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 20-session warmup period is used, which removes January 2016 from consideration. The third week is determined by the calendar Friday. If there is a holiday, the last actual trading session is used. The investment strategy is based on the previous week's closing price to the current week's closing price. A managed stop is used, which is a way to limit losses, with a target of 1.5 times the average daily range, or ADR, which is a measure of how much a stock's price moves in a day. The stop loss is adjusted if the investment makes a profit of more than 1 ADR. The investment strategy is long-only, meaning it only buys stocks, and it uses a fee of 1 basis point, or 0.01%, plus a 15 basis point slippage per trade. Each investment sleeve starts with 1000 USD and idle cash is set to 0. The return on investment is calculated using compounded cash trade returns and trade count. Drawdown, or the decrease in value, is observed at the open and close of trading, not throughout the day. The results are based on 10,000 quarter-block samples and the holdout period is from 2021 to 2025. The results for OEF and the comparison investments, SPY and IWM, are as follows: OEF had a return of -3.2136%, a drawdown of 4.5461%, and an average win of 1.1306%. SPY had a return of -3.2136%, a drawdown of 4.5461%, and an average win of 1.1306%. IWM had a return of -4.3009%, a drawdown of 6.4110%, and an average win of 1.4869%. The portfolio return was -3.6553% and the portfolio drawdown was 4.9351%. The data was sourced from https://runway.adityaperswal.workers.dev and 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 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 lagged 20-session average daily range and target of 1.5 times the average daily range. 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 5 basis points slippage per side, and 1000 USD each for independent sleeves, 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 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: for SPY, the sample size is 8, win rate is 50, mean is -0.1997, average win is 1.0051, average loss is 1.4044, quarter Kelly is 0, worst is -1.8251, return is -1.6526, drawdown is 4.0675, exit counts are stop gap 3, time 2, target 2, stop 1, and mean CI percentage is between -1.2908 and 0.5146. For IWM, the sample size is 8, win rate is 37.5, mean is -0.3340, average win is 1.6901, average loss is 1.5484, quarter Kelly is 0, worst is -2.6378, return is -2.7574, drawdown is 5.3576, exit counts are stop 3, target 2, time 2, stop gap 1, and mean CI percentage is between -0.8654 and -0.0488. The portfolio return is -2.1014 and portfolio drawdown is 3.8835. All data points 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 extension period is from 2016 to 2026, divided into development and holdout periods. The common 20-session warmup removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use 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 specific formulas, including a 20-session average daily range and a target of 1.5 times the average daily range. The stop loss is raised after a +1 average daily range high. The vectorbt system is used for explicit long-only trading, with fees 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. The holdout period has been historically reused across other strategies. The OEF figures are provided below, along with comparison figures and equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":8,"win_rate":37.5,"mean":-0.19226197607448564,"avgwin":1.8625184174611158,"avgloss":1.4251302121958465,"quarterkelly":0,"worst":-3.0063434995064364,"return":-1.7019811194487489,"drawdown":5.434892460108176,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-1.599191032223835","1.2677983378347433"]},"IWM":{"sample":8,"win_rate":37.5,"mean":-0.07998534849282118,"avgwin":2.777821775890847,"avgloss":1.7946696231230221,"quarterkelly":0,"worst":-3.1529610054731427,"return":-0.9240712787871302,"drawdown":6.2807607488541635,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-1.1476618835420198","0.7034924242777001"]},"portfolio_return":-1.1954302500235992,"portfolio_drawdown":5.414838424117619}. 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, 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 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 and a 20-session lag are all 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 all taken into account, with time exit at last close. The vectorbt system is used with explicit long-only positions, a 1 basis point fee plus 5 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash at 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. 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 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. A news scan found the data line: {"SPY":{"sample":8,"win_rate":50,"mean":0.007553465276304017,"avgwin":1.555109709134661,"avgloss":1.540002778582053,"quarterkelly":0.0012142978131920862,"worst":-2.8121618592289455,"return":-0.11656156556653059,"drawdown":4.865795615103363,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-1.40219226777476","1.4705368250515167"]},"IWM":{"sample":8,"win_rate":37.5,"mean":0.12005487105991863,"avgwin":2.9835833353232406,"avgloss":1.5980622074980744,"quarterkelly":0.010059621063585267,"worst":-2.9590728939564936,"return":0.673894951890702,"drawdown":5.701906664954737,"exit_counts":{"time":8},"ambiguous":0,"mean_ci_pct":["-0.9497591561546649","0.90510116907763"]},"portfolio_return":0.3981593123955962,"portfolio_drawdown":4.845620893070068}. 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 investment, while SPY and IWM are comparison investments, 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 common 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent investment'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 in place, with a lag of 20 sessions, and a target of 1.5 times the average daily range, with 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 average daily range. A news scan found the headline is not applicable here, instead, a trading system called Vectorbt is used, which is explicit long-only, with a fee of 1 basis point plus 15 basis points of slippage per side, and 1000 USD is allocated to each independent investment. 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 investments are as follows: OEF had a return of -0.30771801079177985 and a drawdown of 4.497635637524777, while SPY had a sample size of 8, a win rate of 37.5, a mean return of -0.1045689015957571, and a drawdown of 4.68893152226525, and IWM had a sample size of 8, a win rate of 50, a mean return of 0.07773835366490234, and a drawdown of 5.533688718988072. A data line found the mean confidence interval from 10,000 quarter-block samples. 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 extension period is from 2016 to 2020 for development, 2021 to 2025 for holdout, and January to August 2026 for the complete window. The common 20-session warmup removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent strategy looks at the previous week's last close to the current week's last close, open to last close, and uses a managed stop with a 1.5 average daily range target, which is a measure of price volatility over a specific period, and a 20-session average daily range lag. The stop loss is narrowed to 0.75 and 1.125, and widened to 1.25 and 1.875. If the investment reaches a high of +1 average daily range, the stop loss is raised the next session. The vectorbt system is used for explicit long-only investments, with a fee of 1 basis point plus 5 basis points for slippage per side, and 1000 USD is invested in each independent sleeve. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not during the full trading day. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period is historically reused across other strategies. The OEF figures are provided, along with comparison figures for SPY and IWM, 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 investment, while SPY and IWM are used for comparison. The holdout period, which is a time when the investment strategy is not used to make actual investment decisions, is divided into several timeframes: 2016-2020, 2021-2025, and January to August 2026. The third week of the investment period, which ends on a Friday, has seen a return of 16 basis points. The investment strategy uses a 20-session warm-up period, which removes January 2016 from consideration. The strategy also uses a managed stop-loss, which is a mechanism to limit losses, and a target price, which is a price at which the investment is sold. The strategy is long-only, meaning it only buys investments, and it uses a fee of 1 basis point plus 15 basis points for slippage per side. A news scan found the headline was not available, but data was retrieved from https://runway.adityaperswal.workers.dev and https://www.sciencedirect.com. The results for OEF and the comparison investments, SPY and IWM, are as follows: SPY had a win rate of 36.67%, a mean return of -0.44%, and a drawdown of 24.40%. IWM had a win rate of 45%, a mean return of -0.37%, and a drawdown of 28.71%. The portfolio return was -22.51% and the portfolio drawdown was 24.01%.
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, which is a time frame used to test the investment strategy, is divided into several parts: development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. The common 20-session warmup removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent strategy looks at 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 in place, with a lag of 20 sessions, and the target is 1.5 times the average daily range, or ADR, which is a measure of the average daily price change. The stop is narrowed to 0.75 and 1.125 times the ADR, and widened to 1.25 and 1.875 times the ADR. If the investment reaches a high of +1 ADR, the stop is raised the next session. The investment strategy is long-only, meaning it only buys assets, and it uses a fee of 1 basis point, or 0.01%, plus 5 basis points of slippage per trade. Each independent investment sleeve starts with 1000 USD, and idle cash is set to 0. The final cash return is reconciled with the compounded cash trade returns and trade count. Drawdown, which is the peak-to-trough decline in the investment value, is observed at the open and close marks, not during the full trading day. The mean confidence interval, or CI, is calculated from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are provided below, along with comparison figures and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":60,"win_rate":38.333333333333336,"mean":-0.24269779862796456,"avgwin":1.5742513433779521,"avgloss":1.3721526706856966,"quarterkelly":0,"worst":-3.704643889774295,"return":-14.276268959790118,"drawdown":19.062429033688353,"exit_counts":{"time":23,"stop":22,"target":8,"stop_gap":4,"target_gap":3},"ambiguous":0,"mean_ci_pct":["-0.69589337113738","0.19767031230506077"]},"IWM":{"sample":60,"win_rate":45,"mean":-0.16906777086872715,"avgwin":2.048769766186362,"avgloss":1.9836621193683452,"quarterkelly":0,"worst":-3.1491894677697974,"return":-10.974966084361347,"drawdown":24.72703985846533,"exit_counts":{"stop":24,"time":18,"target":11,"target_gap":4,"stop_gap":3},"ambiguous":0,"mean_ci_pct":["-0.7123096158581645","0.3711953609951456"]},"portfolio_return":-12.629160600331236,"portfolio_drawdown":20.53162577257246}. 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, which is a time when the investment strategy is not used to make actual investment decisions, is divided into several time frames: 2016-2020, 2021-2025, and January to August 2026. The common 20-session warmup removes January 2016 from consideration. Week 3 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, open first open to last close, and a managed stop with a 1.5 average daily range target, narrow at 0.75 and 1.125, and wide at 1.25 and 1.875. A breakeven raises the stop the next session after a +1 average daily range high. The stop-first open, high, low, and close ambiguity is addressed, and adverse gaps at open are considered, while favorable gaps are capped at the target. Time exit is determined by the last close. The Vectorbt system is used, which is a long-only strategy with a fee of 1 basis point plus 15 basis points slippage per side, and each independent sleeve starts with 1000 USD. Idle cash is 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. 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 had a sample size of 60, a win rate of 33.33%, a mean of -0.55, an average win of 0.88, an average loss of 1.27, and a return of -28.58%. The IWM had a sample size of 60, a win rate of 41.67%, a mean of -0.39, an average win of 1.53, an average loss of 1.75, and a return of -21.41%. The portfolio return was -24.11% and the portfolio drawdown was 24.78%.
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. 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 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 high of +1 ADR. The Vectorbt system is used, with explicit long-only positions, a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each for independent sleeves, 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 figures for OEF and comparison funds, including SPY and IWM, with sample sizes, win rates, mean returns, average wins and losses, and worst returns. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars and https://www.sciencedirect.com/science/article/pii/S0378426613003051.
A news scan found the headline 'QOE90906 OEF primary: holdout breakeven week3 16bps'. This refers to a trading strategy, where OEF is the main investment, and SPY and IWM are used for comparison. The strategy uses a 'frozen protocol', which is a set of rules that do not change, and 'holdout', which means some data is set aside to test the strategy. The data is divided into different time periods: 2016-2020, 2021-2025, and January to August 2026. The strategy uses a 'common 20-session warmup', which means it ignores the first 20 days of data in 2016. It also uses a'managed stop', which is a rule to limit losses, and a 'breakeven' rule, which means the strategy will stop losing money when it reaches a certain point. The strategy is 'long only', which means it only buys investments, and it uses a'vectorbt' system, which is a type of computer program. The results show that the OEF strategy had a return of -26.94% and a drawdown of 27.35%, while the SPY and IWM comparisons had returns of -26.94% and -23.80%, and drawdowns of 27.35% and 30.48%, respectively. The data comes from two 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.
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, which is a time period used to test the investment strategy, is divided into several parts: development from 2016 to 2020, holdout from 2021 to 2025, and an extension from January to August 2026. The common 20-session warmup removes January 2016 from consideration. Week 3 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, open first open to last close, and a managed stop with a 1.5 average daily range target. The breakeven point raises the stop in the next session after a high of +1 average daily range. A news scan found the headline was not necessary for this report, instead, the details of the trading strategy are provided. The strategy is long-only, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD is used for each independent sleeve. 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. The holdout has been historically reused across other strategies. The OEF figures are provided below, along with comparison figures and an equal-sleeve portfolio. 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 news scan found the headline 'QOE90906 OEF primary: holdout managed week3 16bps'. This refers to a trading fund manager's notes. The fund manager used a frozen protocol, which is a set of rules that do not change, numbered 1388–1389. OEF is the main fund, and 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 traded, was from 2016 to 2020 and 2021 to 2025, with an extension from January to August 2026. The fund manager used a 20-session warmup period, which removes the first 20 trading sessions, in this case, only January 2016. The week is measured by the calendar Friday, and holidays use the last actual trading session. The fund manager made decisions based on the previous week's last close to the current week's last close, and from the first open to the last close. The manager used a managed stop, which is a rule to limit losses, with a lag of 20 sessions, and a target of 1.5 times the average daily range, or ADR, which is the average difference between the high and low prices of a trading day. The stop loss, which is the price at which the manager sells to limit losses, is raised to the breakeven point, or the price at which the trade does not make a loss, after the price reaches 1 times the ADR high. The fund manager used a vectorbt, which is a tool for backtesting trading strategies, with a long-only strategy, which means only buying, not selling, and a fee of 1 basis point, or 0.01%, plus 15 basis points, or 0.15%, slippage per trade, with 1000 USD in each independent fund, and no idle cash. Every cash return is reconciled, or matched, with the compounded cash trade returns and trade count. The drawdown, which is the difference between the highest and lowest prices, is observed at the open and close marks, not during the whole trading day. The fund manager did 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 pristine research-wide out-of-sample, or OOS. The OEF figures are below, as well as the comparison figures and equal-sleeve portfolio. A data line found the following figures for SPY and IWM: SPY had a sample size of 60, a win rate of 33.33%, a mean return of -0.49%, an average win of 1.29%, an average loss of 1.38%, a quarter Kelly criterion, which is a measure of risk, of 0, a worst return of -3.18%, a return of -26.15%, a drawdown of 26.56%, and exit counts of 24 stops, 14 time exits, 11 targets, 6 stop gaps, and 5 target gaps. IWM had a sample size of 60, a win rate of 45%, a mean return of -0.41%, an average win of 1.59%, an average loss of 2.05%, a quarter Kelly criterion of 0, a worst return of -3.53%, a return of -22.93%, a drawdown of 30.48%, and exit counts of 26 stops, 12 time exits, 11 targets, 6 target gaps, and 5 stop gaps. The portfolio return was -24.06%, and the portfolio drawdown was 25.85%. 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 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 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 are based on a lagged 20-session average daily range, with a target of 1.5 times the average daily range. The stop loss 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 loss is raised the next session. A news scan found the headline is not applicable here, instead, the Vectorbt system 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 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 from 10,000 quarter-block samples, not independent daily or cross-asset observations. 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 data line found the following statistics for SPY and IWM: SPY has a sample size of 60, a win rate of 33.33333333333333%, a mean of -0.2945291391217747, an average win of 1.4913346486277168, an average loss of 1.1874610329965205, a quarter Kelly criterion of 0, a worst loss of -2.9877007192556926, a return of -16.73375946524187, a drawdown of 20.477168617650122, and exit counts of 24 stops, 14 time exits, 11 targets, 6 stop gaps, and 5 target gaps. IWM has a sample size of 60, a win rate of 45%, a mean of -0.2146764681122909, an average win of 1.7937215766184165, an average loss of 1.8579112319828697, a quarter Kelly criterion of 0, a worst loss of -3.3326290969262318, a return of -13.10334656196436, a drawdown of 27.571072460280877, and exit counts of 26 stops, 12 time exits, 11 targets, 6 target gaps, and 5 stop gaps. The portfolio return is -14.378633683217078 and the portfolio drawdown is 22.695845615352372. All 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.
The automated trading fund manager has decided to hold the OEF primary position open for week 3, with a return of 16 basis points. The fund uses a frozen protocol, numbers 1388-1389, and considers OEF as the primary investment, while SPY and IWM are used for comparison. The holdout period is divided into development, from 2016 to 2020, and extension, from 2021 to 2025, and January to August 2026. A 20-session warmup period is used, which removes January 2016 from consideration. The fund's performance is evaluated on a weekly basis, with the week ending on a Friday. The fund uses a managed stop-loss system, which is adjusted based on the stock's average daily range. The system also uses a breakeven stop, which is raised after the stock reaches a certain high. The fund's returns are calculated using a vectorbt system, which is a type of backtesting framework, with a fee of 1 basis point and a slippage of 15 basis points per trade. The results show that the OEF fund has a return of -27.93%, with a drawdown of 29.39%, while the SPY and IWM comparison funds have returns of -27.93% and -35.73%, respectively. The data used to calculate these returns comes from the sources 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 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 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 last close of the previous week to the last close of the current week, and from the first 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 next session after a high of +1 average daily range. A vectorbt model is used, with a long-only strategy, a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each for independent sleeves, with idle cash at 0. Every final cash return is reconciled with compounded cash trade returns and trade count. Drawdown is observed at open and close marks, not intraday. The mean confidence interval is from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. OEF figures are provided below, along with comparison figures and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":60,"win_rate":40,"mean":-0.32288948173834764,"avgwin":1.7025609793739054,"avgloss":1.6731897891465162,"quarterkelly":0,"worst":-5.406892901447968,"return":-18.73784367002339,"drawdown":22.206382789286415,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-0.761479295985527","0.08544783961316062"]},"IWM":{"sample":60,"win_rate":46.666666666666664,"mean":-0.49855739216253836,"avgwin":1.7527389852405046,"avgloss":2.4684417223902013,"quarterkelly":0,"worst":-7.2794686125530745,"return":-27.532133374280953,"drawdown":36.714541438829414,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-1.0921638231656152","0.12097433113459148"]},"portfolio_return":-20.8666154028044,"portfolio_drawdown":26.015785983414407}. 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 and are 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 trades only occurring within these set periods. A common 20-session warm-up period is applied, excluding January 2016. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent strategy looks at the previous week's last close to the current week's last close, open from the first open to the last close, and uses a managed stop with a lag of 20 sessions, an average daily range (ADR) target of 1.5 times the ADR, with narrow, medium, and wide ranges set at 0.75/1.125 and 1.25/1.875, respectively. The stop loss is raised to the next session after a high of +1 ADR, and any ambiguity at the open, adverse gap, or favorable gap is capped at the target, with time exits at the last close. The strategy is explicitly long-only, with fees of 1 basis point plus 15 basis points slippage per trade side, and each independent sleeve starts with $1000, 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 intraday. The mean confidence interval (CI) is from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The OEF figures are provided below, along with comparison figures for SPY and IWM, and an equal-sleeve portfolio. A news scan found the data: {"SPY":{"sample":60,"win_rate":40,"mean":-0.45527366589125223,"avgwin":1.700161021196986,"avgloss":1.8922301239500776,"quarterkelly":0,"worst":-6.055381329155574,"return":-25.149062672834415,"drawdown":29.309168553048014,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-1.0035406331975347","0.024752591706999873"]},"IWM":{"sample":60,"win_rate":48.333333333333336,"mean":-0.6069232057786861,"avgwin":1.8081613151369234,"avgloss":2.866195822119095,"quarterkelly":0,"worst":-8.37363471690723,"return":-32.38137837171406,"drawdown":43.129032402791964,"exit_counts":{"time":60},"ambiguous":0,"mean_ci_pct":["-1.3047777733461294","0.12985818514410147"]},"portfolio_return":-27.14079811631206,"portfolio_drawdown":32.6108078407096}. The source of this 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 and are 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 trades only occurring within these set periods. A common 20-session warm-up period is applied, excluding January 2016. Week 3 is determined by the calendar Friday ordinal, with holidays using the last actual trading session. The parent strategy looks at the previous week's last close to the current week's last close, and from the first open to the last close, with a managed stop that is 1.5 times the average daily range, lagged by 20 sessions. The stop is narrowed to 0.75 or 1.125 times the average daily range, and widened to 1.25 or 1.875 times the average daily range. If the investment reaches a high of +1 average daily range, the stop is raised to the breakeven point at the next session. A news scan found the headline 'Vectorbt explicit longonly', which refers to a type of investment strategy that only buys assets, with fees of 1 basis point plus 5 basis points of slippage per trade, and 1000 USD allocated to each independent investment. Cash returns are reconciled with trade returns and trade counts. Drawdowns are observed at the open and close of trading, not throughout the day. The mean confidence interval is calculated from 10,000 quarter-block samples. The holdout period has been reused across other strategies. The OEF figures are provided below, along with comparison figures for SPY and IWM, and an equal-sleeve portfolio. A data line found the following statistics for SPY and IWM: SPY has a sample size of 60, a win rate of 41.67%, a mean return of -0.256%, an average win of 1.828%, an average loss of 1.744%, a worst return of -5.867%, a return of -15.606%, a drawdown of 25.184%, and an exit count of 60. IWM has a sample size of 60, a win rate of 50%, a mean return of -0.408%, an average win of 1.950%, an average loss of 2.766%, a worst return of -8.190%, a return of -23.760%, a drawdown of 39.127%, and an exit count of 60. The portfolio return is -17.851% and the portfolio drawdown is 28.669%. 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 training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. The third week is determined by the calendar Friday ordinal, with holidays using the last actual session. The investment strategy uses a managed stop, with a lag of 20 sessions, and a 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 for independent sleeves. The results show a return of -11.575395864137374 for SPY, and -6.722116142443769 for IWM, with a drawdown of 16.49748709719573 for SPY, and 15.956789813250216 for IWM. The portfolio return is -7.858732322364659, with a drawdown of 12.23382201686649. 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 training period is from 2016 to 2020, the holdout period is from 2021 to 2025, and the extension period is from January to August 2026. A 20-session warmup period removes January 2016 from consideration. Week 3 is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The parent fund's previous week last close is compared to the current week last close. The open is from the first open to the last close. A managed stop is in place, with a 1.5 average daily range target, and a breakeven stop that raises the next session after a +1 average daily range high. A news scan found the headline was not applicable, instead, a data line showed the following results for OEF, SPY, and IWM. The results include a 6 basis points return. A vectorbt explicit long-only strategy is used, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each for independent sleeves, 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, SPY, and IWM are as follows: SPY had a sample size of 59, a win rate of 52.54%, a mean return of 0.004051, an average win of 1.177908, an average loss of 1.295577, a quarter Kelly criterion of 0.000859795, a worst return of -5.537784, a return of -0.500722, a drawdown of 14.895684, and exit counts of time 25, stop 20, target 11, and target gap 3. IWM had a sample size of 59, a win rate of 55.93%, a mean return of 0.103138, an average win of 1.618928, an average loss of 1.820749, a quarter Kelly criterion of 0.015926953, a worst return of -6.276535, a return of 4.960402, a drawdown of 11.907888, and exit counts of time 25, stop 18, target 11, stop gap 3, and target gap 2. The portfolio return was 3.681432, and the portfolio drawdown was 8.977276. All datapoints were 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.
A frozen protocol, numbered 1388–1389, is in place. OEF is the primary investment, while SPY and IWM are used for comparison. The training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, which removes January 2016 from consideration. The third week is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The investment strategy uses a parent previous week last close to current week 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 the next session 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 drawdown is observed at open and close marks, not full intraday. The results for OEF and the comparison figures are as follows: SPY had a sample size of 59, a win rate of 49.15%, a mean return of -0.0276%, and a drawdown of 8.25%. IWM had a sample size of 59, a win rate of 42.37%, a mean return of -0.3737%, and a drawdown of 24.25%. The portfolio return was -7.9229% and the portfolio drawdown was 10.8444%. The source of this 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 training period for this fund is from 2016 to 2020, with a holdout period from 2021 to 2025 and an extension from January to August 2026. The training data is divided into complete windows, with entries and exits only within each partition. A common 20-session warmup period removes January 2016 from consideration. The week is defined by the calendar Friday ordinal, with holidays using 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 is in place, with a lagged 20-session average daily range (ADR) and a target of 1.5 times the ADR. The stop is narrow, with a range of 0.75 to 1.125, and wide, with a range of 1.25 to 1.875. If the fund reaches a high of +1 ADR, the stop is raised to the next session's breakeven point. The Vectorbt system is used, with an explicit long-only strategy, a fee of 1 basis point plus 5 basis points of slippage per side, and an initial investment of $1000 for each independent fund. The cash return is reconciled with the compounded cash trade returns and trade count. Drawdown is observed at the open and close marks, not at the full intraday level. A news scan found the headline 'No live 15-minute fills, cash-dividend accounting, partial-taking, or whole-lot replication claimed.' The mean confidence interval (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 pristine research-wide out-of-sample (OOS). The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. The source of this 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. The performance metrics for the funds are as follows: OEF had a sample size of 59, a win rate of 50.85%, a mean return of 0.1725, an average win of 1.1094, an average loss of 0.7966, a quarter Kelly criterion of 0.0389, a worst return of -1.7979, a return of 10.2350, a drawdown of 6.2913, and exit counts of target 22, stop 19, time 8, stop gap 6, and target gap 4. IWM had a sample size of 59, a win rate of 42.37%, a mean return of -0.1742, an average win of 1.3782, an average loss of 1.3157, a quarter Kelly criterion of 0, a worst return of -4.3763, a return of -10.3984, a drawdown of 15.0212, and exit counts of stop 32, target 19, time 4, target gap 3, and stop gap 1. The portfolio return was 3.6092 and the portfolio drawdown was 5.8769. All datapoints were recorded in matching observations.
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 training period for the fund is from 2016 to 2020, with a holdout period from 2021 to 2025 and an extension from January to August 2026. The training data is divided into complete windows, with entries and exits only within each partition. A common 20-session warmup period is used, which removes January 2016 from consideration. The third week is determined by the calendar Friday ordinal, and holidays use the last actual trading session. The fund's performance is measured from the last close of the previous week to the last close of the current week, and from the first open to the last close. A managed stop is used, which is lagged by 20 sessions and based on the average daily range, with a target of 1.5 times the average daily range. The stop is narrowed to 0.75 and 1.125 times the average daily range, and widened to 1.25 and 1.875 times the average daily range. If the fund reaches a high of +1 times the average daily range, the stop is raised to the next session. The fund uses a long-only strategy, with a fee of 1 basis point plus 15 basis points of slippage per side, and each sleeve is invested with 1000 USD. The cash return is reconciled with the compounded cash trade returns and trade count. Drawdown is observed at the open and close marks, not at the full intraday range. A news scan found the headline 'No live 15-minute fills, cash-dividend accounting, partial-taking or whole-lot replication claimed.' 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 and is not pristine research-wide out-of-sample. The OEF figures are below, along with comparison figures and an equal-sleeve portfolio. A data line found the following figures for SPY and IWM: SPY has a sample size of 59, a win rate of 49.15%, a mean return of 0.0049, an average win of 1.1251, an average loss of 1.0780, a quarter Kelly criterion of 0.0011, a worst return of -2.1688, a return of -0.3328, a drawdown of 9.9680, and exit counts of 20 stops, 15 time exits, 15 target exits, 5 stop gaps, and 4 target gaps. IWM has a sample size of 59, a win rate of 47.46%, a mean return of -0.2244, an average win of 1.4367, an average loss of 1.7247, a quarter Kelly criterion of 0, a worst return of -5.9833, a return of -13.3697, a drawdown of 22.2556, and exit counts of 24 stops, 17 target exits, 13 time exits, and 5 stop gaps. The portfolio return is -5.7362 and the portfolio drawdown is 10.0313. 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 training period for the fund is from 2016 to 2020, with a holdout period from 2021 to 2025 and an extension from January to August 2026. The training uses complete windows with only within-partition entries and exits. A common 20-session warmup removes January 2016 only. 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. 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. The breakeven point raises the stop the next session after a high of +1 average daily range. A news scan found the headline was not available, but the data shows the following results for OEF, SPY, and IWM. The results are based on a vectorbt explicit long-only strategy, with a fee of 1 basis point plus 5 basis points slippage per side, and 1000 USD each independent sleeve. The mean confidence interval is from 10,000 quarter-block samples. The holdout period has been historically reused across other strategies. The figures for OEF and the comparison figures are as follows: OEF had a sample size of 59, a win rate of 50.85%, a mean return of 0.205%, an average win of 1.286%, an average loss of 0.913%, a quarter Kelly criterion of 0.0399, a worst return of -1.973%, a return of 12.15%, and a drawdown of 7.97%. The exit counts were 20 stops, 15 time exits, 15 target exits, 5 stop gaps, and 4 target gaps. The mean confidence interval percentage was between -0.182% and 0.609%. The comparison funds, SPY and IWM, had similar results. The portfolio return was 6.07% and the portfolio drawdown was 6.87%. 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 training period for this investment strategy is from 2016 to 2020, with a holdout period from 2021 to 2025, and an extension from January to August 2026. A common 20-session warmup period is used, excluding January 2016. The third 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 the next session 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 from 10,000 quarter-block samples. The results for OEF and the comparison figures are as follows: OEF had a return of -1.91%, a drawdown of 9.97%, and an exit count of 22 stops, 16 time exits, 15 target exits, 4 target gap exits, and 2 stop gap exits. 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.