{
  "meta": {
    "generated": "2026-03-20T03:44:46.098113",
    "total_bars": 39689,
    "n_days": 104,
    "n_is_days": 62,
    "n_oos_days": 42,
    "date_range": "2025-10-01 to 2026-02-27",
    "is_period": "2025-10-01 to 2025-12-30",
    "oos_period": "2025-12-31 to 2026-02-27",
    "horizons": [
      30,
      60,
      120
    ],
    "params": {
      "persist_window": 12,
      "persist_delta_thresh": 0.55,
      "persist_cd_z": 0.6,
      "depth_imbal_confirm": 0.1,
      "depth_pull_confirm_z": -1.0,
      "thin_book_pct": 30,
      "wall_z": 1.5,
      "price_accept_bars": 5,
      "slow_window": 30
    }
  },
  "backtest": {
    "is_results": {
      "BUY_CONT_CONFIRMED": {
        "n": 272,
        "pct": 1.15,
        "direction": 1,
        "h30_n": 245,
        "h30_avg": 1.3786,
        "h30_win_rate": 58.37,
        "h30_median": 1.75,
        "h30_trim_mean": 1.5377,
        "h30_trim_wr": 58.58,
        "h30_tstat": 2.658,
        "h30_sharpe": 0.1306,
        "h60_n": 223,
        "h60_avg": 2.1065,
        "h60_win_rate": 59.19,
        "h60_median": 2.25,
        "h60_trim_mean": 2.1832,
        "h60_trim_wr": 59.45,
        "h60_tstat": 2.43,
        "h60_sharpe": 0.1355,
        "h120_n": 170,
        "h120_avg": 4.3,
        "h120_win_rate": 60.59,
        "h120_median": 4.25,
        "h120_trim_mean": 4.3373,
        "h120_trim_wr": 60.84,
        "h120_tstat": 2.893,
        "h120_sharpe": 0.2029
      },
      "BUY_CONT_FAILING": {
        "n": 1198,
        "pct": 5.06,
        "direction": -1,
        "h30_n": 1059,
        "h30_avg": 1.0028,
        "h30_win_rate": 42.59,
        "h30_median": 1.25,
        "h30_trim_mean": 1.0229,
        "h30_trim_wr": 42.43,
        "h30_tstat": 2.937,
        "h30_sharpe": 0.0789,
        "h60_n": 977,
        "h60_avg": 2.411,
        "h60_win_rate": 38.38,
        "h60_median": 3.5,
        "h60_trim_mean": 2.4804,
        "h60_trim_wr": 38.14,
        "h60_tstat": 5.025,
        "h60_sharpe": 0.1414,
        "h120_n": 765,
        "h120_avg": 5.2578,
        "h120_win_rate": 37.65,
        "h120_median": 5.25,
        "h120_trim_mean": 5.3435,
        "h120_trim_wr": 37.38,
        "h120_tstat": 6.54,
        "h120_sharpe": 0.218
      },
      "NEUTRAL": {
        "n": 20651,
        "pct": 87.25,
        "direction": 0,
        "h30_n": 19092,
        "h30_avg": -1.0543,
        "h30_win_rate": 0.0,
        "h30_median": 0.25,
        "h30_trim_mean": -0.2304,
        "h30_trim_wr": 0.0,
        "h30_tstat": -2.927,
        "h30_sharpe": -0.0058,
        "h60_n": 17462,
        "h60_avg": -1.0332,
        "h60_win_rate": 0.0,
        "h60_median": 0.75,
        "h60_trim_mean": -0.3365,
        "h60_trim_wr": 0.0,
        "h60_tstat": -2.862,
        "h60_sharpe": -0.0056,
        "h120_n": 14317,
        "h120_avg": -0.8761,
        "h120_win_rate": 0.0,
        "h120_median": 1.5,
        "h120_trim_mean": -0.7017,
        "h120_trim_wr": 0.0,
        "h120_tstat": -3.669,
        "h120_sharpe": -0.0052
      },
      "PERSISTENT_BUY": {
        "n": 1095,
        "pct": 4.63,
        "direction": 1,
        "h30_n": 1013,
        "h30_avg": -0.1234,
        "h30_win_rate": 49.95,
        "h30_median": 0.0,
        "h30_trim_mean": -0.0323,
        "h30_trim_wr": 49.95,
        "h30_tstat": -0.106,
        "h30_sharpe": -0.0111,
        "h60_n": 921,
        "h60_avg": 0.2153,
        "h60_win_rate": 54.83,
        "h60_median": 1.5,
        "h60_trim_mean": 0.5519,
        "h60_trim_wr": 54.94,
        "h60_tstat": 1.183,
        "h60_sharpe": 0.0126,
        "h120_n": 694,
        "h120_avg": 3.0663,
        "h120_win_rate": 60.95,
        "h120_median": 5.125,
        "h120_trim_mean": 4.0713,
        "h120_trim_wr": 61.18,
        "h120_tstat": 4.879,
        "h120_sharpe": 0.1078
      },
      "PERSISTENT_SELL": {
        "n": 202,
        "pct": 0.85,
        "direction": -1,
        "h30_n": 172,
        "h30_avg": -0.0727,
        "h30_win_rate": 45.93,
        "h30_median": 1.0,
        "h30_trim_mean": 0.1176,
        "h30_trim_wr": 45.83,
        "h30_tstat": 0.127,
        "h30_sharpe": -0.0055,
        "h60_n": 151,
        "h60_avg": -2.4305,
        "h60_win_rate": 47.02,
        "h60_median": 0.25,
        "h60_trim_mean": -2.3367,
        "h60_trim_wr": 46.94,
        "h60_tstat": -1.73,
        "h60_sharpe": -0.1368,
        "h120_n": 121,
        "h120_avg": -4.1198,
        "h120_win_rate": 49.59,
        "h120_median": 0.0,
        "h120_trim_mean": -4.3708,
        "h120_trim_wr": 50.0,
        "h120_tstat": -2.154,
        "h120_sharpe": -0.1748
      },
      "SELL_CONT_CONFIRMED": {
        "n": 44,
        "pct": 0.19,
        "direction": -1,
        "h30_n": 40,
        "h30_avg": 160.9725,
        "h30_win_rate": 47.5,
        "h30_median": 0.25,
        "h30_trim_mean": -4.6382,
        "h30_trim_wr": 47.37,
        "h30_tstat": -2.019,
        "h30_sharpe": 0.1527,
        "h60_n": 37,
        "h60_avg": 176.7473,
        "h60_win_rate": 56.76,
        "h60_median": -3.0,
        "h60_trim_mean": -1.3429,
        "h60_trim_wr": 57.14,
        "h60_tstat": -0.56,
        "h60_sharpe": 0.1621,
        "h120_n": 27,
        "h120_avg": -0.9167,
        "h120_win_rate": 48.15,
        "h120_median": 1.75,
        "h120_trim_mean": -0.77,
        "h120_trim_wr": 48.0,
        "h120_tstat": -0.297,
        "h120_sharpe": -0.0515
      },
      "SELL_CONT_FAILING": {
        "n": 207,
        "pct": 0.87,
        "direction": 1,
        "h30_n": 188,
        "h30_avg": 37.6237,
        "h30_win_rate": 56.91,
        "h30_median": 1.125,
        "h30_trim_mean": 2.0761,
        "h30_trim_wr": 57.07,
        "h30_tstat": 2.307,
        "h30_sharpe": 0.0765,
        "h60_n": 178,
        "h60_avg": 0.3497,
        "h60_win_rate": 56.74,
        "h60_median": 1.0,
        "h60_trim_mean": 0.4626,
        "h60_trim_wr": 56.9,
        "h60_tstat": 0.359,
        "h60_sharpe": 0.0191,
        "h120_n": 135,
        "h120_avg": 2.2019,
        "h120_win_rate": 54.81,
        "h120_median": 1.25,
        "h120_trim_mean": 3.0208,
        "h120_trim_wr": 55.3,
        "h120_tstat": 1.398,
        "h120_sharpe": 0.0814
      }
    },
    "oos_results": {
      "BUY_CONT_CONFIRMED": {
        "n": 287,
        "pct": 1.79,
        "direction": 1,
        "h30_n": 251,
        "h30_avg": -0.8307,
        "h30_win_rate": 51.0,
        "h30_median": 0.25,
        "h30_trim_mean": -1.1755,
        "h30_trim_wr": 51.02,
        "h30_tstat": -2.113,
        "h30_sharpe": -0.0723,
        "h60_n": 230,
        "h60_avg": -1.463,
        "h60_win_rate": 51.74,
        "h60_median": 0.625,
        "h60_trim_mean": -1.2132,
        "h60_trim_wr": 51.79,
        "h60_tstat": -1.504,
        "h60_sharpe": -0.0941,
        "h120_n": 166,
        "h120_avg": -4.4834,
        "h120_win_rate": 49.4,
        "h120_median": -0.125,
        "h120_trim_mean": -3.8765,
        "h120_trim_wr": 49.38,
        "h120_tstat": -2.455,
        "h120_sharpe": -0.1961
      },
      "BUY_CONT_FAILING": {
        "n": 1404,
        "pct": 8.76,
        "direction": -1,
        "h30_n": 1225,
        "h30_avg": -0.1073,
        "h30_win_rate": 48.65,
        "h30_median": 0.0,
        "h30_trim_mean": -0.2861,
        "h30_trim_wr": 48.62,
        "h30_tstat": -1.132,
        "h30_sharpe": -0.01,
        "h60_n": 1150,
        "h60_avg": -0.1235,
        "h60_win_rate": 46.26,
        "h60_median": 0.75,
        "h60_trim_mean": -0.1301,
        "h60_trim_wr": 46.18,
        "h60_tstat": -0.38,
        "h60_sharpe": -0.0094,
        "h120_n": 906,
        "h120_avg": 0.3215,
        "h120_win_rate": 43.6,
        "h120_median": 2.25,
        "h120_trim_mean": 0.1192,
        "h120_trim_wr": 43.52,
        "h120_tstat": 0.213,
        "h120_sharpe": 0.0169
      },
      "NEUTRAL": {
        "n": 13153,
        "pct": 82.1,
        "direction": 0,
        "h30_n": 12217,
        "h30_avg": -0.2407,
        "h30_win_rate": 0.0,
        "h30_median": 0.25,
        "h30_trim_mean": -0.2111,
        "h30_trim_wr": 0.0,
        "h30_tstat": -2.098,
        "h30_sharpe": -0.0189,
        "h60_n": 11129,
        "h60_avg": -0.1581,
        "h60_win_rate": 0.0,
        "h60_median": 0.75,
        "h60_trim_mean": -0.0798,
        "h60_trim_wr": 0.0,
        "h60_tstat": -0.54,
        "h60_sharpe": -0.0089,
        "h120_n": 9143,
        "h120_avg": 0.0717,
        "h120_win_rate": 0.0,
        "h120_median": 2.25,
        "h120_trim_mean": 0.2623,
        "h120_trim_wr": 0.0,
        "h120_tstat": 1.196,
        "h120_sharpe": 0.0031
      },
      "PERSISTENT_BUY": {
        "n": 1093,
        "pct": 6.82,
        "direction": 1,
        "h30_n": 999,
        "h30_avg": -0.5991,
        "h30_win_rate": 47.35,
        "h30_median": -0.5,
        "h30_trim_mean": -0.6624,
        "h30_trim_wr": 47.29,
        "h30_tstat": -2.035,
        "h30_sharpe": -0.0504,
        "h60_n": 927,
        "h60_avg": -0.7182,
        "h60_win_rate": 49.41,
        "h60_median": 0.0,
        "h60_trim_mean": -0.6836,
        "h60_trim_wr": 49.39,
        "h60_tstat": -1.515,
        "h60_sharpe": -0.0459,
        "h120_n": 714,
        "h120_avg": -0.0357,
        "h120_win_rate": 54.34,
        "h120_median": 1.5,
        "h120_trim_mean": 0.0271,
        "h120_trim_wr": 54.29,
        "h120_tstat": 0.04,
        "h120_sharpe": -0.0018
      },
      "PERSISTENT_SELL": {
        "n": 45,
        "pct": 0.28,
        "direction": -1,
        "h30_n": 40,
        "h30_avg": -0.1187,
        "h30_win_rate": 47.5,
        "h30_median": 0.375,
        "h30_trim_mean": -0.0395,
        "h30_trim_wr": 47.37,
        "h30_tstat": -0.047,
        "h30_sharpe": -0.0181,
        "h60_n": 38,
        "h60_avg": 1.9013,
        "h60_win_rate": 31.58,
        "h60_median": 2.875,
        "h60_trim_mean": 2.2153,
        "h60_trim_wr": 30.56,
        "h60_tstat": 1.993,
        "h60_sharpe": 0.2455,
        "h120_n": 31,
        "h120_avg": 7.8629,
        "h120_win_rate": 16.13,
        "h120_median": 4.25,
        "h120_trim_mean": 7.8448,
        "h120_trim_wr": 13.79,
        "h120_tstat": 4.565,
        "h120_sharpe": 0.7994
      },
      "SELL_CONT_CONFIRMED": {
        "n": 7,
        "pct": 0.04,
        "direction": -1,
        "h30_n": 5,
        "h30_avg": null,
        "h30_win_rate": null,
        "h30_trim_mean": null,
        "h30_tstat": null,
        "h30_sharpe": null,
        "h60_n": 5,
        "h60_avg": null,
        "h60_win_rate": null,
        "h60_trim_mean": null,
        "h60_tstat": null,
        "h60_sharpe": null,
        "h120_n": 4,
        "h120_avg": null,
        "h120_win_rate": null,
        "h120_trim_mean": null,
        "h120_tstat": null,
        "h120_sharpe": null
      },
      "SELL_CONT_FAILING": {
        "n": 31,
        "pct": 0.19,
        "direction": 1,
        "h30_n": 23,
        "h30_avg": -2.0,
        "h30_win_rate": 30.43,
        "h30_median": -2.25,
        "h30_trim_mean": -2.2024,
        "h30_trim_wr": 28.57,
        "h30_tstat": -2.018,
        "h30_sharpe": -0.3111,
        "h60_n": 21,
        "h60_avg": -1.0714,
        "h60_win_rate": 38.1,
        "h60_median": -3.75,
        "h60_trim_mean": -1.3289,
        "h60_trim_wr": 36.84,
        "h60_tstat": -0.855,
        "h60_sharpe": -0.1338,
        "h120_n": 16,
        "h120_avg": null,
        "h120_win_rate": null,
        "h120_trim_mean": null,
        "h120_tstat": null,
        "h120_sharpe": null
      }
    },
    "feature_ic_oos": {
      "depth_imbal_h30": {
        "ic": -0.0175,
        "p": 0.0335
      },
      "depth_imbal_h60": {
        "ic": -0.0284,
        "p": 0.001
      },
      "depth_imbal_h120": {
        "ic": -0.0305,
        "p": 0.0014
      },
      "depth_imbal_z_h30": {
        "ic": 0.0208,
        "p": 0.0155
      },
      "depth_imbal_z_h60": {
        "ic": 0.0012,
        "p": 0.8908
      },
      "depth_imbal_z_h120": {
        "ic": 0.0086,
        "p": 0.3928
      },
      "bid_depth_z_h30": {
        "ic": -0.016,
        "p": 0.0629
      },
      "bid_depth_z_h60": {
        "ic": -0.0303,
        "p": 0.0008
      },
      "bid_depth_z_h120": {
        "ic": -0.0507,
        "p": 0.0
      },
      "ask_depth_z_h30": {
        "ic": -0.0282,
        "p": 0.001
      },
      "ask_depth_z_h60": {
        "ic": -0.0211,
        "p": 0.0192
      },
      "ask_depth_z_h120": {
        "ic": -0.0683,
        "p": 0.0
      },
      "bid_drop_z_h30": {
        "ic": -0.001,
        "p": 0.9105
      },
      "bid_drop_z_h60": {
        "ic": 0.0007,
        "p": 0.9359
      },
      "bid_drop_z_h120": {
        "ic": 0.002,
        "p": 0.843
      },
      "ask_drop_z_h30": {
        "ic": -0.002,
        "p": 0.8173
      },
      "ask_drop_z_h60": {
        "ic": -0.0012,
        "p": 0.8934
      },
      "ask_drop_z_h120": {
        "ic": 0.0053,
        "p": 0.606
      },
      "cd_window_z_h30": {
        "ic": -0.0451,
        "p": 0.0
      },
      "cd_window_z_h60": {
        "ic": -0.0231,
        "p": 0.012
      },
      "cd_window_z_h120": {
        "ic": 0.0112,
        "p": 0.2809
      },
      "delta_pos_frac_h30": {
        "ic": 0.0145,
        "p": 0.0824
      },
      "delta_pos_frac_h60": {
        "ic": 0.0118,
        "p": 0.1773
      },
      "delta_pos_frac_h120": {
        "ic": 0.0,
        "p": 0.9979
      },
      "delta_neg_frac_h30": {
        "ic": -0.0254,
        "p": 0.0023
      },
      "delta_neg_frac_h60": {
        "ic": -0.0171,
        "p": 0.0506
      },
      "delta_neg_frac_h120": {
        "ic": -0.0049,
        "p": 0.6153
      }
    },
    "incremental": {
      "PERSISTENT_BUY_h30": {
        "base_n": 999,
        "conf_n": 251,
        "fail_n": 1225,
        "base_signed_mean": -0.5991,
        "conf_signed_mean": -0.8307,
        "fail_signed_mean": -0.1073,
        "depth_lift": -0.2316
      },
      "PERSISTENT_BUY_h60": {
        "base_n": 927,
        "conf_n": 230,
        "fail_n": 1150,
        "base_signed_mean": -0.7182,
        "conf_signed_mean": -1.463,
        "fail_signed_mean": -0.1235,
        "depth_lift": -0.7449
      },
      "PERSISTENT_BUY_h120": {
        "base_n": 714,
        "conf_n": 166,
        "fail_n": 906,
        "base_signed_mean": -0.0357,
        "conf_signed_mean": -4.4834,
        "fail_signed_mean": 0.3215,
        "depth_lift": -4.4477
      },
      "PERSISTENT_SELL_h30": {
        "base_n": 40,
        "conf_n": 5,
        "fail_n": 23,
        "base_signed_mean": 0.1187,
        "conf_signed_mean": null,
        "fail_signed_mean": 2.0,
        "depth_lift": null
      },
      "PERSISTENT_SELL_h60": {
        "base_n": 38,
        "conf_n": 5,
        "fail_n": 21,
        "base_signed_mean": -1.9013,
        "conf_signed_mean": null,
        "fail_signed_mean": 1.0714,
        "depth_lift": null
      },
      "PERSISTENT_SELL_h120": {
        "base_n": 31,
        "conf_n": 4,
        "fail_n": 16,
        "base_signed_mean": -7.8629,
        "conf_signed_mean": null,
        "fail_signed_mean": -8.6406,
        "depth_lift": null
      }
    },
    "is_dates": [
      "2025-10-01",
      "2025-10-02",
      "2025-10-03",
      "2025-10-06",
      "2025-10-07",
      "2025-10-08",
      "2025-10-09",
      "2025-10-10",
      "2025-10-13",
      "2025-10-14",
      "2025-10-15",
      "2025-10-16",
      "2025-10-17",
      "2025-10-20",
      "2025-10-21",
      "2025-10-22",
      "2025-10-24",
      "2025-10-27",
      "2025-10-28",
      "2025-10-29",
      "2025-10-30",
      "2025-10-31",
      "2025-11-03",
      "2025-11-04",
      "2025-11-05",
      "2025-11-06",
      "2025-11-07",
      "2025-11-10",
      "2025-11-11",
      "2025-11-12",
      "2025-11-13",
      "2025-11-14",
      "2025-11-17",
      "2025-11-18",
      "2025-11-19",
      "2025-11-20",
      "2025-11-21",
      "2025-11-24",
      "2025-11-25",
      "2025-11-26",
      "2025-11-27",
      "2025-11-28",
      "2025-12-01",
      "2025-12-02",
      "2025-12-03",
      "2025-12-04",
      "2025-12-05",
      "2025-12-08",
      "2025-12-09",
      "2025-12-10",
      "2025-12-11",
      "2025-12-12",
      "2025-12-15",
      "2025-12-16",
      "2025-12-17",
      "2025-12-18",
      "2025-12-22",
      "2025-12-23",
      "2025-12-24",
      "2025-12-26",
      "2025-12-29",
      "2025-12-30"
    ],
    "oos_dates": [
      "2025-12-31",
      "2026-01-02",
      "2026-01-05",
      "2026-01-06",
      "2026-01-07",
      "2026-01-08",
      "2026-01-09",
      "2026-01-12",
      "2026-01-13",
      "2026-01-14",
      "2026-01-15",
      "2026-01-16",
      "2026-01-19",
      "2026-01-20",
      "2026-01-21",
      "2026-01-22",
      "2026-01-23",
      "2026-01-26",
      "2026-01-27",
      "2026-01-28",
      "2026-01-29",
      "2026-01-30",
      "2026-02-02",
      "2026-02-03",
      "2026-02-04",
      "2026-02-05",
      "2026-02-06",
      "2026-02-09",
      "2026-02-10",
      "2026-02-11",
      "2026-02-12",
      "2026-02-13",
      "2026-02-16",
      "2026-02-17",
      "2026-02-18",
      "2026-02-19",
      "2026-02-20",
      "2026-02-23",
      "2026-02-24",
      "2026-02-25",
      "2026-02-26",
      "2026-02-27"
    ],
    "state_dist_is": {
      "NEUTRAL": "20651",
      "BUY_CONT_FAILING": "1198",
      "PERSISTENT_BUY": "1095",
      "BUY_CONT_CONFIRMED": "272",
      "SELL_CONT_FAILING": "207",
      "PERSISTENT_SELL": "202",
      "SELL_CONT_CONFIRMED": "44"
    },
    "state_dist_oos": {
      "NEUTRAL": "13153",
      "BUY_CONT_FAILING": "1404",
      "PERSISTENT_BUY": "1093",
      "BUY_CONT_CONFIRMED": "287",
      "PERSISTENT_SELL": "45",
      "SELL_CONT_FAILING": "31",
      "SELL_CONT_CONFIRMED": "7"
    }
  },
  "direction_map": {
    "PERSISTENT_BUY": 1,
    "PERSISTENT_SELL": -1,
    "BUY_CONT_CONFIRMED": 1,
    "SELL_CONT_CONFIRMED": -1,
    "BUY_CONT_FAILING": -1,
    "SELL_CONT_FAILING": 1,
    "NEUTRAL": 0
  }
}