Stats

Ran mandated CLI node /app/agent/dist/backtest.js --symbols BTC/USD,ETH/USD,SOL/USD --strategy breakout --lookback20 --days730 (actual flag --lookback 20). Results [{"symbol":"BTC/USD","bars":731,"return":26.56435652025784,"drawdown":13.536723623989971,"win_rate":34,"sample":50,"buy_hold":41.818806966095835},{"symbol":"ETH/USD","bars":730,"return":28.039005217366153,"drawdown":24.943256404302108,"win_rate":21.052631578947366,"sample":38,"buy_hold":3.734854432360324},{"symbol":"SOL/USD","bars":731,"return":75.2056289097867,"drawdown":18.79539437658838,"win_rate":52.94117647058824,"sample":34,"buy_hold":-21.20949655865749}]. This control includes current-day partial data because CLI omits an end cutoff, has varying731/730 bars, uses same signal-close fills, no fees/slippage, no independent chronological holdout and no intrabar-mark drawdown. Hence not directly same window as registered experiment and not positive sizing evidence. Full CLI JSON saved artifacts/cli.json. Source /app/agent/dist/backtest/{bars,strategies,engine}.js and https://runway.adityaperswal.workers.dev/data/crypto-bars . This fresh control demonstrates why published positive exploratory returns can coexist with rejected next-open net holdouts. The registered vectorbt tests, not this control, govern current verdict.

Same registered DAILY prior20-close signal, made available at next UTC00:00, held constant through each following day and filled at hourly OPEN. Not a20-hour strategy. Vectorbt cost25bp fee+5bp slippage each side, Jan1-Sep4 2026 diagnostic holdout, warmup from Sep2024; previously inspected history is not independent OOS. All returns/payoffs match daily implementation; marking every hour exposes deeper drawdowns. Results: [{"symbol":"SOL/USD","variant":"daily20 executed hourly","fee_bps":25,"slip_bps":5,"return":22.226119845043105,"drawdown":15.009666757160833,"sample":12,"win_rate":50,"avg_win":6.123110672490873,"avg_loss":2.2699029810825238,"open":0,"independent_ledger_match":true},{"symbol":"SOL/USD","variant":"daily20 executed hourly","fee_bps":50,"slip_bps":10,"return":13.735080474897297,"drawdown":18.992889444253546,"sample":12,"win_rate":50,"avg_win":5.5004578599669145,"avg_loss":2.863152872851584,"open":0}]. Separate cash/quantity ledger matches baseline to numerical precision. Initial replication failed due object-typed boolean after forward filling (bitwise complement became integers); explicitly cast bool, reran JIT and asserted ledger equality before recording final results. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Files extended_audit.py, artifacts/daily-on-hourly.json, ledger-verification.json under /tmp/codex-run-fYGHo5. Costs approximate asset-denominated fee as cash; no executable stop/target or15-minute exit delay model. Missing one shared hourly holdout bar retained as gap. Positive SOL result remains selected,N12, uncertain; no entry authorization.

Same registered DAILY prior20-close signal, made available at next UTC00:00, held constant through each following day and filled at hourly OPEN. Not a20-hour strategy. Vectorbt cost25bp fee+5bp slippage each side, Jan1-Sep4 2026 diagnostic holdout, warmup from Sep2024; previously inspected history is not independent OOS. All returns/payoffs match daily implementation; marking every hour exposes deeper drawdowns. Results: [{"symbol":"ETH/USD","variant":"daily20 executed hourly","fee_bps":25,"slip_bps":5,"return":-15.569340386315634,"drawdown":25.32511446164405,"sample":14,"win_rate":21.428571428571427,"avg_win":4.470243968974899,"avg_loss":2.6860993280793997,"open":0,"independent_ledger_match":true},{"symbol":"ETH/USD","variant":"daily20 executed hourly","fee_bps":50,"slip_bps":10,"return":-22.371892459130414,"drawdown":30.928453319792336,"sample":14,"win_rate":21.428571428571427,"avg_win":3.8533815805712788,"avg_loss":3.277891175251558,"open":0}]. Separate cash/quantity ledger matches baseline to numerical precision. Initial replication failed due object-typed boolean after forward filling (bitwise complement became integers); explicitly cast bool, reran JIT and asserted ledger equality before recording final results. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Files extended_audit.py, artifacts/daily-on-hourly.json, ledger-verification.json under /tmp/codex-run-fYGHo5. Costs approximate asset-denominated fee as cash; no executable stop/target or15-minute exit delay model. Missing one shared hourly holdout bar retained as gap. Positive SOL result remains selected,N12, uncertain; no entry authorization.

Same registered DAILY prior20-close signal, made available at next UTC00:00, held constant through each following day and filled at hourly OPEN. Not a20-hour strategy. Vectorbt cost25bp fee+5bp slippage each side, Jan1-Sep4 2026 diagnostic holdout, warmup from Sep2024; previously inspected history is not independent OOS. All returns/payoffs match daily implementation; marking every hour exposes deeper drawdowns. Results: [{"symbol":"BTC/USD","variant":"daily20 executed hourly","fee_bps":25,"slip_bps":5,"return":-7.441465595179779,"drawdown":16.52065691493495,"sample":18,"win_rate":27.77777777777778,"avg_win":3.1215858415895776,"avg_loss":1.561427356348179,"open":1,"independent_ledger_match":true},{"symbol":"BTC/USD","variant":"daily20 executed hourly","fee_bps":50,"slip_bps":10,"return":-17.16508600402671,"drawdown":22.847963674830375,"sample":18,"win_rate":27.77777777777778,"avg_win":2.5094481551442414,"avg_loss":2.1571592234255834,"open":1}]. Separate cash/quantity ledger matches baseline to numerical precision. Initial replication failed due object-typed boolean after forward filling (bitwise complement became integers); explicitly cast bool, reran JIT and asserted ledger equality before recording final results. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; https://docs.alpaca.markets/us/docs/crypto-fees . Files extended_audit.py, artifacts/daily-on-hourly.json, ledger-verification.json under /tmp/codex-run-fYGHo5. Costs approximate asset-denominated fee as cash; no executable stop/target or15-minute exit delay model. Missing one shared hourly holdout bar retained as gap. Positive SOL result remains selected,N12, uncertain; no entry authorization.

Executed node /app/agent/dist/backtest.js --symbols FRO,STNG --strategy breakout --lookback20 --days730 --stop-pct3 --target-pct6 (actual flag uses space: --lookback 20). Fixed diagnostic baseline; not strategy selection or fresh independent holdout. FRO return3.57694%,DD18.75681%,win33.3333%,N51; STNG16.44747%,DD11.37013%,win41.1765%,N34;502 bars each. Mean trade0.11895%/0.50102%,buyhold107.32255%/20.49312%. Source inspection /app/agent/dist/backtest/engine.js and strategies.js proves same-signal-close entry, exact stop/target fills, no fees/slippage; bars.js uses IEX and does not follow next_page_token or specify adjustments. Therefore reject CLI as executable edge. Corrected independent implementation/backtests36/37 use explicit next-open fills and costs, with training/holdout separation. Results differ in rule, period, accounting and costs; cannot attribute all difference to timing alone. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; artifacts/cli.json. Library runtime vectorbt1.1.0,numpy2.4.6,pandas3.0.5. No trade follows CLI.

Premise1: issuer IBIT page https://www.ishares.com/us/products/333011/ishares-bitcoin-trust-etf reports Sep3 shares1,375,120,000, NAV46.13; Sep4 creations unavailable. Search snippet for Sep1 versus refreshed live page is not auditable daily flow. AUM/trading volume are not creations. Premise2: https://ethereum.org/roadmap/glamsterdam/ says Sepolia Sep28, mainnet Q4 date unconfirmed. https://blog.ethereum.org/2026/08/24/glamsterdam-repricing-testing dated Aug24 identifies contract compatibility risks under EIP8037/8038; most contracts unaffected and many issues fixable with gas-limit changes. Premise3: https://solana.com/upgrades lists Agave4.3/Alpenglow October, while https://solana.com/upgrades/alpenglow retains Q3 expectation; no exact mainnet date confirmed. Premise4: https://www.circle.com/transparency current numerical fields did not render, so stablecoin supply growth is unknown. Conclusion: no issuer-supported dated-price catalyst justifies new position. Validity: network capacity improvements do not logically ensure token appreciation. Soundness: sources closest to implementation are commercially/ecosystem interested; missing token fee/burn/issuance and valuation series prevent fair-value calculation. We did not quantify exchange flows or unlock inventories and do not assert none exist. Strong bear case: fees per unit can fall faster than usage grows, technical rollout can delay, and ETF demand narrative may mistake price-driven AUM changes for new buying. Strong counterargument: successful upgrades may improve demand and reduce costs, but expected benefits can already be priced. This is qualitative fundamental analysis, not a token valuation model. No stock/options or new-fund proposal follows. ETH monitor10 reviews Sep28 at00UTC, explicitly a chosen review time rather than activation hour; success requires subsequent tested response, failure/delay retains zero exposure.

CHWY Q1 issuer baseline: sales+7.7%, active customers+3.6%, Autoship84.4% of sales, net income94.8m versus adjusted179.9m, SBC/taxes73.4m, FCF70.8m. Bear case: repeat purchasing does not guarantee accelerating customers or durable margins, and adjusted earnings exclude meaningful equity compensation. First order consumer/product mix can pressure margin; second fulfillment/healthcare spending could absorb cash; third valuation requires sustained profitable growth beyond already-public Q1 figures. Strong countercase gross margin30.1%, rising FCF and repeat sales support resilience; no contemporary consensus or verified valuation estimate established, so no claim of overvaluation. Source June10 issuer https://investor.chewy.com/news-and-events/news/news-details/2026/Chewy-Announces-First-Quarter-2026-Financial-Results/default.aspx . GME Aug31 preliminary release already discloses investment gain238m and digital-asset loss75m, with complete resultsSep8; bear case headline earnings incorporate investment marks rather than solely store economics. First order marks affect earnings; second asset mix adds market exposure; third release-date surprise is diminished by preliminary disclosure. Countercase investment value may be real and balance-sheet optionality may matter. Source https://investor.gamestop.com/news-releases/news-details/2026/GameStop-Announces-Second-Quarter-2026-Preliminary-Results/default.aspx . Premises support research-only watches, not quantified share-price downside. Start cash; binding constraint actual surprise expectations plus independent event edge, absent. CHWY monitor12 armed; old generic GME rule remains rejected.

All values use completed Sep4 all-adjusted IEX bars, not consolidated executable quotes. IONS58.10 below SMA20/50 59.47/61.23, RSI44.88; MIRM100.89 above SMA20 98.98 but below SMA50 109.04, RSI48.47; RARE15.26 after +2.86% day remains41.09% down over20sessions, RSI21.12. Oversold alone does not validate a rebound. Friday ADBE fell6.73% to266.51; no causal headline attribution made. CHWY23.67 above SMA20/50 23.35/22.25 with RSI54.27, ADR20 $.88125; two ADR gives hypothetical25.4325, near20-day high25.37. A stop under20-day low21.965 would give only about1.03 reward/risk to that target; tightening to oneADR only creates geometry, not demonstrated invalidation. Do not stretch target to satisfy1.5. KR58.58 above both averages; GME19.17 remains below SMA50 20.26. Combined trend/momentum/range is descriptive; failed event holdout overrides visual optimism. Current cap49.14 permits2CHWY,2GME,3RARE whole shares at reference closes and0IONS/MIRM/KR/ADBE, before costs. Affordable does not mean eligible. Three old trades had original RR1.40IONS,1.08MIRM,1.72RARE, with RARE realizing-6.44R from gap. No holdings exist and no real exits need adjustment. Strong countercase a rally could occur; no validated return distribution or attainable thesis-specific stop supplies an order. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; full diagnostics observations164-171 (hash field corrected separately), ledger observation172.

Diagnostic simulation, not a strategy backtest or forecast. Python numpy seed 20260905 draws 20,000 nine-session paths by jointly resampling the last 252 CHWY daily gap/open, high/open, low/open and close/open vectors. Reference $23.67; one measured ADR stop $22.78875, two ADR target $25.4325. Stop takes precedence on ambiguous both-touch days; stop gaps fill at worse open, targets at limit; 10bp cost per side. Target 25.955%, stop 67.22%, time exit 6.825%, positive returns 30.625%, mean -0.787%; return 5/50/95 percentiles -4.095/-3.915/+7.231%. This assumes IID stationary daily vectors, includes historical earnings gaps, and does not resolve 15-minute monitoring or intraday liquidity; target touches may not execute, so simulated probabilities are not executable edge estimates. Counterexample conditional pre-event behavior may differ from ordinary days, but the separately preregistered event holdout also failed. No nine-session entry remains before current Sep9 event; geometry is hypothetical. Separate hard stress: RARE actual loss45.8601% would cost $22.54 on fund49.14, or2.648% of total equity. At1% equity risk8.5108, same-gap maximum notional18.558; zero-recovery maximum8.5108. Neither is permission to trade, and observed gap is not a worst-case bound. Quarter-Kelly from event holdout is clipped0, hence actual proposed notional0. Validity: measured adverse diagnostics do not support risk; soundness bounded by stationary and daily-execution assumptions. Source https://runway.adityaperswal.workers.dev/data/stock-bars and direct Catalyst ledger, retrieved Sep5; exact outputs observation172 and artifacts/risk.py,risk.json.

Sep4 completed IEX daily bars: FRO46.15 above prior20 closes45.43 and SMA20/50/20042.850/39.820/33.599; STNG82.345 above81.46 and78.463/77.164/71.137. Both trend+breakout indicators align, but they are correlated transformations of price, not independent corroboration of fundamentals. Day moves+1.607%/+2.867%,20-session moves+16.188%/+8.185%. ADR20=1.23575/1.67, ATR14=1.55321/1.91107. Diagnostic2-ADR targets at these closing reference entries would be48.6215/85.685;1-ADR stops44.91425/80.675, not orders or support-level claims. Actual next-session opening entry, tick rounding, dividend and15-minute execution need revalidation. FRO planned dividend2.61 exceeds two recent daily ranges, making mechanical raw-price exits particularly unsafe across ex-date; NYSE expectedSep18 per issuer attachment, monitor11 set for prior close review. Flat book means no current stop/target reset. Maximum single position212.77, fund278.67, nominal equity loss budget8.5108; price gap can exceed nominal stops. No validated entry permitted despite signals. Data source https://runway.adityaperswal.workers.dev/data/stock-bars ; dividend https://ml-eu.globenewswire.com/Resource/Download/59431810-8e9c-4a39-b3d0-cc2dd63da402 . IEX partial-market prices, not consolidated official closes; recent SIP request denied403. Research watch12 stores same split-adjusted close/range definitions, no automatic adoption.

Numpy simulation uses naturally completed net all-adjusted holdout returns from tests36/37;10000 paths circular blocks of3 trades, seed501, marks each outcome and compounds10% of changing equity per trade. No fabricated Gaussian drift. FRO41-trade path terminal return p5/median/p95=-2.729/2.062/7.332%;24.17% lose money,95th-percentile trade-step drawdown4.478%. STNG38-trade path=-2.168/1.400/5.000%;25.74% lose,p95DD3.592%. This is a hypothetical number-of-trades horizon, not a forecast through month-end; downtime, intratrade paths, new gaps and regime changes absent. Binary mean-payoff quarter-Kelly capital heuristic .25*(p/Wloss-(1-p)/Wwin) gives81.88% FRO,66.75% STNG; using .25*(p-q/(Wwin/Wloss)) instead measures loss-risk fraction, not notional. Neither unstable plug-in justifies capital, and venue cap25% would bind anyway. Lower confidence mean is negative, so conservative authorized size0. At hypothetical10% account allocation85.108 dollars, median compounded gains are too small/uncertain to justify chasing348.92 monthly shortfall. Premises: sampled history is best available diagnostic; sampled mean uncertainty spans0; model lacks implementation fidelity. Conclusion: zero proposal valid under required robust edge, not proof losses inevitable. Source https://runway.adityaperswal.workers.dev/data/stock-bars ; raw/code artifacts and archive97-99. This is research simulation, no executed portfolio.

Premise1: all-adjusted daily returns Jan2025-Sep42026,420 paired rows, give FRO/STNG Pearson0.7506; OLS stock return on SPY plus intercept slopes0.6291/0.4025. Low market beta does not mean low shared tanker exposure. Premise2: corrected natural-exit samples41/38 trades, FRO mean0.53025%, STNG0.37899%, differ from two operator liquidations which cannot calibrate average loss. Premise3:10000 circular moving-block resamples of3 consecutive trades, seed501, yield95% percentile mean intervals FRO[-0.87436,1.95854]%, STNG[-0.75304,1.45383]%. Resample means positive76.17%/74.69%; these are resampling frequencies, not Bayesian probabilities that current trades win. Conclusion: evidence cannot robustly separate positive mean from zero; original two-ticker diversification is overstated. Valid inference only for selected histories; current two-name survivor selection, earlier historical inspection, small N, overlapping market exposures and possible regime shifts limit soundness. Bootstrap cannot invent missing tail events or audit dividend/15-minute fills. Prior neutral-to-cautious unchanged. Independent prospective net outcomes with a positive lower mean interval and actual execution/corporate-action handling would change eligibility; a lower bound<=0 keeps policy size0. No multiple-test corrected significance claimed. Source https://runway.adityaperswal.workers.dev/data/stock-bars retrieved Sep5; code archived notes97-99; observations110/111 superseded for FRO payoff estimates by198; backtests36/37 contain final figures.

Preregistered note92 audit: close[t]>max(previous20 closes); hold only while signal true, next observed bar OPEN fills. 20 HOURS is a separate high-turnover horizon, not an hourly replication of 20 DAYS. Data https://runway.adityaperswal.workers.dev/data/crypto-bars Sep1 2024-Sep4 2026, full pagination. Development before Jan1 2026, diagnostic chronological holdout Jan1-Sep4 (247days). Holdout overlaps history previously inspected; not genuinely independent OOS. Prospective window in note92 remains untouched. Vectorbt1.1 all-cash per symbol, initial10000, no leverage; fees25bp + slippage5bp PER SIDE, stress50+10, zero-cost comparison. Official fee https://docs.alpaca.markets/us/docs/crypto-fees ; slippage is assumed, not measured. Training-only L15/20/30 sweep, L20 fixed before results. No stop/target overlay; not an executable venue exit rule. Baseline independently reproduced by cash/quantity ledger to <4e-13 percentage points. Return includes mark-to-market open trades; payoff metrics closed only. Missing hourly data unfilled (one shared Mar12 holdout hour); zero-volume bars mean liquidity not demonstrated. Raw/scripts/hashes in /tmp/codex-run-fYGHo5/artifacts and audit.py. Results (%): [{"phase":"development","L":15,"fee":25,"slip":5,"ret":-99.65586598112374,"dd":99.6560465932145,"N":870,"win":19.655172413793103,"avgW":1.215670107301308,"avgL":1.0979141399779442,"open":0},{"phase":"development","L":20,"fee":25,"slip":5,"ret":-99.32688214549539,"dd":99.3268821454953,"N":747,"win":19.544846050870145,"avgW":1.26815229167138,"avgL":1.1283502305288053,"open":0},{"phase":"development","L":30,"fee":25,"slip":5,"ret":-98.55344598044546,"dd":98.55344598044547,"N":584,"win":19.34931506849315,"avgW":1.1873630581543912,"avgL":1.172581187240879,"open":0},{"phase":"holdout","L":20,"fee":0,"slip":0,"ret":5.821752539654608,"dd":12.39530201989012,"N":355,"win":31.549295774647888,"avgW":0.9816088641350075,"avgL":0.4214337819158554,"open":0},{"phase":"holdout","L":20,"fee":25,"slip":5,"ret":-87.42447617299416,"dd":87.42447617299419,"N":355,"win":13.521126760563378,"avgW":1.358595442097282,"avgL":0.8814354701161116,"open":0},{"phase":"holdout","L":20,"fee":50,"slip":10,"ret":-98.50559777346359,"dd":98.50559777346356,"N":355,"win":7.323943661971831,"avgW":1.68861666312286,"avgL":1.4042532134752974,"open":0}]. Conclusion: reject this net implementation; positive frictionless return does not establish fee-paying edge. No inference about all momentum strategies.

Preregistered note92 audit: close[t]>max(previous20 closes); hold only while signal true, next observed bar OPEN fills. 20 DAYS; next-open entry/flat signal exit. Data https://runway.adityaperswal.workers.dev/data/crypto-bars Sep1 2024-Sep4 2026, full pagination. Development before Jan1 2026, diagnostic chronological holdout Jan1-Sep4 (247days). Holdout overlaps history previously inspected; not genuinely independent OOS. Prospective window in note92 remains untouched. Vectorbt1.1 all-cash per symbol, initial10000, no leverage; fees25bp + slippage5bp PER SIDE, stress50+10, zero-cost comparison. Official fee https://docs.alpaca.markets/us/docs/crypto-fees ; slippage is assumed, not measured. Training-only L15/20/30 sweep, L20 fixed before results. No stop/target overlay; not an executable venue exit rule. Baseline independently reproduced by cash/quantity ledger to <4e-13 percentage points. Return includes mark-to-market open trades; payoff metrics closed only. Missing hourly data unfilled (one shared Mar12 holdout hour); zero-volume bars mean liquidity not demonstrated. Raw/scripts/hashes in /tmp/codex-run-fYGHo5/artifacts and audit.py. Results (%): [{"phase":"development","L":15,"fee":25,"slip":5,"ret":-8.699034543022481,"dd":21.483379164553128,"N":30,"win":40,"avgW":4.850908167798842,"avgL":3.511809065973165,"open":0},{"phase":"development","L":20,"fee":25,"slip":5,"ret":8.193517082493582,"dd":20.53860577582326,"N":24,"win":41.66666666666667,"avgW":5.410592962126057,"avgL":3.054607158838205,"open":0},{"phase":"development","L":30,"fee":25,"slip":5,"ret":22.058406845926328,"dd":20.4156260200288,"N":16,"win":50,"avgW":6.349890820812931,"avgL":3.460370614555807,"open":0},{"phase":"holdout","L":20,"fee":0,"slip":0,"ret":31.350969425942164,"dd":10.158416229540823,"N":12,"win":50,"avgW":6.746403003834854,"avgL":1.676064029581792,"open":0},{"phase":"holdout","L":20,"fee":25,"slip":5,"ret":22.226119845043105,"dd":12.675513907651492,"N":12,"win":50,"avgW":6.123110672490873,"avgL":2.2699029810825238,"open":0},{"phase":"holdout","L":20,"fee":50,"slip":10,"ret":13.735080474897297,"dd":17.018264383492877,"N":12,"win":50,"avgW":5.5004578599669145,"avgL":2.863152872851584,"open":0}]. Conclusion: positive exploratory daily result, but N12, selection and uncertain exits keep WATCH and zero size. No inference about all momentum strategies.

Preregistered note92 audit: close[t]>max(previous20 closes); hold only while signal true, next observed bar OPEN fills. 20 HOURS is a separate high-turnover horizon, not an hourly replication of 20 DAYS. Data https://runway.adityaperswal.workers.dev/data/crypto-bars Sep1 2024-Sep4 2026, full pagination. Development before Jan1 2026, diagnostic chronological holdout Jan1-Sep4 (247days). Holdout overlaps history previously inspected; not genuinely independent OOS. Prospective window in note92 remains untouched. Vectorbt1.1 all-cash per symbol, initial10000, no leverage; fees25bp + slippage5bp PER SIDE, stress50+10, zero-cost comparison. Official fee https://docs.alpaca.markets/us/docs/crypto-fees ; slippage is assumed, not measured. Training-only L15/20/30 sweep, L20 fixed before results. No stop/target overlay; not an executable venue exit rule. Baseline independently reproduced by cash/quantity ledger to <4e-13 percentage points. Return includes mark-to-market open trades; payoff metrics closed only. Missing hourly data unfilled (one shared Mar12 holdout hour); zero-volume bars mean liquidity not demonstrated. Raw/scripts/hashes in /tmp/codex-run-fYGHo5/artifacts and audit.py. Results (%): [{"phase":"development","L":15,"fee":25,"slip":5,"ret":-98.98027822695771,"dd":98.98114637672167,"N":836,"win":17.105263157894736,"avgW":1.1588355581865888,"avgL":0.8942090604423029,"open":0},{"phase":"development","L":20,"fee":25,"slip":5,"ret":-97.33182984994359,"dd":97.34102716207289,"N":696,"win":18.103448275862068,"avgW":1.227928478444824,"avgL":0.8999617539377323,"open":0},{"phase":"development","L":30,"fee":25,"slip":5,"ret":-92.92567247386602,"dd":93.02844250804796,"N":535,"win":19.439252336448597,"avgW":1.1711264834517694,"avgL":0.8902230274841938,"open":0},{"phase":"holdout","L":20,"fee":0,"slip":0,"ret":43.619932920648694,"dd":8.982065444455966,"N":337,"win":33.82789317507419,"avgW":1.0375806726602939,"avgL":0.3568601989699852,"open":0},{"phase":"holdout","L":20,"fee":25,"slip":5,"ret":-80.98616414390666,"dd":81.06051996423044,"N":337,"win":13.94658753709199,"avgW":1.5583937954084368,"avgL":0.816463571875751,"open":0},{"phase":"holdout","L":20,"fee":50,"slip":10,"ret":-97.48281265008445,"dd":97.48281265008445,"N":337,"win":7.71513353115727,"avgW":1.9998189830661508,"avgL":1.3426282696477871,"open":0}]. Conclusion: reject this net implementation; positive frictionless return does not establish fee-paying edge. No inference about all momentum strategies.

Preregistered note92 audit: close[t]>max(previous20 closes); hold only while signal true, next observed bar OPEN fills. 20 DAYS; next-open entry/flat signal exit. Data https://runway.adityaperswal.workers.dev/data/crypto-bars Sep1 2024-Sep4 2026, full pagination. Development before Jan1 2026, diagnostic chronological holdout Jan1-Sep4 (247days). Holdout overlaps history previously inspected; not genuinely independent OOS. Prospective window in note92 remains untouched. Vectorbt1.1 all-cash per symbol, initial10000, no leverage; fees25bp + slippage5bp PER SIDE, stress50+10, zero-cost comparison. Official fee https://docs.alpaca.markets/us/docs/crypto-fees ; slippage is assumed, not measured. Training-only L15/20/30 sweep, L20 fixed before results. No stop/target overlay; not an executable venue exit rule. Baseline independently reproduced by cash/quantity ledger to <4e-13 percentage points. Return includes mark-to-market open trades; payoff metrics closed only. Missing hourly data unfilled (one shared Mar12 holdout hour); zero-volume bars mean liquidity not demonstrated. Raw/scripts/hashes in /tmp/codex-run-fYGHo5/artifacts and audit.py. Results (%): [{"phase":"development","L":15,"fee":25,"slip":5,"ret":5.074546192169164,"dd":33.36730432737971,"N":33,"win":27.27272727272727,"avgW":9.09382998262413,"avgL":2.878731642004194,"open":0},{"phase":"development","L":20,"fee":25,"slip":5,"ret":13.413365985730344,"dd":18.18321691858682,"N":26,"win":19.230769230769234,"avgW":14.041640552613908,"avgL":2.459762665071717,"open":0},{"phase":"development","L":30,"fee":25,"slip":5,"ret":24.292399949656083,"dd":16.5987981083772,"N":19,"win":21.052631578947366,"avgW":14.569092226518974,"avgL":2.105653587188495,"open":0},{"phase":"holdout","L":20,"fee":0,"slip":0,"ret":-8.17076158187183,"dd":19.76422684548176,"N":14,"win":21.428571428571427,"avgW":5.087735939106771,"avgL":2.0937209233623886,"open":0},{"phase":"holdout","L":20,"fee":25,"slip":5,"ret":-15.569340386315634,"dd":24.896705464423608,"N":14,"win":21.428571428571427,"avgW":4.470243968974899,"avgL":2.6860993280793997,"open":0},{"phase":"holdout","L":20,"fee":50,"slip":10,"ret":-22.371892459130414,"dd":30.324151062260917,"N":14,"win":21.428571428571427,"avgW":3.8533815805712788,"avgL":3.277891175251558,"open":0}]. Conclusion: reject this net implementation; positive frictionless return does not establish fee-paying edge. No inference about all momentum strategies.

Preregistered note92 audit: close[t]>max(previous20 closes); hold only while signal true, next observed bar OPEN fills. 20 HOURS is a separate high-turnover horizon, not an hourly replication of 20 DAYS. Data https://runway.adityaperswal.workers.dev/data/crypto-bars Sep1 2024-Sep4 2026, full pagination. Development before Jan1 2026, diagnostic chronological holdout Jan1-Sep4 (247days). Holdout overlaps history previously inspected; not genuinely independent OOS. Prospective window in note92 remains untouched. Vectorbt1.1 all-cash per symbol, initial10000, no leverage; fees25bp + slippage5bp PER SIDE, stress50+10, zero-cost comparison. Official fee https://docs.alpaca.markets/us/docs/crypto-fees ; slippage is assumed, not measured. Training-only L15/20/30 sweep, L20 fixed before results. No stop/target overlay; not an executable venue exit rule. Baseline independently reproduced by cash/quantity ledger to <4e-13 percentage points. Return includes mark-to-market open trades; payoff metrics closed only. Missing hourly data unfilled (one shared Mar12 holdout hour); zero-volume bars mean liquidity not demonstrated. Raw/scripts/hashes in /tmp/codex-run-fYGHo5/artifacts and audit.py. Results (%): [{"phase":"development","L":15,"fee":25,"slip":5,"ret":-99.23738882491614,"dd":99.24310402840395,"N":815,"win":13.374233128834357,"avgW":0.7664334126402621,"avgL":0.8052399165590777,"open":0},{"phase":"development","L":20,"fee":25,"slip":5,"ret":-98.55651125885922,"dd":98.57668347451215,"N":691,"win":13.314037626628075,"avgW":0.7698646118877622,"avgL":0.8217619453678915,"open":0},{"phase":"development","L":30,"fee":25,"slip":5,"ret":-96.50286687714137,"dd":96.5296576019487,"N":550,"win":12.909090909090908,"avgW":0.7909306503351886,"avgL":0.8132936153465196,"open":0},{"phase":"holdout","L":20,"fee":0,"slip":0,"ret":25.382154465524877,"dd":8.614672976847205,"N":340,"win":37.64705882352941,"avgW":0.6749944099651991,"avgL":0.2957782167661166,"open":0},{"phase":"holdout","L":20,"fee":25,"slip":5,"ret":-83.69677829050927,"dd":84.07202814638315,"N":340,"win":12.058823529411764,"avgW":0.993215171638744,"avgL":0.7391586270970141,"open":0},{"phase":"holdout","L":20,"fee":50,"slip":10,"ret":-97.88016607413451,"dd":97.90395558572702,"N":340,"win":4.705882352941177,"avgW":1.609603772415301,"avgL":1.264868337962907,"open":0}]. Conclusion: reject this net implementation; positive frictionless return does not establish fee-paying edge. No inference about all momentum strategies.

Preregistered note92 audit: close[t]>max(previous20 closes); hold only while signal true, next observed bar OPEN fills. 20 DAYS; next-open entry/flat signal exit. Data https://runway.adityaperswal.workers.dev/data/crypto-bars Sep1 2024-Sep4 2026, full pagination. Development before Jan1 2026, diagnostic chronological holdout Jan1-Sep4 (247days). Holdout overlaps history previously inspected; not genuinely independent OOS. Prospective window in note92 remains untouched. Vectorbt1.1 all-cash per symbol, initial10000, no leverage; fees25bp + slippage5bp PER SIDE, stress50+10, zero-cost comparison. Official fee https://docs.alpaca.markets/us/docs/crypto-fees ; slippage is assumed, not measured. Training-only L15/20/30 sweep, L20 fixed before results. No stop/target overlay; not an executable venue exit rule. Baseline independently reproduced by cash/quantity ledger to <4e-13 percentage points. Return includes mark-to-market open trades; payoff metrics closed only. Missing hourly data unfilled (one shared Mar12 holdout hour); zero-volume bars mean liquidity not demonstrated. Raw/scripts/hashes in /tmp/codex-run-fYGHo5/artifacts and audit.py. Results (%): [{"phase":"development","L":15,"fee":25,"slip":5,"ret":-13.924659089207253,"dd":26.618388186740482,"N":40,"win":27.500000000000004,"avgW":4.334290329142209,"avgL":2.0665951732434706,"open":0},{"phase":"development","L":20,"fee":25,"slip":5,"ret":-2.825287408158092,"dd":17.319365422151844,"N":33,"win":27.27272727272727,"avgW":4.953819489941566,"avgL":1.8747134096607856,"open":0},{"phase":"development","L":30,"fee":25,"slip":5,"ret":3.1472233439251798,"dd":17.31936542215181,"N":27,"win":29.629629629629626,"avgW":5.567451810176115,"avgL":2.0534180246078213,"open":0},{"phase":"holdout","L":20,"fee":0,"slip":0,"ret":3.4241188901879105,"dd":9.066610878191039,"N":18,"win":38.88888888888889,"avgW":2.7216665330938876,"avgL":1.175115357800608,"open":1},{"phase":"holdout","L":20,"fee":25,"slip":5,"ret":-7.441465595179779,"dd":15.637425804764483,"N":18,"win":27.77777777777778,"avgW":3.1215858415895776,"avgL":1.561427356348179,"open":1},{"phase":"holdout","L":20,"fee":50,"slip":10,"ret":-17.16508600402671,"dd":21.73400631790381,"N":18,"win":27.77777777777778,"avgW":2.5094481551442414,"avgL":2.1571592234255834,"open":1}]. Conclusion: reject this net implementation; positive frictionless return does not establish fee-paying edge. No inference about all momentum strategies.

Descriptive OLS on18 matched9-session event returns: netCHWY=alpha+beta*rawSPY; alpha-4.33%,beta3.02,correlation.848,R2.720. Holdout meanCHWY minusSPY-.611%. No regression filter fitted or used for trading; full-sample descriptive relationship could be driven by market regimes/outliers,not a causal catalyst premium.1. Event study selected one surviving issuer and announced dates rather than full market.2. Six OOS events have mean-.153%,95%IID bootstrap[-4.53,3.69]%; uncertainty not resolved.3. Own3tradeledger0wins,meanloss16.38%,total-31.94,oneRAREstop and2operator exits; meanwin undefined,forced exits censor strategy horizons. Conclusion no numerical positive edge supports size. Validity: no qualifying evidence; soundness restricted by small and selected samples. Strong countercase future events may rally and exogenous liquidation could hide wins; neither is observed payoffs. Source https://runway.adityaperswal.workers.dev/data/stock-bars and query_trades fund=catalyst readSep5; full per-event issuerURLs and returns saved. Rate/total distinction: mean-.153% perholdoutwindow produces-1.72% compounded across6,not six times mean because volatility drag. Priorcashunchanged; independently preregistered prospective positive net sample with implementable exits would change eligibility,not monthlyshortfall. Gap loss was-6.44R versus intendedstop,so normalizedstop-risk alone is misleading.

Preregistered note93 before outcomes.1. Eighteen issuer-confirmed announcements/events, chronological training2022-24 N12, holdout2025-Jun2026 N6; all announcements predate entry and price windows matchSPY sessions.2. Fixed buy open10sessions before event, sell open1session before; no fitted indicator or event-day exposure. vectorbt daily marked portfolio,5bpfee+5bpslippage EACHside (approximately20bp roundtrip),all-adjusted IEXbars.3. Holdout -1.72%,maxDD14.26%,3/6wins,meanwin4.52%,meanloss4.83%,mean-.153% per9-session exposure; train-30.20%,DD54.11%,5/12wins. 20k IID bootstrap95%mean interval[-4.53,+3.69]%,smallN severely limits inference. Cost sensitivity at2.5/5/10bp per component per side gives holdout-1.13/-1.72/-2.89%,no winner selected. Conclusion reject executable pre-earnings rule; clipped quarter-Kelly payoff formula0. Valid under negative measured expectancy; not proof every catalyst edge is false. Counterexample some windows win; losers and cost drag offset them. Selected surviving issuer,IEXfirstprints versus consolidatedopen,split/dividend adjustment revisions,historical rather than prospectiveholdout,calendar information revisions,not modeling15min exits all limit soundness. No live stop/target rule is validated here; time-only rule was an edge diagnostic,not venue-ready. Also entry for currentSep9event has passed, so no late-entry substitution. Raw data https://runway.adityaperswal.workers.dev/data/stock-bars ; all18 individual issuer date URLs are in observations84-101 and derived payoffs180-197. artifacts/events.json,event_returns.json,analyze.py,backtest.json. barsSHA256 ea4b018c8e2c2828aaf85333a4813372478f135ccbbc7446b221983172b7ac5d. Start49.14cash,goalnetrepeatablereturns,bindingconstraint independent positive implementable edge. September9 future event remains paper-only; do not tune this inspected holdout.

Premise1: preregistered note90 before retrieving outcomes: previous20-close breakout, next open entry, fixed signal-day20-session mean(high-low), stop1x/target2x, exit after5 sessions at following open, no pyramiding. Premise2: vectorbt explicit LONGONLY orders, fees5bp/slippage10bp per side, cash compounding checked against manual returns; opening adverse gaps use open, dual touches stop first. Corrected terminal window marks are excluded from natural payoff samples. Premise3: training2022-2024, historical chronological holdout2025-01-01 through2026-09-04, all-adjusted IEX OHLC. Figures are percent, unlevered full-notional theoretical portfolio, not actual fund return. Training-only target1.5/2,stop1/1.25 sweep did not select parameters. All four all-adjusted training variants lose33.74% to36.69%; positive later holdout does not establish stable edge, and doubled-cost holdout is approximately flat. Source https://runway.adityaperswal.workers.dev/data/stock-bars retrieved Sep5;1172 bars, one missing IEX date2022-03-08 versus SPY. Artifacts/fetch.py,test.py,results.json and bars-split/all.json; code archived notes97-99 with hash. Prior historical reported tests could not be recovered; this is a fresh diagnostic. Previously viewed tanker history makes historical holdout exploratory rather than pristine; prospective collection starts Sep8. Limits: dividends modeled through adjusted-price proxy, not actual cash entitlement/raw exit levels; split-only comparison omits cash dividends. IEX partial coverage, SIP recent data403; no exact15-minute/overnight stop enforcement or whole-share model. Baseline costs assumed, not measured slippage. Mean-payoff intervals cross zero. Validity: insufficient robust implementation evidence implies zero eligible size; does not disprove every tanker strategy. No retuning after holdout. Current signals do not authorize entries.

Premise1: preregistered note90 before retrieving outcomes: previous20-close breakout, next open entry, fixed signal-day20-session mean(high-low), stop1x/target2x, exit after5 sessions at following open, no pyramiding. Premise2: vectorbt explicit LONGONLY orders, fees5bp/slippage10bp per side, cash compounding checked against manual returns; opening adverse gaps use open, dual touches stop first. Corrected terminal window marks are excluded from natural payoff samples. Premise3: training2022-2024, historical chronological holdout2025-01-01 through2026-09-04, all-adjusted IEX OHLC. Figures are percent, unlevered full-notional theoretical portfolio, not actual fund return. Training-only target1.5/2,stop1/1.25 sweep did not select parameters. All-adjusted training sensitivity returns range-22.85% to16.28%; selected default was fixed beforehand. Holdout positive but fragile to costs and statistical uncertainty. Source https://runway.adityaperswal.workers.dev/data/stock-bars retrieved Sep5;1172 bars, one missing IEX date2022-03-08 versus SPY. Artifacts/fetch.py,test.py,results.json and bars-split/all.json; code archived notes97-99 with hash. Prior historical reported tests could not be recovered; this is a fresh diagnostic. Previously viewed tanker history makes historical holdout exploratory rather than pristine; prospective collection starts Sep8. Limits: dividends modeled through adjusted-price proxy, not actual cash entitlement/raw exit levels; split-only comparison omits cash dividends. IEX partial coverage, SIP recent data403; no exact15-minute/overnight stop enforcement or whole-share model. Baseline costs assumed, not measured slippage. Mean-payoff intervals cross zero. Validity: insufficient robust implementation evidence implies zero eligible size; does not disprove every tanker strategy. No retuning after holdout. Current signals do not authorize entries.

Premises recorded September5: (1) live fund ledger flat, no pending orders/monitors,245.69deployable. (2) Existing PEAD selected holdout-30.23% remains rejected; old automatic entry notes4/7 inactive. (3) Newly preregistered global10month ETF adaptation positive net chronological test+31.22%,DD6.85%,18closed trades,44.44%wins,9.60%avgwin,3.40%avgloss, but182.5daymedian holding period. (4) Actual venue stops,targets,+1R reductions,15minute enforcement,whole-share affordability and staged entries absent from that test. Conclusion no proposals, zero eligible size. Valid deduction: positive evidence for a different implementation cannot license this one. Soundness limits: historical dates were newly held out within this experiment, not prospective market data;2008coverage absent; adjusted series revise history; trade samples dependent. Strongest counterargument: risk reduction is economically useful and positive returns survive8/12month and50bp diagnostics; this justifies WATCH, not treating untested mandatory exits as innocuous. Prior updated from unknown global-rule viability to promising portfolio-defense evidence, not executable adoption. Start cash, goal repeatable net returns, binding constraint venue-compatible independent payoff validation. Cash245.69,globalcap212.77,nominal1%equityrisk8.5108; no proposed stop guarantees gap-loss ceiling. No current valuation alpha or short-horizon edge established. Sources primary paper https://mebfaber.com/wp-content/uploads/2016/05/SSRN-id962461.pdf ; market data https://runway.adityaperswal.workers.dev/data/stock-bars ; analyses29/30/32/33/34; live query_trades fund=quant. Next research: preserve fixed10month benchmark; preregister a distinct venue exit adaptation before inspecting outcomes, label all existing windows exploratory for changes and obtain prospective holdout. No eligible between-run action, no redundant monitor/job. ExistingPEADjob8 informational only.

Primary SIP daily source https://runway.adityaperswal.workers.dev/data/stock-bars retrieved September5. August31 completed-close/SMA10:SPY767.05/710.75,EFA107.45/100.591,IEF92.41/93.579,VNQ96.44/92.855,DBC31.3/27.114. Four long states,IEFcash; these are prior month decisions, not fresh intraday buy triggers. September4 raw closes770.19,108.35,92.25,96.02,31.90; changes-0.3854,+0.1294,-0.0325,-0.6621,-0.1877% respectively do not alter monthly signals.14-day simple ATR percentages.7145,.8086,.3546,.9967,1.2338. TwoATR swing moves only1.429,1.617,.709,1.993,2.468%; the test's average winning trade9.603% and median182.5day hold are incompatible with assuming these small targets preserve the same edge. At245.69fund,each20%sleeve49.138; only DBC permits one whole share, others require fractional execution. SPY770.19 also exceeds212.77global position cap for a whole share. Four active sleeves would require staging under3new-position/run rule, another departure from tested simultaneous implementation. No filled holdings exist, so no stop,target,R-progress or days-held reset applies. Conclusion no catch-up orders or invented exit levels. A separate rule incorporating actual stops,targets,+1R management,timeouts and15minute enforcement must be registered and tested independently before sizing. Policy size0.

Primary issuer structure review September5. IEF fact sheet actually opened is June30 2026, effective duration6.95yrs,SEC yield4.29%,expense.15%,2022market-price return-15.16%: https://www.ishares.com/us/literature/fact-sheet/ief-ishares-7-10-year-treasury-bond-etf-fund-fact-sheet-en-us.pdf . Search snippet March duration6.98 is a different date, not contradiction. Approximate+100bp parallel yield shock implies-6.95% price before convexity/income; a20% sleeve transmits about-1.39%fund or-3.42dollars at245.69, hypothetical not forecast. VNQ issuer identifies financing/rate and property-demand risks https://investor.vanguard.com/investment-products/etfs/profile/vnq ; search-extracted issuer text, direct dynamic page did not render. DBC2025 10-K https://www.sec.gov/Archives/edgar/data/1328237/000119312526083563/dbc-20251231.htm warns contango drag and no guaranteed stock/bond diversification. These wrappers do not equal original paper indices. Strongest bear case: inflation/rate shocks can hit equity valuation, bonds and property simultaneously; commodity roll can consume spot gains. First order higher financing/discount rates impair valuations; second order correlated losses reduce portfolio diversification; third order slow monthly exits may realize drawdown before moving cash, while fast rebounds create re-entry whipsaw. Who benefits: ETF issuers collect embedded fees; positive manager research merits implementation audit. No current fair-value estimate, holdings-level earnings model, fresh rate forecast or current futures curve inferred. Validity: these mechanisms defeat guaranteed-protection claims, not all trend effects. Soundness: current cross-asset regression and historical stress support concern but do not identify next shock. Conclusion watch only.