{
  "meta": {
    "script": "gamma_cluster_failure_backtest.py",
    "date_run": "2026-03-23",
    "n_dates": 348,
    "n_total_obs": 12723,
    "n_reached": 5802,
    "n_failed": 6921,
    "overall_reach_rate": 0.456,
    "overall_failure_rate": 0.544,
    "corruption_excluded": "2025-10-27 to 2026-02-17",
    "fomc_excluded": 57
  },
  "test1_failure_severity": {
    "n_failed": 6921,
    "failure_rate": 0.544,
    "max_approach_pctiles": {
      "p10": 7.06,
      "p25": 10.75,
      "p50": 17.73,
      "p75": 27.38,
      "p90": 36.25
    },
    "failure_types": {
      "GRADUAL_DRIFT": {
        "count": 2778,
        "pct": 40.1
      },
      "STALL": {
        "count": 1736,
        "pct": 25.1
      },
      "SHARP_REVERSAL": {
        "count": 1695,
        "pct": 24.5
      },
      "None": {
        "count": 712,
        "pct": 10.3
      }
    },
    "post_failure_returns": {
      "30m": {
        "N": 6209,
        "fade_mean_pts": 9.23,
        "fade_win_rate": 0.9586,
        "raw_mean_pts": -0.82
      },
      "1h": {
        "N": 6209,
        "fade_mean_pts": 12.47,
        "fade_win_rate": 0.9667,
        "raw_mean_pts": -1.2
      },
      "2h": {
        "N": 6209,
        "fade_mean_pts": 15.47,
        "fade_win_rate": 0.9651,
        "raw_mean_pts": -1.31
      },
      "3h": {
        "N": 6209,
        "fade_mean_pts": 16.79,
        "fade_win_rate": 0.9657,
        "raw_mean_pts": -1.42
      }
    }
  },
  "test2_failure_predictors": {
    "neg_gamma_quintiles": [
      {
        "label": "Neg gamma Q1(low)",
        "N": 1647,
        "reach_rate": 0.4651,
        "failure_rate": 0.5349,
        "k": 766,
        "p_vs_50pct": 0.004954,
        "flag": "OK"
      },
      {
        "label": "Neg gamma Q2",
        "N": 1647,
        "reach_rate": 0.3922,
        "failure_rate": 0.6078,
        "k": 646,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Neg gamma Q3",
        "N": 1647,
        "reach_rate": 0.3382,
        "failure_rate": 0.6618,
        "k": 557,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Neg gamma Q4",
        "N": 1647,
        "reach_rate": 0.2951,
        "failure_rate": 0.7049,
        "k": 486,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Neg gamma Q5(high)",
        "N": 1647,
        "reach_rate": 0.2653,
        "failure_rate": 0.7347,
        "k": 437,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "neg_gamma_thresholds": [
      {
        "threshold_M": 50,
        "below": {
          "label": "<50M neg gamma",
          "N": 9838,
          "reach_rate": 0.5101,
          "failure_rate": 0.4899,
          "k": 5018,
          "p_vs_50pct": 0.047011,
          "flag": "OK"
        },
        "above": {
          "label": ">=50M neg gamma",
          "N": 2885,
          "reach_rate": 0.2718,
          "failure_rate": 0.7282,
          "k": 784,
          "p_vs_50pct": 0.0,
          "flag": "OK"
        }
      },
      {
        "threshold_M": 100,
        "below": {
          "label": "<100M neg gamma",
          "N": 11566,
          "reach_rate": 0.476,
          "failure_rate": 0.524,
          "k": 5505,
          "p_vs_50pct": 0.0,
          "flag": "OK"
        },
        "above": {
          "label": ">=100M neg gamma",
          "N": 1157,
          "reach_rate": 0.2567,
          "failure_rate": 0.7433,
          "k": 297,
          "p_vs_50pct": 0.0,
          "flag": "OK"
        }
      },
      {
        "threshold_M": 200,
        "below": {
          "label": "<200M neg gamma",
          "N": 12367,
          "reach_rate": 0.4615,
          "failure_rate": 0.5385,
          "k": 5707,
          "p_vs_50pct": 0.0,
          "flag": "OK"
        },
        "above": {
          "label": ">=200M neg gamma",
          "N": 356,
          "reach_rate": 0.2669,
          "failure_rate": 0.7331,
          "k": 95,
          "p_vs_50pct": 0.0,
          "flag": "OK"
        }
      },
      {
        "threshold_M": 300,
        "below": {
          "label": "<300M neg gamma",
          "N": 12595,
          "reach_rate": 0.4577,
          "failure_rate": 0.5423,
          "k": 5765,
          "p_vs_50pct": 0.0,
          "flag": "OK"
        },
        "above": {
          "label": ">=300M neg gamma",
          "N": 128,
          "reach_rate": 0.2891,
          "failure_rate": 0.7109,
          "k": 37,
          "p_vs_50pct": 2e-06,
          "flag": "OK"
        }
      }
    ],
    "pos_gamma_quintiles": [
      {
        "label": "Pos gamma Q1(low)",
        "N": 2058,
        "reach_rate": 0.4913,
        "failure_rate": 0.5087,
        "k": 1011,
        "p_vs_50pct": 0.440408,
        "flag": "OK"
      },
      {
        "label": "Pos gamma Q2",
        "N": 2057,
        "reach_rate": 0.4346,
        "failure_rate": 0.5654,
        "k": 894,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Pos gamma Q3",
        "N": 2058,
        "reach_rate": 0.3926,
        "failure_rate": 0.6074,
        "k": 808,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Pos gamma Q4",
        "N": 2057,
        "reach_rate": 0.3442,
        "failure_rate": 0.6558,
        "k": 708,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Pos gamma Q5(high)",
        "N": 2058,
        "reach_rate": 0.3309,
        "failure_rate": 0.6691,
        "k": 681,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "dte0_quintiles": [
      {
        "label": "0DTE ratio Q1(low)",
        "N": 2545,
        "reach_rate": 0.3356,
        "failure_rate": 0.6644,
        "k": 854,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "0DTE ratio Q2",
        "N": 2547,
        "reach_rate": 0.4739,
        "failure_rate": 0.5261,
        "k": 1207,
        "p_vs_50pct": 0.008896,
        "flag": "OK"
      },
      {
        "label": "0DTE ratio Q3",
        "N": 2550,
        "reach_rate": 0.5067,
        "failure_rate": 0.4933,
        "k": 1292,
        "p_vs_50pct": 0.513444,
        "flag": "OK"
      },
      {
        "label": "0DTE ratio Q4",
        "N": 2540,
        "reach_rate": 0.4598,
        "failure_rate": 0.5402,
        "k": 1168,
        "p_vs_50pct": 5.6e-05,
        "flag": "OK"
      },
      {
        "label": "0DTE ratio Q5(high)",
        "N": 2541,
        "reach_rate": 0.5041,
        "failure_rate": 0.4959,
        "k": 1281,
        "p_vs_50pct": 0.691553,
        "flag": "OK"
      }
    ],
    "call_oi_quintiles": [
      {
        "label": "Call OI share Q1(low)",
        "N": 2503,
        "reach_rate": 0.4646,
        "failure_rate": 0.5354,
        "k": 1163,
        "p_vs_50pct": 0.000433,
        "flag": "OK"
      },
      {
        "label": "Call OI share Q2",
        "N": 2502,
        "reach_rate": 0.5008,
        "failure_rate": 0.4992,
        "k": 1253,
        "p_vs_50pct": 0.952176,
        "flag": "OK"
      },
      {
        "label": "Call OI share Q3",
        "N": 2502,
        "reach_rate": 0.5324,
        "failure_rate": 0.4676,
        "k": 1332,
        "p_vs_50pct": 0.001283,
        "flag": "OK"
      },
      {
        "label": "Call OI share Q4",
        "N": 2502,
        "reach_rate": 0.4309,
        "failure_rate": 0.5691,
        "k": 1078,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Call OI share Q5(high)",
        "N": 2503,
        "reach_rate": 0.3348,
        "failure_rate": 0.6652,
        "k": 838,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "staleness": [
      {
        "label": "New (1 snap)",
        "N": 2609,
        "reach_rate": 0.519,
        "failure_rate": 0.481,
        "k": 1354,
        "p_vs_50pct": 0.055012,
        "flag": "OK"
      },
      {
        "label": "Persistent 2+ snaps",
        "N": 10114,
        "reach_rate": 0.4398,
        "failure_rate": 0.5602,
        "k": 4448,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Growing",
        "N": 4628,
        "reach_rate": 0.4946,
        "failure_rate": 0.5054,
        "k": 2289,
        "p_vs_50pct": 0.471358,
        "flag": "OK"
      },
      {
        "label": "Stale (3+ no growth)",
        "N": 3650,
        "reach_rate": 0.3392,
        "failure_rate": 0.6608,
        "k": 1238,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Fading (stale+shrinking)",
        "N": 1110,
        "reach_rate": 0.2117,
        "failure_rate": 0.7883,
        "k": 235,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "distance": [
      {
        "label": "5-15 pts",
        "N": 4254,
        "reach_rate": 0.7757,
        "failure_rate": 0.2243,
        "k": 3300,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "15-25 pts",
        "N": 3096,
        "reach_rate": 0.4377,
        "failure_rate": 0.5623,
        "k": 1355,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "25-35 pts",
        "N": 2489,
        "reach_rate": 0.2716,
        "failure_rate": 0.7284,
        "k": 676,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "35-50 pts",
        "N": 2884,
        "reach_rate": 0.1633,
        "failure_rate": 0.8367,
        "k": 471,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "gex_regime": [
      {
        "label": "Positive GEX regime",
        "N": 9871,
        "reach_rate": 0.4399,
        "failure_rate": 0.5601,
        "k": 4342,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Negative GEX regime",
        "N": 2287,
        "reach_rate": 0.5597,
        "failure_rate": 0.4403,
        "k": 1280,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "Unknown GEX regime",
        "N": 565,
        "reach_rate": 0.3186,
        "failure_rate": 0.6814,
        "k": 180,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "kill_flags": [
      {
        "label": "BLOCKED (neg gamma in path)",
        "N": 8235,
        "reach_rate": 0.3512,
        "failure_rate": 0.6488,
        "k": 2892,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "RETAIL_CROWDED (call OI >70%)",
        "N": 4394,
        "reach_rate": 0.3732,
        "failure_rate": 0.6268,
        "k": 1640,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "FADING (stale+shrinking)",
        "N": 1110,
        "reach_rate": 0.2117,
        "failure_rate": 0.7883,
        "k": 235,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "HIGH_0DTE (>50%)",
        "N": 2377,
        "reach_rate": 0.5086,
        "failure_rate": 0.4914,
        "k": 1209,
        "p_vs_50pct": 0.411972,
        "flag": "OK"
      },
      {
        "label": "MIXED path",
        "N": 6604,
        "reach_rate": 0.286,
        "failure_rate": 0.714,
        "k": 1889,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "kill_2factor": [
      {
        "label": "BLOCKED + FADING",
        "N": 885,
        "reach_rate": 0.1571,
        "failure_rate": 0.8429,
        "k": 139,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "BLOCKED + RETAIL_CROWDED",
        "N": 3046,
        "reach_rate": 0.2725,
        "failure_rate": 0.7275,
        "k": 830,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "BLOCKED + HIGH_0DTE",
        "N": 1693,
        "reach_rate": 0.407,
        "failure_rate": 0.593,
        "k": 689,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "MIXED + FADING",
        "N": 766,
        "reach_rate": 0.1201,
        "failure_rate": 0.8799,
        "k": 92,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "MIXED + RETAIL_CROWDED",
        "N": 2694,
        "reach_rate": 0.2275,
        "failure_rate": 0.7725,
        "k": 613,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "FADING + RETAIL_CROWDED",
        "N": 439,
        "reach_rate": 0.1367,
        "failure_rate": 0.8633,
        "k": 60,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "FADING + HIGH_0DTE",
        "N": 168,
        "reach_rate": 0.2857,
        "failure_rate": 0.7143,
        "k": 48,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ],
    "kill_3factor": [
      {
        "label": "BLOCKED + FADING + RETAIL_CROWDED",
        "N": 379,
        "reach_rate": 0.0871,
        "failure_rate": 0.9129,
        "k": 33,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "BLOCKED + FADING + HIGH_0DTE",
        "N": 145,
        "reach_rate": 0.2207,
        "failure_rate": 0.7793,
        "k": 32,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "MIXED + FADING + RETAIL_CROWDED",
        "N": 352,
        "reach_rate": 0.0767,
        "failure_rate": 0.9233,
        "k": 27,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "MIXED + HIGH_0DTE + RETAIL_CROWDED",
        "N": 369,
        "reach_rate": 0.2331,
        "failure_rate": 0.7669,
        "k": 86,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      },
      {
        "label": "BLOCKED + MIXED + FADING",
        "N": 766,
        "reach_rate": 0.1201,
        "failure_rate": 0.8799,
        "k": 92,
        "p_vs_50pct": 0.0,
        "flag": "OK"
      }
    ]
  },
  "test3_fade_signal": {
    "null_test": {
      "condition": "kill_score >= 3 failed clusters",
      "N": 2626,
      "actual_wr": 0.9558,
      "actual_mean_pts": 11.06,
      "perm_p_wr": 0.0,
      "perm_p_mean": 0.0,
      "n_perms": 1000
    },
    "kill_score_fade": {
      "0": {
        "N": 2476,
        "failure_rate": 0.3344,
        "fade_returns": {
          "30m": {
            "N": 755,
            "mean_ret_pts": 9.19,
            "win_rate": 0.955,
            "p_value": 0.0
          },
          "60m": {
            "N": 755,
            "mean_ret_pts": 12.53,
            "win_rate": 0.9656,
            "p_value": 0.0
          },
          "120m": {
            "N": 755,
            "mean_ret_pts": 15.54,
            "win_rate": 0.9682,
            "p_value": 0.0
          },
          "180m": {
            "N": 755,
            "mean_ret_pts": 17.37,
            "win_rate": 0.9695,
            "p_value": 0.0
          }
        }
      },
      "1": {
        "N": 2610,
        "failure_rate": 0.3793,
        "fade_returns": {
          "30m": {
            "N": 910,
            "mean_ret_pts": 9.61,
            "win_rate": 0.9791,
            "p_value": 0.0
          },
          "60m": {
            "N": 910,
            "mean_ret_pts": 13.17,
            "win_rate": 0.978,
            "p_value": 0.0
          },
          "120m": {
            "N": 910,
            "mean_ret_pts": 15.19,
            "win_rate": 0.978,
            "p_value": 0.0
          },
          "180m": {
            "N": 910,
            "mean_ret_pts": 16.5,
            "win_rate": 0.9791,
            "p_value": 0.0
          }
        }
      },
      "2": {
        "N": 3594,
        "failure_rate": 0.5871,
        "fade_returns": {
          "30m": {
            "N": 1918,
            "mean_ret_pts": 10.56,
            "win_rate": 0.9609,
            "p_value": 0.0
          },
          "60m": {
            "N": 1918,
            "mean_ret_pts": 14.05,
            "win_rate": 0.9765,
            "p_value": 0.0
          },
          "120m": {
            "N": 1918,
            "mean_ret_pts": 17.47,
            "win_rate": 0.9739,
            "p_value": 0.0
          },
          "180m": {
            "N": 1918,
            "mean_ret_pts": 18.83,
            "win_rate": 0.9729,
            "p_value": 0.0
          }
        }
      },
      "3": {
        "N": 3285,
        "failure_rate": 0.7172,
        "fade_returns": {
          "30m": {
            "N": 2095,
            "mean_ret_pts": 8.29,
            "win_rate": 0.957,
            "p_value": 0.0
          },
          "60m": {
            "N": 2095,
            "mean_ret_pts": 11.29,
            "win_rate": 0.9609,
            "p_value": 0.0
          },
          "120m": {
            "N": 2095,
            "mean_ret_pts": 14.17,
            "win_rate": 0.957,
            "p_value": 0.0
          },
          "180m": {
            "N": 2095,
            "mean_ret_pts": 15.62,
            "win_rate": 0.9589,
            "p_value": 0.0
          }
        }
      },
      "4": {
        "N": 723,
        "failure_rate": 0.8409,
        "fade_returns": {
          "30m": {
            "N": 504,
            "mean_ret_pts": 7.67,
            "win_rate": 0.9286,
            "p_value": 0.0
          },
          "60m": {
            "N": 504,
            "mean_ret_pts": 10.0,
            "win_rate": 0.9385,
            "p_value": 0.0
          },
          "120m": {
            "N": 504,
            "mean_ret_pts": 13.61,
            "win_rate": 0.9405,
            "p_value": 0.0
          },
          "180m": {
            "N": 504,
            "mean_ret_pts": 13.64,
            "win_rate": 0.9405,
            "p_value": 0.0
          }
        }
      },
      "5": {
        "N": 35,
        "failure_rate": 0.8286,
        "fade_returns": null
      }
    },
    "best_conditions": {
      "MIXED path (blocked both ways)": {
        "N_all": 6604,
        "N_failed": 4715,
        "failure_rate": 0.714,
        "fade_returns_of_failed": {
          "30m": {
            "N": 4189,
            "mean_ret_pts": 9.01,
            "win_rate": 0.9577,
            "p_value": 0.0
          },
          "60m": {
            "N": 4189,
            "mean_ret_pts": 12.14,
            "win_rate": 0.9671,
            "p_value": 0.0
          },
          "120m": {
            "N": 4189,
            "mean_ret_pts": 15.29,
            "win_rate": 0.9642,
            "p_value": 0.0
          },
          "180m": {
            "N": 4189,
            "mean_ret_pts": 16.66,
            "win_rate": 0.9647,
            "p_value": 0.0
          }
        }
      },
      "BLOCKED (neg gamma in path)": {
        "N_all": 8235,
        "N_failed": 5343,
        "failure_rate": 0.6488,
        "fade_returns_of_failed": {
          "30m": {
            "N": 4778,
            "mean_ret_pts": 9.38,
            "win_rate": 0.9581,
            "p_value": 0.0
          },
          "60m": {
            "N": 4778,
            "mean_ret_pts": 12.66,
            "win_rate": 0.9671,
            "p_value": 0.0
          },
          "120m": {
            "N": 4778,
            "mean_ret_pts": 15.84,
            "win_rate": 0.9646,
            "p_value": 0.0
          },
          "180m": {
            "N": 4778,
            "mean_ret_pts": 17.09,
            "win_rate": 0.965,
            "p_value": 0.0
          }
        }
      },
      "RETAIL_CROWDED + call OI>70%": {
        "N_all": 4394,
        "N_failed": 2754,
        "failure_rate": 0.6268,
        "fade_returns_of_failed": {
          "30m": {
            "N": 2412,
            "mean_ret_pts": 7.28,
            "win_rate": 0.9453,
            "p_value": 0.0
          },
          "60m": {
            "N": 2412,
            "mean_ret_pts": 10.13,
            "win_rate": 0.9465,
            "p_value": 0.0
          },
          "120m": {
            "N": 2412,
            "mean_ret_pts": 12.59,
            "win_rate": 0.9473,
            "p_value": 0.0
          },
          "180m": {
            "N": 2412,
            "mean_ret_pts": 13.78,
            "win_rate": 0.9478,
            "p_value": 0.0
          }
        }
      },
      "FADING cluster": {
        "N_all": 1110,
        "N_failed": 875,
        "failure_rate": 0.7883,
        "fade_returns_of_failed": {
          "30m": {
            "N": 790,
            "mean_ret_pts": 7.55,
            "win_rate": 0.9544,
            "p_value": 0.0
          },
          "60m": {
            "N": 790,
            "mean_ret_pts": 9.75,
            "win_rate": 0.9646,
            "p_value": 0.0
          },
          "120m": {
            "N": 790,
            "mean_ret_pts": 12.34,
            "win_rate": 0.962,
            "p_value": 0.0
          },
          "180m": {
            "N": 790,
            "mean_ret_pts": 12.96,
            "win_rate": 0.9633,
            "p_value": 0.0
          }
        }
      },
      "HIGH 0DTE >50%": {
        "N_all": 2377,
        "N_failed": 1168,
        "failure_rate": 0.4914,
        "fade_returns_of_failed": {
          "30m": {
            "N": 1013,
            "mean_ret_pts": 11.22,
            "win_rate": 0.9477,
            "p_value": 0.0
          },
          "60m": {
            "N": 1013,
            "mean_ret_pts": 15.08,
            "win_rate": 0.9576,
            "p_value": 0.0
          },
          "120m": {
            "N": 1013,
            "mean_ret_pts": 19.37,
            "win_rate": 0.9516,
            "p_value": 0.0
          },
          "180m": {
            "N": 1013,
            "mean_ret_pts": 19.88,
            "win_rate": 0.9546,
            "p_value": 0.0
          }
        }
      },
      "NEW cluster (1 snap)": {
        "N_all": 2609,
        "N_failed": 1255,
        "failure_rate": 0.481,
        "fade_returns_of_failed": {
          "30m": {
            "N": 1124,
            "mean_ret_pts": 10.62,
            "win_rate": 0.96,
            "p_value": 0.0
          },
          "60m": {
            "N": 1124,
            "mean_ret_pts": 14.21,
            "win_rate": 0.9706,
            "p_value": 0.0
          },
          "120m": {
            "N": 1124,
            "mean_ret_pts": 18.39,
            "win_rate": 0.968,
            "p_value": 0.0
          },
          "180m": {
            "N": 1124,
            "mean_ret_pts": 20.87,
            "win_rate": 0.968,
            "p_value": 0.0
          }
        }
      },
      "KILL_SCORE >= 2": {
        "N_all": 7637,
        "N_failed": 5103,
        "failure_rate": 0.6682,
        "fade_returns_of_failed": {
          "30m": {
            "N": 4544,
            "mean_ret_pts": 9.16,
            "win_rate": 0.9551,
            "p_value": 0.0
          },
          "60m": {
            "N": 4544,
            "mean_ret_pts": 12.32,
            "win_rate": 0.9646,
            "p_value": 0.0
          },
          "120m": {
            "N": 4544,
            "mean_ret_pts": 15.51,
            "win_rate": 0.9619,
            "p_value": 0.0
          },
          "180m": {
            "N": 4544,
            "mean_ret_pts": 16.76,
            "win_rate": 0.9624,
            "p_value": 0.0
          }
        }
      },
      "KILL_SCORE >= 3": {
        "N_all": 4043,
        "N_failed": 2993,
        "failure_rate": 0.7403,
        "fade_returns_of_failed": {
          "30m": {
            "N": 2626,
            "mean_ret_pts": 8.13,
            "win_rate": 0.9509,
            "p_value": 0.0
          },
          "60m": {
            "N": 2626,
            "mean_ret_pts": 11.06,
            "win_rate": 0.9558,
            "p_value": 0.0
          },
          "120m": {
            "N": 2626,
            "mean_ret_pts": 14.08,
            "win_rate": 0.9532,
            "p_value": 0.0
          },
          "180m": {
            "N": 2626,
            "mean_ret_pts": 15.24,
            "win_rate": 0.9547,
            "p_value": 0.0
          }
        }
      },
      "BLOCKED + RETAIL_CROWDED": {
        "N_all": 3046,
        "N_failed": 2216,
        "failure_rate": 0.7275,
        "fade_returns_of_failed": {
          "30m": {
            "N": 1935,
            "mean_ret_pts": 7.39,
            "win_rate": 0.9395,
            "p_value": 0.0
          },
          "60m": {
            "N": 1935,
            "mean_ret_pts": 10.31,
            "win_rate": 0.9416,
            "p_value": 0.0
          },
          "120m": {
            "N": 1935,
            "mean_ret_pts": 12.97,
            "win_rate": 0.9421,
            "p_value": 0.0
          },
          "180m": {
            "N": 1935,
            "mean_ret_pts": 14.22,
            "win_rate": 0.9426,
            "p_value": 0.0
          }
        }
      },
      "MIXED + FADING": {
        "N_all": 766,
        "N_failed": 674,
        "failure_rate": 0.8799,
        "fade_returns_of_failed": {
          "30m": {
            "N": 603,
            "mean_ret_pts": 7.49,
            "win_rate": 0.9635,
            "p_value": 0.0
          },
          "60m": {
            "N": 603,
            "mean_ret_pts": 9.55,
            "win_rate": 0.9735,
            "p_value": 0.0
          },
          "120m": {
            "N": 603,
            "mean_ret_pts": 12.48,
            "win_rate": 0.9718,
            "p_value": 0.0
          },
          "180m": {
            "N": 603,
            "mean_ret_pts": 13.06,
            "win_rate": 0.9718,
            "p_value": 0.0
          }
        }
      },
      "MIXED + RETAIL_CROWDED": {
        "N_all": 2694,
        "N_failed": 2081,
        "failure_rate": 0.7725,
        "fade_returns_of_failed": {
          "30m": {
            "N": 1809,
            "mean_ret_pts": 7.33,
            "win_rate": 0.9453,
            "p_value": 0.0
          },
          "60m": {
            "N": 1809,
            "mean_ret_pts": 10.25,
            "win_rate": 0.9458,
            "p_value": 0.0
          },
          "120m": {
            "N": 1809,
            "mean_ret_pts": 12.91,
            "win_rate": 0.9464,
            "p_value": 0.0
          },
          "180m": {
            "N": 1809,
            "mean_ret_pts": 14.19,
            "win_rate": 0.9469,
            "p_value": 0.0
          }
        }
      }
    }
  },
  "test4_neg_gamma_deepdive": {
    "neg_q1": {
      "label": "Neg gamma quintile Q1(low)",
      "N": 1647,
      "reach_rate": 0.4651,
      "failure_rate": 0.5349,
      "k": 766,
      "p_vs_50pct": 0.004954,
      "flag": "OK",
      "neg_gamma_range_M": [
        5.0,
        13.0
      ]
    },
    "neg_q2": {
      "label": "Neg gamma quintile Q2",
      "N": 1647,
      "reach_rate": 0.3922,
      "failure_rate": 0.6078,
      "k": 646,
      "p_vs_50pct": 0.0,
      "flag": "OK",
      "neg_gamma_range_M": [
        13.0,
        26.0
      ]
    },
    "neg_q3": {
      "label": "Neg gamma quintile Q3",
      "N": 1647,
      "reach_rate": 0.3382,
      "failure_rate": 0.6618,
      "k": 557,
      "p_vs_50pct": 0.0,
      "flag": "OK",
      "neg_gamma_range_M": [
        26.0,
        44.0
      ]
    },
    "neg_q4": {
      "label": "Neg gamma quintile Q4",
      "N": 1647,
      "reach_rate": 0.2951,
      "failure_rate": 0.7049,
      "k": 486,
      "p_vs_50pct": 0.0,
      "flag": "OK",
      "neg_gamma_range_M": [
        44.0,
        79.0
      ]
    },
    "neg_q5": {
      "label": "Neg gamma quintile Q5(high)",
      "N": 1647,
      "reach_rate": 0.2653,
      "failure_rate": 0.7347,
      "k": 437,
      "p_vs_50pct": 0.0,
      "flag": "OK",
      "neg_gamma_range_M": [
        79.0,
        2058.0
      ]
    },
    "wall_detection": [
      {
        "group": "no_neg_gamma",
        "N": 4488,
        "reach_rate": 0.6484
      },
      {
        "group": "~10M",
        "N": 1215,
        "reach_rate": 0.4469
      },
      {
        "group": "~25M",
        "N": 1806,
        "reach_rate": 0.3499
      },
      {
        "group": "~50M",
        "N": 1814,
        "reach_rate": 0.3065
      },
      {
        "group": "~100M",
        "N": 1031,
        "reach_rate": 0.2551
      },
      {
        "group": "~200M",
        "N": 405,
        "reach_rate": 0.2765
      },
      {
        "group": "~300M",
        "N": 212,
        "reach_rate": 0.2736
      },
      {
        "group": "~500M",
        "N": 28,
        "reach_rate": 0.3571
      }
    ],
    "neg_gamma_reach_correlation": {
      "spearman_rho": -0.1508,
      "p_value": 0.0,
      "mean_neg_gamma_reached_M": 48.0,
      "mean_neg_gamma_bounced_M": 60.0
    }
  },
  "test5_failure_score": {
    "score_distribution": [
      {
        "score": 0,
        "N": 2476,
        "reach_rate": 0.6656,
        "failure_rate": 0.3344,
        "flag": "OK"
      },
      {
        "score": 1,
        "N": 2610,
        "reach_rate": 0.6207,
        "failure_rate": 0.3793,
        "flag": "OK"
      },
      {
        "score": 2,
        "N": 3594,
        "reach_rate": 0.4129,
        "failure_rate": 0.5871,
        "flag": "OK"
      },
      {
        "score": 3,
        "N": 3285,
        "reach_rate": 0.2828,
        "failure_rate": 0.7172,
        "flag": "OK"
      },
      {
        "score": 4,
        "N": 723,
        "reach_rate": 0.1591,
        "failure_rate": 0.8409,
        "flag": "OK"
      },
      {
        "score": 5,
        "N": 35,
        "reach_rate": 0.1714,
        "failure_rate": 0.8286,
        "flag": "LOW_N"
      }
    ],
    "is_monotonic": false,
    "high_vs_low_score": {
      "high_score_N": 4043,
      "low_score_N": 5086,
      "high_fail_rate": 0.7403,
      "low_fail_rate": 0.3575,
      "ratio": 2.07
    }
  },
  "test3_fade_signal_CORRECTED": {
    "note": "Returns measured from SIGNAL TIME (snapshot), NOT from closest approach point",
    "methodology": "At snapshot ts, if kill flags fire: short if cluster above, long if below. Return = exit - entry in trade direction.",
    "n_total": 12723,
    "n_dates": 348,
    "kill_score": {
      "0": {
        "N": 2476,
        "eod_fail_rate": 0.3344,
        "by_horizon": {
          "30m": {
            "label": "Score=0",
            "N": 2399,
            "win_rate": 0.4673,
            "mean_ret": -0.35,
            "p": 0.001442,
            "sig": "**"
          },
          "60m": {
            "label": "Score=0",
            "N": 2399,
            "win_rate": 0.4764,
            "mean_ret": -0.62,
            "p": 0.022196,
            "sig": "*"
          },
          "120m": {
            "label": "Score=0",
            "N": 2399,
            "win_rate": 0.4806,
            "mean_ret": -0.83,
            "p": 0.060313,
            "sig": "   "
          },
          "180m": {
            "label": "Score=0",
            "N": 2399,
            "win_rate": 0.4898,
            "mean_ret": -1.02,
            "p": 0.327087,
            "sig": "   "
          }
        }
      },
      "1": {
        "N": 2610,
        "eod_fail_rate": 0.3793,
        "by_horizon": {
          "30m": {
            "label": "Score=1",
            "N": 2541,
            "win_rate": 0.4778,
            "mean_ret": -0.58,
            "p": 0.026274,
            "sig": "*"
          },
          "60m": {
            "label": "Score=1",
            "N": 2541,
            "win_rate": 0.4612,
            "mean_ret": -0.85,
            "p": 0.0001,
            "sig": "***"
          },
          "120m": {
            "label": "Score=1",
            "N": 2541,
            "win_rate": 0.4526,
            "mean_ret": -0.98,
            "p": 2e-06,
            "sig": "***"
          },
          "180m": {
            "label": "Score=1",
            "N": 2541,
            "win_rate": 0.4522,
            "mean_ret": -0.93,
            "p": 2e-06,
            "sig": "***"
          }
        }
      },
      "2": {
        "N": 3594,
        "eod_fail_rate": 0.5871,
        "by_horizon": {
          "30m": {
            "label": "Score=2",
            "N": 3541,
            "win_rate": 0.4727,
            "mean_ret": -0.48,
            "p": 0.00125,
            "sig": "**"
          },
          "60m": {
            "label": "Score=2",
            "N": 3541,
            "win_rate": 0.4742,
            "mean_ret": -0.64,
            "p": 0.00222,
            "sig": "**"
          },
          "120m": {
            "label": "Score=2",
            "N": 3541,
            "win_rate": 0.4855,
            "mean_ret": -0.18,
            "p": 0.086495,
            "sig": "   "
          },
          "180m": {
            "label": "Score=2",
            "N": 3541,
            "win_rate": 0.4897,
            "mean_ret": -0.11,
            "p": 0.226291,
            "sig": "   "
          }
        }
      },
      "3": {
        "N": 3285,
        "eod_fail_rate": 0.7172,
        "by_horizon": {
          "30m": {
            "label": "Score=3",
            "N": 3108,
            "win_rate": 0.4704,
            "mean_ret": -0.19,
            "p": 0.001026,
            "sig": "**"
          },
          "60m": {
            "label": "Score=3",
            "N": 3108,
            "win_rate": 0.4701,
            "mean_ret": -0.29,
            "p": 0.000902,
            "sig": "***"
          },
          "120m": {
            "label": "Score=3",
            "N": 3108,
            "win_rate": 0.4701,
            "mean_ret": -0.13,
            "p": 0.000902,
            "sig": "***"
          },
          "180m": {
            "label": "Score=3",
            "N": 3108,
            "win_rate": 0.4611,
            "mean_ret": -0.09,
            "p": 1.5e-05,
            "sig": "***"
          }
        }
      },
      "4": {
        "N": 723,
        "eod_fail_rate": 0.8409,
        "by_horizon": {
          "30m": {
            "label": "Score=4",
            "N": 674,
            "win_rate": 0.4021,
            "mean_ret": -0.89,
            "p": 0.0,
            "sig": "***"
          },
          "60m": {
            "label": "Score=4",
            "N": 674,
            "win_rate": 0.3932,
            "mean_ret": -1.15,
            "p": 0.0,
            "sig": "***"
          },
          "120m": {
            "label": "Score=4",
            "N": 674,
            "win_rate": 0.3902,
            "mean_ret": -1.03,
            "p": 0.0,
            "sig": "***"
          },
          "180m": {
            "label": "Score=4",
            "N": 674,
            "win_rate": 0.3961,
            "mean_ret": -1.56,
            "p": 0.0,
            "sig": "***"
          }
        }
      },
      "5": {
        "N": 35,
        "eod_fail_rate": 0.8286,
        "by_horizon": {
          "30m": {
            "label": "Score=5",
            "N": 35,
            "win_rate": 0.5429,
            "mean_ret": 1.26,
            "p": 0.735879,
            "sig": "   "
          },
          "60m": {
            "label": "Score=5",
            "N": 35,
            "win_rate": 0.6286,
            "mean_ret": 1.87,
            "p": 0.175465,
            "sig": "   "
          },
          "120m": {
            "label": "Score=5",
            "N": 35,
            "win_rate": 0.6,
            "mean_ret": 3.99,
            "p": 0.310505,
            "sig": "   "
          },
          "180m": {
            "label": "Score=5",
            "N": 35,
            "win_rate": 0.6286,
            "mean_ret": 5.89,
            "p": 0.175465,
            "sig": "   "
          }
        }
      }
    },
    "conditions": {
      "No kill flags (Score=0, CONTROL)": {
        "N": 2476,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 2399,
            "win_rate": 0.4673,
            "mean_ret": -0.35,
            "p": 0.001442,
            "sig": "**"
          },
          "60m": {
            "label": "60m",
            "N": 2399,
            "win_rate": 0.4764,
            "mean_ret": -0.62,
            "p": 0.022196,
            "sig": "*"
          },
          "120m": {
            "label": "120m",
            "N": 2399,
            "win_rate": 0.4806,
            "mean_ret": -0.83,
            "p": 0.060313,
            "sig": "   "
          },
          "180m": {
            "label": "180m",
            "N": 2399,
            "win_rate": 0.4898,
            "mean_ret": -1.02,
            "p": 0.327087,
            "sig": "   "
          }
        }
      },
      "Score >= 2": {
        "N": 7637,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 7358,
            "win_rate": 0.4656,
            "mean_ret": -0.39,
            "p": 0.0,
            "sig": "***"
          },
          "60m": {
            "label": "60m",
            "N": 7358,
            "win_rate": 0.4658,
            "mean_ret": -0.53,
            "p": 0.0,
            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 7358,
            "win_rate": 0.4708,
            "mean_ret": -0.22,
            "p": 1e-06,
            "sig": "***"
          },
          "180m": {
            "label": "180m",
            "N": 7358,
            "win_rate": 0.4697,
            "mean_ret": -0.21,
            "p": 0.0,
            "sig": "***"
          }
        }
      },
      "Score >= 3": {
        "N": 4043,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 3817,
            "win_rate": 0.459,
            "mean_ret": -0.3,
            "p": 0.0,
            "sig": "***"
          },
          "60m": {
            "label": "60m",
            "N": 3817,
            "win_rate": 0.458,
            "mean_ret": -0.43,
            "p": 0.0,
            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 3817,
            "win_rate": 0.4572,
            "mean_ret": -0.26,
            "p": 0.0,
            "sig": "***"
          },
          "180m": {
            "label": "180m",
            "N": 3817,
            "win_rate": 0.4511,
            "mean_ret": -0.3,
            "p": 0.0,
            "sig": "***"
          }
        }
      },
      "Score >= 4": {
        "N": 758,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 709,
            "win_rate": 0.409,
            "mean_ret": -0.78,
            "p": 1e-06,
            "sig": "***"
          },
          "60m": {
            "label": "60m",
            "N": 709,
            "win_rate": 0.4048,
            "mean_ret": -1.0,
            "p": 0.0,
            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 709,
            "win_rate": 0.4006,
            "mean_ret": -0.78,
            "p": 0.0,
            "sig": "***"
          },
          "180m": {
            "label": "180m",
            "N": 709,
            "win_rate": 0.4076,
            "mean_ret": -1.19,
            "p": 1e-06,
            "sig": "***"
          }
        }
      },
      "MIXED path only": {
        "N": 6604,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
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          },
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            "label": "60m",
            "N": 6335,
            "win_rate": 0.4696,
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            "p": 1e-06,
            "sig": "***"
          },
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            "label": "120m",
            "N": 6335,
            "win_rate": 0.4778,
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          },
          "180m": {
            "label": "180m",
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            "win_rate": 0.4772,
            "mean_ret": 0.11,
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            "sig": "***"
          }
        }
      },
      "BLOCKED (neg gamma)": {
        "N": 8235,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 7942,
            "win_rate": 0.4717,
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          },
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            "label": "60m",
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            "win_rate": 0.4747,
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            "p": 7e-06,
            "sig": "***"
          },
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            "label": "120m",
            "N": 7942,
            "win_rate": 0.4801,
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            "label": "180m",
            "N": 7942,
            "win_rate": 0.4785,
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          }
        }
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        "N": 1110,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 1065,
            "win_rate": 0.4977,
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            "sig": "   "
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            "label": "120m",
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            "label": "180m",
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            "win_rate": 0.5033,
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      "RETAIL_CROWDED": {
        "N": 4394,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 4141,
            "win_rate": 0.4487,
            "mean_ret": -0.4,
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            "label": "60m",
            "N": 4141,
            "win_rate": 0.4274,
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            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 4141,
            "win_rate": 0.4144,
            "mean_ret": -0.94,
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          "180m": {
            "label": "180m",
            "N": 4141,
            "win_rate": 0.4091,
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        }
      },
      "MIXED + FADING": {
        "N": 766,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 729,
            "win_rate": 0.4691,
            "mean_ret": 0.05,
            "p": 0.103115,
            "sig": "   "
          },
          "60m": {
            "label": "60m",
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            "win_rate": 0.4774,
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            "sig": "   "
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          "120m": {
            "label": "120m",
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            "sig": "   "
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          "180m": {
            "label": "180m",
            "N": 729,
            "win_rate": 0.4815,
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            "p": 0.33557,
            "sig": "   "
          }
        }
      },
      "MIXED + RETAIL_CROWDED": {
        "N": 2694,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 2485,
            "win_rate": 0.4519,
            "mean_ret": -0.18,
            "p": 2e-06,
            "sig": "***"
          },
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            "label": "60m",
            "N": 2485,
            "win_rate": 0.4398,
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            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 2485,
            "win_rate": 0.4326,
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          },
          "180m": {
            "label": "180m",
            "N": 2485,
            "win_rate": 0.4258,
            "mean_ret": 0.19,
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          }
        }
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      "BLOCKED + FADING": {
        "N": 885,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 845,
            "win_rate": 0.4817,
            "mean_ret": 0.05,
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            "sig": "   "
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            "label": "60m",
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            "sig": "   "
          },
          "120m": {
            "label": "120m",
            "N": 845,
            "win_rate": 0.4888,
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            "p": 0.535797,
            "sig": "   "
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          "180m": {
            "label": "180m",
            "N": 845,
            "win_rate": 0.5006,
            "mean_ret": 0.22,
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            "sig": "   "
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        }
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      "BLOCKED + RETAIL_CROWDED": {
        "N": 3046,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 2836,
            "win_rate": 0.4538,
            "mean_ret": -0.27,
            "p": 1e-06,
            "sig": "***"
          },
          "60m": {
            "label": "60m",
            "N": 2836,
            "win_rate": 0.4401,
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            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 2836,
            "win_rate": 0.4309,
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            "p": 0.0,
            "sig": "***"
          },
          "180m": {
            "label": "180m",
            "N": 2836,
            "win_rate": 0.4235,
            "mean_ret": -0.16,
            "p": 0.0,
            "sig": "***"
          }
        }
      },
      "BLOCKED + FADING + RETAIL_CROWDED": {
        "N": 379,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 346,
            "win_rate": 0.422,
            "mean_ret": -0.88,
            "p": 0.004314,
            "sig": "**"
          },
          "60m": {
            "label": "60m",
            "N": 346,
            "win_rate": 0.396,
            "mean_ret": -1.63,
            "p": 0.000128,
            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 346,
            "win_rate": 0.4104,
            "mean_ret": -1.65,
            "p": 0.001012,
            "sig": "**"
          },
          "180m": {
            "label": "180m",
            "N": 346,
            "win_rate": 0.4306,
            "mean_ret": -1.91,
            "p": 0.011405,
            "sig": "*"
          }
        }
      },
      "MIXED + FADING + RETAIL_CROWDED": {
        "N": 352,
        "fade_by_horizon": {
          "30m": {
            "label": "30m",
            "N": 320,
            "win_rate": 0.4125,
            "mean_ret": -0.72,
            "p": 0.00206,
            "sig": "**"
          },
          "60m": {
            "label": "60m",
            "N": 320,
            "win_rate": 0.3875,
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            "p": 6.8e-05,
            "sig": "***"
          },
          "120m": {
            "label": "120m",
            "N": 320,
            "win_rate": 0.4062,
            "mean_ret": -1.48,
            "p": 0.000944,
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          },
          "180m": {
            "label": "180m",
            "N": 320,
            "win_rate": 0.4281,
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            "sig": "*"
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        }
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    "by_direction": {
      "above": {
        "score_ge_0": {
          "label": "Score>=0 above",
          "N": 7057,
          "win_rate": 0.44,
          "mean_ret": -0.72,
          "p": 0.0,
          "sig": "***"
        },
        "score_ge_2": {
          "label": "Score>=2 above",
          "N": 4533,
          "win_rate": 0.443,
          "mean_ret": -0.6,
          "p": 0.0,
          "sig": "***"
        },
        "score_ge_3": {
          "label": "Score>=3 above",
          "N": 2836,
          "win_rate": 0.4372,
          "mean_ret": -0.59,
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          "sig": "***"
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      },
      "below": {
        "score_ge_0": {
          "label": "Score>=0 below",
          "N": 5241,
          "win_rate": 0.5031,
          "mean_ret": -0.46,
          "p": 0.658478,
          "sig": "   "
        },
        "score_ge_2": {
          "label": "Score>=2 below",
          "N": 2825,
          "win_rate": 0.5023,
          "mean_ret": -0.42,
          "p": 0.821383,
          "sig": "   "
        },
        "score_ge_3": {
          "label": "Score>=3 below",
          "N": 981,
          "win_rate": 0.5178,
          "mean_ret": 0.06,
          "p": 0.277677,
          "sig": "   "
        }
      }
    },
    "null_test": {
      "condition": "MIXED + FADING + RETAIL_CROWDED",
      "N": 320,
      "actual_wr": 0.3875,
      "actual_mean_pts": -1.46,
      "perm_mean_wr": 0.4933,
      "perm_std_wr": 0.0278,
      "perm_p_wr": 1.0,
      "perm_p_mean": 0.987,
      "n_perms": 1000
    },
    "control": {
      "WR": 0.4764,
      "mean_pts": -0.62,
      "N": 2399,
      "p_vs_50pct": 0.022196
    },
    "hindsight": {
      "all_failed_WR": 0.627,
      "all_failed_mean": 4.73,
      "all_failed_N": 6547,
      "all_failed_p": 0.0
    }
  }
}