{
  "metadata": {
    "generated": "2026-03-22 12:25:52.663984",
    "n_perms": 500,
    "bull_signal_days": 149,
    "bear_signal_days": 149,
    "bull_baseline_stated": 0.633,
    "bear_baseline_stated": 0.567,
    "bull_baseline_observed": 0.6242,
    "bear_baseline_observed": 0.5369,
    "wr_definition": {
      "bull": "% of Q5 60-min buy_pct days where ES 10:30 open \u2192 11:30 open return > 0",
      "bear": "% of Q1 30-min buy_pct days where ES 10:00 open \u2192 11:00 open return < 0"
    },
    "fomc_excluded": 57,
    "trace_corrupt_excluded": "2025-10-27 to 2026-02-17"
  },
  "bullish": {
    "signal": "BULLISH: 60-min buy_pct Q5 (top 20% buyers)",
    "direction": "bull",
    "entry": "10:30",
    "exit": "11:30",
    "n_signal_days": 149,
    "baseline_wr": 0.633,
    "observed_wr": 0.6242,
    "factors": {
      "gex_regime": {
        "n_trace_days": 76,
        "sign_breakdown": {
          "NEGATIVE": {
            "wr": 0.6,
            "n": 10,
            "delta_vs_base": -0.0184
          },
          "POSITIVE": {
            "wr": 0.6212,
            "n": 66,
            "delta_vs_base": 0.0028
          }
        },
        "magnitude_breakdown": {
          "HIGH": {
            "wr": 0.76,
            "n": 25,
            "delta_vs_base": 0.1416
          },
          "LOW": {
            "wr": 0.6,
            "n": 25,
            "delta_vs_base": -0.0184
          },
          "MEDIUM": {
            "wr": 0.5,
            "n": 26,
            "delta_vs_base": -0.1184
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        },
        "sign_x_magnitude": {
          "POSITIVE_LOW": {
            "wr": 0.6,
            "n": 15
          },
          "POSITIVE_MEDIUM": {
            "wr": 0.5,
            "n": 26
          },
          "POSITIVE_HIGH": {
            "wr": 0.76,
            "n": 25
          },
          "NEGATIVE_LOW": {
            "wr": 0.6,
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          },
          "NEGATIVE_MEDIUM": {
            "wr": null,
            "n": 0
          },
          "NEGATIVE_HIGH": {
            "wr": null,
            "n": 0
          }
        }
      },
      "rvol": {
        "buckets": {
          "HIGH": {
            "wr": 0.4667,
            "n": 30,
            "delta_vs_base": -0.1703
          },
          "LOW": {
            "wr": 0.7,
            "n": 40,
            "delta_vs_base": 0.063
          },
          "NORMAL": {
            "wr": 0.6667,
            "n": 72,
            "delta_vs_base": 0.0297
          },
          "VERY_HIGH": {
            "wr": 0.75,
            "n": 4,
            "delta_vs_base": 0.113
          }
        },
        "n_valid": 146
      },
      "mm_tilt": {
        "buckets": {
          "BEARISH": {
            "wr": 0.6,
            "n": 25,
            "delta_vs_base": -0.0184
          },
          "BULLISH": {
            "wr": 0.76,
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            "delta_vs_base": 0.1416
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          "NEUTRAL": {
            "wr": 0.5,
            "n": 26,
            "delta_vs_base": -0.1184
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        },
        "n_valid": 76
      },
      "gap": {
        "direction_breakdown": {
          "FLAT": {
            "wr": 0.5714,
            "n": 63,
            "delta_vs_base": -0.0528
          },
          "GAP_DOWN": {
            "wr": 0.6774,
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            "delta_vs_base": 0.0532
          },
          "GAP_UP": {
            "wr": 0.6545,
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            "delta_vs_base": 0.0303
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        },
        "magnitude_breakdown": {
          "LARGE": {
            "wr": 0.6486,
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            "delta_vs_base": 0.0244
          },
          "MEDIUM": {
            "wr": 0.6735,
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            "delta_vs_base": 0.0493
          },
          "SMALL": {
            "wr": 0.5714,
            "n": 63,
            "delta_vs_base": -0.0528
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        },
        "direction_x_magnitude": {
          "GAP_UP_LARGE": {
            "wr": 0.625,
            "n": 24
          },
          "GAP_UP_MEDIUM": {
            "wr": 0.6774,
            "n": 31
          },
          "GAP_UP_SMALL": {
            "wr": null,
            "n": 0
          },
          "GAP_DOWN_LARGE": {
            "wr": 0.6923,
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          },
          "GAP_DOWN_MEDIUM": {
            "wr": 0.6667,
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          },
          "GAP_DOWN_SMALL": {
            "wr": null,
            "n": 0
          },
          "FLAT_LARGE": {
            "wr": null,
            "n": 0
          },
          "FLAT_MEDIUM": {
            "wr": null,
            "n": 0
          },
          "FLAT_SMALL": {
            "wr": 0.5714,
            "n": 63
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        },
        "n_valid": 149
      },
      "vix": {
        "buckets": {
          "HIGH": {
            "wr": 0.6,
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            "delta_vs_base": -0.03
          },
          "LOW": {
            "wr": 0.6719,
            "n": 64,
            "delta_vs_base": 0.0419
          },
          "MEDIUM": {
            "wr": 0.5484,
            "n": 31,
            "delta_vs_base": -0.0816
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        },
        "n_valid": 100
      },
      "day_of_week": {
        "buckets": {
          "Fri": {
            "wr": 0.5294,
            "n": 34,
            "delta_vs_base": -0.0948
          },
          "Mon": {
            "wr": 0.6512,
            "n": 43,
            "delta_vs_base": 0.027
          },
          "Thu": {
            "wr": 0.56,
            "n": 25,
            "delta_vs_base": -0.0642
          },
          "Tue": {
            "wr": 0.625,
            "n": 24,
            "delta_vs_base": 0.0008
          },
          "Wed": {
            "wr": 0.7826,
            "n": 23,
            "delta_vs_base": 0.1584
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        }
      },
      "opening_range": {
        "buckets": {
          "NARROW": {
            "wr": 0.7347,
            "n": 49,
            "delta_vs_base": 0.1105
          },
          "NORMAL": {
            "wr": 0.549,
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            "delta_vs_base": -0.0752
          },
          "WIDE": {
            "wr": 0.5918,
            "n": 49,
            "delta_vs_base": -0.0324
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        },
        "n_valid": 149
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    },
    "combos": [
      {
        "label": "gap_bucket=GAP_UP + vix_bucket=LOW",
        "wr": 0.7917,
        "n": 24,
        "delta": 0.16753892617449662,
        "col1": "gap_bucket",
        "val1": "GAP_UP",
        "col2": "vix_bucket",
        "val2": "LOW"
      },
      {
        "label": "gex_magnitude=HIGH + mm_tilt=BULLISH",
        "wr": 0.76,
        "n": 25,
        "delta": 0.13583892617449667,
        "col1": "gex_magnitude",
        "val1": "HIGH",
        "col2": "mm_tilt",
        "val2": "BULLISH"
      },
      {
        "label": "gap_bucket=GAP_DOWN + vix_bucket=LOW",
        "wr": 0.7,
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        "delta": 0.07583892617449661,
        "col1": "gap_bucket",
        "val1": "GAP_DOWN",
        "col2": "vix_bucket",
        "val2": "LOW"
      },
      {
        "label": "gex_regime=POSITIVE + rvol_bucket=LOW",
        "wr": 0.5714,
        "n": 21,
        "delta": -0.052761073825503324,
        "col1": "gex_regime",
        "val1": "POSITIVE",
        "col2": "rvol_bucket",
        "val2": "LOW"
      },
      {
        "label": "rvol_bucket=LOW + vix_bucket=LOW",
        "wr": 0.6471,
        "n": 17,
        "delta": 0.022938926174496665,
        "col1": "rvol_bucket",
        "val1": "LOW",
        "col2": "vix_bucket",
        "val2": "LOW"
      },
      {
        "label": "gap_bucket=GAP_UP + rvol_bucket=LOW",
        "wr": 0.6429,
        "n": 14,
        "delta": 0.018738926174496684,
        "col1": "gap_bucket",
        "val1": "GAP_UP",
        "col2": "rvol_bucket",
        "val2": "LOW"
      }
    ],
    "perm_tests": {
      "full_signal": {
        "obs_wr": 0.6242,
        "null_mean": 0.6242,
        "perm_pval": 1.0,
        "n": 149
      },
      "best_single_rvol=HIGH": {
        "obs_wr": 0.4667,
        "null_mean": 0.6165,
        "perm_pval": 0.982,
        "n": 30
      },
      "combo_gap_bucket=GAP_UP + vix_bucket=LOW": {
        "obs_wr": 0.7917,
        "null_mean": 0.6315,
        "perm_pval": 0.066,
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      },
      "combo_gex_magnitude=HIGH + mm_tilt=BULLISH": {
        "obs_wr": 0.76,
        "null_mean": 0.6277,
        "perm_pval": 0.126,
        "n": 25
      },
      "combo_gap_bucket=GAP_DOWN + vix_bucket=LOW": {
        "obs_wr": 0.7,
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        "perm_pval": 0.438,
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    },
    "factor_ranking": [
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        "factor": "rvol",
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        "delta": -0.1703
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      {
        "factor": "dow",
        "bucket": "Wed",
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        "delta": 0.1584
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      {
        "factor": "gex_magnitude",
        "bucket": "HIGH",
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        "delta": 0.1416
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      {
        "factor": "mm_tilt",
        "bucket": "BULLISH",
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        "delta": 0.1416
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      {
        "factor": "gex_magnitude",
        "bucket": "MEDIUM",
        "wr": 0.5,
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        "delta": -0.1184
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      {
        "factor": "mm_tilt",
        "bucket": "NEUTRAL",
        "wr": 0.5,
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        "delta": -0.1184
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      {
        "factor": "opening_range",
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        "wr": 0.7347,
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        "delta": 0.1105
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      {
        "factor": "dow",
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        "delta": -0.0948
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      {
        "factor": "vix",
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        "wr": 0.5484,
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        "delta": -0.0816
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      {
        "factor": "opening_range",
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        "wr": 0.549,
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        "delta": -0.0752
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      {
        "factor": "dow",
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        "delta": -0.0642
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      {
        "factor": "rvol",
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        "wr": 0.7,
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        "delta": 0.063
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      {
        "factor": "gap_dir",
        "bucket": "GAP_DOWN",
        "wr": 0.6774,
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        "delta": 0.0532
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      {
        "factor": "gap_dir",
        "bucket": "FLAT",
        "wr": 0.5714,
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        "delta": -0.0528
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      {
        "factor": "gap_mag",
        "bucket": "SMALL",
        "wr": 0.5714,
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        "delta": -0.0528
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      {
        "factor": "gap_mag",
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        "delta": 0.0493
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      {
        "factor": "vix",
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        "delta": 0.0419
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      {
        "factor": "opening_range",
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        "delta": -0.0324
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      {
        "factor": "gap_dir",
        "bucket": "GAP_UP",
        "wr": 0.6545,
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        "delta": 0.0303
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      {
        "factor": "rvol",
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        "wr": 0.6667,
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        "delta": 0.0297
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      {
        "factor": "dow",
        "bucket": "Mon",
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        "delta": 0.027
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      {
        "factor": "gap_mag",
        "bucket": "LARGE",
        "wr": 0.6486,
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        "delta": 0.0244
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      {
        "factor": "gex_magnitude",
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        "wr": 0.6,
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        "delta": -0.0184
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      {
        "factor": "mm_tilt",
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      {
        "factor": "gex_regime",
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        "wr": 0.6212,
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        "delta": 0.0028
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      {
        "factor": "dow",
        "bucket": "Tue",
        "wr": 0.625,
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        "delta": 0.0008
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    ]
  },
  "bearish": {
    "signal": "BEARISH: 30-min buy_pct Q1 (bottom 20% sellers)",
    "direction": "bear",
    "entry": "10:00",
    "exit": "11:00",
    "n_signal_days": 149,
    "baseline_wr": 0.567,
    "observed_wr": 0.5369,
    "factors": {
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            "delta_vs_base": 0.1371
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        },
        "magnitude_breakdown": {
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            "delta_vs_base": 0.0061
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            "delta_vs_base": -0.0891
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        },
        "sign_x_magnitude": {
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          "POSITIVE_MEDIUM": {
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          "POSITIVE_HIGH": {
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          "NEGATIVE_LOW": {
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          "NEGATIVE_MEDIUM": {
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          "NEGATIVE_HIGH": {
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      "rvol": {
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            "delta_vs_base": 0.0345
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        },
        "n_valid": 149
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      "mm_tilt": {
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          "BULLISH": {
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      "gap": {
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            "delta_vs_base": -0.0584
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          "GAP_DOWN": {
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        "magnitude_breakdown": {
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          "SMALL": {
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        },
        "direction_x_magnitude": {
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          "GAP_UP_MEDIUM": {
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          "GAP_UP_SMALL": {
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          },
          "GAP_DOWN_LARGE": {
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          "GAP_DOWN_MEDIUM": {
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          "GAP_DOWN_SMALL": {
            "wr": null,
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          },
          "FLAT_LARGE": {
            "wr": null,
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          },
          "FLAT_MEDIUM": {
            "wr": null,
            "n": 0
          },
          "FLAT_SMALL": {
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        },
        "n_valid": 148
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      "vix": {
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        "n_valid": 85
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      "day_of_week": {
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            "delta_vs_base": 0.2323
          },
          "Mon": {
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          "Thu": {
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            "delta_vs_base": 0.0389
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          "Tue": {
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          "Wed": {
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      },
      "opening_range": {
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    },
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        "label": "rvol_bucket=LOW + vix_bucket=LOW",
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        "col1": "rvol_bucket",
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        "label": "dow=Mon + gap_dir=GAP_UP",
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        "col1": "dow_name",
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        "col1": "gap_bucket",
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        "col2": "vix_bucket",
        "val2": "LOW"
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        "label": "gex_magnitude=LOW + mm_tilt=BEARISH",
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        "col1": "gex_magnitude",
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        "col2": "mm_tilt",
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        "label": "gex_regime=POSITIVE + rvol_bucket=LOW",
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        "col1": "gex_regime",
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    "perm_tests": {
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        "null_mean": 0.5369,
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      "best_single_dow=Mon": {
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      "combo_rvol_bucket=LOW + vix_bucket=LOW": {
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