Hypotheses

SPY Previous-Session Contrarian Long/Cash Source Replication

Hypothesis

Faithfully implement the paper's contrarian signal on SPY.USEQ daily bars. Baseline return_lookback=1: calculate log(close_t/close_(t-1)), buy after a negative return and sell after a nonnegative return. The latest completed return is the previous interval relative to the forecast period; do not introduce another session of lag. No RSI, crash threshold, stop, target or predictive model is added. Interpret source DFL=1 as unlevered exposure capped at 100% account NAV, with whole shares. Risk route is signal exit plus capped sizing. Hold existing quantity through consecutive negative-return sessions without unnecessary close/reopen turnover. Decisions execute at the next session open, so an entry cannot earn the preceding overnight gap. Search return_lookback over 1–3 sessions around the source's one-day baseline; retain an explicit baseline replication report. Predict approximately 50–90 completed positions per year.

Analysis

Hedging Properties of Algorithmic Investment Strategies using Long Short-Term Memory and Time Series models for Equity Indices

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