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Hypotheses

QuantRocket FirstHalfHourPredictsLastHalfHour — Frozen SPY USEQ Translation

Translate QuantRocket's Apache-2.0 strategy on SPY.USEQ using SPY.USEQ-1-MINUTE-LAST-EXTERNAL bars. Preserve its two strict sign tests, overnight-inclusive first return, same-day positioning, full-equity target weights…

Hypothesis

Translate QuantRocket's Apache-2.0 strategy on SPY.USEQ using SPY.USEQ-1-MINUTE-LAST-EXTERNAL bars. Preserve its two strict sign tests, overnight-inclusive first return, same-day positioning, full-equity target weights and disabled VIX filter. The source security maps to SPY, as documented in [QuantRocket's data notebook](https://www.quantrocket.com/codeload/first-last/first_last/Part1-SPY-Data-Collection.ipynb.html). Source defaults are CODE='first-last', DB='usstock-1min',……Show moreShow less

Translate QuantRocket's Apache-2.0 strategy on SPY.USEQ using SPY.USEQ-1-MINUTE-LAST-EXTERNAL bars. Preserve its two strict sign tests, overnight-inclusive first return, same-day positioning, full-equity target weights and disabled VIX filter. The source security maps to SPY, as documented in [QuantRocket's data notebook](https://www.quantrocket.com/codeload/first-last/first_last/Part1-SPY-Data-Collection.ipynb.html). Source defaults are CODE='first-last', DB='usstock-1min', DB_TIMES=['10:00:00','15:00:00','15:30:00','15:59:00'], DB_FIELDS=['Open','Close'], MIN_VIX=None, benchmark=SPY at 15:59, broker commission=$0.005/share and slippage=0.5 bps. Encode disabled MIN_VIX as numeric min_vix=0, preserving the source's falsy branch without an invalid null optimization value. Platform costs replace source costs: zero USEQ commissions plus modeled spread and impact. Execution adaptation: the source uses the 15:30 minute's open for both signal and entry; that open is only delivered within a completed bar here. Preserve the exact signal inputs, submit at 15:31 when that minute closes, and fill at its close; never backdate a fill to 15:30. This one-minute delay must be reported as an adaptation. Exit at the close of the minute beginning 15:59, delivered at 16:00. All clock times use America/New_York with DST. No additional indicator, threshold, stop or VIX feed is introduced.

Analysis

FirstHalfHourPredictsLastHalfHour

Backtest and paper results are hypothetical. Trading involves risk of loss.