the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop 1 lagged 20-session ADR, or average daily range, divided by target 1.5 ADR, with narrow and wide ranges, are used. A breakeven raises the stop the next session after a 1 ADR high. The stop-first OHLC, or open, high, low, close, ambiguity, adverse gap at open, and favorable gap capped at target, are considered, with time exit last close. Vectorbt, a trading platform, is used with explicit long-only, fee 1 basis point plus 5 basis points slippage per side, 1000 USD each independent sleeve, and idle cash 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. A news scan found the headline is not available, but data was retrieved from https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The OEF figures and comparison figures are as follows: the SPY sample has 59 observations, a win rate of 45.76%, a mean of 0.0388, an average win of 1.4231, an average loss of 1.1292, a quarter Kelly criterion of 0.0068, a worst loss of -2.4108, a return of 1.7133, a drawdown of 10.4206, and exit counts of stop 23, target 13, time 13, stop gap 6, and target gap 4. The IWM sample has 59 observations, a win rate of 37.29%, a mean of -0.2098, an average win of 2.3402, an average loss of 1.7259, a quarter Kelly criterion of 0, a worst loss of -2.7714, a return of -12.7719, a drawdown of 21.9535, and exit counts of stop 29, target 14, time 9, stop gap 5, and target gap 2. The portfolio return is -3.6290 and the portfolio drawdown is 13.2572. All datapoints were recorded in matching observations.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, and SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026. A common 20-session warmup is used, excluding only January 2016. Week 1 is determined by the calendar Friday ordinal, and holidays use the last actual session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and the open is from the first open to the last close. A managed stop is used, with a lagged 20-session average daily range, or ADR, and a target of 1.5 times the ADR. The stop is narrowed to 0.75 and 1.125, and widened to 1.25 and 1.875. If the fund reaches a high of +1 ADR, the stop is raised the next session. The Vectorbt system is used, which is a long-only system, meaning it only buys assets, with a fee of 1 basis point, or 0.01%, plus 15 basis points, or 0.15%, slippage per side. Each independent fund has 1000 USD, and idle cash is 0. The final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval, or CI, is from 10,000 quarter-block samples. A news scan found the headline is not available, but the data is from the sources https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051. The OEF figures and comparison figures are as follows: the SPY fund has a sample size of 59, a win rate of 55.93%, a mean return of -0.2715%, an average win of 1.1959%, an average loss of 2.1341%, a quarter Kelly of 0, a worst return of -9.3557%, a return of -16.0747%, a drawdown of 25.0591%, and an exit count of 59. The IWM fund has a sample size of 59, a win rate of 45.76%, a mean return of -0.3534%, an average win of 2.2971%, an average loss of 2.5898%, a quarter Kelly of 0, a worst return of -9.8976%, a return of -21.2498%, a drawdown of 35.2810%, and an exit count of 59. The portfolio return is -17.1397%, and the portfolio drawdown is 28.1429%. All datapoints were recorded in matching observations. The primary fund, OEF, had a holdout parent week 1 return of 16 basis points, or 0.16%.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, and SPY and IWM are comparison funds, not alternatives chosen for better returns. The holdout period is divided into development from 2016 to 2020, holdout from 2021 to 2025, and extension from January to August 2026, with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. Week 1 is determined by calendar Friday ordinal, and holidays use the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are calculated using a lagged 20-session average daily range and target 1.5 average daily range, with narrow and wide ranges of 0.75/1.125 and 1.25/1.875, respectively. The breakeven raises the stop the next session after a +1 average daily range high. The stop-first open, high, low, and close ambiguity, adverse gap at open, and favorable gap capped at target are considered, with time exit last close. Vectorbt is used for explicit long-only trades, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each independent sleeve, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. No live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication are claimed. The mean confidence interval is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout has been historically reused across other strategies, not pristine research-wide out-of-sample. OEF figures are below, along with comparison figures and equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":59,"win_rate":57.6271186440678,"mean":-0.07188650988106986,"avgwin":1.361607809020747,"avgloss":2.021438783587541,"quarterkelly":0,"worst":-9.1742483291823,"return":-5.563570858208515,"drawdown":20.594177152230365,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":["-0.5472218785802274","0.4272605120601107"]},"IWM":{"sample":59,"win_rate":47.45762711864407,"mean":-0.1539434411814485,"avgwin":2.416228829053768,"avgloss":2.4753893626842247,"quarterkelly":0,"worst":-9.717179189694336,"return":-11.386748459220758,"drawdown":30.525503585869394,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":["-0.8833410497274427","0.5577701554873787"]},"portfolio_return":-6.761890546670324,"portfolio_drawdown":22.33672758248669}. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete. The common 20-session warmup removes only January 2016. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop with a 1.5 average daily range target are considered. A breakeven stop is raised the next session after a +1 average daily range high. The stop-first open, high, low, close ambiguity, adverse gap at open, and favorable gap capped at target are time exit last close. Vectorbt is used for explicit long-only trades with a 1 basis point fee plus 15 basis points slippage per side, and 1000 USD is allocated to each independent sleeve with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. A news scan found the headline 'QOE90906 OEF primary: extension wide week3 16bps'. The OEF figures and comparison figures for the equal-sleeve portfolio are provided, including sample size, win rate, mean, average win, average loss, quarter Kelly, worst, return, drawdown, exit counts, and mean confidence interval percentage. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete windows, only using entries and exits within each partition. A common 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop, which is a mechanism to limit losses, uses a lagged 20-session average daily range, or ADR, with a target of 1.5 times the ADR, and has narrow and wide ranges of 0.75/1.125 and 1.25/1.875, respectively. The breakeven point raises the stop in the next session after a high of +1 ADR. The stop-first OHLC, or open, high, low, close, ambiguity is addressed, with adverse gaps at open and favorable gaps capped at the target, and time exit is at the last close. Vectorbt, a backtesting framework, is used with explicit long-only positions, a fee of 1 basis point plus 5 basis points slippage per side, 1000 USD each for independent sleeves, and idle cash set to 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown, or the decline in value, is observed at open and close marks, not full intraday. There are no live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication claimed. The mean confidence interval, or CI, is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period is historically reused across other strategies, not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":8,"win_rate":50,"mean":-0.16489815689597065,"avgwin":1.1922528730381021,"avgloss":1.5220491868300434,"quarterkelly":0,"worst":-1.825109615319731,"return":-1.3965400933345449,"drawdown":4.5237086182618125,"exit_counts":{"stop":3,"time":2,"target":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":["-1.3895756089966702","0.6732373121036498"]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.3429666750983315,"avgwin":2.0719094444604584,"avgloss":1.7918923468336057,"quarterkelly":0,"worst":-2.6764635314450835,"return":-2.8764741557955857,"drawdown":6.224424547766938,"exit_counts":{"stop":3,"target":2,"time":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":["-1.06312481225143","0.09515681742900996"]},"portfolio_return":-2.2318371221277777,"portfolio_drawdown":4.389145815311924}. All datapoints were recorded in matching observations. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A news scan found the headline 'QOE90906 OEF primary: extension narrow week3 16bps'. Frozen protocol 1388–1389 uses OEF as the primary fund, with SPY and IWM as comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development, 2021 to 2025 for holdout, and January to August 2026 for the complete window, with entries and exits only within each partition. A 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and from the open to the last close, with a managed stop at 1.5 times the average daily range, and a narrow range of 0.75 to 1.125, and a wide range of 1.25 to 1.875. The stop is raised to the breakeven point after a high of +1 average daily range. The Vectorbt system is used for explicit long-only trades, with a fee of 1 basis point plus 15 basis points for slippage per side, and 1000 USD for each independent sleeve, with idle cash set to 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is from 10,000 quarter-block samples, not independent daily or cross-asset observations. The holdout period has been historically reused across other strategies, not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and equal-sleeve portfolio: the SPY fund has a sample size of 8, a win rate of 25, a mean return of -0.6366, an average win of 1.0381, an average loss of 1.1948, a quarter Kelly criterion of 0, a worst return of -1.6959, a return of -5.0186, a drawdown of 5.581, exit counts of 4 stops, 2 stop gaps, 1 time exit, and 1 target gap, with a mean confidence interval percentage of -1.4879 to -0.3379. The IWM fund has a sample size of 8, a win rate of 37.5, a mean return of -0.5425, an average win of 1.1059, an average loss of 1.5316, a quarter Kelly criterion of 0, a worst return of -2.8323, a return of -4.3377, a drawdown of 6.0123, exit counts of 3 stops, 2 time exits, 1 target, 1 stop gap, and 1 target gap, with a mean confidence interval percentage of -0.9206 to -0.4051. The portfolio return is -3.8537, and the portfolio drawdown is 5.2187. All datapoints were recorded in matching observations. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete. The common 20-session warmup removes only January 2016. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual session. The parent fund's previous week last close to current week last close, open first open to last close, and managed stop are all considered, with a narrow stop of 0.75 and 1.125 and a wide stop of 1.25 and 1.875. A breakeven raises the stop the next session after a +1 ADR high. The Vectorbt system is used for explicit long-only trades, with a fee of 1 basis point plus 5 basis points for slippage per side, and 1000 USD for each independent sleeve, with idle cash at 0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The mean confidence interval is from 10,000 quarter-block samples. The holdout has been historically reused across other strategies. The OEF figures are below, along with comparison figures and equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":8,"win_rate":25,"mean":-0.4376696034672556,"avgwin":1.240348089516663,"avgloss":0.9970088344618951,"quarterkelly":0,"worst":-1.4990580326544323,"return":-3.4867034837302753,"drawdown":4.536594295687257,"exit_counts":{"stop":4,"stop_gap":2,"time":1,"target_gap":1},"ambiguous":0,"mean_ci_pct":["-1.2907621595293248","-0.13833191259634334"]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.34340841841646874,"avgwin":1.3083226828918124,"avgloss":1.3344470792014373,"quarterkelly":0,"worst":-2.6378118069097845,"return":-2.794742123123558,"drawdown":4.9544357612364305,"exit_counts":{"stop":3,"time":2,"target":1,"stop_gap":1,"target_gap":1},"ambiguous":0,"mean_ci_pct":["-0.72221600621015","-0.20571638438380663"]},"portfolio_return":-2.303021304180708,"portfolio_drawdown":4.1702618843194035}. The source is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A frozen protocol, numbered 1388–1389, is in place. The OEF is the primary fund, while SPY and IWM are comparison funds, not alternatives chosen for better returns. The extension period is from 2016 to 2020 for development and 2021 to 2025 for holdout, with the extension from January to August 2026 being complete windows, where entries and exits only occur within these time frames. A common 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent fund's performance is measured from the previous week's last close to the current week's last close, and from the open to the last close. A managed stop is in place, with a 1.5 average daily range target, and a breakeven point that raises the stop in the next session after a high of +1 average daily range. The stop is subject to first open, high, low, and close ambiguity, with adverse gaps at open and favorable gaps capped at the target. Time exits are based on the last close. The vectorbt system is used, with an explicit long-only strategy, a fee of 1 basis point plus 15 basis points slippage per side, and 1000 USD allocated to each independent fund, with no idle cash. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not full intraday. The results for OEF and the comparison funds are as follows: a news scan found the headline 'QOE90906 OEF primary: extension breakeven week3 16bps'. A data line from the source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051 shows the performance of the funds.
A frozen protocol, numbered 1388-1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The extension period is from January to August 2026, with certain rules for buying and selling. A common 20-session warm-up period is used, which removes January 2016 from consideration. Week 3 is determined by the calendar Friday, and holidays use the last actual trading session. The investment strategy is based on the previous week's last close to the current week's last close, with specific rules for opening and closing positions. A managed stop is used, with a target of 1.5 times the average daily range, and a breakeven point that raises the stop in the next session after a high of +1 average daily range. The strategy uses a long-only approach, with fees of 1 basis point plus 5 basis points for slippage per side, and $1000 for each independent investment. The results are reconciled to ensure accuracy, and drawdown is observed at open and close marks. The data is based on 10,000 quarter-block samples, and the holdout period is historically reused across other strategies. The results for OEF and the comparison investments are as follows: OEF had a sample size of 8, a win rate of 37.5%, a mean return of -0.2173, and a drawdown of 4.0675. SPY had a sample size of 8, a win rate of 37.5%, a mean return of -0.3339, and a drawdown of 5.3576. IWM had a sample size of 8, a win rate of 37.5%, a mean return of -0.3339, and a drawdown of 5.3576. The portfolio return was -1.9239, and the portfolio drawdown was 3.8816. The data points were recorded in matching observations. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all and https://www.sciencedirect.com/science/article/pii/S0378426613003051.