{
  "generated": "2026-03-13T21:45:00",
  "data": "ES MBP-10 Sep-Oct 2025 (file truncated, claimed Sep 2025 - Feb 2026)",
  "data_issue": "DBN file truncated at Oct 23 2025. Only 37 trading days available. Need to re-download.",
  "total_observations": 792643,
  "is_observations": 440836,
  "oos_observations": 351807,
  "is_period": "Sep 1 - Sep 30, 2025",
  "oos_period": "Oct 1 - Oct 23, 2025",
  "key_findings": {
    "l1_ofi_confirmed": true,
    "l1_ofi_note": "L1 OFI confirms Cont et al. (2014) — positive IC (buying pressure predicts price increase), significant OOS at all horizons 1s-60s",
    "multilevel_is_contrarian": true,
    "multilevel_note": "Multi-level OFI (L2-L10) has NEGATIVE IC — deep book order flow predicts mean-reversion, not continuation. This is a distinct contrarian signal, not an improvement of L1.",
    "mbp10_justified": true,
    "mbp10_note": "Deeper levels provide statistically significant additional information as an independent contrarian signal"
  },
  "l1_oos_results": {
    "1s": {"ic": 0.0047, "tstat": 12.7, "significant": true},
    "5s": {"ic": 0.0076, "tstat": 5.2, "significant": true},
    "15s": {"ic": 0.0039, "tstat": 5.5, "significant": true},
    "30s": {"ic": 0.0015, "tstat": 4.7, "significant": true},
    "60s": {"ic": 0.0016, "tstat": 2.8, "significant": true}
  },
  "best_multilevel_oos_results": {
    "1s": {"variant": "L10_equal", "ic": -0.0291, "tstat": -12.3, "significant": true},
    "5s": {"variant": "L10_equal", "ic": -0.0091, "tstat": -5.8, "significant": true},
    "15s": {"variant": "L10_equal", "ic": -0.0058, "tstat": -2.3, "significant": true},
    "30s": {"variant": "L10_equal", "ic": -0.0058, "tstat": -0.8, "significant": false},
    "60s": {"variant": "L10_equal", "ic": -0.0028, "tstat": -1.1, "significant": false}
  },
  "weighting_comparison": "Equal weight consistently outperforms inverse-distance and exponential at deeper levels, suggesting all book levels contribute roughly equally to the contrarian signal",
  "regime_findings": {
    "l1_strongest": "lunch (12-14 ET), IC=0.0109***",
    "multilevel_strongest": "morning (11-12 ET), IC=-0.0137***",
    "power_hour": "Both signals weaken during power hour"
  },
  "delta_ofi_finding": "L1 delta OFI at 30s-60s windows shows positive IC (acceleration signal) across horizons, significant OOS",
  "caveats": [
    "Data truncated - only 37 trading days (need full 6 months)",
    "OOS window is only 16 trading days",
    "R² values tiny (~0.00004-0.00008) - OFI alone explains very little variance",
    "Transaction costs not considered",
    "Single market regime (Sep-Oct 2025 only)"
  ],
  "next_steps": [
    "Re-download full 6-month MBP-10 dataset",
    "Build composite L1 + multi-level signal",
    "Phase 2: Add trade flow / aggressor detection",
    "Test profitability with transaction costs"
  ]
}