Ewan Li

Systematic equity

v2b-TOM on Alpaca paper

RSI(2) pullback with an SPY trend core

paperaccountDAILYbookv2b-tomstartedSep 30, 2026

What it is

v2b-TOM's rules (v2b, its SPY core also held through the turn of the month) in a sub-book of the DAILY Alpaca paper account, beside the local shadow book. It started flat on 2026-09-30 and trades on its own positions and value. Its trades come from the account's trade journal.

The rule

  • Universe: S&P 500 members closing at $5 or more, with a 63-session median dollar volume of at least $10M and 252 sessions of history.
  • Pullback sleeve (43.7%): buy a stock whose RSI(2) is below 10 while its close is above its 200-session average, lowest RSI(2) first when more trigger than there are free slots; up to 20 slots of 5% of the sleeve. Sell at a close above the 5-session average, after 10 sessions, or when the stock leaves the universe.
  • Core sleeve (56.3%): hold SPY while it closes above its 200-session average, or while the next session is one of a month's last 4 sessions or first 3. The core is re-sized only when that flips or when it drifts more than 10% from its target.
  • Halt: the pullback sleeve makes no new entries once the sub-book's total with dividends and interest has fallen 25% from its peak, which is permanent, or, once it has a year of history, while its trailing-year Sharpe is below −0.5.
  • Orders: decided at about 15:40 ET on that day's 5-minute snapshot, only between 15:25 and 15:50 and never on a session that closes early, then netted per symbol with the other sub-books' orders and worked into the close: from 15:55 each rests as a limit order at the midpoint of IEX's quote, and from 15:59 what is left goes at market; nothing is sent after 15:59:45. On the first session, 2026-09-30, they went as market-on-close orders instead, and Alpaca's paper account filled about 15% of their value.
  • Fills: shares one sub-book buys and another sells at the same close meet inside the account at the official close; every leg on the larger side then gets one average of that price and Alpaca's fill. An entry left unfilled, or the unfilled part of one, is dropped and the sub-book holds less; an exit left unfilled goes again at the next close.
NameValueUnitWhere it livesPinned by
universe.min_price5USD, as-traded closesyseq/strategy/config.py:13tests/test_frozen_params.py:15
universe.min_adv10000000USD a day, 63-session mediansyseq/strategy/config.py:14tests/test_frozen_params.py:15
universe.adv_window63sessionssyseq/strategy/config.py:15tests/test_frozen_params.py:15
universe.min_history252sessionssyseq/strategy/config.py:16tests/test_frozen_params.py:15
pullback.trend_sma200sessionssyseq/strategy/config.py:21tests/test_frozen_params.py:15
pullback.rsi_period2sessionssyseq/strategy/config.py:22tests/test_frozen_params.py:15
pullback.rsi_entry_below10—syseq/strategy/config.py:23tests/test_frozen_params.py:15
pullback.exit_sma5sessionssyseq/strategy/config.py:24tests/test_frozen_params.py:15
pullback.max_hold_sessions10sessionssyseq/strategy/config.py:25tests/test_frozen_params.py:15
pullback.slots20—syseq/strategy/config.py:26tests/test_frozen_params.py:15
pullback.slot_weight0.05of the pullback sleevesyseq/strategy/config.py:27tests/test_frozen_params.py:15
core.symbolSPY—syseq/strategy/config.py:32tests/test_frozen_params.py:15
core.trend_sma200sessionssyseq/strategy/config.py:33tests/test_frozen_params.py:15
TOM_BEFORE4sessions at the end of a monthsyseq/strategy/challenger.py:18tests/test_challenger.py:15
TOM_AFTER3sessions at the start of a monthsyseq/strategy/challenger.py:19tests/test_challenger.py:15
pullback_capital0.437of the sub-booksyseq/strategy/config.py:39tests/test_frozen_params.py:15
core_capital0.563of the sub-booksyseq/strategy/config.py:40tests/test_frozen_params.py:15
CORE_BAND0.1of the core's targetsyseq/strategy/orders.py:13—
HALT_DRAWDOWN−0.25the sub-book's fall from its peaksyseq/execution/paper.py:22—
HALT_SHARPE_12M−0.5trailing-year Sharpesyseq/execution/paper.py:23—
WORK_FROM15:55ETsyseq/execution/close_worker.py:36tests/test_close_worker.py:210
LAST_ATTEMPT15:59ETsyseq/execution/close_worker.py:37—
LAST_SEND15:59:45ETsyseq/execution/close_worker.py:38—
OWNER_COMMISSION0.007USD a share a side, an estimatesyseq/journal/common.py:13tests/test_journal.py:651
versionv2b-tom—syseq/strategy/challenger.py:21tests/test_challenger.py:15

Its read

What is read
the sub-book: its return, Sharpe, drawdown and trades against its backtest's one-year range; its fills against the official close, with partial fills, rejections and unfilled exits; and its local twin, fill by fill. It cannot promote the strategy.
Read on
Sep 30, 2027
Trades needed
—
Trades logged
—
Hard stop
—
Shipped on
—
Deployed commit
c7b1582

Record so far

Closed trades
46
Won
36 of 46
P&L
+$1,116.46
Net P&L
+$1,103.06
Closed without a P&L
—
Closed without a net P&L
—
Open
21
The book's value
Its NAV at each session's close as its ledger keeps it, before the interest and dividends the ledger credits it; the line is the $100,000 it was given.
$99,000$100,000$101,000$102,000Sep 30Oct 15Sep 30, 2026: $100,000.05Oct 1, 2026: $100,004.42Oct 2, 2026: $100,586.54Oct 5, 2026: $101,108.66Oct 6, 2026: $101,442.06Oct 7, 2026: $101,318.18Oct 8, 2026: $101,188.52Oct 9, 2026: $101,454.57Oct 12, 2026: $100,946.84Oct 13, 2026: $100,842.95Oct 14, 2026: $99,136.99Oct 15, 2026: $99,279.60
The book's value — data table
v2b-TOM on Alpaca paper: its book's NAV at each session's close
SessionNAV
Sep 30, 2026$100,000.05
Oct 1, 2026$100,004.42
Oct 2, 2026$100,586.54
Oct 5, 2026$101,108.66
Oct 6, 2026$101,442.06
Oct 7, 2026$101,318.18
Oct 8, 2026$101,188.52
Oct 9, 2026$101,454.57
Oct 12, 2026$100,946.84
Oct 13, 2026$100,842.95
Oct 14, 2026$99,136.99
Oct 15, 2026$99,279.60
Closed trades
Each closed trade's net P&L as the record keeps it, by the day it closed.
−$100−$50$0+$50+$100+$150BRK-B, closed Oct 2, 2026: +$10.22 netNUE, closed Oct 2, 2026: +$25.46 netADM, closed Oct 2, 2026: +$27.16 netDE, closed Oct 2, 2026: +$61.05 netFCX, closed Oct 2, 2026: +$88.54 netGL, closed Oct 2, 2026: −$0.83 netCOIN, closed Oct 5, 2026: +$19.10 netELV, closed Oct 5, 2026: +$31.53 netKO, closed Oct 5, 2026: +$1.09 netNTRS, closed Oct 5, 2026: +$11.59 netHOOD, closed Oct 5, 2026: +$54.81 netSTT, closed Oct 5, 2026: +$27.55 netDXCM, closed Oct 5, 2026: +$38.67 netGPN, closed Oct 5, 2026: +$102.49 netIQV, closed Oct 5, 2026: +$60.98 netIFF, closed Oct 6, 2026: +$19.92 netMMM, closed Oct 6, 2026: +$30.63 netJNJ, closed Oct 7, 2026: −$9.95 netGILD, closed Oct 7, 2026: +$30.11 netPFE, closed Oct 7, 2026: +$11.39 netAMGN, closed Oct 7, 2026: +$52.62 netVRTX, closed Oct 7, 2026: +$6.42 netBBY, closed Oct 8, 2026: +$23.18 netBNY, closed Oct 8, 2026: −$3.06 netSJM, closed Oct 8, 2026: +$62.03 netBMY, closed Oct 8, 2026: +$28.09 netTGT, closed Oct 8, 2026: +$28.50 netDGX, closed Oct 8, 2026: +$25.07 netEG, closed Oct 8, 2026: +$66.34 netDOC, closed Oct 9, 2026: −$75.49 netMRK, closed Oct 9, 2026: +$85.74 netWELL, closed Oct 9, 2026: +$8.81 netSOLV, closed Oct 9, 2026: +$38.93 netVTRS, closed Oct 9, 2026: +$19.84 netROST, closed Oct 12, 2026: −$3.91 netSW, closed Oct 13, 2026: −$93.20 netDE, closed Oct 13, 2026: −$23.32 netQCOM, closed Oct 13, 2026: −$3.14 netGRMN, closed Oct 13, 2026: +$71.57 netHOOD, closed Oct 13, 2026: +$69.92 netMSI, closed Oct 13, 2026: +$21.14 netINCY, closed Oct 15, 2026: −$76.18 netPFG, closed Oct 15, 2026: −$42.08 netSWKS, closed Oct 15, 2026: +$54.85 netBNY, closed Oct 15, 2026: +$21.50 netVRTX, closed Oct 15, 2026: +$97.38 netOct 2Oct 15
Closed trades — data table
v2b-TOM on Alpaca paper: each closed trade's P&L and net P&L as the record keeps them
ClosedSymbolP&LNet P&LReturn
Oct 2, 2026BRK-B+$10.25+$10.22+1.03%
Oct 2, 2026NUE+$25.52+$25.46+2.73%
Oct 2, 2026ADM+$27.54+$27.16+1.28%
Oct 2, 2026DE+$61.09+$61.05+3.06%
Oct 2, 2026FCX+$88.97+$88.54+4.15%
Oct 2, 2026GL−$0.65−$0.83−0.03%
Oct 5, 2026COIN+$19.25+$19.10+0.94%
Oct 5, 2026ELV+$31.60+$31.53+1.63%
Oct 5, 2026KO+$1.19+$1.09+0.20%
Oct 5, 2026NTRS+$11.76+$11.59+0.58%
Oct 5, 2026HOOD+$55.08+$54.81+2.61%
Oct 5, 2026STT+$27.72+$27.55+1.33%
Oct 5, 2026DXCM+$39.02+$38.67+1.83%
Oct 5, 2026GPN+$102.87+$102.49+4.86%
Oct 5, 2026IQV+$61.09+$60.98+2.95%
Oct 6, 2026IFF+$20.28+$19.92+0.94%
Oct 6, 2026MMM+$30.81+$30.63+1.47%
Oct 7, 2026JNJ−$9.84−$9.95−0.47%
Oct 7, 2026GILD+$30.32+$30.11+1.39%
Oct 7, 2026PFE+$12.48+$11.39+0.58%
Oct 7, 2026AMGN+$52.69+$52.62+2.62%
Oct 7, 2026VRTX+$6.48+$6.42+0.32%
Oct 8, 2026BBY+$23.52+$23.18+1.12%
Oct 8, 2026BNY−$2.85−$3.06−0.13%
Oct 8, 2026SJM+$62.28+$62.03+2.98%
Oct 8, 2026BMY+$28.60+$28.09+1.31%
Oct 8, 2026TGT+$28.70+$28.50+1.34%
Oct 8, 2026DGX+$25.20+$25.07+1.23%
Oct 8, 2026EG+$66.42+$66.34+3.06%
Oct 9, 2026DOC−$73.92−$75.49−3.39%
Oct 9, 2026MRK+$85.95+$85.74+4.10%
Oct 9, 2026WELL+$8.94+$8.81+0.44%
Oct 9, 2026SOLV+$39.28+$38.93+1.83%
Oct 9, 2026VTRS+$21.62+$19.84+0.97%
Oct 12, 2026ROST−$3.78−$3.91−0.19%
Oct 13, 2026SW−$92.50−$93.20−4.28%
Oct 13, 2026DE−$23.28−$23.32−1.18%
Oct 13, 2026QCOM−$2.97−$3.14−0.14%
Oct 13, 2026GRMN+$71.68+$71.57+3.35%
Oct 13, 2026HOOD+$70.20+$69.92+3.28%
Oct 13, 2026MSI+$21.20+$21.14+1.19%
Oct 15, 2026INCY−$75.92−$76.18−3.59%
Oct 15, 2026PFG−$41.82−$42.08−1.98%
Oct 15, 2026SWKS+$55.24+$54.85+2.57%
Oct 15, 2026BNY+$21.71+$21.50+1.03%
Oct 15, 2026VRTX+$97.44+$97.38+5.02%
Record Trade journal
Cost model

Alpaca paper fills, with no commission. In the DAILY account, shares one sub-book buys and another sells at the same close meet inside the account at the official close, and every leg on the larger side gets one average of that price and Alpaca's fill. Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L is the P&L less it, without dividends; the P&L, the total with dividends, the return and the P&L in basis points of the sub-book are before it. An open trade is marked at the latest official close, before commission, with the dividends paid so far beside it.

Trades

81 trades

OpenedClosedAccountSymbolSideSizeEntryExitP&LNet P&LReturnUnrealizedHeldExit byStatusRecord
Oct 15, 2026—DAILYANETlong11185.098182————+$5.30——openTrade journal (1)
Oct 15, 2026—DAILYDELLlong4467.15————+$24.96——openTrade journal (1)
Oct 15, 2026—DAILYHPElong3658.68————−$1.80——openTrade journal (1)
Oct 15, 2026—DAILYKEYSlong6341.57————+$3.06——openTrade journal (1)
Oct 15, 2026—DAILYSNPSlong4468.77————−$2.64——openTrade journal (1)
Oct 13, 2026Oct 15, 2026DAILYBNYlong15141.0393142.4867+$21.71+$21.50+1.03%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 13, 2026—DAILYCDNSlong6334.30————−$59.52——openTrade journal (1)
Oct 13, 2026—DAILYMUlong2949.1525————−$35.83——openTrade journal (1)
Oct 13, 2026—DAILYSMCIlong5639.088661————−$223.93——openTrade journal (1)
Oct 13, 2026—DAILYSTXlong2748.29————−$114.96——openTrade journal (1)
Oct 13, 2026Oct 15, 2026DAILYVRTXlong4485.18509.54+$97.44+$97.38+5.02%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 12, 2026—DAILYKLAClong11190.293333————−$174.17——openTrade journal (1)
Oct 9, 2026—DAILYBENlong6931.936305————−$38.39——openTrade journal (1)
Oct 9, 2026—DAILYIVZlong7429.510608————−$52.59——openTrade journal (1)
Oct 9, 2026Oct 13, 2026DAILYMSIlong4444.14449.44+$21.20+$21.14+1.19%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 9, 2026—DAILYNVDAlong9229.657692————−$111.85——openTrade journal (1)
Oct 9, 2026Oct 15, 2026DAILYSWKSlong2876.767178.74+$55.24+$54.85+2.57%—4 sessionsclose>sma_exitclosedTrade journal (1)
Oct 8, 2026—DAILYAMATlong4509.077647————−$316.27——openTrade journal (1)
Oct 8, 2026—DAILYDALlong2782.04————−$106.92——openTrade journal (1)
Oct 8, 2026Oct 13, 2026DAILYGRMNlong8267.86276.82+$71.68+$71.57+3.35%—3 sessionsclose>sma_exitclosedTrade journal (1)
Oct 8, 2026Oct 13, 2026DAILYHOODlong20107.16110.67+$70.20+$69.92+3.28%—3 sessionsclose>sma_exitclosedTrade journal (1)
Oct 8, 2026—DAILYLRCXlong6321.14————−$262.08——openTrade journal (1)
Oct 8, 2026—DAILYROKlong5434.93————−$64.50——openTrade journal (1)
Oct 8, 2026—DAILYTERlong5399.464545————−$281.27——openTrade journal (1)
Oct 8, 2026Oct 9, 2026DAILYVTRSlong12717.479817.65+$21.62+$19.84+0.97%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 7, 2026Oct 13, 2026DAILYDElong3657.03649.27−$23.28−$23.32−1.18%—4 sessionsclose>sma_exitclosedTrade journal (1)
Oct 7, 2026Oct 8, 2026DAILYEGlong6361.67372.74+$66.42+$66.34+3.06%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 7, 2026Oct 13, 2026DAILYQCOMlong12177.1448176.8969−$2.97−$3.14−0.14%—4 sessionsclose>sma_exitclosedTrade journal (1)
Oct 7, 2026Oct 9, 2026DAILYSOLVlong2585.92987.50+$39.28+$38.93+1.83%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 6, 2026Oct 8, 2026DAILYDGXlong9227.86230.66+$25.20+$25.07+1.23%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 6, 2026—DAILYINTClong19113.099474————−$336.86——openTrade journal (1)
Oct 6, 2026—DAILYSNDKlong11,660.66————−$265.83——openTrade journal (1)
Oct 5, 2026Oct 7, 2026DAILYAMGNlong5402.978413.517+$52.69+$52.62+2.62%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 5, 2026Oct 8, 2026DAILYBMYlong3758.8459.6131+$28.60+$28.09+1.31%—3 sessionsclose>sma_exitclosedTrade journal (1)
Oct 5, 2026Oct 9, 2026DAILYMRKlong15139.83145.56+$85.95+$85.74+4.10%—4 sessionsclose>sma_exitclosedTrade journal (1)
Oct 5, 2026Oct 15, 2026DAILYPFGlong19111.0608108.86−$41.82−$42.08−1.98%—8 sessionsclose>sma_exitclosedTrade journal (1)
Oct 5, 2026Oct 12, 2026DAILYROSTlong9226.27225.85−$3.78−$3.91−0.19%—5 sessionsclose>sma_exitclosedTrade journal (1)
Oct 5, 2026Oct 8, 2026DAILYTGTlong14152.89154.94+$28.70+$28.50+1.34%—3 sessionsclose>sma_exitclosedTrade journal (1)
Oct 5, 2026Oct 7, 2026DAILYVRTXlong4504.17505.79+$6.48+$6.42+0.32%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 5, 2026Oct 9, 2026DAILYWELLlong9224.7356225.7283+$8.94+$8.81+0.44%—4 sessionsclose>sma_exitclosedTrade journal (1)
Oct 2, 2026Oct 5, 2026DAILYDXCMlong2585.3686.9208+$39.02+$38.67+1.83%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 2, 2026Oct 7, 2026DAILYGILDlong15144.88146.901+$30.32+$30.11+1.39%—3 sessionsclose>sma_exitclosedTrade journal (1)
Oct 2, 2026Oct 5, 2026DAILYGPNlong2778.4382.24+$102.87+$102.49+4.86%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 2, 2026Oct 5, 2026DAILYIQVlong8258.87266.5063+$61.09+$60.98+2.95%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 2, 2026Oct 6, 2026DAILYMMMlong13161.67164.04+$30.81+$30.63+1.47%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 2, 2026Oct 7, 2026DAILYPFElong7827.8227.98+$12.48+$11.39+0.58%—3 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 2, 2026DAILYADMlong2779.4980.51+$27.54+$27.16+1.28%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 8, 2026DAILYBBYlong2487.7388.71+$23.52+$23.18+1.12%—5 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 8, 2026DAILYBNYlong15143.71143.52−$2.85−$3.06−0.13%—5 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 2, 2026DAILYDElong3666.1767686.54+$61.09+$61.05+3.06%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 9, 2026DAILYDOClong11219.4918.83−$73.92−$75.49−3.39%—6 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 2, 2026DAILYFCXlong3169.2072.07+$88.97+$88.54+4.15%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 2, 2026DAILYGLlong13165.86165.81−$0.65−$0.83−0.03%—1 sessionclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 5, 2026DAILYHOODlong19111.0124113.9111+$55.08+$54.81+2.61%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 6, 2026DAILYIFFlong2683.0583.83+$20.28+$19.92+0.94%—3 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 15, 2026DAILYINCYlong18117.46113.242−$75.92−$76.18−3.59%—10 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 7, 2026DAILYJNJlong8259.74258.51−$9.84−$9.95−0.47%—4 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 8, 2026DAILYSJMlong18116.03119.49+$62.28+$62.03+2.98%—5 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 5, 2026DAILYSTTlong12174.12176.43+$27.72+$27.55+1.33%—2 sessionsclose>sma_exitclosedTrade journal (1)
Oct 1, 2026Oct 13, 2026DAILYSWlong5043.2441.39−$92.50−$93.20−4.28%—8 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYADPlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYAPAlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYBNYlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 2, 2026DAILYBRK-Blong2498.29503.415+$10.25+$10.22+1.03%—2 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYCOINlong11186.39188.14+$19.25+$19.10+0.94%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYDElong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYEGlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYELVlong5388.81395.13+$31.60+$31.53+1.63%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYHOODlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYIBKRlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYIFFlong0————————unfilledTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYKOlong786.1086.27+$1.19+$1.09+0.20%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 5, 2026DAILYNTRSlong12169.37170.35+$11.76+$11.59+0.58%—3 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026Oct 2, 2026DAILYNUElong4233.87240.25+$25.52+$25.46+2.73%—2 sessionsclose>sma_exitclosedTrade journal (1)
Sep 30, 2026—DAILYOKElong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYPKGlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYSPGlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYSPYlong73763.855411————+$579.22——openTrade journal (1)
Sep 30, 2026—DAILYSTLDlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYSTTlong0————————unfilledTrade journal (1)
Sep 30, 2026—DAILYTRGPlong0————————unfilledTrade journal (1)
  1. (1)
    Record Trade journal
    Cost model

    Alpaca paper fills, with no commission. In the DAILY account, shares one sub-book buys and another sells at the same close meet inside the account at the official close, and every leg on the larger side gets one average of that price and Alpaca's fill. Alpaca's SEC and CAT fees, charged by the day, are left out. Commission is estimated at $0.007 a share a side, the rate at the owner's own broker: the net P&L is the P&L less it, without dividends; the P&L, the total with dividends, the return and the P&L in basis points of the sub-book are before it. An open trade is marked at the latest official close, before commission, with the dividends paid so far beside it.

Where the research is

  • The daily account (findings systematic-equity/DESIGN/170)
  • The trade journal (findings systematic-equity/DESIGN/190)
  • The shadow's pre-registration (findings systematic-equity/DESIGN/90)