Intraday momentum engine self-test 2026-10-11T07:44:34.758Z
[PASS] days with RTH bars and their scheduled close (Friday 29 Nov closes at 13:15): 2024-11-25:960,2024-11-26:960,2024-11-27:960,2024-11-29:795,2024-12-02:960
[PASS] OV long-short: Tue short +$119.24, Fri short (early close, previous session Wednesday) +$19.24: 2024-11-26 -1 119.24; 2024-11-29 -1 19.24
[PASS] RTH long-short: Mon long, Tue long (a loss), Wed zero (no trade), Fri short, Mon 2 Dec no entry bar: 2024-11-25 1 19.24; 2024-11-26 1 -180.76; 2024-11-29 -1 19.24
[PASS] long-only variants drop the shorts: 2 and 0 trades
[PASS] Friday 29 Nov: entry at the bar starting 12:45 (closing 12:46), exit at 13:15: 2024-11-29T12:46 -> 2024-11-29T13:15
[PASS] control at shift 0 gives the real trades
[PASS] shifting moves signals only among tradable days: [1,1,0,-1,null] -> [-1,1,1,0,null]
[PASS] synthetic OV-LS: reference agrees: 2 vs 2
[PASS] synthetic OV-L: reference agrees: 0 vs 0
[PASS] synthetic RTH-LS: reference agrees: 3 vs 3
[PASS] synthetic RTH-L: reference agrees: 2 vs 2
ES: 2378027 minutes to 2026-09-25T16:59, 1737 days with RTH bars, 58 early closes
[PASS] ES: no bars between an early scheduled close and 17:00 (the calendar matches the data): 0 bars
[PASS] ES OV-LS: engine and independent re-implementation agree trade by trade: 1728 vs 1728 trades, 0 differences
[PASS] ES OV-LS: control at shift 0 reproduces the real trades
[PASS] ES OV-L: engine and independent re-implementation agree trade by trade: 959 vs 959 trades, 0 differences
[PASS] ES OV-L: control at shift 0 reproduces the real trades
[PASS] ES RTH-LS: engine and independent re-implementation agree trade by trade: 1715 vs 1715 trades, 0 differences
[PASS] ES RTH-LS: control at shift 0 reproduces the real trades
[PASS] ES RTH-L: engine and independent re-implementation agree trade by trade: 912 vs 912 trades, 0 differences
[PASS] ES RTH-L: control at shift 0 reproduces the real trades
NQ: 2373779 minutes to 2026-09-25T17:00, 1735 days with RTH bars, 58 early closes
[PASS] NQ: no bars between an early scheduled close and 17:00 (the calendar matches the data): 0 bars
[PASS] NQ OV-LS: engine and independent re-implementation agree trade by trade: 1726 vs 1726 trades, 0 differences
[PASS] NQ OV-LS: control at shift 0 reproduces the real trades
[PASS] NQ OV-L: engine and independent re-implementation agree trade by trade: 960 vs 960 trades, 0 differences
[PASS] NQ OV-L: control at shift 0 reproduces the real trades
[PASS] NQ RTH-LS: engine and independent re-implementation agree trade by trade: 1726 vs 1726 trades, 0 differences
[PASS] NQ RTH-LS: control at shift 0 reproduces the real trades
[PASS] NQ RTH-L: engine and independent re-implementation agree trade by trade: 928 vs 928 trades, 0 differences
[PASS] NQ RTH-L: control at shift 0 reproduces the real trades

PASSED