What it is

ShadowBook is a rules-only trading book run separately on each stock's daily bars. It buys on a Strata trend flip, protects the gains with a trailing stop on the value of the whole book (not on the price), and after a sale keeps a "shadow" of the exit price to buy back either on a deeper dip or on a recovery above the exit. A trend gate (the daily Framework phase) stops the book from being shaken out early in a strong uptrend.

The Scanner pane runs the same ShadowBook 2.1 rules for 16 symbols at once (one daily request per symbol), each on its own history, and shows the state, the order for the next open, the trigger levels and how far price is from them. With Closed bars (the default and the tested mode) every reading comes from the last finished daily bar; the optional Live bar reading treats the current price as if today closed there and settles at the close.

The 16 symbols, Custom vs Generic

Slots 1–5 are the shortlist (the names that passed the ShadowBook tests) and get their own total row; slots 6–16 are on watch.

1 MSTR*2 TSLA3 AMD4 GLW5 PLTR6 NVDA7 AVGO8 MU9 MRVL10 TSM11 GOOG12 AMZN13 COIN14 HOOD15 BE16 META

Each slot uses either Generic (the tested 2.1 defaults) or Custom settings. Only MSTR (*) is Custom, with the monthly-refit pick "MSTR · Sep 2026" (to be updated after each month-end refit).

Setting	Generic	Custom (MSTR)
Sell when the book closes this far below its peak	7.5%	5%
Share of the shares sold	100%	100%
First dip buy: below the exit price	25%	20%
Each further dip buy: another step lower	5%	5%
Each dip buy: share of the book	50%	25%
Recovery buy: above the exit price (per step)	5%	5%
Recovery buy: share of the book	100%	100%
A new Strata buy re-enters with all cash	yes	yes

Strata buy signal

The Strata 0.13 cloud (factory settings) uses three EMAs of the close, 8, 16 and 32, and a noise band σ = standard deviation of (close − EMA16) over 34 bars. It is warm from bar 34 once σ exists.

• Regime turns up (blue) when EMA8 − EMA32 > 0.1 × σ.
• Regime turns down (orange) when EMA8 − EMA32 < −0.1 × σ.
• Inside the ±0.1σ band the regime keeps its last value, which filters out small crossings.

A Strata buy is the bar where the regime flips from down to up (on two consecutive warm bars). That is the only way a book starts, and while OUT it re-enters with all cash.

Framework phases (the sell gate)

The phase part of the Framework 0.2 engine, computed on daily bars:

• Strength = (EMA48 − EMA148) / ATR14. Both EMAs start from the first close; ATR14 is Wilder's average of true range, seeded with a 14-bar simple average.
• From NEUTRAL a bull trend starts when strength ≥ +0.5, a bear trend when strength ≤ −0.5.
• A bull trend ends (back to NEUTRAL) when strength falls to 0 or below; a bear trend ends when it rises to 0 or above.
• Inside a trend, by age in bars: EARLY for the first 30 bars; LATE once the age passes the typical length or the half-peak rule fires; MID otherwise.
• Typical length = the median length of finished trends of the same direction that ended on or after the Start date (1 Jan 2021). Until there are 3 such trends it is 120 days.
• Half-peak rule: once the trend's peak strength has reached at least 1.0, a fall to half the peak or less latches the trend as LATE; a new peak clears the latch.

Gate: the book stop may sell only when the daily phase is not EARLY BULL or MID BULL. In those two phases the stop is "held"; in LATE BULL, NEUTRAL and every bear phase it is armed. (The gate can be switched Off in the settings; Framework is the 2.1 default.)

The site's board and the scanner use the phase only; the Framework strength percentiles are not part of the gate.

The book

• Each symbol starts with $10,000 in cash and waits for the first Strata buy on or after 1 Jan 2021.
• Costs per side: 5 bps commission + 5 bps slippage. Buys fill at open × 1.0005 and pay the commission on top; sells fill at open × 0.9995 less the commission.
• Decide at the close, fill at the next open. Every order is queued by a daily close and filled at the following session's open.
• "Hold" is buy-and-hold from the same first entry fill, the benchmark for the book. Max drawdowns are measured on closing values.

States: WAIT, IN, OUT

• WAIT: all cash, before the first Strata buy. Its only trigger is a Strata buy.
• IN: invested; the trailing book stop is watching. "IN 80%" means 80% of the book is in shares.
• OUT: sold by the stop, waiting to buy back; it remembers the exit price. "OUT 50%" means part of the book has already been bought back. When cash drops below 10% of the book it counts as IN again, and the book peak restarts from that value.

Sell line and trailing drawdown

While IN, the book's peak closing value is tracked (reset at each entry). At each close, if the book value is at or below peak × (1 − X) (X = 7.5% Generic, 5% MSTR) and the gate is armed, a sale of 100% of the shares is queued for the next open.

The sell line turns that into a price: sell line = (peak × (1 − X) − cash) / shares, the close at which the book would hit its stop. A close at or below it sells (if armed).

Bull-phase sell block: in EARLY or MID BULL the stop is held, so price can close under the sell line without a sale; the board shows "held". It arms when the phase becomes LATE (age past the typical length, or the half-peak fade) or the trend ends. The scanner's "≤Nd" counts the latest day that happens if the trend keeps running.

Dip ladder and recovery buys

While OUT, each close is checked against the exit price (the open at which the stop sold):

• Dip ladder: step k is at exit × (1 − (D1 + k × step)). Generic: 25%, 30%, 35% … below the exit; MSTR: 20%, 25%, 30% …. Each step a close reaches adds a buy of 50% of the book (MSTR 25%).
• Recovery: step k is at exit × (1 + 5% × (k + 1)), i.e. 5%, 10%, 15% … above the exit. Each step reached adds a buy of 100% of the book.
• A new Strata buy re-enters with all remaining cash.

Several steps can trigger on one close; they stop adding once the total reaches the cash available. The buy (capped at the cash) is queued for the next open, and the used steps are remembered, so the next levels move one step further.

The SB 2.1 status panel

Every value is taken at the last scored close. A fill at the next open is booked when that bar closes. The rows below are for an OUT book, as in the GOOG daily screenshot (23 Oct 2026).

• Title row: SB 2.1.2 · OUT · 0% in. The state and the share of the book in shares (shares × last close ÷ book). WAIT reads "WAIT for Strata buy". An invested book reads "HOLD · fully in" (99.5% or more) or "HOLD · n% in".
• Book USD 16,433: cash + shares × close. When HOLD it also shows how far the book is below its peak close, e.g. "(−3.1%)".
• Exit price 317.75 · Oct 23: the open at which the stop sold. Every buy-back level is measured from it.
• Shadow book −0.1% vs exit: last close ÷ exit price − 1, i.e. how the position would have done if it had been kept.
• Next dip buy ≤ 238.31 · 50%: exit × (1 − (25% + 5% × dip buys already used)). With none used that is 317.75 × 0.75 = 238.31. A close at or below it buys 50% of the book at the next open. It shows "off" when dips are disabled or no cash is left.
• Recovery buy ≥ 333.64 · 100%: exit × (1 + 5% × (recovery buys used + 1)) = 317.75 × 1.05 = 333.64. A close at or above it buys 100% of the book.
• Framework D · LATE BULL · stop armed: the daily Framework phase and the gate: "stop armed", "stop held off" (EARLY/MID BULL) or "gate off". On a daily chart it uses that bar's phase; on other timeframes, the last completed day's phase.
• Next-open order · None: decided at the last close: "Sell 100%", "Buy amount" or "None".

When the book is HOLD (invested), rows 2–5 change to: Sell if close ≤ (the sell line, with "(−7.5%)" and "· held" when the gate holds it off), Peak book, Strata cloud (blue / orange / not measured) and Buy-backs (the settings summary, e.g. "−25%/+5%/Strata").

PERF USD (Book vs Hold). "Hold" buys at the same entry fill, with the same costs, and never sells.

• Return 64.3% / 121.2%: value ÷ $10,000 − 1.
• CAGR 10.4% / 17.2%: (value ÷ $10,000)^1/years − 1. Years run from the entry bar to the last scored close, at 365.25 days each.
• Max DD (closes) 38.1% / 44.6%: the largest fall of the closing value from its highest close.
• CAGR / max DD 0.27 / 0.38: CAGR ÷ max drawdown (10.4 ÷ 38.1 ≈ 0.27).
• Fills / exits 36 / 18 vs 1 / 0. Fills counts every filled order: the first entry, each stop sale and each buy-back. Exits counts the stop sales. Hold is always 1 fill and 0 exits.
• Invested (avg) 62.1% / 100%: the average, over every bar since the entry, of shares × close ÷ book at that close. Hold is 100%.
• Rebuys < exit 5 / 17: buy-back fills whose open was below the exit open they followed, out of all buy-back fills (compared before slippage). Here 5 of 17 buy-backs were cheaper than the sale.
• Since 2021-10-19: the end row reads "Since" on a daily chart. "⚠ daily only" replaces it when the chart is not 1D, because the rules were tested on daily bars. "since" is the date of the entry, the first Strata buy on or after the 1 Jan 2021 start. The cell's tooltip also shows the fees and slippage paid.

Overlay settings (defaults): Strata EMA 8/16/32, residual volatility 34 bars, noise suppression Low (0.1σ; Medium 0.25, High 0.5); stop 7.5% below the peak book, sell 100% of the shares; Framework gate on; dip buys on (25% then every 5% lower, 50% of the book each); recovery buys on (5% steps, 100% of the book); Strata re-entry on; $10,000; 5 bps commission + 5 bps slippage per side; Start 1 Jan 2021, End 1 Jan 2035. Its alerts: "ShadowBook sell (next open)" and "ShadowBook buy (next open)", plus alert() messages with the amount and the reason.

Trigger and Dist

• IN: the trigger is the sell line, shown as "≤ price" ("held" when the gate is holding the stop off). Dist is from the price to the sell line.
• OUT: the trigger is the next dip level (≤) and the next recovery level (≥); Dist is the distance to the nearer one, negative below the price, positive above.
• WAIT: the trigger is a Strata buy (no price level).

Alerts

One combined message per daily close, for all 16 slots (create one TradingView alert with "Any alert() function call"). It can contain:

• Order queued: "TICKER SELL 100% at the next open" or "TICKER BUY n% of the book at the next open".
• Framework change: "TICKER framework MID BULL -> LATE BULL".
• Near trigger: once when the distance to the nearest trigger first comes within 5% (slot 1, MSTR) or 3% (slots 2–16), and once more within 1%. It re-arms after price moves back out or the state changes. For IN names the distance counts 0 once price is through the sell line.

How to read the board

The End-of-day board shows the 17 symbols at the last close:

• STATUS: IN or OUT.
• PRICE: that day's close.
• TRIGGER: the sell line for IN names; the nearer buy-back level for OUT names.
• DIST %: (trigger − price) / price. It shows 0 for an IN name whose sell line is above the price (the stop is being held off in EARLY/MID BULL).
• FRAMEWORK: the daily phase.
• CHANGED TODAY: compared with the previous session: "Sold at open" / "Bought at open", "BUY/SELL queued for next open", or "Framework A → B".

Filters: All, IN, OUT, Near trigger <3%, Changed today. Column headers sort.

Nightly refresh

After the US close (from 4:30 pm ET on trading days) a script recomputes every symbol with a Python port of the scanner's rules on daily bars, Closed-bar reading, the same as the TradingView pane on its default setting. It checks that every symbol has the same last bar date and a valid IN/OUT state, compares with the previous session for "changed today", then replaces only the board's data on this site and verifies that the live page shows the new date. If any check fails, the board is left as it was. The board therefore always shows the decision made at the last close, for the next open.

Rules-based research tool, not investment advice.