{
  "reference": "2026-10-02-atr-preclose/native-iex-2021-25bps",
  "updated_date": "2026-10-02",
  "start_date": "2021-01-04",
  "end_date": "2026-10-01",
  "starting_equity": 100000,
  "ending_equity": 1040226.5366112521,
  "total_return_pct": 940.2265366112522,
  "cagr_pct": 50.399093112196525,
  "max_drawdown_pct": -25.155152927022005,
  "closed_tranches": 59,
  "tranche_win_rate_pct": 50.847457627118644,
  "annual_returns": [
    {
      "year": 2021,
      "through": "2021-12-31",
      "partial": false,
      "return_pct": 48.19402662500014,
      "starting_equity": 100000,
      "ending_equity": 148194.02662500014
    },
    {
      "year": 2022,
      "through": "2022-12-30",
      "partial": false,
      "return_pct": 7.565349549054434,
      "starting_equity": 148194.02662500014,
      "ending_equity": 159405.4227500002
    },
    {
      "year": 2023,
      "through": "2023-12-29",
      "partial": false,
      "return_pct": 138.12161661545477,
      "starting_equity": 159405.4227500002,
      "ending_equity": 379578.7696250004
    },
    {
      "year": 2024,
      "through": "2024-12-31",
      "partial": false,
      "return_pct": 66.18938794922862,
      "starting_equity": 379578.7696250004,
      "ending_equity": 630819.6340250007
    },
    {
      "year": 2025,
      "through": "2025-12-31",
      "partial": false,
      "return_pct": 36.7508991127585,
      "starting_equity": 630819.6340250007,
      "ending_equity": 862651.5213090011
    },
    {
      "year": 2026,
      "through": "2026-10-01",
      "partial": true,
      "return_pct": 20.584791299364525,
      "starting_equity": 862651.5213090011,
      "ending_equity": 1040226.5366112521
    }
  ],
  "methodology": {
    "signal": "QQQ, historical IEX minute data",
    "risk_observation": "TQQQ, historical IEX minute observations and completed IEX daily references",
    "execution": "TQQQ, historical SIP minute prices; IEX daily fallback/marks",
    "allocation_input": "Monthly volatility assessment from QQQ daily total-return history",
    "configuration": "Adopted October 2026 strategy, including monthly sizing, late-session selloff protection and pre-close extension profit taking",
    "timing": "Intraday decisions fill at the next executable minute open; completed-close decisions fill at the next session open",
    "slippage_bps_per_fill": 25,
    "commissions_included": false,
    "annual_return_basis": "Final daily equity of each year divided by the previous year-end equity, minus one; first year uses starting capital; final partial year is YTD",
    "cagr_basis": "365.25-day annualization between the first and last recorded trading sessions",
    "drawdown_basis": "Daily closing equity, peak to trough; intraday losses may be greater",
    "trade_basis": "Closed tranches, including partial exits and allocation adjustments; not complete flat-to-flat positions",
    "limitations": "Sparse IEX minutes and daily fallback limit precision. Fixed slippage does not model market impact, variable spreads, latency or capacity. Allocation changes and early exits can miss recoveries. These histories were used during rule selection; this is not live performance or an independent out-of-sample result."
  },
  "source_sha256": {
    "preclose_100.json": "a1ed63a808099b44058c304475b95931c4156b93a365825be114de4e35a29fdd",
    "preclose_100_curve.json": "c5de2c8512c1019e227200095ef890b7d761ec6309b85a3a122291ba32659a6f",
    "preclose_100_equity.csv": "3d15c6926f40418673c6ce0bcd5e1f792b4ce8f5470723dc2c8c19757b76e1d2",
    "preclose_100_trades.csv": "35074d339e52dcf916128988f4fd92bfc329e3e45a5df10ee45f7377cc7f9734"
  }
}