An auditable what-if ledger
A prospective record of how one fixed momentum model behaves after fees, stale quotes, timed exits, settlements, gains, and losses.
Prospective simulation
No real money is traded
Paper Portfolio data is temporarily unavailable.
The market dashboard remains available independently.
Fixed method
This section describes the active strategy version, 2026-07-21.momentum-paper.v4. Winding-down versions keep the exact rules recorded when they were active.
Candidate set. Only the published Largest Verified Moves section is considered.
Paper sizing. Evidence Score maps observable inputs to a $1–$25 maximum paper allocation.
Lifecycle. Entries use the live ask observed at evaluation, recorded next to the published snapshot quote. Marks and timed exits use the bid. Official settlement takes priority.
Holding period. A position leaves at the first evaluation within two hours of its seven-day deadline, or at official settlement, whichever happens first.
The five components below are rounded to whole points, then added together and capped at 100.
| Component | Points | Rule |
|---|---|---|
| Persistence | 0–35 | From up to seven daily side midpoints: 0 with no transition; otherwise 35 × upward transitions ÷ observed transitions × min(observed transitions ÷ 4, 1) |
| Quote quality | 0–25 | 25 × (10¢ − spread) ÷ 10¢, clamped from 0 to 25 |
| Movement magnitude | 0–20 | 20 × absolute movement ÷ 10 percentage points, clamped from 0 to 20 |
| Market activity | 2–10 | 2 + 8 × the midrank of source-backed activity among all other valid candidates (lower count plus half the equal count, ÷ other candidates). A single valid candidate uses 37.5%, producing 5 points. |
| Source freshness | 1–10 | 10 at ≤2h; 7 at ≤6h; 4 at ≤12h; 1 at ≤24h; older observations are skipped |
Paper allocation tiers: 0–39 = $1; 40–54 = $3; 55–69 = $5; 70–79 = $10; 80–89 = $15; 90–100 = $25.
Fees and quantity: The unrounded fee in dollars is 0.05 × contracts × price × (1 − price), then rounded to the nearest cent with half-even rounding. Quantity is the largest exact source minimum-trade increment whose ask notional plus rounded fee stays within its tier.
Ties and order: Candidates sort by total score, then published movement rank, then stable market ID. One contract per event may remain open, and a market can re-qualify only after its previous position completes.
Lifecycle: Fresh marks and seven-day timed exits use the position-side bid and its fee. A quote must be observed inside the exit window to exit. Official settlement takes priority and has no simulated fee. If a market reports no quote or settlement for 72 hours past its deadline, the position is written off at its last trusted valuation and labeled as such.