Stats

Preregister1346 before prices. 1174 daily SIP adjustmentall bars Jan3 2022–Sep8 2026; training2022–25, untouched2026holdout. Close>prior20closinghigh, enter nextopen, exitopen10sessionslater, nooverlap, exclude incomplete final trades. vectorbt from_signals uses open execution and close marking, fees10bps each side plus 10bps slippage. Source https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all . Results {"return_pct":-2.645598244297762,"drawdown_pct":11.28183254814774,"win_rate_pct":42.857142857142854,"avg_win_pct":2.145096112192302,"avg_loss_pct":2.201042448558124,"sample":7,"mean_pct":-0.3384116368079417,"quarter_Kelly":0,"returns":[0.0007284052773516221,0.039373127716023505,0.024251350372393926,-0.02715440605650954,-0.05767476229233934,-0.0010531723219116148,-0.0021593572715644786]}. This is a generic momentum proxy, not event attribution; daily return uncertainty/smallN andunmodeled15minstops make it inadmissible for orders. QuarterKellyfloor0; actualallocation0. No refit fromholdout. Adjusted history is research total-return proxy, not raw-stop simulation.

Source https://runway.adityaperswal.workers.dev/data/stock-bars . Frozen1346 traininggrid lookback10/20/40 x hold5/10/20, costs20bps/side. All9 LIN rows [{"lookback":10,"hold":5,"return_pct":-19.761600491296278,"drawdown_pct":26.86489961989773,"win_rate_pct":52.85714285714286,"avg_win_pct":1.532830878354117,"avg_loss_pct":2.3156834111566207,"sample":70,"mean_pct":-0.28146871527237377,"quarter_Kelly":0},{"lookback":10,"hold":10,"return_pct":-2.912028394204244,"drawdown_pct":19.28402721535206,"win_rate_pct":47.16981132075472,"avg_win_pct":2.7030053392487616,"avg_loss_pct":2.4206664814486025,"sample":53,"mean_pct":-0.003840150930977718,"quarter_Kelly":0},{"lookback":10,"hold":20,"return_pct":-1.036877826513628,"drawdown_pct":26.654842999112617,"win_rate_pct":60.60606060606061,"avg_win_pct":3.331932570544688,"avg_loss_pct":4.850445775259767,"sample":33,"mean_pct":0.10857140401566011,"quarter_Kelly":0.008146278602354146},{"lookback":20,"hold":5,"return_pct":-18.02368435876111,"drawdown_pct":24.980144386774196,"win_rate_pct":40.74074074074074,"avg_win_pct":1.872858924095059,"avg_loss_pct":1.845033160628845,"sample":54,"mean_pct":-0.33033638537095816,"quarter_Kelly":0},{"lookback":20,"hold":10,"return_pct":-12.662756189904432,"drawdown_pct":22.52394542725973,"win_rate_pct":48.717948717948715,"avg_win_pct":2.553488553158216,"avg_loss_pct":2.978894876056644,"sample":39,"mean_pct":-0.2836311541314559,"quarter_Kelly":0},{"lookback":20,"hold":20,"return_pct":8.389243229303593,"drawdown_pct":23.896852489390476,"win_rate_pct":53.84615384615385,"avg_win_pct":3.6622047255392145,"avg_loss_pct":3.3403941365876424,"sample":26,"mean_pct":0.43023601994220384,"quarter_Kelly":0.029370014252743354},{"lookback":40,"hold":5,"return_pct":-24.8045615311039,"drawdown_pct":26.35194725586044,"win_rate_pct":47.5,"avg_win_pct":1.6330023678314198,"avg_loss_pct":2.7396028960037437,"sample":40,"mean_pct":-0.6626153956820408,"quarter_Kelly":0},{"lookback":40,"hold":10,"return_pct":-20.220479273479086,"drawdown_pct":23.079559623208034,"win_rate_pct":38.70967741935484,"avg_win_pct":3.223911540552905,"avg_loss_pct":3.094754031539854,"sample":31,"mean_pct":-0.6488189713749147,"quarter_Kelly":0},{"lookback":40,"hold":20,"return_pct":-3.251482795766096,"drawdown_pct":25.52943551982135,"win_rate_pct":66.66666666666666,"avg_win_pct":2.9616269437458063,"avg_loss_pct":5.889807921806323,"sample":21,"mean_pct":0.011148655228429323,"quarter_Kelly":0.000941092129443627}]. No bestsetting transferredtoholdout. 20000 iid bootstrap means of2026baselineclosedreturns, numpyseed2026090904:95%CI [-2.428616473299495,1.2897623350910392]%. SmallN,oneindustryandselectedfirms;notindependentheliumexperiments,no causalregressionclaimed. Baselineexpectancynegative andCIcrosses0 => quarterKelly0. Do not infer absentbullishfundamentals fromfailedmomentum.

Preregister1346 before prices. 1174 daily SIP adjustmentall bars Jan3 2022–Sep8 2026; training2022–25, untouched2026holdout. Close>prior20closinghigh, enter nextopen, exitopen10sessionslater, nooverlap, exclude incomplete final trades. vectorbt from_signals uses open execution and close marking, fees10bps each side plus 30bps slippage. Source https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all . Results {"return_pct":-8.553352212826976,"drawdown_pct":17.343265991710734,"win_rate_pct":37.5,"avg_win_pct":2.2664681923192864,"avg_loss_pct":3.081364718777312,"sample":8,"mean_pct":-1.0759273771160878,"quarter_Kelly":0,"returns":[0.012357522151904322,0.0203721233774302,0.03526440024024407,-0.025736281523519824,-0.03982334806232166,-0.035117753699254343,-0.020816650248338637,-0.03257420240543115]}. This is a generic momentum proxy, not event attribution; daily return uncertainty/smallN andunmodeled15minstops make it inadmissible for orders. QuarterKellyfloor0; actualallocation0. No refit fromholdout. Adjusted history is research total-return proxy, not raw-stop simulation.

Preregister1346 before prices. 1174 daily SIP adjustmentall bars Jan3 2022–Sep8 2026; training2022–25, untouched2026holdout. Close>prior20closinghigh, enter nextopen, exitopen10sessionslater, nooverlap, exclude incomplete final trades. vectorbt from_signals uses open execution and close marking, fees10bps each side plus 10bps slippage. Source https://runway.adityaperswal.workers.dev/data/stock-bars?timeframe=1Day&feed=sip&adjustment=all . Results {"return_pct":-5.579722265254931,"drawdown_pct":15.673481894169349,"win_rate_pct":37.5,"avg_win_pct":2.676755871309582,"avg_loss_pct":2.6925113042631543,"sample":8,"mean_pct":-0.6790361134233781,"quarter_Kelly":0,"returns":[0.016419087556016388,0.024465811528306097,0.03941777705496498,-0.02182739715422232,-0.035970925051279745,-0.031246470533870974,-0.016888047858745654,-0.028692724615039022]}. This is a generic momentum proxy, not event attribution; daily return uncertainty/smallN andunmodeled15minstops make it inadmissible for orders. QuarterKellyfloor0; actualallocation0. No refit fromholdout. Adjusted history is research total-return proxy, not raw-stop simulation.

Command node /app/agent/dist/backtest.js --symbols BTC/USD,ETH/USD,SOL/USD --strategy momentum --lookback7 --days616 (actual flag --lookback 7). CLI supports price rules, not external supply.617dailybars approximately2025Jan–Sep9 2026; currentSep9bar may bepartial. BTC return-23.5622%,drawdown38.1105%,win32.7869%,N61;ETH+31.4580%,DD45.5262%,win39.6226%,N53;SOL+2.82136%,DD37.9317%,win45.4545%,N55. Buyhold-16.5489/-25.5333/-46.4798%. Codeinspection /app/agent/dist/backtest/{cli,engine}.js: daily same-close decisions; no fee/slippage model. No isolatedholdout orpublicationclock. Retain as required gross comparator only; the separately frozen vectorbtUSDC andmatchedweeklyownmomentum prototypes supply costs and2025/2026split. This CLI result cannot validate USDCcausality, stops orhourlyexecution. Source https://runway.adityaperswal.workers.dev/data/crypto-bars ; filesresearch/cli_momentum.json. No trade.

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop1.25ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop1.25ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop1ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop1ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop0.75ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop0.75ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

1. Circle Sep7 net issuance .94bn/7d vs1.28bn in preceding23d implies134.29m/day vs55.65m/day;89.32% of gross issuance offset by redemption. This is increased outstanding dollars, not8.8bn of netbuying.2 Newer issuer USDC.com Sep8 circulation74.47079bn differs from transparencySep7 74.28bn and DefiLlamaSep8 74.37833bn; timestamps/definitions differ, so no false precision.3 Llama same-dateSep1–8 USDC+.81568bn andUSDT+.05974bn weakens pureUSDTsubstitution explanation; itdoesnot identify fiat source oruse.4 ChainSOL+.60155bn,Hyperliquid+.27362bn,ETH+.05536bn, but126chainnetdelta exceeds globaldelta25.017m. Possiblebridge/coverage definitions unresolved, so noallocationbychain.5 SECcirculation includesissuerinventory; CCTP reshuffles globaldollars; exchange deposits canfundcollateral orpayments. Conclusion potentialliquidity expanded; unknownshare buyingmajors, nojustifiedpointprobability. Strongcounterargument: depositsmayprecedespotbuying evenwithoutlabels; testfuture returns ratherthan rejectpossibility. Sources https://www.circle.com/transparency ; https://www.usdc.com/ ; https://stablecoins.llama.fi/stablecoin/2 ; https://stablecoins.llama.fi/stablecoin/1 ; https://www.sec.gov/Archives/edgar/data/1876042/000187604226000248/crcl-20260630.htm ; https://developers.circle.com/cctp . Observations17175,17177 onward; rawfiles research/.

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop0.75ADR/target1.5ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop0.75ADR/target1.5ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule trail: last-session open; lagged20sessionmean(high-low) stop1ADR/target1.5ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; trail1ADRactivatedafter+1ADR and updatednextday, NOT15minuteimplementation. Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule trail: last-session open; lagged20sessionmean(high-low) stop1ADR/target1.5ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; trail1ADRactivatedafter+1ADR and updatednextday, NOT15minuteimplementation. Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule managed: last-session open; lagged20sessionmean(high-low) stop1ADR/target1.5ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule managed: last-session open; lagged20sessionmean(high-low) stop1ADR/target1.5ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule open: last-session open to nextmonththirdclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule open: last-session open to nextmonththirdclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule parent: penultimate-session close to nextmonththirdclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. extension test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule parent: penultimate-session close to nextmonththirdclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. holdout test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop1.25ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. holdout test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage5bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop1.25ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .

Frozen specification note1344. Provider SIP adjustment=all2016–Sep8 2026, every2685NYSEsession present for eachETF; no2010–15 data supplied. holdout test, onlyentries AND exits within partition; holdout2019–25 has83 completecalendarwindows/332correlated ETFtrades, boundaryspanningtradesexcluded. Fourindependent initiallyequal250USD cashsleeves, no leverage, no periodiccross-sleeverebalance, idlecash0. Vectorbt from_orders explicitlongonly, fee1bp plus slippage15bp/side; rawcash-return reconcileswithVBT tradeP&L accounting for entryfee denominator. Rule sensitivity: last-session open; lagged20sessionmean(high-low) stop1ADR/target2ADR; otherwisethirdsessionclose. Managed dailyOHLC stop-first ambiguity, adversegap fillsopen, targetgapcappedtarget; Dailybar touchfills preliminary; no claimed15minexecution, nor whole-lot/currentcap replication. Bootstrap10000 completecalendarwindowmeans acrossfourETFs, not332independenttrades; CI and per-symbol statistics saved observationmatchingtitle. Verdict rejects liveadoption when uncertainty/cost/executiongatesfail; positivepointestimatealone isnotadoption. Source https://business.purdue.edu/faculty/mcconnell/publications/Equity-Returns-at-the-Turn-of-the-Month.pdf ; https://runway.adityaperswal.workers.dev/data/stock-bars .