MANAGED FUTURES RESEARCH / COMPARISON PROTOCOL

Version 1.0.0 / 16 October 2026
Define the source identity, vintage, units and ordered observation dates.
Record fast and slow windows, observation lag and assessment start before reading results.
At assessment row t, information ends at k=t-lag.
Lookback state = sign(level[k]-level[k-slow]).
Level/mean state = sign(level[k]-mean(last slow levels ending k)).
Fast/slow state = sign(mean(last fast levels ending k)-mean(last slow levels ending k)).
Ties within 1e-12 times max(1, absolute comparison reference) are neutral.
Common first eligible row = slow+lag; use a later stated assessment cutoff if applicable.
Turnover = sum(abs(state-current minus state-previous)), initial state zero, plus abs(final state).
Cost proxy in basis points = turnover * chosen one-way basis points.
No return, profit, contract execution or strategy validation follows from these diagnostics.