Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week4 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":60,"win_rate":55.00000000000001,"mean":0.10981931229790189,"avgwin":1.3557462268853715,"avgloss":1.412980249975672,"quarterkelly":0.020250713245611562,"worst":-2.4252043068920037,"return":6.012727069475455,"drawdown":7.942768200792871,"exit_counts":{"stop":24,"target":18,"time":13,"target_gap":3,"stop_gap":2},"ambiguous":1,"mean_ci_pct":[-0.30333304871143935,0.5462934878336946]},"IWM":{"sample":60,"win_rate":48.333333333333336,"mean":0.002332480049549076,"avgwin":2.0329871949397815,"avgloss":1.8973122532348619,"quarterkelly":0.0002868291614618601,"worst":-3.1642400897867295,"return":-1.3025572961725402,"drawdown":16.52135106256868,"exit_counts":{"stop":26,"target":16,"time":13,"target_gap":3,"stop_gap":2},"ambiguous":0,"mean_ci_pct":[-0.5548522814982243,0.5915580436362803]},"portfolio_return":4.966511756310332,"portfolio_drawdown":8.398624330221127}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week4 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":60,"win_rate":55.00000000000001,"mean":0.3102395214468162,"avgwin":1.5586607860842756,"avgloss":1.2156086908878565,"quarterkelly":0.04976059002328072,"worst":-2.229859223913999,"return":19.529031536973,"drawdown":4.9767428744624365,"exit_counts":{"stop":24,"target":18,"time":13,"target_gap":3,"stop_gap":2},"ambiguous":1,"mean_ci_pct":[-0.11693072422739974,0.757459064227581]},"IWM":{"sample":60,"win_rate":50,"mean":0.20253750018355757,"avgwin":2.168442374113575,"avgloss":1.76336737374646,"quarterkelly":0.023350574426303547,"worst":-2.970374559036393,"return":11.28107037406063,"drawdown":14.083226733545528,"exit_counts":{"stop":26,"target":16,"time":13,"target_gap":3,"stop_gap":2},"ambiguous":0,"mean_ci_pct":[-0.35243746127431946,0.7999747553468409]},"portfolio_return":18.349426911956357,"portfolio_drawdown":6.727870500370125}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week4 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"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}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week4 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":60,"win_rate":68.33333333333333,"mean":0.6676453209543783,"avgwin":1.830456706580028,"avgloss":1.8415792480272868,"quarterkelly":0.09118562030917784,"worst":-4.68170590424265,"return":46.938797339459946,"drawdown":9.579391341321974,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":[0.1607113929929702,1.1589543971525624]},"IWM":{"sample":60,"win_rate":60,"mean":0.6089065776062709,"avgwin":2.4930205286572216,"avgloss":2.217264348970155,"quarterkelly":0.06106112751649072,"worst":-6.636017207530465,"return":40.478327996285316,"drawdown":15.765107880443718,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":[-0.045531824799366113,1.2560822275217554]},"portfolio_return":45.195940155898825,"portfolio_drawdown":10.473077459115586}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week2 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":60,"win_rate":50,"mean":-0.08401977932607015,"avgwin":1.2172714686549826,"avgloss":1.385311027307123,"quarterkelly":0,"worst":-2.6085973636653548,"return":-5.525158486861767,"drawdown":15.540056317746675,"exit_counts":{"stop":24,"target":17,"time":13,"target_gap":5,"stop_gap":1},"ambiguous":0,"mean_ci_pct":[-0.5343863089392982,0.3558105847322603]},"IWM":{"sample":60,"win_rate":40,"mean":-0.3401690445680283,"avgwin":2.115960596184123,"avgloss":1.977588805069462,"quarterkelly":0,"worst":-3.0623556870254753,"return":-19.61551087808357,"drawdown":23.621790793339382,"exit_counts":{"stop":29,"target":13,"time":8,"target_gap":6,"stop_gap":4},"ambiguous":0,"mean_ci_pct":[-0.8984455277251927,0.23990594790394396]},"portfolio_return":-10.16449701550064,"portfolio_drawdown":14.571465505383141}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week2 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":60,"win_rate":51.66666666666667,"mean":0.11601236328200185,"avgwin":1.3803425895682437,"avgloss":1.2355130510239807,"quarterkelly":0.02101151630014718,"worst":-2.4136194342297634,"return":6.5201002071559735,"drawdown":13.054940939184734,"exit_counts":{"stop":24,"target":17,"time":13,"target_gap":5,"stop_gap":1},"ambiguous":0,"mean_ci_pct":[-0.3433145385782938,0.5529626459909923]},"IWM":{"sample":60,"win_rate":40,"mean":-0.1406497136867759,"avgwin":2.320397107214911,"avgloss":1.7813475942879007,"quarterkelly":0,"worst":-2.8682861833437046,"return":-9.366729816881252,"drawdown":14.48459303781563,"exit_counts":{"stop":29,"target":13,"time":8,"target_gap":6,"stop_gap":4},"ambiguous":0,"mean_ci_pct":[-0.720911143109945,0.4403412532730253]},"portfolio_return":1.289259942694576,"portfolio_drawdown":11.969776440031287}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week2 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":59,"win_rate":50.847457627118644,"mean":0.11788165375982923,"avgwin":1.8372983596821661,"avgloss":1.660825283401209,"quarterkelly":0.0160400804173446,"worst":-5.356638510366518,"return":5.623908220535554,"drawdown":16.807928902383363,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":[-0.5054466639583844,0.7048781644021327]},"IWM":{"sample":59,"win_rate":40.67796610169492,"mean":-0.2181440157706377,"avgwin":2.806679982397939,"avgloss":2.2923090430862327,"quarterkelly":0,"worst":-8.297837431050514,"return":-14.592445799377924,"drawdown":25.849507218118994,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":[-1.0374408929836936,0.6505821087605181]},"portfolio_return":0.39251855014343917,"portfolio_drawdown":17.21838353497501}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week2 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":59,"win_rate":54.23728813559322,"mean":0.3183180037446023,"avgwin":1.9180182987916898,"avgloss":1.5776230866815757,"quarterkelly":0.04149048055812811,"worst":-5.167162168938566,"return":18.852695938119428,"drawdown":15.971833777467925,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":[-0.2869960731161579,0.8886823371933752]},"IWM":{"sample":59,"win_rate":44.06779661016949,"mean":-0.018380390354034735,"avgwin":2.7870916150466645,"avgloss":2.22875227339701,"quarterkelly":0,"worst":-8.11424938017067,"return":-3.89564028410523,"drawdown":20.908833619823298,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":[-0.8292675547324921,0.8411595463917519]},"portfolio_return":12.966104764739406,"portfolio_drawdown":16.15574201590698}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week1 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":59,"win_rate":44.06779661016949,"mean":-0.16104953580731612,"avgwin":1.2724377294903424,"avgloss":1.2904637448297138,"quarterkelly":0,"worst":-2.6057987013548556,"return":-9.60782045573161,"drawdown":16.730343581494743,"exit_counts":{"stop":23,"target":13,"time":13,"stop_gap":6,"target_gap":4},"ambiguous":0,"mean_ci_pct":[-0.45428274364684795,0.18141094546399805]},"IWM":{"sample":59,"win_rate":35.59322033898305,"mean":-0.4091393983674977,"avgwin":2.2377319796358193,"avgloss":1.8718841072640677,"quarterkelly":0,"worst":-2.96563791968405,"return":-22.48079753058456,"drawdown":29.38058523593631,"exit_counts":{"stop":29,"target":14,"time":9,"stop_gap":5,"target_gap":2},"ambiguous":0,"mean_ci_pct":[-0.8987482232294268,0.09120619193328358]},"portfolio_return":-14.355456732908255,"portfolio_drawdown":20.469596374212628}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week1 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":59,"win_rate":45.76271186440678,"mean":0.038828392958291685,"avgwin":1.4231303173527696,"avgloss":1.129176355749549,"quarterkelly":0.0068209482443108566,"worst":-2.4108151689875124,"return":1.713280748213299,"drawdown":10.420607801086557,"exit_counts":{"stop":23,"target":13,"time":13,"stop_gap":6,"target_gap":4},"ambiguous":0,"mean_ci_pct":[-0.2518469790244874,0.38129036434880187]},"IWM":{"sample":59,"win_rate":37.28813559322034,"mean":-0.20975814637629056,"avgwin":2.3401869113738942,"avgloss":1.7259416942277517,"quarterkelly":0,"worst":-2.7713747866930594,"return":-12.771962752731248,"drawdown":21.953468096181993,"exit_counts":{"stop":29,"target":14,"time":9,"stop_gap":5,"target_gap":2},"ambiguous":0,"mean_ci_pct":[-0.6927995776992211,0.2928714143282031]},"portfolio_return":-3.6289696985123965,"portfolio_drawdown":13.257225636807846}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week1 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":59,"win_rate":55.932203389830505,"mean":-0.27154322988385626,"avgwin":1.1959083609166608,"avgloss":2.134077941284512,"quarterkelly":0,"worst":-9.3557184984573,"return":-16.07472892713332,"drawdown":25.059144687443847,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":[-0.7529129982684402,0.23340556001949672]},"IWM":{"sample":59,"win_rate":45.76271186440678,"mean":-0.35343621114870716,"avgwin":2.2971213073239656,"avgloss":2.5898441173600246,"quarterkelly":0,"worst":-9.897564581212459,"return":-21.249763213283952,"drawdown":35.281025505026854,"exit_counts":{"time":59},"ambiguous":0,"mean_ci_pct":[-1.054775209822575,0.3565530263015914]},"portfolio_return":-17.13967076790438,"portfolio_drawdown":28.142919641207342}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. holdout: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week1 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"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}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. extension: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week3 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":8,"win_rate":37.5,"mean":-0.36436903930294057,"avgwin":1.3796759549679813,"avgloss":1.4107960358654936,"quarterkelly":0,"worst":-2.0212633894303056,"return":-2.9616429358751817,"drawdown":4.99999412289045,"exit_counts":{"stop":3,"time":2,"target":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":[-1.586599581574085,0.4720918321003201]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.5420817759835841,"avgwin":1.867969412648322,"avgloss":1.988112489162728,"quarterkelly":0,"worst":-2.8709162974557723,"return":-4.4180864533784305,"drawdown":6.955931469826582,"exit_counts":{"stop":3,"target":2,"time":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":[-1.2608010346617,-0.10483365572555002]},"portfolio_return":-3.783681548022888,"portfolio_drawdown":5.148796611919582}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. extension: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week3 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"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 recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. extension: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week3 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":8,"win_rate":25,"mean":-0.6365954875706431,"avgwin":1.0380695201980261,"avgloss":1.1948171568268662,"quarterkelly":0,"worst":-1.6958632589667344,"return":-5.018629796088566,"drawdown":5.5810328855408375,"exit_counts":{"stop":4,"stop_gap":2,"time":1,"target_gap":1},"ambiguous":0,"mean_ci_pct":[-1.487983561724135,-0.33785587445228]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.542522636697032,"avgwin":1.1059083000980094,"avgloss":1.5315811987740569,"quarterkelly":0,"worst":-2.832341799201188,"return":-4.337651728496496,"drawdown":6.0122784521972505,"exit_counts":{"stop":3,"time":2,"target":1,"stop_gap":1,"target_gap":1},"ambiguous":0,"mean_ci_pct":[-0.9205733656063549,-0.4051057118295999]},"portfolio_return":-3.853735845122752,"portfolio_drawdown":5.218708415271656}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. extension: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week3 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"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}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. extension: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week3 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 15bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":8,"win_rate":37.5,"mean":-0.4166763917089436,"avgwin":1.1306076622509487,"avgloss":1.345046824084879,"quarterkelly":0,"worst":-2.0212633894303056,"return":-3.350080830752575,"drawdown":4.546099261468639,"exit_counts":{"stop_gap":3,"stop":2,"target":2,"time":1},"ambiguous":0,"mean_ci_pct":[-1.487983561724135,0.31377571167132995]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.5330953931499738,"avgwin":1.4869388563731731,"avgloss":1.7451159428638618,"quarterkelly":0,"worst":-2.832341799201188,"return":-4.300885433365136,"drawdown":6.411000874274797,"exit_counts":{"stop":3,"target":2,"time":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":[-1.063503571936345,-0.24854060073513998]},"portfolio_return":-3.4806525964692914,"portfolio_drawdown":4.933205548885622}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .
Frozen protocol1388–1389. OEF is primary; SPY and IWM are comparison sleeves, not alternatives selected for better returns. extension: development2016–2020, holdout2021–2025, extensionJan–Aug2026 complete windows, with only within-partition entries/exits. Common20-session warmup removes January2016 only. Week3 by calendar Friday ordinal; holidays use last actual session. Parent previousweek lastclose to currentweek lastclose; open firstopen to lastclose; managed stop1 lagged20session ADR/target1.5ADR, narrow .75/1.125, wide1.25/1.875; breakeven raises stop next session after +1ADR high. Stop-first OHLC ambiguity, adverse gap at open, favorable gap capped at target; time exit lastclose. Vectorbt explicit longonly, fee1bp plus 5bp slippage per side, 1000USD each independent sleeve, idle cash0. Every final cash return reconciles compounded cash trade returns and trade count. Drawdown observed at open/close marks, not full intraday. No live15min fills, cash-dividend accounting, partial-taking or wholelot replication claimed. Mean CI from10,000 quarter-block samples, not independent daily or crossasset observations. Holdout historically reused across other strategies, not pristine research-wide OOS. OEF figures below; comparison figures and equal-sleeve portfolio: {"SPY":{"sample":8,"win_rate":37.5,"mean":-0.2173102288048248,"avgwin":1.3330714932543306,"avgloss":1.147539262040318,"quarterkelly":0,"worst":-1.825109615319731,"return":-1.791242987659723,"drawdown":4.06753814073737,"exit_counts":{"stop_gap":3,"stop":2,"target":2,"time":1},"ambiguous":0,"mean_ci_pct":[-1.2907621595293248,0.5146042422466601]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.33396230149478484,"avgwin":1.690116063676143,"avgloss":1.5484093205973415,"quarterkelly":0,"worst":-2.6378118069097845,"return":-2.7573828353369776,"drawdown":5.3576458503515,"exit_counts":{"stop":3,"target":2,"time":2,"stop_gap":1},"ambiguous":0,"mean_ci_pct":[-0.8654323593141648,-0.048837829388170016]},"portfolio_return":-1.923920706608384,"portfolio_drawdown":3.8816008578699823}. All datapoints recorded in matching observations. Source https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=OEF,SPY,IWM&timeframe=1Day&feed=sip&adjustment=all ; https://www.sciencedirect.com/science/article/pii/S0378426613003051 .