{ "generated": "2026-03-13T06:46:41.315638", "total_events": 35519, "oos_events": 10656, "oos_ic": 0.131, "oos_hold_rate": 0.1797, "level_type_summary": { "round25": { "n": 4149, "hold_rate": 0.1723, "accuracy": 0.1723, "ic": 0.0998, "p_val": 0.0, "avg_max_fav": 24.91, "avg_max_adv": 4.43, "reward_risk": 5.62 }, "session_low": { "n": 2554, "hold_rate": 0.1257, "accuracy": 0.1257, "ic": 0.0765, "p_val": 0.0001, "avg_max_fav": 24.33, "avg_max_adv": 4.54, "reward_risk": 5.36 }, "prior_close": { "n": 998, "hold_rate": 0.2265, "accuracy": 0.2265, "ic": 0.1453, "p_val": 0.0, "avg_max_fav": 25.0, "avg_max_adv": 4.12, "reward_risk": 6.07 }, "session_high": { "n": 2955, "hold_rate": 0.221, "accuracy": 0.221, "ic": 0.1818, "p_val": 0.0, "avg_max_fav": 23.86, "avg_max_adv": 4.08, "reward_risk": 5.84 } }, "time_of_day": { "open_drive": { "n": 4004, "hold_rate": 0.1156, "accuracy": 0.1156, "ic": 0.0712, "p_val": 0.0, "avg_max_fav": 26.54, "avg_max_adv": 4.63, "reward_risk": 5.73 }, "mid_morning": { "n": 2617, "hold_rate": 0.1911, "accuracy": 0.1911, "ic": 0.15, "p_val": 0.0, "avg_max_fav": 24.37, "avg_max_adv": 4.29, "reward_risk": 5.69 }, "lunch_lull": { "n": 2209, "hold_rate": 0.2137, "accuracy": 0.2137, "ic": 0.1126, "p_val": 0.0, "avg_max_fav": 21.94, "avg_max_adv": 4.19, "reward_risk": 5.24 }, "afternoon": { "n": 863, "hold_rate": 0.2665, "accuracy": 0.2665, "ic": 0.1483, "p_val": 0.0, "avg_max_fav": 23.23, "avg_max_adv": 3.96, "reward_risk": 5.86 }, "power_hour": { "n": 961, "hold_rate": 0.2581, "accuracy": 0.2581, "ic": 0.1188, "p_val": 0.0002, "avg_max_fav": 23.25, "avg_max_adv": 3.88, "reward_risk": 6.0 } }, "confidence_tiers": { "medium": { "n": 3516, "hold_rate": 0.1607, "accuracy": 0.1607, "ic": 0.0392, "p_val": 0.0202, "avg_max_fav": 24.45, "avg_max_adv": 4.45, "reward_risk": 5.5, "composite_range": "0.703 to 1.149" }, "strong_hold": { "n": 3623, "hold_rate": 0.2437, "accuracy": 0.2437, "ic": 0.0689, "p_val": 0.0, "avg_max_fav": 28.88, "avg_max_adv": 3.99, "reward_risk": 7.24, "composite_range": ">= 1.149" }, "strong_break": { "n": 3517, "hold_rate": 0.1328, "accuracy": 0.1328, "ic": 0.0637, "p_val": 0.0002, "avg_max_fav": 20.0, "avg_max_adv": 4.58, "reward_risk": 4.37, "composite_range": "< 0.703" } }, "level_type_x_phase": { "round25__open_drive": { "n": 1044, "hold_rate": 0.1216, "accuracy": 0.1216, "ic": 0.0886, "p_val": 0.0042, "avg_max_fav": 28.56, "avg_max_adv": 4.66, "reward_risk": 6.13 }, "round25__mid_morning": { "n": 1028, "hold_rate": 0.1595, "accuracy": 0.1595, "ic": 0.094, "p_val": 0.0026, "avg_max_fav": 24.43, "avg_max_adv": 4.56, "reward_risk": 5.36 }, "round25__lunch_lull": { "n": 1068, "hold_rate": 0.1891, "accuracy": 0.1891, "ic": 0.0858, "p_val": 0.005, "avg_max_fav": 22.73, "avg_max_adv": 4.4, "reward_risk": 5.16 }, "round25__afternoon": { "n": 468, "hold_rate": 0.2244, "accuracy": 0.2244, "ic": 0.148, "p_val": 0.0013, "avg_max_fav": 23.94, "avg_max_adv": 4.16, "reward_risk": 5.75 }, "round25__power_hour": { "n": 539, "hold_rate": 0.2134, "accuracy": 0.2134, "ic": 0.0753, "p_val": 0.0807, "avg_max_fav": 23.91, "avg_max_adv": 4.05, "reward_risk": 5.9 }, "session_low__open_drive": { "n": 1332, "hold_rate": 0.0931, "accuracy": 0.0931, "ic": -0.0106, "p_val": 0.6996, "avg_max_fav": 23.94, "avg_max_adv": 4.73, "reward_risk": 5.06 }, "session_low__mid_morning": { "n": 658, "hold_rate": 0.1505, "accuracy": 0.1505, "ic": 0.1253, "p_val": 0.0013, "avg_max_fav": 25.76, "avg_max_adv": 4.38, "reward_risk": 5.88 }, "session_low__lunch_lull": { "n": 345, "hold_rate": 0.1623, "accuracy": 0.1623, "ic": 0.1455, "p_val": 0.0068, "avg_max_fav": 23.37, "avg_max_adv": 4.34, "reward_risk": 5.39 }, "session_low__afternoon": { "n": 75, "hold_rate": 0.2, "accuracy": 0.2, "ic": -0.0277, "p_val": 0.8134, "avg_max_fav": 27.69, "avg_max_adv": 4.13, "reward_risk": 6.7 }, "session_low__power_hour": { "n": 144, "hold_rate": 0.1875, "accuracy": 0.1875, "ic": 0.2262, "p_val": 0.0064, "avg_max_fav": 21.98, "avg_max_adv": 4.25, "reward_risk": 5.17 }, "prior_close__open_drive": { "n": 290, "hold_rate": 0.1586, "accuracy": 0.1586, "ic": 0.1883, "p_val": 0.0013, "avg_max_fav": 27.97, "avg_max_adv": 4.52, "reward_risk": 6.19 }, "prior_close__mid_morning": { "n": 279, "hold_rate": 0.2581, "accuracy": 0.2581, "ic": 0.1414, "p_val": 0.0181, "avg_max_fav": 27.47, "avg_max_adv": 4.0, "reward_risk": 6.86 }, "prior_close__lunch_lull": { "n": 248, "hold_rate": 0.1935, "accuracy": 0.1935, "ic": 0.1284, "p_val": 0.0433, "avg_max_fav": 20.96, "avg_max_adv": 4.19, "reward_risk": 5.0 }, "prior_close__afternoon": { "n": 74, "hold_rate": 0.5, "accuracy": 0.5, "ic": 0.1727, "p_val": 0.1411, "avg_max_fav": 26.29, "avg_max_adv": 3.02, "reward_risk": 8.7 }, "prior_close__power_hour": { "n": 107, "hold_rate": 0.215, "accuracy": 0.215, "ic": 0.0376, "p_val": 0.7009, "avg_max_fav": 19.0, "avg_max_adv": 3.95, "reward_risk": 4.81 }, "session_high__open_drive": { "n": 1338, "hold_rate": 0.1241, "accuracy": 0.1241, "ic": 0.0894, "p_val": 0.0011, "avg_max_fav": 27.23, "avg_max_adv": 4.54, "reward_risk": 5.99 }, "session_high__mid_morning": { "n": 652, "hold_rate": 0.2531, "accuracy": 0.2531, "ic": 0.2372, "p_val": 0.0, "avg_max_fav": 21.53, "avg_max_adv": 3.88, "reward_risk": 5.55 }, "session_high__lunch_lull": { "n": 548, "hold_rate": 0.3029, "accuracy": 0.3029, "ic": 0.115, "p_val": 0.0071, "avg_max_fav": 19.95, "avg_max_adv": 3.68, "reward_risk": 5.43 }, "session_high__afternoon": { "n": 246, "hold_rate": 0.2967, "accuracy": 0.2967, "ic": 0.1811, "p_val": 0.0044, "avg_max_fav": 19.61, "avg_max_adv": 3.82, "reward_risk": 5.14 }, "session_high__power_hour": { "n": 171, "hold_rate": 0.4854, "accuracy": 0.4854, "ic": 0.1444, "p_val": 0.0596, "avg_max_fav": 24.93, "avg_max_adv": 2.96, "reward_risk": 8.42 } }, "approach_side": { "round25__from_below": { "n": 2022, "hold_rate": 0.1489, "accuracy": 0.1489, "ic": 0.0718, "p_val": 0.0012, "avg_max_fav": 25.69, "avg_max_adv": 4.56, "reward_risk": 5.64 }, "round25__from_above": { "n": 2127, "hold_rate": 0.1946, "accuracy": 0.1946, "ic": 0.1224, "p_val": 0.0, "avg_max_fav": 24.17, "avg_max_adv": 4.31, "reward_risk": 5.61 }, "session_low__from_above": { "n": 2554, "hold_rate": 0.1257, "accuracy": 0.1257, "ic": 0.0765, "p_val": 0.0001, "avg_max_fav": 24.33, "avg_max_adv": 4.54, "reward_risk": 5.36 }, "prior_close__from_below": { "n": 505, "hold_rate": 0.2475, "accuracy": 0.2475, "ic": 0.1718, "p_val": 0.0001, "avg_max_fav": 25.75, "avg_max_adv": 4.0, "reward_risk": 6.43 }, "prior_close__from_above": { "n": 493, "hold_rate": 0.2049, "accuracy": 0.2049, "ic": 0.1156, "p_val": 0.0102, "avg_max_fav": 24.24, "avg_max_adv": 4.24, "reward_risk": 5.72 }, "session_high__from_below": { "n": 2955, "hold_rate": 0.221, "accuracy": 0.221, "ic": 0.1818, "p_val": 0.0, "avg_max_fav": 23.86, "avg_max_adv": 4.08, "reward_risk": 5.84 } }, "consecutive_tests": { "test_1": { "n": 4489, "hold_rate": 0.1461 }, "test_2": { "n": 1042, "hold_rate": 0.2198 }, "test_3": { "n": 504, "hold_rate": 0.2163 }, "test_4+": { "n": 4621, "hold_rate": 0.1993 } }, "excursion_analysis": { "round25__HOLD": { "n": 715, "avg_max_fav": 70.98, "med_max_fav": 58.5, "p90_max_fav": 131.5, "avg_max_adv": 0.78, "med_max_adv": 0.0, "p90_max_adv": 2.5 }, "round25__BREAK": { "n": 3434, "avg_max_fav": 15.32, "med_max_fav": 10.5, "p90_max_fav": 34.5, "avg_max_adv": 5.19, "med_max_adv": 4.5, "p90_max_adv": 6.5 }, "session_low__HOLD": { "n": 321, "avg_max_fav": 86.56, "med_max_fav": 76.5, "p90_max_fav": 152.5, "avg_max_adv": 0.93, "med_max_adv": 0.0, "p90_max_adv": 2.5 }, "session_low__BREAK": { "n": 2233, "avg_max_fav": 15.39, "med_max_fav": 9.5, "p90_max_fav": 38.5, "avg_max_adv": 5.06, "med_max_adv": 4.5, "p90_max_adv": 6.5 }, "prior_close__HOLD": { "n": 226, "avg_max_fav": 60.79, "med_max_fav": 48.5, "p90_max_fav": 112.5, "avg_max_adv": 0.88, "med_max_adv": 0.0, "p90_max_adv": 3.5 }, "prior_close__BREAK": { "n": 772, "avg_max_fav": 14.53, "med_max_fav": 9.5, "p90_max_fav": 34.5, "avg_max_adv": 5.07, "med_max_adv": 4.5, "p90_max_adv": 6.5 }, "session_high__HOLD": { "n": 653, "avg_max_fav": 57.18, "med_max_fav": 41.5, "p90_max_fav": 122.9, "avg_max_adv": 1.02, "med_max_adv": 0.5, "p90_max_adv": 3.5 }, "session_high__BREAK": { "n": 2302, "avg_max_fav": 14.4, "med_max_fav": 9.5, "p90_max_fav": 32.5, "avg_max_adv": 4.95, "med_max_adv": 4.5, "p90_max_adv": 5.5 } }, "day_of_week": { "Monday": { "n": 1856, "hold_rate": 0.2015, "accuracy": 0.2015, "ic": 0.1666, "p_val": 0.0, "avg_max_fav": 21.79, "avg_max_adv": 4.21, "reward_risk": 5.17 }, "Tuesday": { "n": 2374, "hold_rate": 0.1946, "accuracy": 0.1946, "ic": 0.0965, "p_val": 0.0, "avg_max_fav": 23.73, "avg_max_adv": 4.26, "reward_risk": 5.57 }, "Wednesday": { "n": 2326, "hold_rate": 0.184, "accuracy": 0.184, "ic": 0.1653, "p_val": 0.0, "avg_max_fav": 23.4, "avg_max_adv": 4.27, "reward_risk": 5.48 }, "Thursday": { "n": 1960, "hold_rate": 0.1464, "accuracy": 0.1464, "ic": 0.1011, "p_val": 0.0, "avg_max_fav": 27.09, "avg_max_adv": 4.51, "reward_risk": 6.0 }, "Friday": { "n": 2140, "hold_rate": 0.1701, "accuracy": 0.1701, "ic": 0.1167, "p_val": 0.0, "avg_max_fav": 26.48, "avg_max_adv": 4.42, "reward_risk": 5.99 } }, "absorption_quintiles": { "Q1_low": { "n": 2149, "hold_rate": 0.0949, "accuracy": 0.0949, "ic": 0.0764, "p_val": 0.0004, "avg_max_fav": 27.08, "avg_max_adv": 4.81, "reward_risk": 5.63 }, "Q2": { "n": 2147, "hold_rate": 0.1267, "accuracy": 0.1267, "ic": 0.0292, "p_val": 0.1764, "avg_max_fav": 26.34, "avg_max_adv": 4.62, "reward_risk": 5.7 }, "Q3": { "n": 2106, "hold_rate": 0.1591, "accuracy": 0.1591, "ic": 0.1135, "p_val": 0.0, "avg_max_fav": 26.11, "avg_max_adv": 4.43, "reward_risk": 5.89 }, "Q4": { "n": 2144, "hold_rate": 0.2192, "accuracy": 0.2192, "ic": 0.0895, "p_val": 0.0, "avg_max_fav": 22.94, "avg_max_adv": 4.1, "reward_risk": 5.6 }, "Q5_high": { "n": 2110, "hold_rate": 0.3005, "accuracy": 0.3005, "ic": 0.1414, "p_val": 0.0, "avg_max_fav": 19.91, "avg_max_adv": 3.69, "reward_risk": 5.39 } }, "decision_rules": [ { "rule": "LEVEL_TYPE_BIAS", "description": "Strongest hold: prior_close (22.7%). Weakest hold: session_low (12.6%). Fade breaks at prior_close, respect breaks at session_low.", "confidence": "HIGH" }, { "rule": "TOD_BREAK_BIAS_OPEN_DRIVE", "description": "During open_drive, levels only hold 11.6% (n=4004). Favor break/continuation trades.", "confidence": "MEDIUM" }, { "rule": "TOD_BREAK_BIAS_MID_MORNING", "description": "During mid_morning, levels only hold 19.1% (n=2617). Favor break/continuation trades.", "confidence": "MEDIUM" }, { "rule": "TOD_BREAK_BIAS_LUNCH_LULL", "description": "During lunch_lull, levels only hold 21.4% (n=2209). Favor break/continuation trades.", "confidence": "MEDIUM" }, { "rule": "TOD_BREAK_BIAS_AFTERNOON", "description": "During afternoon, levels only hold 26.7% (n=863). Favor break/continuation trades.", "confidence": "MEDIUM" }, { "rule": "TOD_BREAK_BIAS_POWER_HOUR", "description": "During power_hour, levels only hold 25.8% (n=961). Favor break/continuation trades.", "confidence": "MEDIUM" }, { "rule": "CONFIDENCE_TIER_TRADE", "description": "When composite score is HIGH (>= 1.149): hold rate 24.4%, accuracy 24.4%. When LOW (< 0.703): hold rate 13.3%, accuracy 13.3%. Only trade when confidence is strong.", "confidence": "HIGH" }, { "rule": "CONSECUTIVE_TEST_TOD_CONFOUND", "description": "1st test hold rate: 14.6% (avg time ~11:00 ET). 4th+ test: 19.9% (avg time ~12:30 ET). \u26a0\ufe0f CONFOUNDED BY TIME: 1st tests cluster in volatile open, later tests in quiet lunch. The 'levels strengthen with tests' effect is likely a TOD artifact. Use TIME-OF-DAY, not test count, as the real factor.", "confidence": "MEDIUM" }, { "rule": "ABSORPTION_DEFENSE", "description": "\u26a0\ufe0f CORRECTION: Phase 0 report claimed absorption was 'inverted' \u2014 THIS WAS WRONG. High absorption (Q5) hold rate = 30.0%, Low absorption (Q1) hold rate = 9.5%. Intuitive after all: heavy absorption at a level = strong defense = HOLD. Low absorption = no one defending = BREAK. The IC was always positive (+0.33); the 'inversion' claim was a misread of thresholded accuracy.", "confidence": "HIGH" }, { "rule": "APPROACH_ROUND25_FROM_BELOW_BREAK", "description": "round25 approached from_below: only 14.9% hold (n=2022). Break-favored setup.", "confidence": "MEDIUM" }, { "rule": "APPROACH_ROUND25_FROM_ABOVE_BREAK", "description": "round25 approached from_above: only 19.5% hold (n=2127). Break-favored setup.", "confidence": "MEDIUM" }, { "rule": "APPROACH_SESSION_LOW_FROM_ABOVE_BREAK", "description": "session_low approached from_above: only 12.6% hold (n=2554). Break-favored setup.", "confidence": "MEDIUM" }, { "rule": "APPROACH_PRIOR_CLOSE_FROM_BELOW_BREAK", "description": "prior_close approached from_below: only 24.8% hold (n=505). Break-favored setup.", "confidence": "MEDIUM" }, { "rule": "APPROACH_PRIOR_CLOSE_FROM_ABOVE_BREAK", "description": "prior_close approached from_above: only 20.5% hold (n=493). Break-favored setup.", "confidence": "MEDIUM" }, { "rule": "APPROACH_SESSION_HIGH_FROM_BELOW_BREAK", "description": "session_high approached from_below: only 22.1% hold (n=2955). Break-favored setup.", "confidence": "MEDIUM" } ] }