Stats

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. At+1ATR sellhalf thenstopbreakeven; adverse samebar ordering. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 4.80e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.326320,0.150311]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 5.64e-14 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-1.016401,1.068696]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 3.73e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.750248,-0.081568]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen note877. 2016-20 training (2013-15 unavailable),2021-25 new-rule holdout but historically inspected market period,2026 completed cohorts only. Monthly firstsessionopen following priormonthclose>100dayMA; previousbar ATR14 stop1ATR,target1.5ATR,timeexit10thsessionclose. Unmanaged parent of swing exit comparison; no partial profit. Gapstopopen,stopfirst if ambiguous,target capped. Alladjusted SIP daily;5bpfee+5bpslippage eachfill. Fractional continuous sizing diagnostic,100initial cash,oneposition, no leverage. Vectorbt exactfill reconstruction agrees independentcompounding within 5.04e-13 percentagepoints. Drawdown uses synthetic perdayfill/close slots,not actual15minpath; positions normalizedfullallocation for comparison,not proposal. IIDtrade bootstrap10000seed90802,95% mean interval [-0.331797,0.227813]%. Historical p/W/L sizing only; failuresin training/holdout keepactual0 evenpositive2026counterexample. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; authorpaper https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf . Not exactleveragedBAB. Full252metricsobservationsQLV90802metrics;deterministicstudy.py/ledgers local.

Frozen875: priorclose>SMA100 and EWMA RSI2<10,exitRSI2>70or10bars,nextadjacentopen,longonly.100observationsperfrequency.Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage.Development2023–25afterlast>3hourgap;thresholds5/10/15,fixed2026Jan1–Sep7chronologicalholdout(previouslyseenmarket,notpristine). {"results":[{"symbol":"BTC","timeframe":"1Hour","window":"development","threshold":5,"slippage":0.001,"bars":26301,"return_pct":-69.84295255809472,"drawdown_pct":69.8429525580947,"n":236,"win_rate_pct":14.83050847457627,"avg_win_pct":0.6338450505496681,"avg_loss_pct":0.7024080206590073,"expectancy_pct":-0.5042348956916192,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Hour","window":"development","threshold":5,"slippage":0.003,"bars":26301,"return_pct":-88.26689244628714,"drawdown_pct":88.26689244628712,"n":236,"win_rate_pct":7.627118644067797,"avg_win_pct":0.6873034912764306,"avg_loss_pct":1.033684576709593,"expectancy_pct":-0.902422774914049,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Hour","window":"development","threshold":10,"slippage":0.001,"bars":26301,"return_pct":-95.83945490743633,"drawdown_pct":95.87742259339439,"n":501,"win_rate_pct":14.97005988023952,"avg_win_pct":0.5958883209042197,"avg_loss_pct":0.8447829793563998,"expectancy_pct":-0.6291136230299599,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Hour","window":"development","threshold":10,"slippage":0.003,"bars":26301,"return_pct":-99.43918409729861,"drawdown_pct":99.43918409729861,"n":501,"win_rate_pct":6.786427145708583,"avg_win_pct":0.7070394651247864,"avg_loss_pct":1.1530356236407555,"expectancy_pct":-1.0268029828862077,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Hour","window":"development","threshold":15,"slippage":0.001,"bars":26301,"return_pct":-99.03939743651594,"drawdown_pct":99.04852711559184,"n":731,"win_rate_pct":15.595075239398085,"avg_win_pct":0.5184256587773208,"avg_loss_pct":0.8424242972573808,"expectancy_pct":-0.6301987227184532,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Hour","window":"development","threshold":15,"slippage":0.003,"bars":26301,"return_pct":-99.94839863698708,"drawdown_pct":99.94839863698708,"n":731,"win_rate_pct":6.429548563611491,"avg_win_pct":0.6418770315865362,"avg_loss_pct":1.1426187753489785,"expectancy_pct":-1.0278837508264487,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Hour","window":"holdout","threshold":10,"slippage":0.001,"bars":5999,"return_pct":-48.795450077160005,"drawdown_pct":48.795450077160005,"n":120,"win_rate_pct":15,"avg_win_pct":0.39427010411581187,"avg_loss_pct":0.7224464308036858,"expectancy_pct":-0.5549389505657611,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Hour","window":"holdout","threshold":10,"slippage":0.003,"bars":5999,"return_pct":-68.3155408269499,"drawdown_pct":68.31554082694988,"n":120,"win_rate_pct":4.166666666666666,"avg_win_pct":0.46019652160623176,"avg_loss_pct":1.014364458628578,"expectancy_pct":-0.9529244177854612,"quarterKelly":0,"open_trades":0}],"quality":{"symbol":"BTC","timeframe":"1Hour","original":32300,"used":32300,"duplicates":0,"removed":0,"missing":4,"start":"2023-01-01 00:00:00+00:00","end":"2026-09-07 23:00:00+00:00"},"bootstrap":{"symbol":"BTC","n":120,"block_length":5,"simulations":20000,"expectancy_pct":-0.5549389505657611,"mean_ci95_pct":[-0.673255996577848,-0.4473682592603953],"prob_mean_positive":0}} Premises1negativeexpectancy;2dailyN2insufficient;3actual15minexitpolicyuntested.Conclusionreject,sizezero.Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Code test_rule.py,results_1Hour.json,audit.py.

Preregistered note876 before returns: T-4 open through T-1 close; actual pending window Sep8–11 before Sep14 issuer-confirmed aftermarket results https://ir.daveandbusters.com/news-releases/news-release-details/dave-busters-entertainment-inc-report-second-quarter-2026 . 22 quarterly dates from primary8K bodies, 16 train2021–24,6 holdout2025–26; three Item2.02 business updates excluded and two cover dates corrected. Yahoo adjusted dailyOHLC1425bars https://query1.finance.yahoo.com/v8/finance/chart/PLAY after venue429; research fallback, not same execution feed. Longonly vectorbt,5bp fees/10bp slippage each side, full-equity research portfolio; 1ATR14 stop/1.5ATR14 target based on prior day, gap-stop at open, stop-first on ambiguous daily bar, target capped. Return independently reconciled to compounded net trades. Train-13.155%,DD25.154%,win37.5%; holdout+6.879%,DD12.737%,win66.667%,mean1.383% per four-session opportunity, mean bootstrap20k95%CI[-4.485,7.251]%. Mechanical holdout quarterKelly5.790% is NOT adopted; trainKelly0. Stress25bp slip: train-17.225%,holdout+4.972%,CI[-4.771,6.930]%. No-barrier baseline train+1.409%,holdout+14.760%, but training negative-3.344% under cost stress. T3/T5 sensitivity observed only, no winner selection. Limits: selected small cohort, historical advance notices/preannouncements, daily bars miss15min and extended-session fills, marked DD omits highs/lows, cross-provider corporate actions. No trade; positive holdout cannot override failed training, costs and interval. CLI SMA10/50 diagnostic separate:11trades,-14.043%return,47.501%DD,27.273%win; not event strategy.

Frozen note875. Long only priorclose>SMA100 andWilder-styleEWMA RSI2<10; exitRSI2>70or10bars;nextadjacentopen; eachwindowstartsflat. PandasEWMAalpha.5 adjustfalse;100barwarmup. Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage. Development2023–25 afterlast>3daygap; holdout2026Jan1–Sep7,alreadyseenmarket chronologicalvalidation,notpristineprospective. {"quality":{"symbol":"XRP","timeframe":"1Day","original":981,"used":981,"duplicates":0,"removed":0,"missing":0,"start":"2024-01-01 00:00:00+00:00","end":"2026-09-07 00:00:00+00:00"},"holdout":{"symbol":"XRP","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.001,"bars":250,"return_pct":0,"drawdown_pct":0,"n":0,"win_rate_pct":null,"avg_win_pct":null,"avg_loss_pct":null,"expectancy_pct":null,"quarterKelly":null,"open_trades":0,"returns":[]},"stress":{"symbol":"XRP","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.003,"bars":250,"return_pct":0,"drawdown_pct":0,"n":0,"win_rate_pct":null,"avg_win_pct":null,"avg_loss_pct":null,"expectancy_pct":null,"quarterKelly":null,"open_trades":0,"returns":[]},"development":[{"symbol":"XRP","timeframe":"1Day","window":"development","threshold":5,"slippage":0.001,"bars":731,"return_pct":12.354106480813861,"drawdown_pct":18.958802229154703,"n":7,"win_rate_pct":57.14285714285714,"avg_win_pct":6.722787925222116,"avg_loss_pct":4.4958239971071965,"expectancy_pct":1.9148113870809824,"quarterKelly":0.07120600145280197,"open_trades":0},{"symbol":"XRP","timeframe":"1Day","window":"development","threshold":5,"slippage":0.003,"bars":731,"return_pct":9.251812848330609,"drawdown_pct":19.86067904470271,"n":7,"win_rate_pct":57.14285714285714,"avg_win_pct":6.295749569118383,"avg_loss_pct":4.87807734119063,"expectancy_pct":1.5069666075573778,"quarterKelly":0.05984063497972028,"open_trades":0},{"symbol":"XRP","timeframe":"1Day","window":"development","threshold":10,"slippage":0.001,"bars":731,"return_pct":-7.551979603918007,"drawdown_pct":27.944759371133053,"n":9,"win_rate_pct":66.66666666666666,"avg_win_pct":3.3456954695089633,"avg_loss_pct":8.498617996447116,"expectancy_pct":-0.602409019143063,"quarterKelly":0,"open_trades":0},{"symbol":"XRP","timeframe":"1Day","window":"development","threshold":10,"slippage":0.003,"bars":731,"return_pct":-10.820928385203697,"drawdown_pct":29.314390202814756,"n":9,"win_rate_pct":66.66666666666666,"avg_win_pct":2.932138560777662,"avg_loss_pct":8.864892075126203,"expectancy_pct":-1.000204984523627,"quarterKelly":0,"open_trades":0},{"symbol":"XRP","timeframe":"1Day","window":"development","threshold":15,"slippage":0.001,"bars":731,"return_pct":17.72103240140006,"drawdown_pct":19.67763876009365,"n":14,"win_rate_pct":71.42857142857143,"avg_win_pct":4.983218153428407,"avg_loss_pct":7.424450305951701,"expectancy_pct":1.4381700221769471,"quarterKelly":0.07215066538816389,"open_trades":0},{"symbol":"XRP","timeframe":"1Day","window":"development","threshold":15,"slippage":0.003,"bars":731,"return_pct":11.309816241609006,"drawdown_pct":19.998287868783205,"n":14,"win_rate_pct":71.42857142857143,"avg_win_pct":4.563124208422869,"avg_loss_pct":7.795012492042268,"expectancy_pct":1.0322280082899733,"quarterKelly":0.05655270167666207,"open_trades":0}]} Premises1 N0–2cannotestimatebothwins/losses;2 dailygatefailsirrespectiveofhourlyoutcome;3 actual15minstop/target/profitmanagementuntested. Conclusionzeroallocation; do notoptimizetargetstorescueit. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Reproduce test_rule.py /results_1Day.json; usesclosevaluation/openexecution,doesnotclaimintrabarstopexecution.

Frozen note875. Long only priorclose>SMA100 andWilder-styleEWMA RSI2<10; exitRSI2>70or10bars;nextadjacentopen; eachwindowstartsflat. PandasEWMAalpha.5 adjustfalse;100barwarmup. Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage. Development2023–25 afterlast>3daygap; holdout2026Jan1–Sep7,alreadyseenmarket chronologicalvalidation,notpristineprospective. {"quality":{"symbol":"UNI","timeframe":"1Day","original":1346,"used":1346,"duplicates":0,"removed":0,"missing":0,"start":"2023-01-01 00:00:00+00:00","end":"2026-09-07 00:00:00+00:00"},"holdout":{"symbol":"UNI","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.001,"bars":250,"return_pct":-3.7269998421603847,"drawdown_pct":15.014392051250436,"n":1,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":3.736317341765781,"expectancy_pct":-3.736317341765781,"quarterKelly":null,"open_trades":0,"returns":[-0.03736317341765781]},"stress":{"symbol":"UNI","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.003,"bars":250,"return_pct":-4.1113243467560645,"drawdown_pct":15.18385487866568,"n":1,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":4.121602657622946,"expectancy_pct":-4.121602657622946,"quarterKelly":null,"open_trades":0,"returns":[-0.041216026576229456]},"development":[{"symbol":"UNI","timeframe":"1Day","window":"development","threshold":5,"slippage":0.001,"bars":1096,"return_pct":68.68235798359886,"drawdown_pct":19.227045258794895,"n":10,"win_rate_pct":70,"avg_win_pct":11.186063155643462,"avg_loss_pct":6.39695662148,"expectancy_pct":5.911157222506422,"quarterKelly":0.1321098660953875,"open_trades":0},{"symbol":"UNI","timeframe":"1Day","window":"development","threshold":5,"slippage":0.003,"bars":1096,"return_pct":62.06820002997271,"drawdown_pct":19.549493149322316,"n":10,"win_rate_pct":70,"avg_win_pct":10.741207280204138,"avg_loss_pct":6.771620591046863,"expectancy_pct":5.487358918828838,"quarterKelly":0.1277174617266242,"open_trades":0},{"symbol":"UNI","timeframe":"1Day","window":"development","threshold":10,"slippage":0.001,"bars":1096,"return_pct":11.674166644725064,"drawdown_pct":44.90234371454016,"n":18,"win_rate_pct":66.66666666666666,"avg_win_pct":7.2196320376443675,"avg_loss_pct":10.504694227864347,"expectancy_pct":1.3115232824747967,"quarterKelly":0.04541517059443938,"open_trades":0},{"symbol":"UNI","timeframe":"1Day","window":"development","threshold":10,"slippage":0.003,"bars":1096,"return_pct":3.9162299048358364,"drawdown_pct":46.42368649063467,"n":18,"win_rate_pct":61.111111111111114,"avg_win_pct":7.424479831899912,"avg_loss_pct":9.337102132077463,"expectancy_pct":0.9060868459087107,"quarterKelly":0.03051011203558099,"open_trades":0},{"symbol":"UNI","timeframe":"1Day","window":"development","threshold":15,"slippage":0.001,"bars":1096,"return_pct":100.18008225231334,"drawdown_pct":37.522369664198216,"n":26,"win_rate_pct":65.38461538461539,"avg_win_pct":9.837377614385993,"avg_loss_pct":8.088577042023953,"expectancy_pct":3.632239464090243,"quarterKelly":0.09230710679385035,"open_trades":0},{"symbol":"UNI","timeframe":"1Day","window":"development","threshold":15,"slippage":0.003,"bars":1096,"return_pct":80.40727286162539,"drawdown_pct":38.2676239886514,"n":26,"win_rate_pct":61.53846153846154,"avg_win_pct":9.996647022315512,"avg_loss_pct":7.629034710001122,"expectancy_pct":3.2175386637321917,"quarterKelly":0.0804654464779461,"open_trades":0}]} Premises1 N0–2cannotestimatebothwins/losses;2 dailygatefailsirrespectiveofhourlyoutcome;3 actual15minstop/target/profitmanagementuntested. Conclusionzeroallocation; do notoptimizetargetstorescueit. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Reproduce test_rule.py /results_1Day.json; usesclosevaluation/openexecution,doesnotclaimintrabarstopexecution.

Frozen note875. Long only priorclose>SMA100 andWilder-styleEWMA RSI2<10; exitRSI2>70or10bars;nextadjacentopen; eachwindowstartsflat. PandasEWMAalpha.5 adjustfalse;100barwarmup. Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage. Development2023–25 afterlast>3daygap; holdout2026Jan1–Sep7,alreadyseenmarket chronologicalvalidation,notpristineprospective. {"quality":{"symbol":"LINK","timeframe":"1Day","original":1346,"used":1346,"duplicates":0,"removed":0,"missing":0,"start":"2023-01-01 00:00:00+00:00","end":"2026-09-07 00:00:00+00:00"},"holdout":{"symbol":"LINK","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.001,"bars":250,"return_pct":1.288059858720735,"drawdown_pct":1.6822768709587543,"n":1,"win_rate_pct":100,"avg_win_pct":1.291280008367539,"avg_loss_pct":null,"expectancy_pct":1.291280008367539,"quarterKelly":null,"open_trades":0,"returns":[0.01291280008367539]},"stress":{"symbol":"LINK","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.003,"bars":250,"return_pct":0.8837150957774611,"drawdown_pct":1.7971713396190747,"n":1,"win_rate_pct":100,"avg_win_pct":0.8859243835168975,"avg_loss_pct":null,"expectancy_pct":0.8859243835168975,"quarterKelly":null,"open_trades":0,"returns":[0.008859243835168975]},"development":[{"symbol":"LINK","timeframe":"1Day","window":"development","threshold":5,"slippage":0.001,"bars":1096,"return_pct":8.37544267816178,"drawdown_pct":15.651375456176709,"n":9,"win_rate_pct":66.66666666666666,"avg_win_pct":3.0250812167113517,"avg_loss_pct":3.1167015752632947,"expectancy_pct":0.9778202860531361,"quarterKelly":0.08080942427689189,"open_trades":0},{"symbol":"LINK","timeframe":"1Day","window":"development","threshold":5,"slippage":0.003,"bars":1096,"return_pct":4.543302522577778,"drawdown_pct":17.155742923875895,"n":9,"win_rate_pct":55.55555555555556,"avg_win_pct":3.2083960480844,"avg_loss_pct":2.719634057482361,"expectancy_pct":0.5737160011658398,"quarterKelly":0.044704269093304536,"open_trades":0},{"symbol":"LINK","timeframe":"1Day","window":"development","threshold":10,"slippage":0.001,"bars":1096,"return_pct":-25.55480913027796,"drawdown_pct":32.81796500467674,"n":16,"win_rate_pct":50,"avg_win_pct":2.891275227885527,"avg_loss_pct":6.1849264138601505,"expectancy_pct":-1.6468255929873117,"quarterKelly":0,"open_trades":0},{"symbol":"LINK","timeframe":"1Day","window":"development","threshold":10,"slippage":0.003,"bars":1096,"return_pct":-30.170058139462665,"drawdown_pct":36.476772098221566,"n":16,"win_rate_pct":37.5,"avg_win_pct":3.3705180566383213,"avg_loss_pct":5.287034383174551,"expectancy_pct":-2.040452218244724,"quarterKelly":0,"open_trades":0},{"symbol":"LINK","timeframe":"1Day","window":"development","threshold":15,"slippage":0.001,"bars":1096,"return_pct":-14.583330670432623,"drawdown_pct":38.110243420573696,"n":28,"win_rate_pct":53.57142857142857,"avg_win_pct":4.8198189096930415,"avg_loss_pct":6.292205420886951,"expectancy_pct":-0.33933524379052615,"quarterKelly":0,"open_trades":0},{"symbol":"LINK","timeframe":"1Day","window":"development","threshold":15,"slippage":0.003,"bars":1096,"return_pct":-23.633754354394068,"drawdown_pct":42.07003730495627,"n":28,"win_rate_pct":46.42857142857143,"avg_win_pct":5.101213328430359,"avg_loss_pct":5.798990177757427,"expectancy_pct":-0.7381814070273841,"quarterKelly":0,"open_trades":0}]} Premises1 N0–2cannotestimatebothwins/losses;2 dailygatefailsirrespectiveofhourlyoutcome;3 actual15minstop/target/profitmanagementuntested. Conclusionzeroallocation; do notoptimizetargetstorescueit. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Reproduce test_rule.py /results_1Day.json; usesclosevaluation/openexecution,doesnotclaimintrabarstopexecution.

Frozen note875. Long only priorclose>SMA100 andWilder-styleEWMA RSI2<10; exitRSI2>70or10bars;nextadjacentopen; eachwindowstartsflat. PandasEWMAalpha.5 adjustfalse;100barwarmup. Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage. Development2023–25 afterlast>3daygap; holdout2026Jan1–Sep7,alreadyseenmarket chronologicalvalidation,notpristineprospective. {"quality":{"symbol":"LTC","timeframe":"1Day","original":1346,"used":1346,"duplicates":0,"removed":0,"missing":0,"start":"2023-01-01 00:00:00+00:00","end":"2026-09-07 00:00:00+00:00"},"holdout":{"symbol":"LTC","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.001,"bars":250,"return_pct":0.4534949955217962,"drawdown_pct":2.4539472552637887,"n":1,"win_rate_pct":100,"avg_win_pct":0.45462873301059475,"avg_loss_pct":null,"expectancy_pct":0.45462873301059475,"quarterKelly":null,"open_trades":0,"returns":[0.004546287330105947]},"stress":{"symbol":"LTC","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.003,"bars":250,"return_pct":0.0524818388136373,"drawdown_pct":2.648455835014052,"n":1,"win_rate_pct":100,"avg_win_pct":0.052613043410664403,"avg_loss_pct":null,"expectancy_pct":0.052613043410664403,"quarterKelly":null,"open_trades":0,"returns":[0.0005261304341066441]},"development":[{"symbol":"LTC","timeframe":"1Day","window":"development","threshold":5,"slippage":0.001,"bars":1096,"return_pct":21.157526594018726,"drawdown_pct":1.1854302353630275,"n":2,"win_rate_pct":100,"avg_win_pct":10.112081780355272,"avg_loss_pct":null,"expectancy_pct":10.112081780355272,"quarterKelly":null,"open_trades":0},{"symbol":"LTC","timeframe":"1Day","window":"development","threshold":5,"slippage":0.003,"bars":1096,"return_pct":20.192128937302694,"drawdown_pct":1.1854302353630386,"n":2,"win_rate_pct":100,"avg_win_pct":9.671513268551918,"avg_loss_pct":null,"expectancy_pct":9.671513268551918,"quarterKelly":null,"open_trades":0},{"symbol":"LTC","timeframe":"1Day","window":"development","threshold":10,"slippage":0.001,"bars":1096,"return_pct":119.56380102932307,"drawdown_pct":10.621080965301333,"n":12,"win_rate_pct":91.66666666666666,"avg_win_pct":7.757543325788864,"avg_loss_pct":1.9436627668123072,"expectancy_pct":6.949109484738766,"quarterKelly":0.22394684737491014,"open_trades":0},{"symbol":"LTC","timeframe":"1Day","window":"development","threshold":10,"slippage":0.003,"bars":1096,"return_pct":109.27363365104696,"drawdown_pct":10.977884105568991,"n":12,"win_rate_pct":91.66666666666666,"avg_win_pct":7.326374197235426,"avg_loss_pct":2.3361044097840464,"expectancy_pct":6.5211676466504676,"quarterKelly":0.22252370241719302,"open_trades":0},{"symbol":"LTC","timeframe":"1Day","window":"development","threshold":15,"slippage":0.001,"bars":1096,"return_pct":121.48094268685348,"drawdown_pct":13.114842223628841,"n":20,"win_rate_pct":80,"avg_win_pct":5.939159212382128,"avg_loss_pct":2.7245361919876707,"expectancy_pct":4.2064201315081675,"quarterKelly":0.17706294700512928,"open_trades":0},{"symbol":"LTC","timeframe":"1Day","window":"development","threshold":15,"slippage":0.003,"bars":1096,"return_pct":104.45260773004388,"drawdown_pct":13.461690199326847,"n":20,"win_rate_pct":80,"avg_win_pct":5.51524912397914,"avg_loss_pct":3.113860566443936,"expectancy_pct":3.789427185894524,"quarterKelly":0.1717704450293503,"open_trades":0}]} Premises1 N0–2cannotestimatebothwins/losses;2 dailygatefailsirrespectiveofhourlyoutcome;3 actual15minstop/target/profitmanagementuntested. Conclusionzeroallocation; do notoptimizetargetstorescueit. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Reproduce test_rule.py /results_1Day.json; usesclosevaluation/openexecution,doesnotclaimintrabarstopexecution.

Frozen note875. Long only priorclose>SMA100 andWilder-styleEWMA RSI2<10; exitRSI2>70or10bars;nextadjacentopen; eachwindowstartsflat. PandasEWMAalpha.5 adjustfalse;100barwarmup. Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage. Development2023–25 afterlast>3daygap; holdout2026Jan1–Sep7,alreadyseenmarket chronologicalvalidation,notpristineprospective. {"quality":{"symbol":"SOL","timeframe":"1Day","original":928,"used":743,"duplicates":0,"removed":185,"missing":0,"start":"2024-08-26 00:00:00+00:00","end":"2026-09-07 00:00:00+00:00"},"holdout":{"symbol":"SOL","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.001,"bars":250,"return_pct":-0.06884021054507684,"drawdown_pct":3.163371863274589,"n":1,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":0.06901231107143345,"expectancy_pct":-0.06901231107143345,"quarterKelly":null,"open_trades":0,"returns":[-0.0006901231107143345]},"stress":{"symbol":"SOL","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.003,"bars":250,"return_pct":-0.4677681905269128,"drawdown_pct":3.356465837625011,"n":1,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":0.4689376110032247,"expectancy_pct":-0.4689376110032247,"quarterKelly":null,"open_trades":0,"returns":[-0.004689376110032247]},"development":[{"symbol":"SOL","timeframe":"1Day","window":"development","threshold":5,"slippage":0.001,"bars":493,"return_pct":-16.56023922910641,"drawdown_pct":26.77193450105141,"n":5,"win_rate_pct":20,"avg_win_pct":4.32345885040858,"avg_loss_pct":5.373872335197234,"expectancy_pct":-3.4344060980760704,"quarterKelly":0,"open_trades":0},{"symbol":"SOL","timeframe":"1Day","window":"development","threshold":5,"slippage":0.003,"bars":493,"return_pct":-18.21246427963003,"drawdown_pct":27.934265144272487,"n":5,"win_rate_pct":20,"avg_win_pct":3.9059986829613482,"avg_loss_pct":5.752620485799693,"expectancy_pct":-3.8208966520474847,"quarterKelly":0,"open_trades":0},{"symbol":"SOL","timeframe":"1Day","window":"development","threshold":10,"slippage":0.001,"bars":493,"return_pct":-10.646139839658462,"drawdown_pct":30.89345361701946,"n":7,"win_rate_pct":42.857142857142854,"avg_win_pct":7.298595374409188,"avg_loss_pct":7.67243356401007,"expectancy_pct":-1.2562783046875314,"quarterKelly":0,"open_trades":0},{"symbol":"SOL","timeframe":"1Day","window":"development","threshold":10,"slippage":0.003,"bars":493,"return_pct":-13.1133563936041,"drawdown_pct":31.717779896091336,"n":7,"win_rate_pct":42.857142857142854,"avg_win_pct":6.869258378891602,"avg_loss_pct":8.042005794010722,"expectancy_pct":-1.6514640056240113,"quarterKelly":0,"open_trades":0},{"symbol":"SOL","timeframe":"1Day","window":"development","threshold":15,"slippage":0.001,"bars":493,"return_pct":-3.7170615403098237,"drawdown_pct":29.39994259204117,"n":12,"win_rate_pct":50,"avg_win_pct":5.7908568296172405,"avg_loss_pct":5.949790397262921,"expectancy_pct":-0.0794667838228408,"quarterKelly":0,"open_trades":0},{"symbol":"SOL","timeframe":"1Day","window":"development","threshold":15,"slippage":0.003,"bars":493,"return_pct":-8.229497323338327,"drawdown_pct":31.34933381066175,"n":12,"win_rate_pct":50,"avg_win_pct":5.367538768466889,"avg_loss_pct":6.326239466881852,"expectancy_pct":-0.4793503492074817,"quarterKelly":0,"open_trades":0}]} Premises1 N0–2cannotestimatebothwins/losses;2 dailygatefailsirrespectiveofhourlyoutcome;3 actual15minstop/target/profitmanagementuntested. Conclusionzeroallocation; do notoptimizetargetstorescueit. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Reproduce test_rule.py /results_1Day.json; usesclosevaluation/openexecution,doesnotclaimintrabarstopexecution.

Frozen note875. Long only priorclose>SMA100 andWilder-styleEWMA RSI2<10; exitRSI2>70or10bars;nextadjacentopen; eachwindowstartsflat. PandasEWMAalpha.5 adjustfalse;100barwarmup. Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage. Development2023–25 afterlast>3daygap; holdout2026Jan1–Sep7,alreadyseenmarket chronologicalvalidation,notpristineprospective. {"quality":{"symbol":"ETH","timeframe":"1Day","original":1346,"used":1346,"duplicates":0,"removed":0,"missing":0,"start":"2023-01-01 00:00:00+00:00","end":"2026-09-07 00:00:00+00:00"},"holdout":{"symbol":"ETH","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.001,"bars":250,"return_pct":-5.668803940485122,"drawdown_pct":5.706008190932533,"n":1,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":5.682975950336337,"expectancy_pct":-5.682975950336337,"quarterKelly":null,"open_trades":0,"returns":[-0.056829759503363365]},"stress":{"symbol":"ETH","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.003,"bars":250,"return_pct":-6.045376708904642,"drawdown_pct":6.045376708904637,"n":1,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":6.060490150676907,"expectancy_pct":-6.060490150676907,"quarterKelly":null,"open_trades":0,"returns":[-0.06060490150676907]},"development":[{"symbol":"ETH","timeframe":"1Day","window":"development","threshold":5,"slippage":0.001,"bars":1096,"return_pct":7.778148110901021,"drawdown_pct":13.205509432428252,"n":9,"win_rate_pct":55.55555555555556,"avg_win_pct":2.6455134860498766,"avg_loss_pct":1.3468442844319333,"expectancy_pct":0.8711322547246276,"quarterKelly":0.0823216607397975,"open_trades":0},{"symbol":"ETH","timeframe":"1Day","window":"development","threshold":5,"slippage":0.003,"bars":1096,"return_pct":3.967128205803292,"drawdown_pct":13.205509432428252,"n":9,"win_rate_pct":44.44444444444444,"avg_win_pct":2.7949041910807297,"avg_loss_pct":1.394506384277699,"expectancy_pct":0.46745387143715816,"quarterKelly":0.04181304970389732,"open_trades":0},{"symbol":"ETH","timeframe":"1Day","window":"development","threshold":10,"slippage":0.001,"bars":1096,"return_pct":12.482931104930849,"drawdown_pct":25.167666862908934,"n":18,"win_rate_pct":50,"avg_win_pct":5.62953403741281,"avg_loss_pct":3.93125422818865,"expectancy_pct":0.8491399046120797,"quarterKelly":0.037709155809737466,"open_trades":0},{"symbol":"ETH","timeframe":"1Day","window":"development","threshold":10,"slippage":0.003,"bars":1096,"return_pct":4.668809987685181,"drawdown_pct":26.697234721016027,"n":18,"win_rate_pct":44.44444444444444,"avg_win_pct":5.896831808078554,"avg_loss_pct":3.9154766787423307,"expectancy_pct":0.44554931540028475,"quarterKelly":0.01888935151541417,"open_trades":0},{"symbol":"ETH","timeframe":"1Day","window":"development","threshold":15,"slippage":0.001,"bars":1096,"return_pct":15.07732161020298,"drawdown_pct":21.327887674537173,"n":26,"win_rate_pct":53.84615384615385,"avg_win_pct":4.331142834544777,"avg_loss_pct":3.573677816800848,"expectancy_pct":0.6827640723852583,"quarterKelly":0.039410156768532156,"open_trades":0},{"symbol":"ETH","timeframe":"1Day","window":"development","threshold":15,"slippage":0.003,"bars":1096,"return_pct":3.710546655432809,"drawdown_pct":25.61245694458979,"n":26,"win_rate_pct":50,"avg_win_pct":4.23877250202361,"avg_loss_pct":3.679097181741675,"expectancy_pct":0.27983766014096817,"quarterKelly":0.016504640199926493,"open_trades":0}]} Premises1 N0–2cannotestimatebothwins/losses;2 dailygatefailsirrespectiveofhourlyoutcome;3 actual15minstop/target/profitmanagementuntested. Conclusionzeroallocation; do notoptimizetargetstorescueit. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Reproduce test_rule.py /results_1Day.json; usesclosevaluation/openexecution,doesnotclaimintrabarstopexecution.

Frozen note875. Long only priorclose>SMA100 andWilder-styleEWMA RSI2<10; exitRSI2>70or10bars;nextadjacentopen; eachwindowstartsflat. PandasEWMAalpha.5 adjustfalse;100barwarmup. Vectorbt25bpfee/side+10bpbaseline/30bpstressslippage. Development2023–25 afterlast>3daygap; holdout2026Jan1–Sep7,alreadyseenmarket chronologicalvalidation,notpristineprospective. {"quality":{"symbol":"BTC","timeframe":"1Day","original":1346,"used":1346,"duplicates":0,"removed":0,"missing":0,"start":"2023-01-01 00:00:00+00:00","end":"2026-09-07 00:00:00+00:00"},"holdout":{"symbol":"BTC","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.001,"bars":250,"return_pct":-18.925773395221675,"drawdown_pct":19.282984832804328,"n":2,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":9.515207889532338,"expectancy_pct":-9.515207889532338,"quarterKelly":null,"open_trades":0,"returns":[-0.0030694778471695057,-0.18723467994347723]},"stress":{"symbol":"BTC","timeframe":"1Day","window":"holdout","threshold":10,"slippage":0.003,"bars":250,"return_pct":-19.571782525521822,"drawdown_pct":19.766159942700277,"n":2,"win_rate_pct":0,"avg_win_pct":null,"avg_loss_pct":9.877423712974794,"expectancy_pct":-9.877423712974794,"quarterKelly":null,"open_trades":0,"returns":[-0.007059232395946916,-0.19048924186354896]},"development":[{"symbol":"BTC","timeframe":"1Day","window":"development","threshold":5,"slippage":0.001,"bars":1096,"return_pct":9.943883750082387,"drawdown_pct":11.973383147811045,"n":11,"win_rate_pct":63.63636363636363,"avg_win_pct":4.1397122479044635,"avg_loss_pct":4.506494638110102,"expectancy_pct":0.9956370166264404,"quarterKelly":0.06012718741081792,"open_trades":0},{"symbol":"BTC","timeframe":"1Day","window":"development","threshold":5,"slippage":0.003,"bars":1096,"return_pct":5.211214594212361,"drawdown_pct":12.860651516343314,"n":11,"win_rate_pct":63.63636363636363,"avg_win_pct":3.722985602024669,"avg_loss_pct":4.888705384696735,"expectancy_pct":0.5914616068532491,"quarterKelly":0.03971688787431753,"open_trades":0},{"symbol":"BTC","timeframe":"1Day","window":"development","threshold":10,"slippage":0.001,"bars":1096,"return_pct":1.5463519599201936,"drawdown_pct":27.143943885044752,"n":28,"win_rate_pct":57.14285714285714,"avg_win_pct":2.942733609943835,"avg_loss_pct":3.5881490478124363,"expectancy_pct":0.1437838994768614,"quarterKelly":0.012215164413030721,"open_trades":0},{"symbol":"BTC","timeframe":"1Day","window":"development","threshold":10,"slippage":0.003,"bars":1096,"return_pct":-9.213111222283315,"drawdown_pct":31.386768133653618,"n":28,"win_rate_pct":53.57142857142857,"avg_win_pct":2.7250063261354738,"avg_loss_pct":3.697756906181248,"expectancy_pct":-0.2569908888687183,"quarterKelly":0,"open_trades":0},{"symbol":"BTC","timeframe":"1Day","window":"development","threshold":15,"slippage":0.001,"bars":1096,"return_pct":5.646454927796676,"drawdown_pct":24.035884759065816,"n":37,"win_rate_pct":59.45945945945946,"avg_win_pct":2.855014496034689,"avg_loss_pct":3.6216955413662113,"expectancy_pct":0.22932123762891815,"quarterKelly":0.020080566836650188,"open_trades":0},{"symbol":"BTC","timeframe":"1Day","window":"development","threshold":15,"slippage":0.003,"bars":1096,"return_pct":-8.887268520922516,"drawdown_pct":29.595250064521895,"n":37,"win_rate_pct":56.75675675675676,"avg_win_pct":2.5779852524101097,"avg_loss_pct":3.780881623280459,"expectancy_pct":-0.17179501815878523,"quarterKelly":0,"open_trades":0}]} Premises1 N0–2cannotestimatebothwins/losses;2 dailygatefailsirrespectiveofhourlyoutcome;3 actual15minstop/target/profitmanagementuntested. Conclusionzeroallocation; do notoptimizetargetstorescueit. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Reproduce test_rule.py /results_1Day.json; usesclosevaluation/openexecution,doesnotclaimintrabarstopexecution.

Preregistered note879; 1002 adjusted IEX daily bars Sep8 2022–Sep4 2026, paginated source https://runway.adityaperswal.workers.dev/data/stock-bars . vectorbt next-open execution from prior-close breakout above prior20close high AND SMA50; nextopen lost-condition exit or5%stop8%target;fee.1%,slip.1%eachside. Train ends2025Dec31; holdout2026. Full measurements in companion observation. Training+363.2611% N73 but holdout-26.4354% N9,stress-28.0341%; no current signal. Reject alltested10/20/40neighbors; no retuning. RequiredCLI breakout20 noSMAfilter/sameclose/no explicitcosts diagnostic only: {"symbol": "ATI", "bars": 1001, "returnPct": 32.14784989699413, "buyAndHoldPct": 576.3242375601926, "maxDrawdownPct": 15.093386654757857, "winRate": 39, "avgTradePct": 0.3234454560696176} {"symbol": "IREN", "bars": 1001, "returnPct": 57.103550067208594, "buyAndHoldPct": 868.9804772234273, "maxDrawdownPct": 36.103355338559105, "winRate": 42.04545454545455, "avgTradePct": 0.6986307433360928} . Tickers selected retrospectively; heldout dates not unseen prospective population. Daily stops cannot validate15minute exits, entryday ordering,+1Rpartialprofit-taking or gap bounds. Reject rule implementation, not every future opportunity.

Preregistered note879; 1002 adjusted IEX daily bars Sep8 2022–Sep4 2026, paginated source https://runway.adityaperswal.workers.dev/data/stock-bars . vectorbt next-open execution from prior-close breakout above prior20close high AND SMA50; nextopen lost-condition exit or5%stop8%target;fee.1%,slip.1%eachside. Train ends2025Dec31; holdout2026. Full measurements in companion observation. Training loses19.7981% N73; holdout +27.0245% N21 with mean95%bootstrap interval[-.481668,3.058334]%; stress+.17.9664% (17.9664%, not decimal fraction). No current signal. Reject deployment despite attractive selected holdout: training fails and uncertainty includeszero. RequiredCLI breakout20 noSMAfilter/sameclose/no explicitcosts diagnostic only: {"symbol": "ATI", "bars": 1001, "returnPct": 32.14784989699413, "buyAndHoldPct": 576.3242375601926, "maxDrawdownPct": 15.093386654757857, "winRate": 39, "avgTradePct": 0.3234454560696176} {"symbol": "IREN", "bars": 1001, "returnPct": 57.103550067208594, "buyAndHoldPct": 868.9804772234273, "maxDrawdownPct": 36.103355338559105, "winRate": 42.04545454545455, "avgTradePct": 0.6986307433360928} . Tickers selected retrospectively; heldout dates not unseen prospective population. Daily stops cannot validate15minute exits, entryday ordering,+1Rpartialprofit-taking or gap bounds. Reject rule implementation, not every future opportunity.

Ran node /app/agent/dist/backtest.js --symbols BTC/USD,ETH/USD,SOL/USD --strategy rsi --days365 atSep8 02:02UTC. CLI default simple14period RSI<30, exitswhenconditionfalse; not identical to new frozen100SMA+WilderRSI2 pullback. Inspected source: dailyfetch reads onepage without pagination, no holdout or configurablecosts; last incompleteUTCday included366bars. Diagnostic only, not executiongrade. Return-17.49870427929856%,DD37.99812482726196%,winrate66.66666666666666%,N15,average-0.7997209955446839%,BH-51.2965729760015%. Reject headline despite relativeoutperformance: absoluteloss before costed independentwindow. Source https://runway.adityaperswal.workers.dev/data/crypto-bars . Customvectorbt daily/hourly development2023–25/fixed2026 holdout pending; keep separate.

Ran node /app/agent/dist/backtest.js --symbols BTC/USD,ETH/USD,SOL/USD --strategy rsi --days365 atSep8 02:02UTC. CLI default simple14period RSI<30, exitswhenconditionfalse; not identical to new frozen100SMA+WilderRSI2 pullback. Inspected source: dailyfetch reads onepage without pagination, no holdout or configurablecosts; last incompleteUTCday included366bars. Diagnostic only, not executiongrade. Return-22.589782320266615%,DD38.116644145459475%,winrate41.66666666666667%,N12,average-1.7191342303078132%,BH-41.93247820895037%. Reject headline despite relativeoutperformance: absoluteloss before costed independentwindow. Source https://runway.adityaperswal.workers.dev/data/crypto-bars . Customvectorbt daily/hourly development2023–25/fixed2026 holdout pending; keep separate.

Ran node /app/agent/dist/backtest.js --symbols BTC/USD,ETH/USD,SOL/USD --strategy rsi --days365 atSep8 02:02UTC. CLI default simple14period RSI<30, exitswhenconditionfalse; not identical to new frozen100SMA+WilderRSI2 pullback. Inspected source: dailyfetch reads onepage without pagination, no holdout or configurablecosts; last incompleteUTCday included366bars. Diagnostic only, not executiongrade. Return-23.90211279534632%,DD35.48852102873465%,winrate50%,N12,average-2.0182838439070396%,BH-29.16223959345433%. Reject headline despite relativeoutperformance: absoluteloss before costed independentwindow. Source https://runway.adityaperswal.workers.dev/data/crypto-bars . Customvectorbt daily/hourly development2023–25/fixed2026 holdout pending; keep separate.

1. Protocol829 fixed4ETFs×3rules×3windows×3costs=108adjustedtests;36raw10bptests plus12delayed-calendar+8sessionplacebos=156. Allrows saved asobservations9310-9478(noncontiguous),36mainbacktests776-811. 2.PrimarySPYlater parent-8.174497%,delay-1.724374%,swing-11.189744%;trainingrespectively+9.882733,+10.919210,+.298670%. Cheapest2bpswingstill-2.397594%,20bp-21.074686%. 3.EEMstrongcounterexample:delaytraining+21.544615/later+13.896232%;swinglater+14.690015%,20bp+1.924551%. But mainswingtraining-.720184%,recent-.039239%;uncertaintyspanszero. Positive arithmetictrainmean+.002595% coexists with negativecompoundedreturn throughvariance drag. No rotation towinningETF. 4.Raw10bpswingSPY-11.176005,IWM-18.361257,EFA-10.082073,EEM+14.864808%;rawprices exclude cashdistributions and alter ATRpaths,so not a complete dividend-aware cash test. AdjustedEFAswing-14.814839 is not silently replaced byrawresult. Placebo+8session is diagnostic only,not a newentrydate. All vectorbtcashledgers reconcile;21,472bars withzeroNYSEmissing/extra sessions. No exact15minfills/PDT/whole-shareprofitmanagement validation. Conclusion reject deployment of frozenrule; no universalclaim about originalanomaly. Source https://runway.adityaperswal.workers.dev/data/stock-bars .

1.Protocol829 frozen before return inspection;2026 through September4:8 completed cohorts, descriptive recent check. Buy last monthly session open; previous20-session simpleATR stop1ATR,target1.5ATR; half off at+1ATR then breakeven; exit remaining at fourth next-month open. Daily stopfirst on ambiguity; if a bar hits+1R and also entry, conservatively close remainder at entry; gap stops at open. Targetgap may close remainder at open. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2021-2025 later window:59 completed cohorts; these market years were previously inspected for other rules, not pristine independent OOS. Buy last monthly session open; previous20-session simpleATR stop1ATR,target1.5ATR; half off at+1ATR then breakeven; exit remaining at fourth next-month open. Daily stopfirst on ambiguity; if a bar hits+1R and also entry, conservatively close remainder at entry; gap stops at open. Targetgap may close remainder at open. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. Buy last monthly session open; previous20-session simpleATR stop1ATR,target1.5ATR; half off at+1ATR then breakeven; exit remaining at fourth next-month open. Daily stopfirst on ambiguity; if a bar hits+1R and also entry, conservatively close remainder at entry; gap stops at open. Targetgap may close remainder at open. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2026 through September4:8 completed cohorts, descriptive recent check. Buy last monthly session open, sell fourth next-month session open. Timing adaptation differs from the original close-to-close paper; no stop/target. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2021-2025 later window:59 completed cohorts; these market years were previously inspected for other rules, not pristine independent OOS. Buy last monthly session open, sell fourth next-month session open. Timing adaptation differs from the original close-to-close paper; no stop/target. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.

1.Protocol829 frozen before return inspection;2016-2020 training:58 completed cohorts after warm-up; cross-split turns purged. Buy last monthly session open, sell fourth next-month session open. Timing adaptation differs from the original close-to-close paper; no stop/target. 2. Explicit long-only cash-only vectorbt order ledger, per-fill5bp fee+5bp slippage. Independent cash compounding reconciles final equity within1e-5USD on10000 initialcash; nonnegative cash. Sample counts full entry cohorts,not partial fills. Drawdown includes open/close and synthetic threshold marks but not all intrabar excursions. 3. Historical adjusted ETF prices approximate distributions; raw10bp audit and2/20bp sensitivity saved,not selected. Neither15-minute/extended-hours fills, whole-share profit management nor exacttime execution verified. Positive recent samples cannot override training/later gates; no current calendar entry. Sources https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars . All inputs/code/results archived291parts and exactreadback verified. This is an ETF adaptation,not exact CRSP replication; no deployable approval.