EdgeStatPro Research · 5-year intraday study
What moves intraday, and can you know by 9:35?
We took every US stock-day that gapped, surged on volume, or filed a catalyst over five years, matched each to an ordinary control day in the same stock, and measured what actually happened minute by minute. The picks travel further, peak earlier, and break cleaner than normal days, but direction stays a coin flip and the close drifts back to VWAP. Here is the whole thing, including whether a mechanical system survives real costs (it does not).
30,597
candidate days
30,592
matched controls
2,231
tickers
~29M
minute bars
2021–2026
study window
99.87%
metric coverage
01
How picks are selected
Point-in-time rules, computed through the close of the prior day so there is no look-ahead. A stock-day qualifies as a candidate if it clears any one of three triggers, subject to a liquidity floor and a per-day cap.
T1 · Overnight gap
Overnight gap trigger: qualifies if the open(t)/close(t-1) gap magnitude clears the larger of a flat 3% floor or 1.5x the stock's own ATR%(t-1).
abs(open(t)/close(t-1) - 1) >= max(3%, 1.5 * atr_pct(t-1))T2 · Volume / return surge
Previous-day volume/return surge trigger: qualifies if the prior day's volume was at least 3x its 20-day average (measured two days back, so the surge day itself is not in its own denominator) AND the prior day's return was at least 4% in magnitude.
volume(t-1) >= 3 * ADV20_shares(t-2) AND abs(ret_1d(t-1)) >= 4%T3 · SEC catalyst
Catalyst trigger: one of a fixed set of SEC 8-K / offering event types filed on the row date or the previous trading day (filing-date granularity).
earnings 8kdilution 8koffering pricedoffering registeredrestatement 8kauditor 8kdelisting 8kmna 8k
Liquidity floor:prior close ≥ $5, ADV20 ≥ $10M, in the investable universe.
Per-day cap: ranked by |gap in ATR| + log1p(volume surge); only the top 25 kept per date.
Controls:one matched non-candidate day per pick, same ticker, within ±60 trading days, seeded RNG.
02
Headline findings
Each stat is candidate versus its matched control. The pattern is consistent: candidate days are structurally different, but not directionally predictable.
Intraday travel (MFE up, ATR)
0.65vs 0.32 control
Median favorable excursion from the 09:35 price. Down leg 0.70 vs 0.32.
Minute of session high
23vs 61 control
Minutes after the open. Candidate action is heavily front-loaded.
OR15 false-break rate
19.9%vs 35.7% control
Opening-range structure is materially cleaner on candidate days.
Gap continuation to close
48.8%
Close to a coin flip. Follow-through at the close is approximately zero.
Close vs VWAP (median)
-0.01%
Prices magnetize back to session VWAP by the close, p25/p75 -0.89 / +0.80.
Offering-day travel (MFE up, ATR)
0.32vs 0.32 control
Offering/dilution days are inert, indistinguishable from ordinary days.
rvol5 quartiles are monotone
Travel, timing and structure all move in one direction from the lowest to the highest first-5-minute relative-volume quartile. This is the one pre-open-plus-5-minutes signal that consistently sorts the day.
Q1
0.35
HOD 57m · false 34%
Q2
0.42
HOD 39m · false 28%
Q3
0.55
HOD 36m · false 23%
Q4
0.65
HOD 19m · false 17%
03
Behavior, cut seven ways
The same structural metrics across gap direction, gap size, catalyst, rvol5 quartile, year and gap side. The CONTROLS row in each cut is the normal-day baseline.
| Cut | n | MFE up | MFE dn | HOD | LOD | false% | both% | OR w/gap% | %>vwap | touch/day | bounce% | close-VWAP |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ALL T1 | 12,215 | 0.65 | 0.70 | 23 | 30 | 19.9 | 19.5 | 45.9 | 48.6 | 2.10 | 25.0 | -0.01 |
| ALL candidates | 30,588 | 0.47 | 0.49 | 36 | 38 | 25.4 | 25.0 | 47.4 | 49.6 | 1.65 | 18.8 | -0.01 |
| CONTROLS | 28,815 | 0.32 | 0.32 | 61 | 60 | 35.7 | 35.2 | 48.1 | 50.4 | 1.03 | 7.6 | +0.00 |
Candidate rows travel further (MFE), peak earlier (HOD/LOD nearer the open), and break cleaner (lower false%) than the CONTROLS row (highlighted). Hover a column header for its definition.
04
24 real days
Chosen deterministically (sorted on a fixed key, no result-based cherry-picking), restricted to 2023-2025. Each chart is the real 5-minute path for that exact stock-day.
Biggest, most liquid earnings-catalyst gap-ups. Front-loaded travel, then the drift back to VWAP.
NVDA2024-05-23
+7.4% · 2.58 ATRearnings 8krvol5 0.16ADV $33.4B
MFE up
1.23
MFE dn
0.35
Range/ATR
1.75
HOD min
245
LOD min
1
Close vs VWAP
-0.13%
NVDA2024-02-22
+11.2% · 2.67 ATRearnings 8krvol5 0.15ADV $32.8B
MFE up
1.13
MFE dn
0.03
Range/ATR
1.54
HOD min
385
LOD min
2
Close vs VWAP
+1.53%
TSLA2023-01-26
+10.8% · 1.87 ATRearnings 8krvol5 0.08ADV $22.7B
MFE up
0.34
MFE dn
0.41
Range/ATR
0.80
HOD min
0
LOD min
31
Close vs VWAP
+1.54%
NVDA2023-08-24
+6.6% · 1.58 ATRearnings 8krvol5 0.16ADV $21.3B
MFE up
0.10
MFE dn
1.17
Range/ATR
1.58
HOD min
0
LOD min
389
Close vs VWAP
-2.45%
TSLA2024-10-24
+14.5% · 3.96 ATRearnings 8krvol5 0.21ADV $17.2B
MFE up
1.91
MFE dn
0.02
Range/ATR
2.48
HOD min
376
LOD min
2
Close vs VWAP
+2.85%
TSLA2024-04-24
+12.6% · 2.47 ATRearnings 8krvol5 0.12ADV $15.2B
MFE up
1.09
MFE dn
0.34
Range/ATR
1.42
HOD min
38
LOD min
198
Close vs VWAP
+0.14%
Solid line = 5-minute price path, colored by gap direction. Dashed line = running session VWAP. Faint dotted line = prior close. Chips are the study metrics for that exact day.
05
Does a mechanical system survive costs?
174 strategy cells (entry template x pool x exit) simulated across 139,153 trades. The honest answer is in the gap between the gross and net columns.
What the cost model assumed
A liquidity-scaled half-spread plus slippage on entry and exit, and extra slippage when a stop is hit (stops fill worse than mid in fast tape). Costs scale down for the most liquid names and up for thinner ones. This is standard retail friction, not an adversarial worst case.
Which column should you read?
If you have commission-free, tight-spread execution, read the GROSS columns: results there are modestly positive but thin. The NET columns answer the real question, whether a mechanical system survives standard retail friction. It does not: net turns negative almost everywhere.
Family:174 cells
| Pool | Exit | 2021 net | 2022 net | 2023 net | 2024 net | 2024H1 net | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| C_P3 | P3 | C | 194 | 47.9 | +0.197 | +0.054 | 0.200 | 0.054 | -2 | -4 | 6 | 10 | · |
| C_P4 | P4 | C | 276 | 45.7 | +0.126 | -0.007 | 0.129 | -0.007 | -5 | -6 | 2 | 7 | · |
| C_P2 | P2 | C | 368 | 45.9 | +0.117 | -0.021 | 0.119 | -0.021 | -10 | -9 | 1 | · | 11 |
| A5_P3_X3 | P3 | X3 | 1,434 | 45.7 | +0.046 | -0.043 | 0.050 | -0.045 | -29 | -5 | -31 | 4 | · |
| A5_P3_X2 | P3 | X2 | 1,434 | 49.5 | +0.040 | -0.049 | 0.050 | -0.061 | -33 | 0 | -37 | 0 | · |
| C_P1 | P1 | C | 567 | 46.4 | +0.105 | -0.049 | 0.108 | -0.049 | -10 | -10 | -5 | · | -2 |
| A5_P3_X4 | P3 | X4 | 1,434 | 45.3 | +0.040 | -0.049 | 0.042 | -0.051 | -25 | -12 | -39 | 6 | · |
| C_P5 | P5 | C | 169 | 43.8 | +0.073 | -0.053 | 0.078 | -0.056 | -4 | -3 | -11 | 9 | · |
| A5_P3_X7 | P3 | X7 | 1,434 | 45.0 | +0.033 | -0.053 | 0.056 | -0.089 | -17 | -22 | -25 | -11 | · |
| A5_P3_X5 | P3 | X5 | 1,434 | 49.5 | +0.034 | -0.054 | 0.042 | -0.066 | -32 | -8 | -38 | -0 | · |
| C_P6 | P6 | C | 240 | 43.8 | +0.072 | -0.060 | 0.073 | -0.060 | -11 | -12 | -3 | 11 | · |
| A5_P3_X1 | P3 | X1 | 1,434 | 45.3 | +0.028 | -0.061 | 0.030 | -0.066 | -30 | -19 | -42 | 4 | · |
| A15_P3_X3 | P3 | X3 | 1,140 | 44.1 | +0.009 | -0.063 | 0.013 | -0.086 | -21 | -12 | -34 | -4 | · |
| A15_P5_X1 | P5 | X1 | 1,559 | 43.4 | +0.035 | -0.065 | 0.039 | -0.071 | -20 | -34 | -15 | -31 | · |
| A15_P3_X4 | P3 | X4 | 1,140 | 43.9 | +0.004 | -0.068 | 0.006 | -0.092 | -22 | -14 | -36 | -5 | · |
| A30_P5_X3 | P5 | X3 | 1,336 | 44.8 | +0.021 | -0.068 | 0.031 | -0.098 | -15 | -24 | -24 | -28 | · |
| A15_P3_X1 | P3 | X1 | 1,140 | 43.9 | +0.004 | -0.068 | 0.005 | -0.093 | -22 | -15 | -36 | -5 | · |
| A30_P5_X1 | P5 | X1 | 1,336 | 44.5 | +0.021 | -0.069 | 0.029 | -0.095 | -15 | -24 | -21 | -31 | · |
| A15_P3_X7 | P3 | X7 | 1,140 | 37.5 | +0.002 | -0.069 | 0.004 | -0.151 | -10 | -23 | -34 | -11 | · |
| A30_P3_X7 | P3 | X7 | 944 | 35.4 | -0.005 | -0.070 | -0.014 | -0.181 | -9 | -16 | -29 | -11 | · |
| A15_P3_X2 | P3 | X2 | 1,140 | 45.2 | +0.002 | -0.070 | 0.003 | -0.104 | -22 | -18 | -35 | -5 | · |
| A30_P5_X4 | P5 | X4 | 1,336 | 44.5 | +0.019 | -0.070 | 0.027 | -0.099 | -15 | -23 | -24 | -31 | · |
| A30_P5_X5 | P5 | X5 | 1,336 | 45.8 | +0.019 | -0.070 | 0.029 | -0.107 | -16 | -26 | -26 | -26 | · |
| A15_P5_X3 | P5 | X3 | 1,559 | 43.8 | +0.028 | -0.071 | 0.035 | -0.086 | -22 | -38 | -26 | -25 | · |
| A15_P3_X5 | P3 | X5 | 1,140 | 45.2 | +0.001 | -0.071 | 0.002 | -0.104 | -22 | -18 | -36 | -5 | · |
| A15_P5_X4 | P5 | X4 | 1,559 | 43.5 | +0.028 | -0.071 | 0.033 | -0.084 | -20 | -40 | -24 | -27 | · |
| A5_P3_X6 | P3 | X6 | 1,434 | 43.7 | +0.014 | -0.072 | 0.019 | -0.093 | -27 | -27 | -45 | -5 | · |
| A15_P3_X6 | P3 | X6 | 1,140 | 41.1 | -0.006 | -0.076 | -0.013 | -0.147 | -20 | -16 | -39 | -12 | · |
| A30_P5_X2 | P5 | X2 | 1,336 | 45.8 | +0.013 | -0.076 | 0.021 | -0.119 | -16 | -30 | -33 | -22 | · |
| A15_P5_X5 | P5 | X5 | 1,559 | 45.4 | +0.020 | -0.079 | 0.026 | -0.102 | -25 | -45 | -25 | -28 | · |
| A30_P3_X3 | P3 | X3 | 944 | 43.5 | -0.014 | -0.080 | -0.024 | -0.133 | -16 | -17 | -27 | -15 | · |
| A30_P3_X2 | P3 | X2 | 944 | 43.8 | -0.015 | -0.080 | -0.026 | -0.139 | -18 | -17 | -29 | -11 | · |
| A30_P3_X6 | P3 | X6 | 944 | 35.8 | -0.018 | -0.081 | -0.049 | -0.223 | -16 | -14 | -30 | -17 | · |
| B_P5_X1 | P5 | X1 | 1,479 | 43.9 | +0.034 | -0.081 | 0.039 | -0.091 | -15 | -26 | -33 | -46 | · |
| A30_P3_X4 | P3 | X4 | 944 | 43.5 | -0.017 | -0.082 | -0.028 | -0.138 | -15 | -18 | -29 | -15 | · |
| A30_P3_X5 | P3 | X5 | 944 | 43.8 | -0.017 | -0.082 | -0.029 | -0.142 | -18 | -17 | -30 | -13 | · |
| A30_P3_X1 | P3 | X1 | 944 | 43.5 | -0.017 | -0.083 | -0.029 | -0.138 | -16 | -18 | -29 | -15 | · |
| A30_P5_X7 | P5 | X7 | 1,336 | 38.6 | +0.006 | -0.083 | 0.011 | -0.157 | -16 | -42 | -35 | -18 | · |
| B_P5_X5 | P5 | X5 | 1,479 | 46.8 | +0.031 | -0.084 | 0.040 | -0.107 | -12 | -26 | -42 | -44 | · |
| B_P6_X1 | P6 | X1 | 1,425 | 43.6 | +0.039 | -0.086 | 0.042 | -0.091 | -16 | -22 | -29 | -54 | · |
| B_P5_X4 | P5 | X4 | 1,479 | 43.9 | +0.029 | -0.086 | 0.035 | -0.101 | -14 | -29 | -37 | -48 | · |
| A15_P5_X7 | P5 | X7 | 1,559 | 39.7 | +0.010 | -0.087 | 0.017 | -0.142 | -17 | -60 | -42 | -17 | · |
| A15_P6_X3 | P6 | X3 | 1,394 | 44.8 | +0.042 | -0.089 | 0.053 | -0.100 | -0 | -46 | -63 | -15 | · |
| A15_P6_X1 | P6 | X1 | 1,394 | 44.3 | +0.041 | -0.090 | 0.050 | -0.096 | 1 | -46 | -61 | -20 | · |
| B_P5_X2 | P5 | X2 | 1,479 | 46.8 | +0.024 | -0.091 | 0.033 | -0.122 | -12 | -27 | -49 | -46 | · |
| A15_P6_X4 | P6 | X4 | 1,394 | 44.4 | +0.039 | -0.092 | 0.049 | -0.101 | 1 | -50 | -62 | -17 | · |
| A15_P6_X5 | P6 | X5 | 1,394 | 46.6 | +0.037 | -0.092 | 0.051 | -0.111 | -4 | -50 | -57 | -17 | · |
| B_P5_X3 | P5 | X3 | 1,479 | 44.0 | +0.023 | -0.092 | 0.028 | -0.112 | -14 | -29 | -43 | -50 | · |
| B_P6_X4 | P6 | X4 | 1,425 | 43.6 | +0.032 | -0.092 | 0.037 | -0.104 | -14 | -24 | -35 | -60 | · |
| A15_P5_X2 | P5 | X2 | 1,559 | 45.5 | +0.005 | -0.093 | 0.008 | -0.129 | -27 | -56 | -35 | -27 | · |
| B_P3_X6 | P3 | X6 | 1,353 | 27.5 | +0.022 | -0.095 | 0.046 | -0.194 | -19 | -28 | -56 | -25 | · |
| A5_P6_X2 | P6 | X2 | 1,697 | 49.7 | +0.053 | -0.095 | 0.065 | -0.104 | -18 | -65 | -65 | -14 | · |
| B_P6_X3 | P6 | X3 | 1,425 | 43.9 | +0.029 | -0.095 | 0.034 | -0.112 | -16 | -27 | -37 | -56 | · |
| A15_P6_X2 | P6 | X2 | 1,394 | 46.8 | +0.033 | -0.096 | 0.047 | -0.121 | -8 | -54 | -58 | -14 | · |
| A5_P6_X5 | P6 | X5 | 1,697 | 49.2 | +0.051 | -0.096 | 0.060 | -0.102 | -13 | -67 | -66 | -18 | · |
| A15_P5_X6 | P5 | X6 | 1,559 | 38.6 | -0.002 | -0.097 | -0.004 | -0.162 | -20 | -64 | -46 | -22 | · |
| B_P6_X5 | P6 | X5 | 1,425 | 46.5 | +0.026 | -0.097 | 0.034 | -0.123 | -14 | -30 | -36 | -58 | · |
| A5_P6_X3 | P6 | X3 | 1,697 | 45.2 | +0.053 | -0.098 | 0.055 | -0.093 | -11 | -67 | -71 | -17 | · |
| A30_P5_X6 | P5 | X6 | 1,336 | 34.4 | -0.013 | -0.098 | -0.030 | -0.231 | -16 | -44 | -44 | -27 | · |
| A30_P4_X3 | P4 | X3 | 1,920 | 43.5 | +0.010 | -0.098 | 0.015 | -0.137 | -26 | -54 | -67 | -41 | · |
| B_P5_X6 | P5 | X6 | 1,479 | 24.0 | +0.009 | -0.098 | 0.020 | -0.224 | -22 | -45 | -48 | -31 | · |
| B_P5_X7 | P5 | X7 | 1,479 | 37.4 | +0.012 | -0.099 | 0.020 | -0.165 | -20 | -43 | -50 | -33 | · |
| B_P6_X2 | P6 | X2 | 1,425 | 46.7 | +0.024 | -0.099 | 0.033 | -0.132 | -15 | -32 | -41 | -54 | · |
| A30_P6_X5 | P6 | X5 | 1,165 | 44.7 | +0.019 | -0.100 | 0.030 | -0.136 | -3 | -30 | -67 | -15 | · |
| B_P6_X6 | P6 | X6 | 1,425 | 24.7 | +0.017 | -0.100 | 0.036 | -0.205 | -24 | -43 | -39 | -36 | · |
| A30_P4_X4 | P4 | X4 | 1,920 | 43.3 | +0.009 | -0.100 | 0.012 | -0.137 | -28 | -52 | -67 | -44 | · |
| A15_P4_X3 | P4 | X3 | 2,235 | 43.4 | +0.023 | -0.100 | 0.029 | -0.117 | -25 | -78 | -83 | -37 | · |
| A5_P6_X4 | P6 | X4 | 1,697 | 44.5 | +0.051 | -0.100 | 0.050 | -0.091 | -4 | -77 | -72 | -16 | · |
| A30_P6_X1 | P6 | X1 | 1,165 | 43.6 | +0.019 | -0.100 | 0.027 | -0.128 | -0 | -29 | -67 | -21 | · |
| A30_P6_X3 | P6 | X3 | 1,165 | 43.8 | +0.018 | -0.100 | 0.028 | -0.132 | -1 | -32 | -63 | -21 | · |
| A15_P4_X1 | P4 | X1 | 2,235 | 42.8 | +0.022 | -0.101 | 0.026 | -0.110 | -30 | -83 | -66 | -46 | · |
| A30_P6_X2 | P6 | X2 | 1,165 | 44.9 | +0.018 | -0.101 | 0.029 | -0.140 | -5 | -34 | -68 | -10 | · |
| A30_P6_X4 | P6 | X4 | 1,165 | 43.6 | +0.018 | -0.101 | 0.026 | -0.131 | -1 | -30 | -66 | -21 | · |
| A30_P4_X1 | P4 | X1 | 1,920 | 43.3 | +0.007 | -0.101 | 0.010 | -0.138 | -28 | -58 | -64 | -44 | · |
| A30_P4_X5 | P4 | X5 | 1,920 | 44.5 | +0.006 | -0.102 | 0.009 | -0.150 | -28 | -60 | -71 | -36 | · |
| A15_P4_X4 | P4 | X4 | 2,235 | 42.9 | +0.020 | -0.103 | 0.024 | -0.118 | -29 | -80 | -80 | -42 | · |
| A5_P5_X3 | P5 | X3 | 1,817 | 43.8 | +0.019 | -0.103 | 0.019 | -0.103 | -37 | -59 | -57 | -34 | · |
| A5_P5_X4 | P5 | X4 | 1,817 | 43.2 | +0.019 | -0.104 | 0.018 | -0.099 | -33 | -66 | -59 | -31 | · |
| A15_P6_X7 | P6 | X7 | 1,394 | 38.8 | +0.025 | -0.104 | 0.044 | -0.145 | -1 | -66 | -66 | -13 | · |
| A5_P5_X5 | P5 | X5 | 1,817 | 48.2 | +0.015 | -0.105 | 0.017 | -0.118 | -41 | -62 | -55 | -34 | · |
| B_P2_X2 | P2 | X2 | 2,646 | 45.9 | +0.023 | -0.106 | 0.032 | -0.141 | -33 | -64 | -109 | · | -74 |
| A30_P4_X2 | P4 | X2 | 1,920 | 44.6 | +0.002 | -0.106 | 0.003 | -0.161 | -29 | -65 | -79 | -30 | · |
| A15_P4_X5 | P4 | X5 | 2,235 | 45.0 | +0.015 | -0.106 | 0.021 | -0.135 | -31 | -86 | -80 | -40 | · |
| B_P2_X6 | P2 | X6 | 2,646 | 24.3 | +0.015 | -0.106 | 0.034 | -0.229 | -45 | -76 | -100 | · | -61 |
| A5_P6_X1 | P6 | X1 | 1,697 | 44.3 | +0.044 | -0.106 | 0.043 | -0.095 | -1 | -84 | -74 | -22 | · |
| A5_P5_X2 | P5 | X2 | 1,817 | 48.3 | +0.013 | -0.107 | 0.016 | -0.126 | -42 | -62 | -58 | -32 | · |
| A5_P5_X7 | P5 | X7 | 1,817 | 44.9 | +0.012 | -0.107 | 0.017 | -0.138 | -33 | -70 | -65 | -27 | · |
| B_P4_X6 | P4 | X6 | 2,158 | 24.0 | +0.008 | -0.108 | 0.018 | -0.242 | -33 | -67 | -83 | -50 | · |
| A30_P6_X7 | P6 | X7 | 1,165 | 36.1 | +0.010 | -0.108 | 0.020 | -0.175 | -6 | -43 | -62 | -15 | · |
| A30_P4_X7 | P4 | X7 | 1,920 | 37.1 | -0.001 | -0.108 | -0.002 | -0.193 | -29 | -80 | -72 | -27 | · |
| B_P2_X5 | P2 | X5 | 2,646 | 45.8 | +0.020 | -0.109 | 0.027 | -0.140 | -36 | -66 | -108 | · | -78 |
| B_P2_X1 | P2 | X1 | 2,646 | 42.7 | +0.020 | -0.110 | 0.023 | -0.123 | -44 | -64 | -103 | · | -80 |
| B_P4_X1 | P4 | X1 | 2,158 | 42.8 | +0.015 | -0.110 | 0.017 | -0.124 | -37 | -60 | -76 | -65 | · |
| B_P2_X4 | P2 | X4 | 2,646 | 42.7 | +0.019 | -0.110 | 0.023 | -0.128 | -41 | -61 | -106 | · | -84 |
| B_P4_X5 | P4 | X5 | 2,158 | 45.6 | +0.013 | -0.110 | 0.018 | -0.143 | -28 | -59 | -85 | -66 | · |
| A5_P4_X2 | P4 | X2 | 2,621 | 49.0 | +0.033 | -0.111 | 0.041 | -0.128 | -41 | -104 | -107 | -38 | · |
| A5_P5_X1 | P5 | X1 | 1,817 | 43.1 | +0.012 | -0.111 | 0.012 | -0.103 | -35 | -74 | -55 | -37 | · |
| B_P2_X3 | P2 | X3 | 2,646 | 42.9 | +0.019 | -0.111 | 0.023 | -0.133 | -41 | -65 | -106 | · | -82 |
| B_P4_X2 | P4 | X2 | 2,158 | 45.7 | +0.013 | -0.111 | 0.017 | -0.150 | -25 | -60 | -89 | -65 | · |
| A15_P4_X2 | P4 | X2 | 2,235 | 45.5 | +0.010 | -0.112 | 0.014 | -0.150 | -33 | -91 | -90 | -35 | · |
| B_P4_X4 | P4 | X4 | 2,158 | 42.8 | +0.013 | -0.112 | 0.015 | -0.132 | -36 | -58 | -77 | -71 | · |
| B_P3_X2 | P3 | X2 | 1,353 | 46.9 | +0.012 | -0.113 | 0.016 | -0.145 | -15 | -31 | -71 | -36 | · |
| A5_P4_X3 | P4 | X3 | 2,621 | 43.9 | +0.033 | -0.114 | 0.034 | -0.111 | -33 | -104 | -115 | -45 | · |
| B_P4_X3 | P4 | X3 | 2,158 | 42.9 | +0.010 | -0.114 | 0.013 | -0.138 | -33 | -60 | -78 | -74 | · |
| A15_P4_X7 | P4 | X7 | 2,235 | 38.3 | +0.008 | -0.114 | 0.013 | -0.169 | -28 | -110 | -89 | -29 | · |
| A5_P4_X4 | P4 | X4 | 2,621 | 43.2 | +0.033 | -0.114 | 0.033 | -0.106 | -28 | -116 | -114 | -41 | · |
| A5_P4_X5 | P4 | X5 | 2,621 | 48.3 | +0.030 | -0.114 | 0.034 | -0.126 | -41 | -111 | -103 | -44 | · |
| B_P4_X7 | P4 | X7 | 2,158 | 35.4 | +0.005 | -0.115 | 0.009 | -0.191 | -27 | -72 | -100 | -48 | · |
| A30_P4_X6 | P4 | X6 | 1,920 | 34.3 | -0.011 | -0.115 | -0.025 | -0.244 | -25 | -70 | -86 | -39 | · |
| B_P2_X7 | P2 | X7 | 2,646 | 34.9 | +0.010 | -0.115 | 0.017 | -0.193 | -31 | -83 | -135 | · | -56 |
| B_P1_X2 | P1 | X2 | 4,792 | 44.7 | +0.024 | -0.116 | 0.033 | -0.156 | -74 | -137 | -201 | · | -142 |
| B_P3_X7 | P3 | X7 | 1,353 | 33.6 | +0.004 | -0.117 | 0.006 | -0.196 | -6 | -40 | -74 | -38 | · |
| B_P1_X3 | P1 | X3 | 4,792 | 41.8 | +0.021 | -0.119 | 0.026 | -0.143 | -78 | -149 | -211 | · | -131 |
| B_P6_X7 | P6 | X7 | 1,425 | 34.5 | +0.001 | -0.119 | 0.002 | -0.199 | -18 | -42 | -66 | -44 | · |
| A30_P2_X3 | P2 | X3 | 2,284 | 42.5 | -0.002 | -0.119 | -0.002 | -0.159 | -39 | -61 | -123 | · | -50 |
| B_P1_X5 | P1 | X5 | 4,792 | 44.6 | +0.020 | -0.119 | 0.026 | -0.157 | -76 | -142 | -205 | · | -149 |
| A15_P2_X3 | P2 | X3 | 2,670 | 42.7 | +0.013 | -0.120 | 0.016 | -0.137 | -40 | -86 | -150 | · | -43 |
| B_P1_X4 | P1 | X4 | 4,792 | 41.6 | +0.020 | -0.120 | 0.024 | -0.141 | -76 | -147 | -209 | · | -142 |
| B_P3_X5 | P3 | X5 | 1,353 | 46.8 | +0.005 | -0.121 | 0.006 | -0.151 | -18 | -35 | -75 | -35 | · |
| A5_P6_X7 | P6 | X7 | 1,697 | 43.2 | +0.027 | -0.121 | 0.038 | -0.145 | -6 | -105 | -71 | -23 | · |
| B_P1_X6 | P1 | X6 | 4,792 | 22.4 | +0.011 | -0.121 | 0.024 | -0.270 | -99 | -160 | -199 | · | -121 |
| A15_P2_X4 | P2 | X4 | 2,670 | 42.2 | +0.012 | -0.121 | 0.014 | -0.134 | -41 | -92 | -146 | · | -45 |
| A5_P2_X2 | P2 | X2 | 3,168 | 48.7 | +0.035 | -0.121 | 0.042 | -0.137 | -58 | -124 | -162 | · | -41 |
| B_P3_X4 | P3 | X4 | 1,353 | 43.2 | +0.005 | -0.121 | 0.006 | -0.136 | -19 | -37 | -68 | -39 | · |
| A30_P2_X7 | P2 | X7 | 2,284 | 36.3 | -0.004 | -0.121 | -0.008 | -0.201 | -39 | -84 | -121 | · | -33 |
| A5_P4_X1 | P4 | X1 | 2,621 | 43.0 | +0.026 | -0.121 | 0.025 | -0.110 | -32 | -133 | -103 | -50 | · |
| A15_P6_X6 | P6 | X6 | 1,394 | 39.7 | +0.004 | -0.121 | 0.008 | -0.173 | -6 | -68 | -72 | -23 | · |
| B_P1_X7 | P1 | X7 | 4,792 | 34.1 | +0.014 | -0.121 | 0.024 | -0.207 | -82 | -152 | -238 | · | -110 |
| A15_P4_X6 | P4 | X6 | 2,235 | 38.6 | -0.003 | -0.121 | -0.005 | -0.185 | -26 | -104 | -103 | -38 | · |
| B_P1_X1 | P1 | X1 | 4,792 | 41.5 | +0.018 | -0.122 | 0.021 | -0.141 | -82 | -150 | -207 | · | -144 |
| A15_P2_X1 | P2 | X1 | 2,670 | 42.1 | +0.011 | -0.122 | 0.012 | -0.130 | -42 | -97 | -131 | · | -56 |
| A30_P2_X5 | P2 | X5 | 2,284 | 43.5 | -0.004 | -0.122 | -0.007 | -0.171 | -39 | -70 | -125 | · | -44 |
| A15_P2_X5 | P2 | X5 | 2,670 | 44.6 | +0.009 | -0.122 | 0.011 | -0.150 | -46 | -97 | -136 | · | -48 |
| A30_P2_X4 | P2 | X4 | 2,284 | 42.3 | -0.005 | -0.123 | -0.007 | -0.161 | -40 | -61 | -124 | · | -56 |
| A30_P1_X3 | P1 | X3 | 4,261 | 42.3 | +0.012 | -0.123 | 0.017 | -0.160 | -74 | -111 | -223 | · | -116 |
| A30_P2_X1 | P2 | X1 | 2,284 | 42.2 | -0.006 | -0.124 | -0.008 | -0.161 | -39 | -67 | -121 | · | -56 |
| A30_P2_X2 | P2 | X2 | 2,284 | 43.7 | -0.007 | -0.124 | -0.011 | -0.178 | -40 | -78 | -131 | · | -35 |
| A30_P1_X7 | P1 | X7 | 4,261 | 37.3 | +0.010 | -0.124 | 0.018 | -0.198 | -72 | -151 | -212 | · | -96 |
| B_P3_X3 | P3 | X3 | 1,353 | 43.3 | +0.002 | -0.124 | 0.002 | -0.144 | -20 | -37 | -72 | -39 | · |
| A5_P4_X7 | P4 | X7 | 2,621 | 43.3 | +0.020 | -0.125 | 0.026 | -0.152 | -39 | -135 | -108 | -46 | · |
| A5_P2_X5 | P2 | X5 | 3,168 | 47.9 | +0.031 | -0.125 | 0.035 | -0.135 | -60 | -131 | -159 | · | -47 |
| B_P3_X1 | P3 | X1 | 1,353 | 43.2 | +0.001 | -0.126 | 0.001 | -0.143 | -22 | -37 | -74 | -37 | · |
| A30_P2_X6 | P2 | X6 | 2,284 | 33.9 | -0.014 | -0.126 | -0.031 | -0.246 | -31 | -81 | -128 | · | -49 |
| A15_P2_X7 | P2 | X7 | 2,670 | 38.1 | +0.005 | -0.127 | 0.007 | -0.179 | -40 | -118 | -145 | · | -35 |
| A30_P6_X6 | P6 | X6 | 1,165 | 34.2 | -0.013 | -0.127 | -0.030 | -0.231 | -9 | -44 | -70 | -24 | · |
| A30_P1_X4 | P1 | X4 | 4,261 | 42.0 | +0.009 | -0.127 | 0.012 | -0.161 | -69 | -127 | -219 | · | -125 |
| A15_P2_X2 | P2 | X2 | 2,670 | 45.1 | +0.003 | -0.128 | 0.004 | -0.165 | -49 | -107 | -144 | · | -42 |
| A30_P1_X5 | P1 | X5 | 4,261 | 43.7 | +0.006 | -0.128 | 0.009 | -0.180 | -75 | -123 | -234 | · | -114 |
| A30_P1_X2 | P1 | X2 | 4,261 | 44.0 | +0.004 | -0.130 | 0.007 | -0.187 | -75 | -128 | -245 | · | -106 |
| A30_P1_X1 | P1 | X1 | 4,261 | 41.9 | +0.005 | -0.131 | 0.007 | -0.166 | -70 | -137 | -222 | · | -127 |
| A5_P5_X6 | P5 | X6 | 1,817 | 40.3 | -0.013 | -0.131 | -0.016 | -0.154 | -33 | -100 | -77 | -28 | · |
| A30_P1_X6 | P1 | X6 | 4,261 | 33.6 | -0.002 | -0.131 | -0.005 | -0.259 | -54 | -160 | -232 | · | -114 |
| A5_P2_X3 | P2 | X3 | 3,168 | 43.3 | +0.028 | -0.132 | 0.028 | -0.126 | -61 | -114 | -190 | · | -53 |
| A5_P6_X6 | P6 | X6 | 1,697 | 42.0 | +0.013 | -0.132 | 0.016 | -0.144 | -8 | -100 | -91 | -25 | · |
| A15_P2_X6 | P2 | X6 | 2,670 | 38.2 | -0.005 | -0.132 | -0.008 | -0.194 | -34 | -118 | -153 | · | -47 |
| A5_P2_X4 | P2 | X4 | 3,168 | 42.5 | +0.026 | -0.134 | 0.025 | -0.122 | -59 | -125 | -193 | · | -47 |
| A15_P1_X4 | P1 | X4 | 4,944 | 41.5 | +0.017 | -0.136 | 0.019 | -0.147 | -88 | -157 | -291 | · | -136 |
| A15_P1_X3 | P1 | X3 | 4,944 | 41.9 | +0.015 | -0.138 | 0.017 | -0.156 | -90 | -153 | -302 | · | -137 |
| A5_P2_X7 | P2 | X7 | 3,168 | 42.6 | +0.017 | -0.140 | 0.022 | -0.163 | -68 | -158 | -166 | · | -52 |
| A15_P1_X1 | P1 | X1 | 4,944 | 41.2 | +0.013 | -0.141 | 0.014 | -0.147 | -90 | -176 | -275 | · | -153 |
| A15_P1_X5 | P1 | X5 | 4,944 | 44.3 | +0.007 | -0.144 | 0.010 | -0.176 | -101 | -173 | -290 | · | -146 |
| A15_P1_X7 | P1 | X7 | 4,944 | 37.9 | +0.007 | -0.144 | 0.011 | -0.194 | -88 | -208 | -295 | · | -123 |
| A5_P2_X1 | P2 | X1 | 3,168 | 42.1 | +0.016 | -0.144 | 0.015 | -0.128 | -59 | -159 | -179 | · | -60 |
| A5_P4_X6 | P4 | X6 | 2,621 | 40.8 | -0.002 | -0.145 | -0.003 | -0.163 | -32 | -164 | -142 | -41 | · |
| A15_P1_X6 | P1 | X6 | 4,944 | 37.1 | -0.001 | -0.147 | -0.002 | -0.212 | -70 | -224 | -295 | · | -139 |
| A15_P1_X2 | P1 | X2 | 4,944 | 44.7 | +0.003 | -0.148 | 0.003 | -0.191 | -104 | -185 | -306 | · | -140 |
| A5_P2_X6 | P2 | X6 | 3,168 | 40.6 | +0.002 | -0.153 | 0.002 | -0.165 | -53 | -184 | -194 | · | -53 |
| A5_P1_X2 | P1 | X2 | 5,801 | 48.3 | +0.033 | -0.158 | 0.040 | -0.173 | -107 | -301 | -365 | · | -140 |
| A5_P1_X5 | P1 | X5 | 5,801 | 47.0 | +0.033 | -0.158 | 0.037 | -0.164 | -113 | -298 | -354 | · | -151 |
| A5_P1_X3 | P1 | X3 | 5,801 | 41.8 | +0.024 | -0.172 | 0.024 | -0.158 | -126 | -271 | -428 | · | -172 |
| A5_P1_X4 | P1 | X4 | 5,801 | 40.6 | +0.021 | -0.176 | 0.019 | -0.153 | -126 | -287 | -439 | · | -171 |
| A5_P1_X1 | P1 | X1 | 5,801 | 40.1 | +0.014 | -0.184 | 0.012 | -0.152 | -118 | -327 | -422 | · | -202 |
| A5_P1_X7 | P1 | X7 | 5,801 | 40.2 | +0.009 | -0.186 | 0.011 | -0.197 | -138 | -334 | -425 | · | -179 |
| A5_P1_X6 | P1 | X6 | 5,801 | 39.7 | +0.002 | -0.189 | 0.002 | -0.189 | -105 | -381 | -437 | · | -171 |
avg R = mean trade result in units of the trade’s own risk (R). Gross = frictionless. Net (bold) = after the cost model. Per-year columns are total net R that year. Sort by any numeric column.
Walk-forward and locked test, the honest part
Template C (fade-to-VWAP) walk-forward and locked test. The develop-window sweep flagged template C, pools P2/P3 as the only family worth a single pre-registered out-of-sample look. Pre-registered criteria (stated before running): C_P2 AND C_P3 must both show avg net R > 0 with n >= 50 in the walk-forward window, else the family is rejected. These numbers are the actual walk-forward and locked-test results, not re-simulated here.
| Cell (fade-to-VWAP) | Walk-fwd net R | n | Locked net R | n |
|---|---|---|---|---|
| C_P1 P1 (all T1, offering-only excluded) | -0.0056 | 235 | -0.0599 | 332 |
| C_P2 P2 (per-day rvol5 >= cross-sectional median) | +0.0377 | 146 | -0.0863 | 194 |
| C_P3 P3 (earnings_8k catalyst AND P2) | +0.0798 | 87 | -0.1089 | 117 |
Verdict: Walk-forward PASSED the pre-registered criteria (C_P2 and C_P3 both net-positive, n>=50). Locked test FAILED: all three net-negative, gross edge collapsed toward zero. The 2023-24 strength read as regime, not edge; the family is rejected permanently per the pre-set rule.
Walk-forward window 2024-07-01..2025-03-31. Locked-test window 2025-04-01..2026-06-30.
We publish this selection live every trading day
The exact rules above run every morning against the whole US market: a reference pass before the open, a gap-and-catalyst scan at 9:31 ET, a rvol5 ranking at 9:52 ET, and evening study metrics after the close. Watch the live feed continuously validate, or falsify, these five years of evidence.