Ewan Li

Systematic equity

v2b-TOM

RSI(2) pullback with an SPY trend core

shadowaccountSIM-V2B-TOMbookv2b-tomstartedSep 28, 2026

What it is

The shadow of v2b. It runs v2b's rules with one change: its SPY core is also held through the turn of the month. Simulated at the official close on its own local paper ledger, beside v2b's. Its record starts on 2026-09-28, a day it held only cash because its first scan missed the order window; it first traded on 2026-09-29.

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 book's value 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, and filled in the simulated ledger at the official close, at 5 bp a side.
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 booksyseq/strategy/config.py:39tests/test_frozen_params.py:15
core_capital0.563of the 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 book's fall from its peaksyseq/execution/paper.py:22—
HALT_SHARPE_12M−0.5trailing-year Sharpesyseq/execution/paper.py:23—
versionv2b-tom—syseq/strategy/challenger.py:21tests/test_challenger.py:15

Its read

What is read
a descriptive read beside v2b's: the sessions the shadow held SPY and v2b did not, and what they earned. The gap in value is split into core differences and execution differences, and only the core differences say anything about the rule.
Read on
Sep 30, 2027
Trades needed
—
Trades logged
—
Hard stop
—
Shipped on
—
Deployed commit
c7b1582

Record so far

Closed trades
51
Won
37 of 51
P&L
+$1,097.64
Net P&L
—
Closed without a P&L
—
Closed without a net P&L
51 trades
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 28Oct 13Sep 28, 2026: $100,016.10Sep 29, 2026: $99,983.68Sep 30, 2026: $99,561.98Oct 1, 2026: $99,799.98Oct 2, 2026: $100,551.95Oct 5, 2026: $101,039.28Oct 6, 2026: $101,402.72Oct 7, 2026: $101,276.50Oct 8, 2026: $101,247.43Oct 9, 2026: $101,638.54Oct 12, 2026: $101,080.46Oct 13, 2026: $100,952.21
The book's value — data table
v2b-TOM: its book's NAV at each session's close
SessionNAV
Sep 28, 2026$100,016.10
Sep 29, 2026$99,983.68
Sep 30, 2026$99,561.98
Oct 1, 2026$99,799.98
Oct 2, 2026$100,551.95
Oct 5, 2026$101,039.28
Oct 6, 2026$101,402.72
Oct 7, 2026$101,276.50
Oct 8, 2026$101,247.43
Oct 9, 2026$101,638.54
Oct 12, 2026$101,080.46
Oct 13, 2026$100,952.21
Closed trades
Each closed trade's P&L as the record keeps it, by the day it closed; its cost model says what that includes.
−$100−$50$0+$50+$100+$150PSX, closed Sep 30, 2026: +$23.46CRM, closed Oct 1, 2026: +$101.35TRGP, closed Oct 1, 2026: +$45.44VRSN, closed Oct 1, 2026: +$48.42ADM, closed Oct 2, 2026: +$27.26EBAY, closed Oct 2, 2026: +$22.74GL, closed Oct 2, 2026: −$6.28IBKR, closed Oct 2, 2026: +$51.90NUE, closed Oct 2, 2026: +$36.27OKE, closed Oct 2, 2026: +$24.40STLD, closed Oct 2, 2026: +$89.77DE, closed Oct 2, 2026: +$58.19ELV, closed Oct 5, 2026: +$7.91HOOD, closed Oct 5, 2026: −$39.01MDLZ, closed Oct 5, 2026: −$30.93MS, closed Oct 5, 2026: −$29.32NDAQ, closed Oct 5, 2026: +$6.76EG, closed Oct 5, 2026: +$7.28DXCM, closed Oct 5, 2026: +$37.41GPN, closed Oct 5, 2026: +$101.49IQV, closed Oct 5, 2026: +$61.98KO, closed Oct 5, 2026: +$20.42IFF, closed Oct 6, 2026: +$37.91REGN, closed Oct 7, 2026: −$17.52JNJ, closed Oct 7, 2026: +$18.33AMGN, closed Oct 7, 2026: +$49.47GILD, closed Oct 7, 2026: +$32.20MRK, closed Oct 7, 2026: +$47.68PFE, closed Oct 7, 2026: +$45.50VRTX, closed Oct 7, 2026: +$7.55VZ, closed Oct 7, 2026: −$4.94BBY, closed Oct 8, 2026: −$9.46BNY, closed Oct 8, 2026: −$48.19KHC, closed Oct 8, 2026: −$90.27SJM, closed Oct 8, 2026: +$61.21BMY, closed Oct 8, 2026: +$27.39TGT, closed Oct 8, 2026: +$23.70DGX, closed Oct 8, 2026: +$32.71EG, closed Oct 8, 2026: +$63.68DOC, closed Oct 9, 2026: −$72.08SOLV, closed Oct 9, 2026: +$34.16BIIB, closed Oct 9, 2026: +$71.67VTRS, closed Oct 9, 2026: +$24.28ROST, closed Oct 12, 2026: −$5.79WAB, closed Oct 12, 2026: +$33.79SW, closed Oct 13, 2026: −$56.65DE, closed Oct 13, 2026: −$21.58QCOM, closed Oct 13, 2026: −$4.18GRMN, closed Oct 13, 2026: +$62.65HOOD, closed Oct 13, 2026: +$69.09MSI, closed Oct 13, 2026: +$18.42Sep 30Oct 13
Closed trades — data table
v2b-TOM: each closed trade's P&L and net P&L as the record keeps them
ClosedSymbolP&LNet P&LReturn
Sep 30, 2026PSX+$23.46—+1.11%
Oct 1, 2026CRM+$101.35—+4.95%
Oct 1, 2026TRGP+$45.44—+2.03%
Oct 1, 2026VRSN+$48.42—+2.42%
Oct 2, 2026ADM+$27.26—+1.22%
Oct 2, 2026EBAY+$22.74—+1.03%
Oct 2, 2026GL−$6.28—−0.34%
Oct 2, 2026IBKR+$51.90—+2.36%
Oct 2, 2026NUE+$36.27—+1.66%
Oct 2, 2026OKE+$24.40—+1.07%
Oct 2, 2026STLD+$89.77—+4.45%
Oct 2, 2026DE+$58.19—+2.86%
Oct 5, 2026ELV+$7.91—+0.35%
Oct 5, 2026HOOD−$39.01—−1.92%
Oct 5, 2026MDLZ−$30.93—−1.50%
Oct 5, 2026MS−$29.32—−1.43%
Oct 5, 2026NDAQ+$6.76—+0.27%
Oct 5, 2026EG+$7.28—+0.35%
Oct 5, 2026DXCM+$37.41—+1.70%
Oct 5, 2026GPN+$101.49—+4.75%
Oct 5, 2026IQV+$61.98—+2.95%
Oct 5, 2026KO+$20.42—+0.90%
Oct 6, 2026IFF+$37.91—+1.72%
Oct 7, 2026REGN−$17.52—−1.22%
Oct 7, 2026JNJ+$18.33—+0.85%
Oct 7, 2026AMGN+$49.47—+2.41%
Oct 7, 2026GILD+$32.20—+1.43%
Oct 7, 2026MRK+$47.68—+2.23%
Oct 7, 2026PFE+$45.50—+2.05%
Oct 7, 2026VRTX+$7.55—+0.33%
Oct 7, 2026VZ−$4.94—−0.27%
Oct 8, 2026BBY−$9.46—−0.49%
Oct 8, 2026BNY−$48.19—−2.39%
Oct 8, 2026KHC−$90.27—−4.24%
Oct 8, 2026SJM+$61.21—+2.88%
Oct 8, 2026BMY+$27.39—+1.21%
Oct 8, 2026TGT+$23.70—+1.06%
Oct 8, 2026DGX+$32.71—+1.55%
Oct 8, 2026EG+$63.68—+2.88%
Oct 9, 2026DOC−$72.08—−3.39%
Oct 9, 2026SOLV+$34.16—+1.54%
Oct 9, 2026BIIB+$71.67—+3.23%
Oct 9, 2026VTRS+$24.28—+1.05%
Oct 12, 2026ROST−$5.79—−0.33%
Oct 12, 2026WAB+$33.79—+1.67%
Oct 13, 2026SW−$56.65—−2.66%
Oct 13, 2026DE−$21.58—−1.15%
Oct 13, 2026QCOM−$4.18—−0.25%
Oct 13, 2026GRMN+$62.65—+2.87%
Oct 13, 2026HOOD+$69.09—+3.18%
Oct 13, 2026MSI+$18.42—+0.99%
Record Local ledger
Cost model

5 bp a side, filled at the official close; the book's value is after every fee. Cash earns the T-bill rate; dividends are not credited.

Trades

72 trades

OpenedClosedAccountSymbolSideSizeEntryExitP&LNet P&LReturnHeldExit byStatusRecord
Oct 13, 2026—SIM-V2B-TOMCDNSlong6334.200012——————openLocal ledger (1)
Oct 13, 2026—SIM-V2B-TOMFIXlong11,626.640015——————openLocal ledger (1)
Oct 13, 2026—SIM-V2B-TOMMUlong2953.190002——————openLocal ledger (1)
Oct 13, 2026—SIM-V2B-TOMSMCIlong5639.07——————openLocal ledger (1)
Oct 13, 2026—SIM-V2B-TOMSTXlong2747.200012——————openLocal ledger (1)
Oct 13, 2026—SIM-V2B-TOMVRTXlong4485.220001——————openLocal ledger (1)
Oct 12, 2026—SIM-V2B-TOMKLAClong11190.119995——————openLocal ledger (1)
Oct 12, 2026—SIM-V2B-TOMSNDKlong11,487.329956——————openLocal ledger (1)
Oct 9, 2026—SIM-V2B-TOMBENlong6932.00——————openLocal ledger (1)
Oct 9, 2026—SIM-V2B-TOMIVZlong7429.51——————openLocal ledger (1)
Oct 9, 2026Oct 13, 2026SIM-V2B-TOMMSIlong4444.179993449.01001+$18.42—+0.99%—close>sma_exitclosedLocal ledger (1)
Oct 9, 2026—SIM-V2B-TOMSWKSlong2876.349998——————openLocal ledger (1)
Oct 8, 2026—SIM-V2B-TOMAMATlong4509.570007——————openLocal ledger (1)
Oct 8, 2026Oct 9, 2026SIM-V2B-TOMBIIBlong10218.429993225.710007+$71.67—+3.23%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026—SIM-V2B-TOMCOHRlong7302.350006——————openLocal ledger (1)
Oct 8, 2026—SIM-V2B-TOMDALlong2782.139999——————openLocal ledger (1)
Oct 8, 2026Oct 13, 2026SIM-V2B-TOMGRMNlong8268.440002276.410004+$62.65—+2.87%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026Oct 13, 2026SIM-V2B-TOMHOODlong20107.010002110.519997+$69.09—+3.18%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026—SIM-V2B-TOMLRCXlong6320.589996——————openLocal ledger (1)
Oct 8, 2026—SIM-V2B-TOMROKlong5434.140015——————openLocal ledger (1)
Oct 8, 2026—SIM-V2B-TOMTERlong5398.720001——————openLocal ledger (1)
Oct 8, 2026Oct 9, 2026SIM-V2B-TOMVTRSlong12717.44000117.639999+$24.28—+1.05%—close>sma_exitclosedLocal ledger (1)
Oct 8, 2026Oct 12, 2026SIM-V2B-TOMWABlong7280.799988285.769989+$33.79—+1.67%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 13, 2026SIM-V2B-TOMDElong3656.869995650.00−$21.58—−1.15%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 8, 2026SIM-V2B-TOMDGXlong9227.059998230.809998+$32.71—+1.55%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 8, 2026SIM-V2B-TOMEGlong6362.299988373.100006+$63.68—+2.88%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 13, 2026SIM-V2B-TOMQCOMlong12177.119995176.860001−$4.18—−0.25%—close>sma_exitclosedLocal ledger (1)
Oct 7, 2026Oct 9, 2026SIM-V2B-TOMSOLVlong2585.87999787.290001+$34.16—+1.54%—close>sma_exitclosedLocal ledger (1)
Oct 6, 2026—SIM-V2B-TOMINTClong19112.50——————openLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2B-TOMAMGNlong5402.980011413.079987+$49.47—+2.41%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 8, 2026SIM-V2B-TOMBMYlong3758.81000159.580002+$27.39—+1.21%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2B-TOMGILDlong15144.630005146.850006+$32.20—+1.43%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2B-TOMMRKlong15139.539993142.789993+$47.68—+2.23%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2B-TOMPFElong7927.4128.00+$45.50—+2.05%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026—SIM-V2B-TOMPFGlong19111.029999——————openLocal ledger (1)
Oct 5, 2026Oct 12, 2026SIM-V2B-TOMROSTlong9226.369995225.839996−$5.79—−0.33%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 8, 2026SIM-V2B-TOMTGTlong14152.990005154.759995+$23.70—+1.06%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2B-TOMVRTXlong4503.50505.640015+$7.55—+0.33%—close>sma_exitclosedLocal ledger (1)
Oct 5, 2026Oct 7, 2026SIM-V2B-TOMVZlong4845.84999845.77−$4.94—−0.27%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 5, 2026SIM-V2B-TOMDXCMlong2585.36000186.900002+$37.41—+1.70%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 5, 2026SIM-V2B-TOMGPNlong2778.37999782.18+$101.49—+4.75%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 6, 2026SIM-V2B-TOMIFFlong2682.41999883.919998+$37.91—+1.72%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026—SIM-V2B-TOMINCYlong18115.300003——————openLocal ledger (1)
Oct 2, 2026Oct 5, 2026SIM-V2B-TOMIQVlong8258.209991266.089996+$61.98—+2.95%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 7, 2026SIM-V2B-TOMJNJlong8256.029999258.450012+$18.33—+0.85%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 5, 2026SIM-V2B-TOMKOlong2585.65000286.510002+$20.42—+0.90%—close>sma_exitclosedLocal ledger (1)
Oct 2, 2026Oct 13, 2026SIM-V2B-TOMSWlong5142.54000141.450001−$56.65—−2.66%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 2, 2026SIM-V2B-TOMDElong3667.26001687.00+$58.19—+2.86%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 9, 2026SIM-V2B-TOMDOClong11119.44000118.799999−$72.08—−3.39%—close>sma_exitclosedLocal ledger (1)
Oct 1, 2026Oct 8, 2026SIM-V2B-TOMSJMlong18115.949997119.410004+$61.21—+2.88%—close>sma_exitclosedLocal ledger (1)
Sep 30, 2026Oct 5, 2026SIM-V2B-TOMEGlong5365.170013366.809998+$7.28—+0.35%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 2, 2026SIM-V2B-TOMADMlong2779.40000280.449997+$27.26—+1.22%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 8, 2026SIM-V2B-TOMBBYlong2488.7588.400002−$9.46—−0.49%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 8, 2026SIM-V2B-TOMBNYlong14146.979996143.610001−$48.19—−2.39%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 1, 2026SIM-V2B-TOMCRMlong9225.309998236.690002+$101.35—+4.95%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 2, 2026SIM-V2B-TOMEBAYlong20105.209999106.400002+$22.74—+1.03%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 5, 2026SIM-V2B-TOMELVlong5392.730011394.51001+$7.91—+0.35%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 2, 2026SIM-V2B-TOMGLlong13166.080002165.679993−$6.28—−0.34%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 5, 2026SIM-V2B-TOMHOODlong18116.220001114.110001−$39.01—−1.92%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 2, 2026SIM-V2B-TOMIBKRlong2586.1888.300003+$51.90—+2.36%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 8, 2026SIM-V2B-TOMKHClong9223.45000122.48−$90.27—−4.24%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 5, 2026SIM-V2B-TOMMDLZlong3659.3258.490002−$30.93—−1.50%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 5, 2026SIM-V2B-TOMMSlong11192.759995190.190002−$29.32—−1.43%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 5, 2026SIM-V2B-TOMNDAQlong2391.84999892.190002+$6.76—+0.27%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 2, 2026SIM-V2B-TOMNUElong9236.240005240.389999+$36.27—+1.66%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 2, 2026SIM-V2B-TOMOKElong2586.86000187.879997+$24.40—+1.07%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Sep 30, 2026SIM-V2B-TOMPSXlong8252.25255.309998+$23.46—+1.11%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 7, 2026SIM-V2B-TOMREGNlong2750.51001742.119995−$17.52—−1.22%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026—SIM-V2B-TOMSPYlong73764.200012——————openLocal ledger (1)
Sep 29, 2026Oct 2, 2026SIM-V2B-TOMSTLDlong9221.899994231.990005+$89.77—+4.45%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 1, 2026SIM-V2B-TOMTRGPlong8273.48999279.309998+$45.44—+2.03%—close>sma_exitclosedLocal ledger (1)
Sep 29, 2026Oct 1, 2026SIM-V2B-TOMVRSNlong7279.839996286.899994+$48.42—+2.42%—close>sma_exitclosedLocal ledger (1)
  1. (1)
    Record Local ledger
    Cost model

    5 bp a side, filled at the official close. The P&L is after the exit fee only, because the entry fee left the book's cash at entry; the return is after both. Dividends are not credited.

Where the research is

  • The shadow's pre-registration (findings systematic-equity/DESIGN/90)
  • v2b, the rules it shadows (findings systematic-equity/DESIGN/30)
  • Where the turn-of-month core came from (findings systematic-equity/RESEARCH/140)
  • The window on 1926–62 market history (findings systematic-equity/RESEARCH/190)