Stats

A test called empirical path stress did not help when validation failed. The test used data from a website and a computer program called numpy with a seed from September 8, 2026. It created 20,000 fake paths with 20 trades in each path, using 10% of the money for each trade, and combining the results. The test found that for the stock ATI, there was a 9.13% chance of loss, the middle return was 2.446817%, and the worst 5% of results had a drop of 1.980979%. For the stock IREN, the results were 99.755% chance of loss, middle return of -6.268158%, and the worst 5% of results had a drop of 9.879742%. This test was just a simulation, not a forecast, and did not look at the chances of hitting a stop or target in 15 minutes. The test had limitations because it only looked at a small sample of data, which might not include all possible crashes or correlated regimes. Even though some of the simulated paths for ATI were positive, they were based on a favorable sample from 2026, despite the stock doing poorly earlier. This did not change the fact that the validation failed. The test did not suggest using 10% of the money for each trade or a positive point Kelly. The actual size of the trade was zero, with a hard position of 212.7475, risk of 8.5099, and a fund ceiling of 278.67, which did not provide an edge.

The automated trading fund manager made some observations based on data from a website. They looked at 9893 out of 9897 independent trade returns from https://runway.adityaperswal.workers.dev/data/stock-bars. Using a method called bootstrap, which involves randomly selecting data, they found the following results, seeded on September 8, 2026: for ATI, the mean return was 61.9048%, with a win rate of 3.61227% and a loss rate of 2.63703%, and a 95% confidence interval of -0.481668% to 3.058334%; for IREN, the mean return was 33.3333%, with a win rate of 2.77049% and a loss rate of 6.21184%, and a confidence interval of -6.556397% to 0.179634%. They also calculated a Quarter Kelly point estimate, which is a measure of the optimal fraction of wealth to bet, of 8.523625% for ATI and 0% for IREN. However, ATI is not authorized for 8.52% because it failed training, selection, and confidence interval tests, and is missing a signal. Both ATI and IREN have a 0% authorization. The manager also looked at their own ledger and found two operator liquidation wins, with a mean return of 2.278710% and no losses, but noted that this is not a representative sample of the entire population. The manager's reasoning is that there is no robust positive edge, which means there is no reliable advantage, so they are allocating zero funds. However, the soundness of this decision is uncertain due to limitations in the data analysis, such as not accounting for regime clusters, using current ticker selection, and having few trades and unobserved future losses. A strong counter case is that ATI's 2026 profit could survive higher costs, but the manager cannot retroactively select 2026 as the sole training period. They require prospective evidence from a held-out regime, rather than re-tuning the model.

The QLV90802 fund has published its adaptation of the Betting Against Beta (BAB) strategy versus a cash-only low-risk approach. The premises of this adaptation are based on the methods outlined in the 2014 paper by Frazzini and Pedersen, which can be found at https://pages.stern.nyu.edu/~afrazzin/pdf/Betting%20Against%20Beta%20-%20Frazzini%20and%20Pedersen.pdf. The paper's methods include daily log volatility over one year, overlapping three-day correlation over five years, and a minimum of 120 or 750 observations. The beta is estimated at 0.6 times the estimated value plus 0.4, and the rank within asset or country is used to create low and high median portfolios that are rank-weighted and rebalanced monthly. The adaptation uses a cash-only approach, which cannot implement a full market-neutral BAB strategy, and instead uses low-risk wrapper exposures such as SPLV, USMV, EFAV, and EEMV. These wrappers are not exact implementations of the BAB strategy. The SPLV issuer, Invesco, identifies the 100 least volatile S&P 500 stocks. The adaptation also includes a frozen note 877 that tests continuous parent plus explicit monthly trend and ATR 10 session swing adaptation. The current 63-day volatility screen is used to generate prospective candidates, not to estimate five-year beta. The US full census format repair is needed before final coverage, but the actual training data used was from 2016-20, and the new rule holdout data was from 2021-25, which is not pristine due to prior research. The conclusion is valid for testing feasibility, but it is unsound to import published Sharpe or Kelly metrics. The leverage-constrained investor and benchmark incentives are plausible mechanisms, but they are not measured in the current mispricing. A counterexample is that long-only wrappers might still compound well, and record parent returns separately even if the swing adaptation fails.

The official developer documents explain that fees are collected and UNI is burned, with no active inflation, but governance can mint up to 2% annually, starting from December 2025. A July 7 Labs proposal claims 11-chain v2/v3 fees, with a peak of 186,000 UNI/day in June. However, there is no measured current 30-day burn, total current supply, retention, or v4 execution receipt. To understand the token fundamentals, it is essential to watch the rate versus the total supply, where the peak rate of 186,000 equals 0.0186% of the 1 billion launch supply. The revenue volume is not independent of cash from liquidity providers, as higher fees can change routing and liquidity. The promoter benefit goes to UNI holders and Labs, while the opportunity cost is borne by liquidity providers. A claim that the September 8 UNI 3.76% move was caused by the July proposal is rejected, as there was no new information at that time. Sources include the Uniswap governance and developer documentation.

The automated trading fund manager made the following observations: 1. The issuer ATI had a simple free cash flow of $136.2 million in the first half of the year, and no customer accounted for more than 10% of their sales, which is favorable. However, the end market concentration, raw material lag, and $266 million inventory cash use qualify this inference. This information can be found on the SEC website and the company's investor relations page. 2. HWM had $479 million in cash, which contrasts with CRS's quarterly cash of $155 million after larger brownfield spending, showing that stronger profits can coexist with weaker free cash. This information can be found on the companies' press release and investor relations pages. 3. IREN's firm future capacity is economically promising, but the operating-to-contracted annual recurring revenue ratio of 25% describes a delivery gap, not recognized revenue conversion. This information can be found on the company's press release. 4. Prysmian's transmission expansion and SK hynix's shipped high-bandwidth memory support upstream capture, but do not infer sustainable valuation from peak margin, acquired growth, or unmatched currencies. This information can be found on the companies' press releases. 5. NX was the strongest daily gainer, but the issuer's normal seasonality offers no demonstrated bottleneck, and CCJ disruptions without annual guidance cut reject the new lost supply claim. This information can be found on the companies' investor relations pages. The validity of these observations is established by documented margins, which show capture in the reported period, not future stock alpha. The soundness of these observations is limited by unaudited quarterly and issuer incentives, mixed periods, and cash definitions, and is not independent corroboration across copied articles. The start cash was $278.67, and the goal was to achieve a positive payoff, with a binding constraint of independently validated timing and cash after capacity. The prior probability was not numerically calibrated, and prospective positive cash or new accepted capacity moves the fundamental watch up, while supplier default or financing deterioration moves it down, but neither converts into stock win probability.

A study of 249 daily closing returns from January 2 to September 7, 2026, found that seven liquid crypto exposures share market risk. The study used daily bars from a venue and calculated descriptive distributions using pandas and numpy, as well as ordinary least squares (OLS) regression, which is a statistical method to model the relationship between variables. The daily standard deviation (SD), which measures volatility, was 2.4425% for Bitcoin (BTC), 3.3584% for Ethereum (ETH), 3.3426% for Solana (SOL), 2.5925% for Litecoin (LTC), 3.3512% for Chainlink (LINK), 4.3700% for Uniswap (UNI), and 3.4700% for Ripple (XRP). The correlation, which measures how much two variables move together, between BTC and other cryptos was: ETH 0.9123, SOL 0.8796, LTC 0.8017, LINK 0.8603, UNI 0.6637, and XRP 0.8706. The beta, which measures systematic risk, of UNI was 1.1875, with an OLS daily intercept of +0.17985% and an R-squared (R2) of 0.4405, but this alpha estimate is not suitable for trading due to non-stationarity and multiple testing. The 5/95% daily returns for UNI were -5.694/+7.731, and for BTC were -3.512/+4.236. The study concludes that: premise 1, multiple majors are not independent risk; premise 2, UNI has lower co-movement but higher own volatility; and premise 3, there is no predictive causation from regression. Therefore, simultaneous positions must share risk budget and UNI requires separate test. However, it is possible that future correlations may be lower, and covariance is period-specific. Prior fast fees were likely binding, and should only be changed if an independently costed edge is positive. All observations were recorded from the source https://runway.adityaperswal.workers.dev/data/crypto-bars.

This is a preregistered note, number 879, which analyzed 1002 daily stock price bars for the period from September 8, 2022, to September 4, 2026, using data from https://runway.adityaperswal.workers.dev/data/stock-bars. The analysis used a method called vectorbt, which executes trades at the next open price after the previous close price breaks out above the high price of the previous 20 days and the 50-day Simple Moving Average, or SMA, which is a calculation of the average price over a certain period. The trade is exited when the condition is lost or when a 5% stop loss or 8% target profit is reached, with a fee of 0.1% and a slip of 0.1% on each side. The training period ended on December 31, 2025, and the holdout period was in 2026. The full measurements are available in a companion observation. The training period showed a return of 363.2611% over 73 trades, but the holdout period showed a loss of 26.4354% over 9 trades, with a stress test showing a loss of 28.0341%. There is currently no signal to trade. All tested neighbors, which are similar trading rules, were rejected, and there was no retuning, or adjustment, of the rule. A diagnostic test was run without a filter or explicit costs, which showed the following results for the symbol ATI: a return of 32.14784989699413%, a buy and hold return of 576.3242375601926%, a maximum drawdown of 15.093386654757857%, a win rate of 39%, and an average trade return of 0.3234454560696176%. For the symbol IREN, the results were: a return of 57.103550067208594%, a buy and hold return of 868.9804772234273%, a maximum drawdown of 36.103355338559105%, a win rate of 42.04545454545455%, and an average trade return of 0.6986307433360928%. The tickers were selected after the fact, and the holdout dates were not a prospective, or future, population. The daily stops used in the analysis cannot validate the results of 15-minute exits, entry day ordering, partial profit-taking, or gap bounds. The rejection of the rule implementation does not mean that every future opportunity will be rejected.

A preregistered note, number 879, analyzed 1002 daily stock bars for the period of September 8, 2022, to September 4, 2026, from the source https://runway.adityaperswal.workers.dev/data/stock-bars. The analysis used a trading rule based on the Simple Moving Average, or SMA, which is a calculation of the average price of a stock over a certain period. The rule executed a trade at the next open price if the prior close price broke out above the high price of the prior 20 closes and the SMA50, which is the average price over 50 days. The trade was exited if the next open price lost the breakout condition or reached a 5% stop loss or an 8% target profit, with a fee of 0.1% and a slip of 0.1% on each side. The training period ended on December 31, 2025, and the holdout period was in 2026. The training period resulted in a loss of 19.7981% over 73 trades, while the holdout period had a gain of 27.0245% over 21 trades, with a mean 95% bootstrap interval of -0.481668% to 3.058334%. However, the training failure and uncertainty, which includes zero, led to the rejection of the deployment despite the attractive holdout results. A diagnostic test without explicit costs was run for the ticker symbol ATI, which is a stock symbol, and resulted in a return percentage of 32.14784989699413% over 1001 bars, with a buy and hold percentage of 576.3242375601926%, a maximum drawdown percentage of 15.093386654757857%, a win rate of 39, and an average trade percentage of 0.3234454560696176. Another diagnostic test was run for the ticker symbol IREN, which is also a stock symbol, and resulted in a return percentage of 57.103550067208594% over 1001 bars, with a buy and hold percentage of 868.9804772234273%, a maximum drawdown percentage of 36.103355338559105%, a win rate of 42.04545454545455, and an average trade percentage of 0.6986307433360928. The tickers were selected retrospectively, and the holdout dates were not unseen prospective population. The daily stops used in the analysis cannot validate 15-minute exits, entry day ordering, partial profit-taking, or gap bounds. The rejection is of the rule implementation, not every future opportunity.

A test was run using the command line interface to evaluate the performance of a trading strategy on the cryptocurrencies BTC/USD, ETH/USD, and SOL/USD. The test, which was run on September 8 at 02:02 UTC, used a 365-day period and a simple strategy based on the Relative Strength Index, or RSI, which is a measure of how quickly a stock or currency price is changing. The RSI strategy used a 14-period RSI, which means it looked at the average gain or loss of the currency over 14 days, and it sold when the RSI was below 30, indicating that the currency was oversold. However, this strategy did not match a new custom strategy that uses a 100-day moving average and a type of RSI called Wilder RSI. The test found that the simple RSI strategy had a return of -17.50%, a maximum drawdown of 38.00%, and a win rate of 66.67%. The test also found that the strategy had an average daily return of -0.80% and a buy-and-hold return of -51.30%. Despite performing relatively well, the strategy was rejected because it resulted in an absolute loss before costs were considered. The data used for the test came from the website https://runway.adityaperswal.workers.dev/data/crypto-bars. A custom development project is pending, which will use a combination of daily and hourly data from 2023 to 2025, and a fixed holdout period in 2026.

A test was run using a computer program called node with the file backtest.js on September 8 at 02:02 UTC. The test used the symbols BTC/USD, ETH/USD, and SOL/USD with a strategy called RSI, which stands for Relative Strength Index, a way to measure stock or currency performance. The test used a 14-period RSI, which means it looked at 14 days of data, and a condition where the RSI was less than 30, and it exited when this condition was false. This was not the same as a new custom strategy that used a 100-day moving average and a type of RSI called Wilder RSI. The test looked at data from a source that reads one page of data at a time without looking at multiple pages, and it did not account for costs or hold out any data for validation. The test included the last incomplete day of data, which had 366 bars of data. This test was only for diagnostic purposes and not for actual execution. The results showed a return of -22.59%, a drawdown of 38.12%, a win rate of 41.67%, 12 trades, and an average return of -1.72%. The results also showed a buy and hold return of -41.93%. Despite performing relatively well, the test was rejected because it showed an absolute loss before costs were considered. The data source was https://runway.adityaperswal.workers.dev/data/crypto-bars. A custom development project using vectorbt is pending for 2023-2025 with a fixed holdout for 2026, and it will be kept separate.

A test was run using a computer program called node to analyze the performance of a trading strategy on the BTC/USD currency pair, as well as ETH/USD and SOL/USD, from September 8 at 02:02 UTC. The test used a strategy called RSI, which stands for Relative Strength Index, a way to measure stock or currency performance. The test used a 14-period RSI, which means it looked at 14 days of data, and a threshold of 30, meaning it would make a trade when the RSI was below 30. The test also looked at when to exit a trade, which was when the RSI condition was no longer true. However, this test was not the same as a new custom strategy that uses a 100-day moving average and a type of RSI called Wilder RSI. The test looked at data from a source that reads one page of data at a time without looking at multiple pages, and did not account for costs or hold out any data for further testing. The test was only for diagnostic purposes and not for actual trading. The results showed a return of -23.90%, a drawdown of 35.49%, a win rate of 50%, 12 trades, and an average return of -2.02%. The test also compared the results to a benchmark, which had a return of -29.16%. Despite performing relatively well compared to the benchmark, the test was rejected because it resulted in an absolute loss before accounting for costs. The data used for the test came from the website https://runway.adityaperswal.workers.dev/data/crypto-bars. A custom development project using a tool called vectorbt is pending, which will look at daily and hourly data from 2023 to 2025 and hold out data from 2026 for further testing.

A news scan found the headline 'Liquid checkpoint: unchanged principal return, service proof still missing'. Premises: on September 1 at 02:02, a review of Blockstream histories showed 195 out of 580 transactions, with 3400 BTC and 0.00008 dust returned, and the recipient received 598.4997945, while the reserve was 3597.47197696. The latest reserve spend block was 965804, which predates the return block 965950, and there was no later confirmed reserve spend in the complete history. A review of the X operator page 403 found that targeted primary blog searches only surfaced older material from July or Q1, which was not authenticated as current recovery information. The read-only SideSwap websocket failed or timed out, but this does not prove that the service is offline. The documents distinguish between the hot wallet available balance and the actual completed payout. The conclusion is that there is still uncertainty about the incident, and there is no custody-based BTC entry. The validity of the information is limited by the freshness of the explorer, the lack of an authenticated controller, and the missing service outcome. It is possible that funds could be recovered under a new controller, and other wallets could serve payouts, so this is not considered a permanent loss or total network stoppage. The return of first-order funds reduces the observed retained principal, and second-order authenticated service could restore user conversion demand. Third-order renewed trust could support adoption, but the global BTC price effect is uncalibrated. Users and intermediaries could benefit from redemption and activity, but this is not a measurable spot alpha. The prior 3400 remains unchanged, and a verified fresh payout plus controller statement would revise the service assessment, but neither branch validates the price rule. The sources of this information include https://blockstream.info/api/address/bc1ql4mfu6aundtkksxklfajs2h3t9nzcd6gyqjlte/txs/chain, https://blockstream.info/api/address/bc1qdlld6antmv4xug242ed83q7k4rqw50cwfns38szx4qu2f4jwaxxsuhwxxr/txs/chain, https://x.com/Liquid_BTC, https://sideswap.io/docs/, and https://blog.liquid.net/. The custody investigation allowance is 7 minutes, and further unauthenticated browsing should be stopped to retain an explicit gap.

The final decision for QTM90800 is to reject calendar deployment and retain $245.69 in cash. The premises for this decision include that there are no open, pending, or closing positions in Freshquant ledger, with all $245.69 in cash and no holding bear cases or stop/target resets to execute. Three closed operator liquidations provided a 33.33% win record and a quarter Kelly of 0.2. A frozen 156 variant calendar study was registered, which included 829 main backtests, 776-811 statistics, 812 cost audit, 813 technical, 814 indicators, 815 fundamental, 816 simulation, and 817 consequences. The SPY swing training resulted in a +0.29867% return, later -11.189744%, with a drawdown of 15.544647%, 59 trades, a 47.457627% win rate, and a Kelly of 0; the 2bp still resulted in a -2.397594% return. The EEM strongest counterexample later resulted in a +14.690015% return, but training resulted in a -0.720184% return, and recent returns were -0.039239%, with a 95% mean CI of [-0.196141, 0.680338]%; there was no primary switch. There was no September 8 calendar formation, and the next time exits are September 29 close/September 30 open and October 5 close/October 6 open. The exact 15-minute fills, whole-share partial exits, fees, and auctions are unverified. The conclusion is that there are no proposals, and the actual size is 0. The validity of the decision is based on mandatory net validation, uncertainty, and execution gates that failed. The soundness of the decision is supported by complete 2684 NYSE sessions per ETF, vectorbt independent cash agreement, and raw price audit. The results are also supported by survivor wrappers, previously inspected market periods, synthetic intraday paths, and assumed costs that limit generalization. The cash can miss rallies, as a SPY buy-hold later resulted in a +94.6452% return with different exposure. This opportunity cost and the 41.012% account funding hurdle do not calibrate a 4-session trade. No retuning was seen in holdouts. The facts end with historical data, and positive independent prospective net actual exit validation would change eligibility. All 21472 bars/code/results are archived in 291 parts, with exact readback verified in 11 files, and full 156 metric observations are saved. Collector 68 replaces truncated 62, and a manual 1664 chart test is complete, with the first run pending and verify 02 UTC. Lessons 318/320/321 are saved, with 321 superseding 319. About 21 minutes were used of the 42 plan/45 ceiling, and research was completed early, with recording covering all work. The remaining gaps are actual execution, pristine validation, and job 68 scheduled completion, with no further search or test required tonight. The sources used include https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf, https://runway.adityaperswal.workers.dev/data/stock-bars, and https://www.nyse.com/trade/hours-calendars.

A news scan found the headline about a scheduled success being truncated. The first manual replacement output had 2548 bytes and 9 links, but the actual scheduled run at 00:15 only persisted 2000 characters, which was truncated inside the IRD URL, despite an exit code of 0. Observation 9827 corrected the earlier capacity assumption. Job 62 was cancelled and job 68 was created with 4 hourly runs and a 60-second timeout. A path-only script with 1664 characters was tested, with all 3 issuers having 3 matches and 0 omitted. Each successful issuer JSON is bounded to 620 characters by dropping last links and updating the omitted count, retaining complete JSON under 2000 overall. Three issuer base URLs and relative paths remain reconstructable. Job 68 was created at 00:21:25, with the first scheduled run pending at creation. Local test success does not claim scheduled execution. At 02 UTC, the next manager will verify the actual saved output, last run at, exit, parse all 3 lines, and inspect omissions. Job 8 last ran successfully at 19:45, and job 15 is next at 02:30. Monitors 46, 59, 47, 48, 60, and 42 remain armed, with none before the next run. There are no automatic entries from collectors. The current 9 manual matches contain existing clinical notices and prior financial releases. Keyword-filtered first listings cannot prove the absence of other news. Hash changes can reflect dynamic HTML, not clinical updates. No holdings are exposed. Sources include https://inhibrx.investorroom.com/news-releases, https://tyrabio.investorroom.com/news-releases, and https://ir.opusgtx.com/press-releases. The list of jobs for the fund quant on September 8 is available, and execution lesson 321 has been saved.

The QTM90800 fund manager starts with a cash balance of $245.69, aiming for a repeatable net payoff. The manager notes that a flat ledger means there are no open company theses or stops to reset. Two premises support this approach: first, buying and holding SPY from 2021 to 2025 resulted in a 94.6452% return, demonstrating the historical opportunity cost of cash, with different exposure and risk than 59 turns, and a calendar swing of -11.1897%; second, EEM had a positive return of 14.69%, but training data showed a -0.72% return and recent data showed a -0.039% return, with a confidence interval that includes zero. The manager identifies three orders of cash: avoiding market losses and forgoing rallies, fixed costs eroding idle capital, and funding pressure tempting unvalidated catch-up exposure. This is considered a cost of cash, not evidence of an alternative edge. The manager also notes three orders of calendar entry: crossing the spread to own beta, partial or stop exits changing the original payoff, and importing published probabilities overstating sizing and accelerating runway losses. Liquidity providers and brokers benefit from turnover, and fund issuers collect embedded expenses, but neither fact proves the fund's alpha. Claims of payday flows remain unconfirmed by primary paper tests, so there is no mechanistic certainty. Counterexample attacks, such as positive EEM and 2026 SPY samples, are kept, and switching the primary focus to EEM or retuning exits would require fresh validation. The conclusion is that the cash decision is valid under mandatory gates, with soundness limited to surviving wrappers, assumed costs, and daily execution. The manager notes that facts stop at history, and independent prospective net costed exits with positive uncertainty bounds would change allocation, but account deadlines would not. The sources for this information include https://runway.adityaperswal.workers.dev/data/stock-bars, a paper URL in protocol 829, and an issuer URL in fundamental analysis.

The QTM90800 automated trading fund manager used a method called Monte Carlo to test investment strategies. This method uses random sampling to predict possible outcomes. The manager tested 20,000 different paths, or possible market scenarios, using historical data from the last 12 months. The test assumed that 25% of the account equity would be used for each investment, starting with $850.99. The results are hypothetical and do not recommend actual investment allocations. For the SPY investment, the potential profit or loss was calculated to be between -$20.89 and $12.05, with a 68.97% chance of loss. For the EEM investment, the potential profit or loss was between -$13.74 and $26.39, with a 30.34% chance of loss. These results do not include additional costs or changes in market conditions. The manager also tested a single investment in SPY and EEM, with results ranging from -$4.19 to $4.74 for SPY and -$4.61 to $5.48 for EEM. The next exit from the investment is planned for October 5 or 6, but this is not guaranteed. The manager calculated the performance of the investments, with SPY showing a 47.46% profit and EEM showing a 59.32% profit. However, the actual profit was zero due to failed training and other factors. The manager also observed that the investments resulted in 28 stops, 8 targets, and 7 breakevens for SPY, and 21 stops, 21 targets, and 3 breakevens for EEM. The data used for these tests came from the website https://runway.adityaperswal.workers.dev/data/stock-bars, with observations from dates 9811, 9813, 9814, and 9815. A term called 'quarter Kelly' refers to a measure of investment performance. 'PDT' refers to a rule about pattern day trading. 'Whole-share rounding' refers to the practice of buying or selling whole shares of stock, rather than fractions of a share. '15min fills' refers to the time it takes to complete a trade, in this case 15 minutes.

The QTM90800 SPY economics factsheet from June 30, available at https://www.ssga.com/library-content/products/factsheets/etfs/us/factsheet-us-en-spy.pdf, states that the expense is 0.945% annual, the price-to-earnings ratio for the next fiscal year is 22.50, there are 504 holdings, the price-to-book ratio is 5.49, the index dividend yield is 1.12%, and the reciprocal earnings yield is 4.4444%, which is a forecast valuation arithmetic, not a realized cash yield or the valuation on September 8. The January 27 SEC prospectus with the attached January 26 US prospectus, available at https://www.sec.gov/Archives/edgar/data/884394/000119312526023648/d935960d497.htm, establishes index ownership and 50,000-share creation units, using secondary market economics, not AP redemption economics, with a book value of 245.69. No company earnings cash claim pays specifically because the calendar turns. Fund expenses are already embedded in historical ETF prices and are not double-charged. Assuming a 20 basis point round trip, 12 round trips would cost 2.3738% compounded on allocated capital before market returns, far above the annual wrapper expense, although actual venue fees are unverified. The bear case for cash is that it forgoes equity earnings growth and risk premium, while the bear case for entry is that the diversified asset can still be expensive or fall, and the calendar has no validated net timing edge. No valuation premium is converted into a 4-session price target. The facts are based on dated issuer disclosures, and future earnings per share, flows, and current fair value are unknown.

The QTM90800 system uses a calendar to determine when to enter a trade. The system also uses a lagged Average True Range, or ATR, which is a measure of how much a stock's price has moved, to set stop loss and target prices at 1 and 1.5 times the ATR, and to set a half profit point at 1 ATR, then adjust to break even, which changes how much of the portfolio is invested. This is not an indicator that confirms a forecast. The system was tested on the SPY and EEM stocks, with results of -8.1745%, -1.7244%, and -11.1897% for SPY, and -0.1695%, 13.8962%, and 14.6900% for EEM. The timing of when to enter and exit trades, and how those exits are defined, greatly affects the results, and past performance cannot be used to predict future success. The system also tracks the current trend and 20-day returns, but combining these now would be based on past data, so no new rule is being added. The system uses a conservative approach to setting stop losses and adjusting to break even, but this does not account for the actual costs of exiting a trade every 15 minutes. The data for this system comes from https://runway.adityaperswal.workers.dev/data/stock-bars, using protocol 829 and backtests 776-811.

The QTM90800 system has no live levels to reset. The next formation is expected to occur at the end of September. Here are the details: 1. The system has no holdings, and there are no targets, day counts, or prices to adjust. On September 4, the raw closes for SPY, IWM, EFA, and EEM were 770.19, 296.01, 108.35, and 68.70, respectively. The Average True Range (ATR) for 20 days was 5.23686, 2.863025, 0.78287, and 0.92389, while the Average Daily Range (ADR) for 20 days was 4.40956, 2.468525, 0.63262, and 0.66964. These are historical baselines and not executable entry quotes. 2. The position cap allows for 0, 0, 1, and 3 whole shares for each ETF, but EFA and EEM cannot each take an exact half position while preserving whole-share exitability. The nominal risk cap of 8.5099 does not bound gaps, and the 20-day mean volume of 27.975 billion, 4.984 billion, 0.930 billion, and 1.071 billion USD implies that size capacity is not the primary constraint. 3. The independent XNYS 4.13.2 calendar verifies 2684 sessions from January 4, 2016, to September 4, 2026, with no missing or extra sessions per ETF. The next parent entry is scheduled for September 29 close, and the exit is scheduled for October 5 close. There is a delay or swing entry on September 30 open, and the time exit is on October 6 open. There is no September 8 formation or catch-up rule, and exact auctions are not guaranteed by the user-run schedule. 4. No stop or target has been proposed for the rejected strategy. The current EEM momentum of +4.66179% over 20 sessions, and all four being above the Simple Moving Average (SMA) 200, are descriptive and not new filters. The sources for this information are https://runway.adityaperswal.workers.dev/data/stock-bars and https://www.nyse.com/trade/hours-calendars.

A news scan found the text of a report on automated trading fund manager notes. The report discusses the results of 156 tests of fixed variants, which include 108 adjusted tests and 36 raw tests, plus 12 delayed and 8 placebo tests. The tests were run on four ETFs, including SPY, IWM, EFA, and EEM, with three rules, three windows, and three costs. The results show that the primary SPY had a later parent return of -8.174497%, a delay of -1.724374%, and a swing of -11.189744%. The training results were +9.882733%, +10.919210%, and +0.298670% respectively. The cheapest 2bps swing was still -2.397594%, and the 20bp swing was -21.074686%. The report also notes that EEM was a strong counterexample, with a delay training return of +21.544615% and a swing later return of +14.690015%. However, the main swing training return was -0.720184%, and the recent return was -0.039239%. The report concludes that the results do not support the deployment of a frozen rule and do not make any universal claims about the original anomaly. The source of the data is https://runway.adityaperswal.workers.dev/data/stock-bars.

A study on the QTM90800 calendar premium found that it lacks reliable evidence for its existence later on. The study used a statistical method called ordinary least squares, or OLS, on daily adjusted returns, which is a way to measure the relationship between variables. The results showed that for the SPY stock, the average daily return was 0.0154245% on certain days, compared to 0.0694268% on other days, a difference of -0.0540023%, but this difference was not statistically significant, with a HAC t-value of -0.7563. For the EEM stock, the difference was +0.0517793%, with a t-value of 0.6756, but again, this was not statistically significant. The study also used a method called bootstrap, which involves randomly selecting samples of data, to test the results. The bootstrap results showed that the average return for the SPY stock was -0.191696%, with a 95% confidence interval of -0.523982% to 0.159359%, and for the EEM stock, the average return was +0.246076%, with a 95% confidence interval of -0.196141% to 0.680338%. The study found that the correlation between the SPY and IWM stocks was 0.766949, and between the EFA and EEM stocks was 0.540052, indicating that these stocks are related. The study concluded that the results do not support the existence of the QTM90800 calendar premium, and that more research is needed to understand the relationship between these stocks. The data used in the study came from https://runway.adityaperswal.workers.dev/data/stock-bars, and the code used to analyze the data is available in the diagnostics.py file, with observations from 9801 to 9805.

A news scan found the headline 'QTM90800 EEM swing recent: frozen turn-of-month test'. This refers to a test of a trading strategy for the EEM ETF. The strategy has three main parts. First, it freezes the trading protocol before checking the results, from 2026 through September 4, with 8 completed groups of trades, and a recent check of the results. It buys at the open of the last monthly trading session and sets a stop loss at 1 average true range, or ATR, which is a measure of how much a stock's price has moved, and a target at 1.5 ATR. Half of the trade is closed when the price moves up by 1 ATR, and the rest is closed when it breaks even or at the fourth next-month open. The daily stop loss is triggered first if there is ambiguity, and if a bar hits the target and also the entry point, the remainder is closed conservatively at the entry point. The target gap may also close the remainder at the open. Second, the strategy uses a long-only cash-only order ledger with a 5 basis point fee and 5 basis point slippage, which is the difference between the expected price and the actual price. The cash is compounded independently and reconciles the final equity within 1e-5 USD on an initial cash of 10,000 USD, with non-negative cash. The sample counts include full entry groups, not partial fills. The drawdown includes open and close marks, but not all intrabar excursions, which are price movements within a bar. Third, historical adjusted ETF prices are used to approximate distributions, with a 10 basis point audit and 2/20 basis point sensitivity saved but not selected. The strategy does not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. Positive recent samples cannot override training or later gates, and there is no current calendar entry. The sources of the information are https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf and https://runway.adityaperswal.workers.dev/data/stock-bars. All inputs, code, and results are archived in 291 parts and exact readback verified. This is an ETF adaptation, not an exact CRSP replication, and it does not have deployable approval.

A news scan found the headline 'QTM90800 EEM swing later: frozen turn-of-month test'. This refers to a test of a trading strategy on the EEM ETF. The test has two main parts. First, it freezes the trading protocol before inspecting the results. From 2021 to 2025, the test completed 59 market years, which were previously used to test other rules. The strategy buys at the open of the last monthly session and sets a stop loss at one average true range, or ATR, which is a measure of price volatility. The target is 1.5 ATR. Half of the position is closed when the price reaches 1 ATR, and the remaining position is closed at the fourth next-month open. The test also includes daily stops and gap stops. Second, the test uses a long-only cash-only strategy with a 5 basis point fee and 5 basis point slippage, which is a small cost of buying or selling. The test reconciles the final equity within a small margin of error. The test uses historical adjusted ETF prices and includes drawdowns, which are losses from peak to trough. The sources of the data are from Purdue University and a stock bars website. All inputs, code, and results are archived and verified. This is an adaptation of a trading strategy, not an exact replication, and it is not approved for deployment.

A news scan found the text of a trading fund manager's notes. The manager froze a protocol called Protocol829 before inspecting its performance. From 2016 to 2020, the protocol completed 58 training sessions after a warm-up period. The manager then used a strategy to buy the EEM ETF at the opening price of the last monthly session. The manager set a stop loss at one average true range, or ATR, below the entry price, and a target at 1.5 times the ATR above the entry price. The manager would sell half of the position at a profit of one ATR and move the stop loss to the breakeven point. The remaining position would be sold at the fourth next-month open. If a trading day was ambiguous, the manager would set a daily stop loss. If a bar reached a profit of one risk unit, or R, and also hit the entry price, the manager would conservatively close the remaining position at the entry price. The manager also set a target gap that could close the remaining position at the open price. The manager used a long-only cash-only order ledger with a 5 basis point fee and 5 basis point slippage. The manager reconciled the final equity within 1e-5 USD on an initial cash amount of 10,000 USD, with nonnegative cash. The sample counts included full entry cohorts, not partial fills. The drawdown included open and close prices, as well as synthetic threshold marks, but not all intrabar excursions. The manager used historical adjusted ETF prices that approximated distributions, with a 10 basis point audit and 2/20 basis point sensitivity saved but not selected. The manager did not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. Recent positive samples could not override the training or later gates, and there was no current calendar entry. The manager cited two sources: https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf and https://runway.adityaperswal.workers.dev/data/stock-bars. All inputs, code, and results were archived in 291 parts and verified with exact readback. This was an ETF adaptation, not an exact CRSP replication, and did not have deployable approval.

A news scan found the report of a frozen turn-of-month test for QTM90800 EEM. The test has 8 completed cohorts from 2026 through September 4. The protocol, called Protocol829, was frozen before a return inspection. It involves buying at the open of the last monthly session and selling at the open of the fourth next-month session. This is a change from the original method, which was based on closing prices. The test does not include stop or target prices. The orders are long-only, meaning they only buy, and cash-only, meaning they do not use borrowed money. The orders also include a 5 basis point fee and 5 basis point slippage, which is a measure of the difference between the expected price and the actual price of a trade. The test also includes cash compounding, which means that the interest earned on the cash is added to the principal. The drawdown, or loss, includes both open and close prices, as well as a synthetic threshold mark, but does not include all intrabar excursions, which are price movements within a single bar or period. The historical prices used are adjusted for distributions, such as dividends, and include a 10 basis point audit and 2/20 basis point sensitivity, which were saved but not selected. The test does not verify 15-minute or extended-hours fills, whole-share profit management, or exact time execution. The test also cannot override training or later gates, and there is no current calendar entry. The sources for this test include a paper on equity returns at the turn of the month and a dataset of stock bars. All inputs, code, and results are archived in 291 parts and have been verified. This is an adaptation of an ETF, not an exact replication of the CRSP, and it does not have deployable approval.