Stats

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return75.031958%, DD33.073196%, win33.333%, N9; holdout return3.666842%, DD4.774546%, win100.000%, N2. Price-only holdout11.301377% N1. Daily portfolio marks understate intraday drawdown; hourly companion uses identical information timing. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen L20close>prior20closes ANDSMA50, next09:30open,2ADRstop/6ADRtarget/40sessions; new full SIP1682daily and47537raw15min,43084RTH afterXNYS calendar/halfday filtering. Signal usesalladjustedbars; execution split-only withraw15min normalized bydaily split/raw ratio (1or5). NOdividendcash credited: avoids treating adjustedreturns asfundcash. Calendar packageexchange_calendarsinstalledlocally; initialhalfday overcountcorrected. Vectorbtlongonly cost1bpfee+5bpslip/side,15bpstress,returnassertion matchescompoundedfixedpaths. Primary sampled fixedexit: train2020–24 -7.54972%,dailyMTMapproxDD70.1081%,9/29wins31.0345%;knownholdout2025–Sep11+60.37727%,DD14.75847%,6/10wins60%,stress57.20159%. Managedpaper (+2R25%sell/BE each15min) train-5.58616%,DD64.30199%,12/29wins41.379%;holdout71.58243%,DD14.75847%,7/10wins70%,stress68.18486%. This managedpolicy is NOT executable at every sample: actual manager runs lessoften, venueautomatesstops/targetsbutnotquartertakeprofit. Need exactscheduled-management audit or usefixedautomaticexit asbaseline. Pricebaropens approximate15mincheckquotes;107train/11holdoutmissingchecks,14/3trades affected, not filledwithzeros; absent09:30entry skipped, observations may omitnontradingquotes. Fixedpathdailyraw counterpart-7.2430%N33/+59.0868%N11; differs frompreviousadjusted+1.30/+78.94becausecashadjustment/exitpath/sample, not correction ofoldvintage. L10/L40 sensitivitiesrecorded,no selection. CLI breakoutlookback20,1825days,5%stop15%target:1250bars+60.32194%,DD18.2795%,win36.8421%,differentIEXrule,noholdout,diagnostic only. Data https://runway.adityaperswal.workers.dev/data/stock-bars . Conclusion positive2025regime but rawtrainingnegative/largeDD andmissingexecutionobservations meanwatch, notvalidateddeployment. DailyMTMapprox drawdown excludesintradayextremes andsmallpartialfeeaccrual; do notmislabelas worstloss.

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return30.157692%, DD36.117294%, win27.778%, N18; holdout return-2.140782%, DD6.395037%, win50.000%, N2. Price-only holdout10.679989% N1. Daily signal mapped to hourly opens; identical fills when00UTC exists, hourly marks expose greater intraday drawdown. This is not independent replication or an hourly supply series. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Frozen baseline: lag2 calendar-day USDC30-day supply growth>0 AND previous completed daily close>SMA200. Enter first available bar open when state becomes true; exit first available open when false. Split starts flat and initializes if state true, terminal liquidation at last close. Training2024–25, known holdout2026Jan1–Sep12, 2023warmup, no partialSep13bar. Vectorbt100USD all-in single-symbol independent portfolios, 25bpfee+10bpslip per side; stress30bpslip. Sweeps lag1/2/7 and combinedUSDC+USDT, controlprice-only; no parameter selection from holdout. Baseline training return30.157692%, DD33.907307%, win27.778%, N18; holdout return-2.140782%, DD5.824592%, win50.000%, N2. Price-only holdout10.679989% N1. Daily portfolio marks understate intraday drawdown; hourly companion uses identical information timing. Current-vintage supply lacks publication archive; assumed lags cannot remove revisions. Fees modeled in quote currency are a close proxy, not exact venue credited-coin accounting. No stops/targets/+2R partial/trailing policy here, so baseline cannot authorize trading; incremental filter is not adopted. SOL has418missing calendar days across2023–24; missing SMA means unavailable, not bearish; trade counts small. Half-Kelly recorded only where both wins/losses exist, uncapped fractions unstable; allocationzero. All28 cells recorded separately in observations. Sources https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://docs.alpaca.markets/us/docs/crypto-fees

Edge test:10 consecutive issuer-scheduled AMC earnings Mar2024-Jun2026 reverified against primary URLs in observations27176–85 and926 fresh SIP adjustmentall daily bars. Release-close to next-session-close median absolute16.578014%; Sep11S2.95 Oct16C2.5 close.50Sep10 plusassumed.05/share totalcost requires+3.389831%,4/10; P2.5 .12Sep11 requires-21.016949%,2/10; C5 .05Sep10 requires+72.881356%,0/10. No documented actual option expected payoff>=3xpremium. IssuerSep2 quote 'after market close on Wednesday, September 23, 2026' https://investors.stitchfix.com/news-events/press-releases/news-details/2026/Stitch-Fix-Announces-Date-for-Fourth-Quarter-and-Full-Fiscal-Year-2026-Financial-Results-and-Conference-Call/default.aspx . Oct16expiry23dayslater; defaultSep22RTHexit; no current position. Source option_contracts SFIX; https://runway.adityaperswal.workers.dev/data/stock-bars ; https://runway.adityaperswal.workers.dev/data/option-bars . 1. Existingvectorbtstudy3025/observation26549 remainsfrozen: lag5openentrytoT-1close,fees10bp/side,slippage10bp/side;first8train+14.174754%,DD14.475874%,win37.5%;last2Mar/Jun2026holdout+9.472964%,DD6.811989%,win100%;30bpslippageholdout+8.60067%. Thisisreadbackofa previouslyseenholdout,notnewindependentreplicationoroptionbacktest. No parameterretune. 2. RequiredCLIdiagnosticrerunthisrun momentum20days1000 returns+41.383224%,DD55.802626%,win28.125%,N32;unsplitstockcontrolnotstrategyadoption. 3. FreshcurrentOct16callhistoryonly4tradedaysAug20–Sep10,nonecovercompletedSep23event;5cheapC5daysand7putdays. Cannotbacktestactualcallentry/IVdecay/3Rtarget/15minexitfromthosecloses. Dailybarhighnotanexecutablefill. 4. Defaultpre-eventexitSep22requirespre-eventoptionreturnevidence; eventresponsemedian16.578014 exceedspriced3.389831by13.188184pp,whichcanmotivatehold-exceptionresearchbutdoesnotfixsizingorvalidatepre-eventrule. No actualhold-throughpositionadopted. BindinggapactualcostedoptionsOOS; retainedcash.

Ran node /app/agent/dist/backtest.js --symbols BTC/USD,ETH/USD,SOL/USD,LTC/USD,XRP/USD,HYPE/USD,LINK/USD --strategy breakout --lookback 20 --days 981. Results (return%,drawdown%,win%,closed trades): BTC/USD 46.4608/14.6924/34.328/67; ETH/USD 41.4426/24.9433/32.727/55; SOL/USD 72.1517/18.7954/52.778/36; LTC/USD -17.5515/47.2206/27.083/48; XRP/USD 476.5253/19.9595/47.059/34; HYPE/USD -1.6918/19.2206/29.412/17; LINK/USD -22.5658/44.6927/34.545/55. Source inspection confirms prior20 CLOSE toggle and same-close execution, no fees or held-out split; current partial September13 daily bar included. Consequently these gross figures do not validate HIGH20/LOW10 or managed pullback execution. The separate 156-cell vectorbt study3077–3090 supplies costed daily/hourly controls and calendar holdouts; HYPE lacks training. No parameter selected from this diagnostic and no order. Source https://runway.adityaperswal.workers.dev/data/crypto-bars . All raw metrics recorded in observations26628–26841.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 480/240hours. Unfilled missing calendar hours; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return0.296718%,DD52.438495%,closedN12,win33.333%,openN0. Reset2026 known/reusedholdout return-1.201527%,DD24.551662%,closedN4,win50.000%,openN1; stressreturn-2.963609%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 20/10days. OHLCrequires24hours/day; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return-39.654890%,DD56.876500%,closedN11,win36.364%,openN0. Reset2026 known/reusedholdout return27.044492%,DD14.403432%,closedN2,win50.000%,openN1; stressreturn25.780875%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 480/240hours. Unfilled missing calendar hours; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 unavailable. Reset2026 known/reusedholdout return56.037399%,DD31.948567%,closedN4,win75.000%,openN0; stressreturn53.560657%. All15/20/30day sensitivities recorded, no bestparameter selected. HYPEstartsFeb17 2026: positive2026results are IN-SAMPLE descriptive, no pre2026training or valid OOS. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 20/10days. OHLCrequires24hours/day; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 unavailable. Reset2026 known/reusedholdout return37.837008%,DD30.053656%,closedN3,win66.667%,openN0; stressreturn36.192841%. All15/20/30day sensitivities recorded, no bestparameter selected. HYPEstartsFeb17 2026: positive2026results are IN-SAMPLE descriptive, no pre2026training or valid OOS. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 480/240hours. Unfilled missing calendar hours; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return110.893498%,DD56.069200%,closedN10,win40.000%,openN0. Reset2026 known/reusedholdout return2.433934%,DD28.004057%,closedN4,win25.000%,openN0; stressreturn0.808026%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 20/10days. OHLCrequires24hours/day; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return194.412594%,DD49.868094%,closedN6,win33.333%,openN0. Reset2026 known/reusedholdout return0.569605%,DD27.161711%,closedN3,win0.000%,openN1; stressreturn-0.828169%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 480/240hours. Unfilled missing calendar hours; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return22.038201%,DD45.931078%,closedN10,win40.000%,openN0. Reset2026 known/reusedholdout return3.611121%,DD12.675287%,closedN2,win0.000%,openN1; stressreturn2.580579%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 20/10days. OHLCrequires24hours/day; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return-22.367606%,DD57.771811%,closedN9,win33.333%,openN0. Reset2026 known/reusedholdout return-4.170822%,DD16.265833%,closedN2,win0.000%,openN1; stressreturn-5.123963%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 480/240hours. Unfilled missing calendar hours; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return9.329324%,DD36.797732%,closedN8,win50.000%,openN0. Reset2026 known/reusedholdout return1.972209%,DD24.527633%,closedN4,win0.000%,openN1; stressreturn0.153523%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 20/10days. OHLCrequires24hours/day; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return-10.124640%,DD42.460968%,closedN7,win42.857%,openN0. Reset2026 known/reusedholdout return3.896506%,DD17.407810%,closedN3,win0.000%,openN1; stressreturn2.452493%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 480/240hours. Unfilled missing calendar hours; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return16.482836%,DD41.890183%,closedN14,win42.857%,openN0. Reset2026 known/reusedholdout return-0.011938%,DD22.646338%,closedN5,win40.000%,openN1; stressreturn-2.187273%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 20/10days. OHLCrequires24hours/day; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return-24.669800%,DD50.548573%,closedN12,win41.667%,openN0. Reset2026 known/reusedholdout return-4.530094%,DD17.452215%,closedN3,win0.000%,openN1; stressreturn-5.856989%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 480/240hours. Unfilled missing calendar hours; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return30.438863%,DD34.235134%,closedN13,win30.769%,openN0. Reset2026 known/reusedholdout return18.078296%,DD12.151994%,closedN3,win33.333%,openN1; stressreturn16.437177%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Fixed Donchian prior20 calendar-day HIGH entry / prior10day LOW exit at next exact OPEN; 20/10days. OHLCrequires24hours/day; prices beforeSep13 02UTC only, incompleteSep13day excluded. Vectorbt creditedcoinbuy fee equivalent .0025/.9975, sell25bp; slip10bp/30bpstress. Training2024–25 return32.159105%,DD32.756294%,closedN10,win30.000%,openN0. Reset2026 known/reusedholdout return18.337791%,DD10.253074%,closedN2,win50.000%,openN1; stressreturn17.160774%. All15/20/30day sensitivities recorded, no bestparameter selected. Calendarholdout is not newly untouched data. Returnincludesopenmarkedposition;winrateclosedonly, no assumedfinalfill. No required2ATRstop/3Rtarget/quarterat2R/15minexitmanagement in this CONTROL, so notlivepolicyvalidation. FreshHIGHentryabsent across7, no late entry. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Experiment156cells observations26910–27075; currenttop10survivorselection limits generalization.

Same frozen L20 close>prior20 AND SMA50 policy as3063, nextopenentry2ADRstop6ADRtarget40sessionmax, gapopen/stopfirst, entrydayallowed; SIPall1682bars2020–Sep11. Vectorbtlongonly fee1/slip5bp per side;train2020–24startsflat+1.30262%,DD70.98575%,10/33wins30.303%; holdout2025–Sep11+78.94124%,DD16.14993%,7/12wins58.3333%;fixedpathslip15bp+74.69777%. EndpointclosedpapertradeatSep11 perwindowconvention, notrealexit. L10/L40 sensitivities preserved withoutselection in observations. TNP asofJune28,2024matches1131prechangeTENbars exactly; July1,2024 issuer tickerchangeverified, not assumedoldTenneco. CLI1437bars103trades+58.0091%,DD19.158%,win37.8641%,differentIEXrule. Sources https://runway.adityaperswal.workers.dev/data/stock-bars ; https://www.globenewswire.com/news-release/2024/07/01/2906633/0/en/TEN-Ltd-NYSE-Ticker-Change-to-TEN-Effective-Today.html . Current47.9>44.71,true. TrainingDDlarge/meanCIcrosszero; requiresraw15minand+2Rpolicy/cashdistributionauditbeforeliveuse. Theseadjustedbarreturnsdonotshowactualfundcashcredit. Noorder.

Edge test: nine consecutive fiscal earnings Q3FY24–Q3FY26 (May2024–May2026), SIP adjustment=all prior-close to morning-release-day close, median absolute5.245902%, range -11.810013% to+23.8%. AtSep11S7.39 Oct16P5 .05Sep11 plusassumed.05/sharecost needs33.694181%fall,0/9; P7.5 .69 needs8.525034%,1/9 and69USD>51.0594absolute; C5 2.45Sep8 needs+1.488498%,5/9 but245USD>102.12fund and42.5495convictionrisk. No documentedactualoptionexpectedpayoff>=3xpremium. Aug26issuer quote 'before the U.S. market open on September 16, 2026' https://investors.luxexperience.com/news/news-details/2026/LuxExperience-Announces-Fourth-Quarter-and-Full-Fiscal-Year-2026-Earnings-Release-and-Conference-Call-Participating-in-Upcoming-Investor-Conference/default.aspx . ExpiryOct16+30days; defaultSep15RTHexit, noholdexception foraffordableput becausehurdle exceedsmedian28.448279pp. History originalURLs and bars26862–89; ISOdatesinobservationnotes normalized, notverbatimissuerdateformat. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; option_contracts LUXE. 1. RequiredCLI momentum20/1000days:685bars,26trades,+87.879807%,DD34.229923%,win53.846154%,buyhold131.09375%; unsplitdiagnosticnotoptionedge. 2. Vectorbt time-onlystockcontrol,T-2/3/5openentry toT-1closebeforemorningearnings,fees10bp/side,slippage10bpbaseline/30bpstress. First7events training,last2Feb/May2026 heldout. TrainingwinnerT5+39.558565%,DD10.963626%,win57.142857%,N7; holdout-9.482158%,DD8.405771%,win0%,N2;stress-10.203415%. T2holdout+5.2714% andT3+1.0137% are not selected afterseeingthem. 3. KnownhistoricalholdoutN2wideuncertainty; stocks cannot validate optiondecay/spread/targethitodds; noactualoptionPnLhistory. VectorbtDDisfromobservedNAVpeak, initialcosts canmakeoveralllosslarger. RejecttestedT5transfer; no inventedoptionbacktest.

SIP all-adjusted1682dailybars2020Jan2–2026Sep11. Frozen primary L20 close>prior20close AND SMA50; signal atclose, nextopenentry, stop2priorADR20,target6ADR20(3R), max40sessions; gapfillatopen, stopfirstifbothbarriers, entrydayallowed, forcedlastwindowclose. Vectorbt longonly,1bpfees+5bpslippage/side; separate2020–24train and2025–Sep11holdout startingflat. Train-48.9617%,DD54.1759%,7/27wins25.9259%; heldout+10.7920%,DD39.6636%,5/14wins35.7143%; fixedpath15bpslip stress+7.7328%. L10/L40 sensitivities all trainingnegative, not chosen for positiveholdout. CLI diagnostic1440bars65tradesreturn-26.3901%,DD34.7633%,win30.7692%,differentIEXsignalexit, not validation. Source https://runway.adityaperswal.workers.dev/data/stock-bars . Engine initially allowed short exposure on -inf sell; corrected direction=longonly and asserted portfolio return equals product of fixedcostedtrade returns to1e-8. Preliminary wrong engine numbers never recorded as analysis. Daily barriers idealized versus venue15min/+2Rmanagement and actual dividendcash; no live authorization. TraininghalfKelly0 and current29.44<31.81 imply size0.

Vectorbt: long when close exceeds prior20calendar-day CLOSE maximum, exit when false, following exact OPEN; hourly480bars. Train2024–25 (SOLstartsAug26), cashresetJan1, known2026holdout throughSep12; no claim of untouched new OOS. Fees25bp eachside creditedasset equivalentbuyfee .0025/.9975, slippage10bp/30bp stress. DailyOHLC from24completehours; missingcalendarwindows remainunavailable, no filling. Baseline train return-72.508282%,DD73.420707%,N133,win15.789%; holdout return-32.088896%,DD32.422131%,N55,win18.182%,open0;stress-45.500115%. HIGHthreshold control holdout-13.635728%N24. All15/20/30day xCLOSE/HIGH xcostcells recorded26572–83,knownholdoutrange-54.227to-13.574%;none selected. Premise: same-close grossCLI gains are not evidence for costed next-open rule. Counterexample daily SOL remainspositive; hourly disagreement and missing required3R/partial/15minpolicy prevent adoption. This short-hold toggle is NOT prior10LOWexit Donchian or managedETHpullback. Conclusion reject as live replacement. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .

Vectorbt: long when close exceeds prior20calendar-day CLOSE maximum, exit when false, following exact OPEN; hourly480bars. Train2024–25 (SOLstartsAug26), cashresetJan1, known2026holdout throughSep12; no claim of untouched new OOS. Fees25bp eachside creditedasset equivalentbuyfee .0025/.9975, slippage10bp/30bp stress. DailyOHLC from24completehours; missingcalendarwindows remainunavailable, no filling. Baseline train return10.433149%,DD20.817749%,N24,win45.833%; holdout return18.625863%,DD14.948472%,N11,win45.455%,open0;stress13.519467%. HIGHthreshold control holdout8.392065%N7. All15/20/30day xCLOSE/HIGH xcostcells recorded26572–83,knownholdoutrange3.995to18.626%;none selected. Premise: same-close grossCLI gains are not evidence for costed next-open rule. Counterexample daily SOL remainspositive; hourly disagreement and missing required3R/partial/15minpolicy prevent adoption. This short-hold toggle is NOT prior10LOWexit Donchian or managedETHpullback. Conclusion reject as live replacement. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees .