PERFORMANCE LEDGER FILL RULES AND POST-MARKET TAPE AUDITS
Realized performance is settled after the market close against unadjusted 1-minute execution tape data using strict path-dependent fill logic identical to the performance ledger.
Applies to daily post-market tape evaluation at 16:15 ET, historical trade ledger reconciliation, strategy expectancy calculations, and R-multiple accounting.
The 1-minute execution tape post-mortem
Every published card is audited after the cash market close. Beginning at 16:15 PM ET, once consolidated exchange tape prints have settled, the post-mortem engine ingests unadjusted 1-minute OHLCV price bars for every published setup.
The evaluation executes through a deterministic three-stage state machine:
Default state during the trading day. Outcome is unresolved pending cash market close and consolidated tape ingestion.
Triggered if exchange tape data is delayed or incomplete. Automatic retry jobs query the provider every 15 minutes through 20:00 ET.
Terminal outcome resolved against complete 1-minute bars. Realized R is locked into the historical ledger permanently.
If consolidated 1-minute tape data never arrives by the post-market cutoff, the card is marked DATA_UNAVAILABLE. Missing data setups are quarantined and never assumed to be wins.
Entry and exit fill mechanics
Outcome evaluation enforces strict path-dependency. The engine inspects 1-minute execution bars chronologically from publication to market close:
- Entry Verification: The first 1-minute bar whose high crosses the Trigger Price validates execution. All bars preceding this print are strictly ignored.
- Stop Priority: If a subsequent bar's low touches or breaches the Invalidation Stop before Target 1 is reached, the trade terminates as
STOPPED(−1.00R). - T1 Scale-Out: If a bar's high reaches Target 1, 50% of the position is logged as realized at the planned R ratio (≥ +2.50R). The stop on the remaining 50% runner immediately moves to the entry Trigger Price.
- Runner Resolution: The runner continues until it touches Target 2 (
TARGET_2), hits the entry breakeven stop (BREAKEVEN_STOPPEDat +1.25R blended return), or reaches the session cutoff. - Ambiguous Bar Quarantine: If both the stop loss and target are crossed within the exact same 1-minute candle, the trade is marked
AMBIGUOUS. It is quarantined and excluded from win-rate statistics.
Session cutoff and timed exits
Day Trade Edge operates exclusively as an intraday terminal. Holding positions overnight introduces unhedgeable gap risk from after-hours earnings reports, secondary offerings, and macroeconomic releases.
To enforce this rule, the engine executes an automated Timed Exit Cutoff at 15:55 PM ET (five minutes before the 16:00 ET closing cross):
Any morning setup that failed to reach its trigger price by 15:55 ET automatically transitions to EXPIRED (0.00R).
Any active runner open at 15:55 ET is settled at the closing print of the 15:55 ET candle (TIMED_EXIT), locking in whatever R multiple was achieved.
Ledger mathematics: Realized R vs dollar return
The historical ledger records performance exclusively in R-multiples. One R represents the initial risk per share (Trigger − Invalidation Stop):
The arithmetic sum of all realized trade R-returns across the strategy lifecycle.
Winning trades divided by total triggered trades. Expired cards are strictly excluded.
Gross winning R divided by gross losing R (losses evaluated at 1.00R).
Dollar profit calculations on the performance ledger are illustrative tools based on user-defined position sizing ($100 to $1,000 risk per trade). The ground-truth performance ledger records only mathematically objective R-multiples derived from verified 1-minute tape prints.
Frozen vs Changeable Settlement State
| LEDGER FIELD | SETTLEMENT STATE | IMMUTABILITY RULE |
|---|---|---|
| 1-Minute Execution Tape | FROZEN | Archived post-market at 16:15 ET. Never modified. |
| Realized R Multiple | FROZEN | Audited against unadjusted OHLCV bars; locked permanently in Redis and PostgreSQL. |
| Terminal Outcome Status | FROZEN | Recorded as STOPPED, WIN_T1, WIN_T2, or TIMED_EXIT. Locked permanently. |
What This Page Does Not Cover
Trading day chronology, morning brief schedules, and 60-minute expiry clocks.
Derivation of trigger prices, stop levels, and planned-R minimum geometry.
Status vocabulary and live state transition machines.
The 0–100 catalyst and volume velocity scoring model.
DISCLAIMER: Day Trade Edge is an automated quantitative research and analytical software tool. It is not a registered broker-dealer or investment adviser. Method descriptions outline the operational algorithms applied to published cards. Past performance and historical ledger prints do not guarantee future returns.