{ "indicators": { "GWB": { "description": "Gamma Wall Bias (flipped: wall above = magnet = bullish)", "calculation": "GWB = -(|neg_mm_gamma_above| - |neg_mm_gamma_below|) / total. Positive = wall above = BULLISH (magnet pulls price up). Z-scored expanding.", "backtest": { "morning": { "1h": { "sharpe": 1.06, "win_rate": 0.499, "avg_bps": 1.12, "n_trades": 479, "max_dd_bps": -913.7, "profit_factor": 1.11 }, "3h": { "sharpe": 2.43, "win_rate": 0.486, "avg_bps": 4.05, "n_trades": 469, "max_dd_bps": -1453.0, "profit_factor": 1.28 }, "eod": { "sharpe": 1.85, "win_rate": 0.486, "avg_bps": 3.27, "n_trades": 479, "max_dd_bps": -1721.6, "profit_factor": 1.2 } }, "midday": { "1h": { "sharpe": 3.11, "win_rate": 0.499, "avg_bps": 2.31, "n_trades": 631, "max_dd_bps": -615.0, "profit_factor": 1.37 }, "3h": { "sharpe": 1.04, "win_rate": 0.493, "avg_bps": 1.12, "n_trades": 615, "max_dd_bps": -1414.8, "profit_factor": 1.1 }, "eod": { "sharpe": 2.04, "win_rate": 0.518, "avg_bps": 2.19, "n_trades": 639, "max_dd_bps": -1254.7, "profit_factor": 1.22 } }, "afternoon": { "1h": { "sharpe": -1.7, "win_rate": 0.458, "avg_bps": -0.88, "n_trades": 664, "max_dd_bps": -1178.6, "profit_factor": 0.85 }, "3h": null, "eod": { "sharpe": 1.28, "win_rate": 0.526, "avg_bps": 0.57, "n_trades": 991, "max_dd_bps": -1459.8, "profit_factor": 1.1 } }, "all_day": { "1h": { "sharpe": 1.82, "win_rate": 0.484, "avg_bps": 0.79, "n_trades": 1774, "max_dd_bps": -1347.9, "profit_factor": 1.11 }, "3h": { "sharpe": 2.52, "win_rate": 0.49, "avg_bps": 2.39, "n_trades": 1084, "max_dd_bps": -2255.3, "profit_factor": 1.19 }, "eod": { "sharpe": 3.0, "win_rate": 0.514, "avg_bps": 1.68, "n_trades": 2109, "max_dd_bps": -2855.1, "profit_factor": 1.18 } } }, "quintile_returns": { "morning": { "1h": { "Q1_low": { "mean_bps": 1.57, "median_bps": 4.73, "n": 283, "win_rate": 0.572 }, "Q2": { "mean_bps": -2.68, "median_bps": -1.48, "n": 282, "win_rate": 0.486 }, "Q3": { "mean_bps": -3.41, "median_bps": -1.84, "n": 282, "win_rate": 0.468 }, "Q4": { "mean_bps": -5.35, "median_bps": 0.74, "n": 282, "win_rate": 0.511 }, "Q5_high": { "mean_bps": 3.22, "median_bps": 3.57, "n": 283, "win_rate": 0.572 }, "spread_Q5_Q1": 1.65, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": 2.73, "median_bps": 9.34, "n": 280, "win_rate": 0.618 }, "Q2": { "mean_bps": -6.36, "median_bps": 4.31, "n": 280, "win_rate": 0.529 }, "Q3": { "mean_bps": -9.76, "median_bps": -5.04, "n": 280, "win_rate": 0.418 }, "Q4": { "mean_bps": -4.36, "median_bps": 3.22, "n": 280, "win_rate": 0.525 }, "Q5_high": { "mean_bps": 9.68, "median_bps": 8.05, "n": 280, "win_rate": 0.604 }, "spread_Q5_Q1": 6.95, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": 4.75, "median_bps": 9.68, "n": 283, "win_rate": 0.629 }, "Q2": { "mean_bps": -2.47, "median_bps": 7.8, "n": 282, "win_rate": 0.617 }, "Q3": { "mean_bps": -12.22, "median_bps": -5.93, "n": 282, "win_rate": 0.429 }, "Q4": { "mean_bps": -6.37, "median_bps": 3.38, "n": 282, "win_rate": 0.518 }, "Q5_high": { "mean_bps": 9.86, "median_bps": 7.21, "n": 283, "win_rate": 0.594 }, "spread_Q5_Q1": 5.11, "monotonic": false } }, "midday": { "1h": { "Q1_low": { "mean_bps": -0.71, "median_bps": 1.81, "n": 375, "win_rate": 0.552 }, "Q2": { "mean_bps": -1.93, "median_bps": 0.0, "n": 374, "win_rate": 0.495 }, "Q3": { "mean_bps": -2.38, "median_bps": -0.36, "n": 374, "win_rate": 0.487 }, "Q4": { "mean_bps": -0.07, "median_bps": 2.27, "n": 374, "win_rate": 0.532 }, "Q5_high": { "mean_bps": 4.72, "median_bps": 3.39, "n": 375, "win_rate": 0.595 }, "spread_Q5_Q1": 5.43, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": 1.56, "median_bps": 1.16, "n": 370, "win_rate": 0.538 }, "Q2": { "mean_bps": -0.01, "median_bps": 2.72, "n": 369, "win_rate": 0.553 }, "Q3": { "mean_bps": -4.68, "median_bps": 2.22, "n": 370, "win_rate": 0.519 }, "Q4": { "mean_bps": -1.01, "median_bps": 3.23, "n": 369, "win_rate": 0.558 }, "Q5_high": { "mean_bps": 6.88, "median_bps": 6.99, "n": 370, "win_rate": 0.573 }, "spread_Q5_Q1": 5.32, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -0.62, "median_bps": -0.72, "n": 377, "win_rate": 0.475 }, "Q2": { "mean_bps": 3.41, "median_bps": 3.47, "n": 377, "win_rate": 0.573 }, "Q3": { "mean_bps": -5.71, "median_bps": 2.58, "n": 376, "win_rate": 0.535 }, "Q4": { "mean_bps": -4.46, "median_bps": 0.38, "n": 377, "win_rate": 0.504 }, "Q5_high": { "mean_bps": 6.88, "median_bps": 6.07, "n": 377, "win_rate": 0.552 }, "spread_Q5_Q1": 7.5, "monotonic": false } }, "afternoon": { "1h": { "Q1_low": { "mean_bps": -0.34, "median_bps": 0.74, "n": 370, "win_rate": 0.516 }, "Q2": { "mean_bps": 1.26, "median_bps": 2.55, "n": 369, "win_rate": 0.591 }, "Q3": { "mean_bps": 1.47, "median_bps": 0.73, "n": 370, "win_rate": 0.519 }, "Q4": { "mean_bps": 2.77, "median_bps": 2.51, "n": 369, "win_rate": 0.577 }, "Q5_high": { "mean_bps": -1.38, "median_bps": -0.73, "n": 370, "win_rate": 0.476 }, "spread_Q5_Q1": -1.04, "monotonic": false }, "3h": null, "eod": { "Q1_low": { "mean_bps": -3.1, "median_bps": -1.17, "n": 525, "win_rate": 0.413 }, "Q2": { "mean_bps": 2.57, "median_bps": 1.08, "n": 524, "win_rate": 0.521 }, "Q3": { "mean_bps": -0.12, "median_bps": 0.0, "n": 524, "win_rate": 0.492 }, "Q4": { "mean_bps": 0.44, "median_bps": 0.78, "n": 524, "win_rate": 0.523 }, "Q5_high": { "mean_bps": -0.64, "median_bps": 1.93, "n": 524, "win_rate": 0.548 }, "spread_Q5_Q1": 2.46, "monotonic": false } }, "all_day": { "1h": { "Q1_low": { "mean_bps": -0.31, "median_bps": 1.12, "n": 1027, "win_rate": 0.536 }, "Q2": { "mean_bps": 0.21, "median_bps": 1.45, "n": 1026, "win_rate": 0.543 }, "Q3": { "mean_bps": -1.16, "median_bps": 0.0, "n": 1026, "win_rate": 0.496 }, "Q4": { "mean_bps": -1.14, "median_bps": 1.81, "n": 1026, "win_rate": 0.531 }, "Q5_high": { "mean_bps": 1.81, "median_bps": 1.56, "n": 1027, "win_rate": 0.547 }, "spread_Q5_Q1": 2.12, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": 1.84, "median_bps": 3.6, "n": 650, "win_rate": 0.575 }, "Q2": { "mean_bps": -0.88, "median_bps": 5.22, "n": 649, "win_rate": 0.558 }, "Q3": { "mean_bps": -7.76, "median_bps": -1.47, "n": 650, "win_rate": 0.48 }, "Q4": { "mean_bps": -2.76, "median_bps": 2.55, "n": 649, "win_rate": 0.527 }, "Q5_high": { "mean_bps": 7.65, "median_bps": 6.93, "n": 650, "win_rate": 0.58 }, "spread_Q5_Q1": 5.81, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -1.46, "median_bps": -0.36, "n": 1184, "win_rate": 0.469 }, "Q2": { "mean_bps": 3.59, "median_bps": 2.61, "n": 1183, "win_rate": 0.561 }, "Q3": { "mean_bps": -3.73, "median_bps": 1.85, "n": 1183, "win_rate": 0.522 }, "Q4": { "mean_bps": -4.91, "median_bps": 0.0, "n": 1183, "win_rate": 0.5 }, "Q5_high": { "mean_bps": 4.45, "median_bps": 4.6, "n": 1184, "win_rate": 0.559 }, "spread_Q5_Q1": 5.91, "monotonic": false } } }, "is_oos_split": { "1h": { "is": { "sharpe": 2.04, "win_rate": 0.503, "avg_bps": 0.94, "n_trades": 1254, "max_dd_bps": -1347.9, "profit_factor": 1.12 }, "oos": { "sharpe": 1.26, "win_rate": 0.437, "avg_bps": 0.44, "n_trades": 520, "max_dd_bps": -847.5, "profit_factor": 1.08 }, "is_sharpe": 2.04, "oos_sharpe": 1.26, "consistent": true }, "3h": { "is": { "sharpe": 4.09, "win_rate": 0.517, "avg_bps": 4.09, "n_trades": 795, "max_dd_bps": -1976.0, "profit_factor": 1.31 }, "oos": { "sharpe": -3.47, "win_rate": 0.415, "avg_bps": -2.29, "n_trades": 289, "max_dd_bps": -1560.9, "profit_factor": 0.78 }, "is_sharpe": 4.09, "oos_sharpe": -3.47, "consistent": false }, "eod": { "is": { "sharpe": 2.35, "win_rate": 0.492, "avg_bps": 1.46, "n_trades": 1464, "max_dd_bps": -2855.1, "profit_factor": 1.13 }, "oos": { "sharpe": 6.17, "win_rate": 0.564, "avg_bps": 2.18, "n_trades": 645, "max_dd_bps": -1100.5, "profit_factor": 1.4 }, "is_sharpe": 2.35, "oos_sharpe": 6.17, "consistent": true } } }, "ZDS": { "description": "0DTE Dominance Score (0DTE center above = bullish)", "calculation": "ZDS = 0dte_share \u00d7 (0dte_center - spot) / spot \u00d7 100. Positive = 0DTE center above = BULLISH. Z-scored expanding.", "backtest": { "morning": { "1h": { "sharpe": -0.57, "win_rate": 0.557, "avg_bps": -0.52, "n_trades": 644, "max_dd_bps": -1251.3, "profit_factor": 0.95 }, "3h": { "sharpe": -0.24, "win_rate": 0.55, "avg_bps": -0.35, "n_trades": 636, "max_dd_bps": -2920.6, "profit_factor": 0.98 }, "eod": { "sharpe": 0.04, "win_rate": 0.526, "avg_bps": 0.07, "n_trades": 644, "max_dd_bps": -3255.3, "profit_factor": 1.0 } }, "midday": { "1h": { "sharpe": 1.52, "win_rate": 0.507, "avg_bps": 0.9, "n_trades": 736, "max_dd_bps": -670.3, "profit_factor": 1.15 }, "3h": { "sharpe": 2.93, "win_rate": 0.543, "avg_bps": 2.58, "n_trades": 720, "max_dd_bps": -1148.6, "profit_factor": 1.27 }, "eod": { "sharpe": 3.56, "win_rate": 0.538, "avg_bps": 3.49, "n_trades": 744, "max_dd_bps": -1481.2, "profit_factor": 1.35 } }, "afternoon": { "1h": { "sharpe": 0.88, "win_rate": 0.496, "avg_bps": 0.5, "n_trades": 788, "max_dd_bps": -872.3, "profit_factor": 1.08 }, "3h": null, "eod": { "sharpe": 0.2, "win_rate": 0.496, "avg_bps": 0.1, "n_trades": 1160, "max_dd_bps": -2320.1, "profit_factor": 1.01 } }, "all_day": { "1h": { "sharpe": 0.85, "win_rate": 0.518, "avg_bps": 0.34, "n_trades": 2168, "max_dd_bps": -2164.6, "profit_factor": 1.04 }, "3h": { "sharpe": 1.47, "win_rate": 0.546, "avg_bps": 1.21, "n_trades": 1356, "max_dd_bps": -3607.6, "profit_factor": 1.1 }, "eod": { "sharpe": 1.88, "win_rate": 0.516, "avg_bps": 1.08, "n_trades": 2548, "max_dd_bps": -5659.4, "profit_factor": 1.1 } } }, "quintile_returns": { "morning": { "1h": { "Q1_low": { "mean_bps": -1.89, "median_bps": -1.45, "n": 283, "win_rate": 0.488 }, "Q2": { "mean_bps": -1.43, "median_bps": 1.44, "n": 282, "win_rate": 0.521 }, "Q3": { "mean_bps": -1.04, "median_bps": -0.18, "n": 282, "win_rate": 0.496 }, "Q4": { "mean_bps": -4.05, "median_bps": 0.79, "n": 282, "win_rate": 0.507 }, "Q5_high": { "mean_bps": 1.79, "median_bps": 3.35, "n": 283, "win_rate": 0.597 }, "spread_Q5_Q1": 3.68, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": -2.28, "median_bps": 0.0, "n": 280, "win_rate": 0.496 }, "Q2": { "mean_bps": -3.09, "median_bps": 4.0, "n": 280, "win_rate": 0.521 }, "Q3": { "mean_bps": 1.19, "median_bps": 7.23, "n": 280, "win_rate": 0.557 }, "Q4": { "mean_bps": -7.22, "median_bps": -0.0, "n": 280, "win_rate": 0.5 }, "Q5_high": { "mean_bps": 3.32, "median_bps": 9.97, "n": 280, "win_rate": 0.618 }, "spread_Q5_Q1": 5.6, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -1.97, "median_bps": 5.62, "n": 283, "win_rate": 0.544 }, "Q2": { "mean_bps": -4.63, "median_bps": 4.23, "n": 282, "win_rate": 0.56 }, "Q3": { "mean_bps": 1.02, "median_bps": 4.1, "n": 282, "win_rate": 0.56 }, "Q4": { "mean_bps": -5.36, "median_bps": 3.06, "n": 282, "win_rate": 0.521 }, "Q5_high": { "mean_bps": 4.53, "median_bps": 9.31, "n": 283, "win_rate": 0.601 }, "spread_Q5_Q1": 6.5, "monotonic": false } }, "midday": { "1h": { "Q1_low": { "mean_bps": -1.74, "median_bps": 1.08, "n": 375, "win_rate": 0.528 }, "Q2": { "mean_bps": -0.91, "median_bps": -0.37, "n": 374, "win_rate": 0.479 }, "Q3": { "mean_bps": 1.78, "median_bps": 3.62, "n": 374, "win_rate": 0.583 }, "Q4": { "mean_bps": -1.67, "median_bps": 0.36, "n": 374, "win_rate": 0.5 }, "Q5_high": { "mean_bps": 2.18, "median_bps": 2.31, "n": 375, "win_rate": 0.571 }, "spread_Q5_Q1": 3.92, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": -3.41, "median_bps": -0.73, "n": 370, "win_rate": 0.492 }, "Q2": { "mean_bps": 3.59, "median_bps": 5.4, "n": 369, "win_rate": 0.588 }, "Q3": { "mean_bps": 1.2, "median_bps": 1.17, "n": 370, "win_rate": 0.535 }, "Q4": { "mean_bps": -3.48, "median_bps": 2.19, "n": 369, "win_rate": 0.528 }, "Q5_high": { "mean_bps": 4.83, "median_bps": 6.73, "n": 370, "win_rate": 0.597 }, "spread_Q5_Q1": 8.24, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -2.94, "median_bps": 0.36, "n": 377, "win_rate": 0.501 }, "Q2": { "mean_bps": -0.82, "median_bps": 2.24, "n": 377, "win_rate": 0.536 }, "Q3": { "mean_bps": -1.46, "median_bps": 0.72, "n": 376, "win_rate": 0.508 }, "Q4": { "mean_bps": -2.58, "median_bps": 1.07, "n": 377, "win_rate": 0.512 }, "Q5_high": { "mean_bps": 7.32, "median_bps": 7.19, "n": 377, "win_rate": 0.581 }, "spread_Q5_Q1": 10.26, "monotonic": false } }, "afternoon": { "1h": { "Q1_low": { "mean_bps": 0.05, "median_bps": 1.08, "n": 370, "win_rate": 0.535 }, "Q2": { "mean_bps": 2.1, "median_bps": 1.86, "n": 369, "win_rate": 0.583 }, "Q3": { "mean_bps": 0.3, "median_bps": 0.73, "n": 370, "win_rate": 0.527 }, "Q4": { "mean_bps": -0.29, "median_bps": 0.37, "n": 369, "win_rate": 0.509 }, "Q5_high": { "mean_bps": 1.62, "median_bps": 1.53, "n": 370, "win_rate": 0.524 }, "spread_Q5_Q1": 1.57, "monotonic": false }, "3h": null, "eod": { "Q1_low": { "mean_bps": -0.19, "median_bps": 0.36, "n": 525, "win_rate": 0.503 }, "Q2": { "mean_bps": -0.72, "median_bps": 0.18, "n": 524, "win_rate": 0.5 }, "Q3": { "mean_bps": -2.57, "median_bps": -2.24, "n": 524, "win_rate": 0.447 }, "Q4": { "mean_bps": 1.18, "median_bps": 0.73, "n": 524, "win_rate": 0.511 }, "Q5_high": { "mean_bps": 1.43, "median_bps": 1.49, "n": 524, "win_rate": 0.536 }, "spread_Q5_Q1": 1.62, "monotonic": false } }, "all_day": { "1h": { "Q1_low": { "mean_bps": -1.06, "median_bps": 1.08, "n": 1027, "win_rate": 0.528 }, "Q2": { "mean_bps": -0.1, "median_bps": 1.09, "n": 1026, "win_rate": 0.523 }, "Q3": { "mean_bps": 0.63, "median_bps": 1.43, "n": 1026, "win_rate": 0.536 }, "Q4": { "mean_bps": -2.0, "median_bps": 0.0, "n": 1026, "win_rate": 0.497 }, "Q5_high": { "mean_bps": 1.94, "median_bps": 2.69, "n": 1027, "win_rate": 0.569 }, "spread_Q5_Q1": 3.0, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": -2.92, "median_bps": -0.37, "n": 650, "win_rate": 0.494 }, "Q2": { "mean_bps": 0.76, "median_bps": 5.05, "n": 649, "win_rate": 0.559 }, "Q3": { "mean_bps": 0.94, "median_bps": 3.4, "n": 650, "win_rate": 0.542 }, "Q4": { "mean_bps": -5.39, "median_bps": 0.77, "n": 649, "win_rate": 0.512 }, "Q5_high": { "mean_bps": 4.69, "median_bps": 7.85, "n": 650, "win_rate": 0.614 }, "spread_Q5_Q1": 7.61, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -1.36, "median_bps": 1.12, "n": 1184, "win_rate": 0.524 }, "Q2": { "mean_bps": -1.45, "median_bps": 1.12, "n": 1183, "win_rate": 0.526 }, "Q3": { "mean_bps": -0.97, "median_bps": -0.36, "n": 1183, "win_rate": 0.491 }, "Q4": { "mean_bps": -2.23, "median_bps": 0.0, "n": 1183, "win_rate": 0.49 }, "Q5_high": { "mean_bps": 3.95, "median_bps": 4.34, "n": 1184, "win_rate": 0.58 }, "spread_Q5_Q1": 5.31, "monotonic": false } } }, "is_oos_split": { "1h": { "is": { "sharpe": 0.9, "win_rate": 0.545, "avg_bps": 0.32, "n_trades": 1657, "max_dd_bps": -2164.6, "profit_factor": 1.04 }, "oos": { "sharpe": 0.73, "win_rate": 0.431, "avg_bps": 0.39, "n_trades": 511, "max_dd_bps": -955.8, "profit_factor": 1.04 }, "is_sharpe": 0.9, "oos_sharpe": 0.73, "consistent": true }, "3h": { "is": { "sharpe": 1.74, "win_rate": 0.566, "avg_bps": 1.33, "n_trades": 1061, "max_dd_bps": -3607.6, "profit_factor": 1.11 }, "oos": { "sharpe": 0.79, "win_rate": 0.475, "avg_bps": 0.78, "n_trades": 295, "max_dd_bps": -1001.2, "profit_factor": 1.06 }, "is_sharpe": 1.74, "oos_sharpe": 0.79, "consistent": true }, "eod": { "is": { "sharpe": 0.64, "win_rate": 0.518, "avg_bps": 0.36, "n_trades": 1936, "max_dd_bps": -5659.4, "profit_factor": 1.03 }, "oos": { "sharpe": 5.85, "win_rate": 0.508, "avg_bps": 3.36, "n_trades": 612, "max_dd_bps": -1989.0, "profit_factor": 1.39 }, "is_sharpe": 0.64, "oos_sharpe": 5.85, "consistent": true } } }, "SFA": { "description": "Smart Flow Asymmetry (smart money above = bearish)", "calculation": "SFA = 0.6 \u00d7 firm_asym + 0.4 \u00d7 procust_asym. Positive = smart money above = BEARISH. Z-scored.", "backtest": { "morning": { "1h": { "sharpe": 0.6, "win_rate": 0.608, "avg_bps": 0.66, "n_trades": 515, "max_dd_bps": -1430.7, "profit_factor": 1.06 }, "3h": { "sharpe": -1.38, "win_rate": 0.566, "avg_bps": -2.44, "n_trades": 507, "max_dd_bps": -3990.5, "profit_factor": 0.87 }, "eod": { "sharpe": -2.26, "win_rate": 0.571, "avg_bps": -4.68, "n_trades": 515, "max_dd_bps": -4453.2, "profit_factor": 0.78 } }, "midday": { "1h": { "sharpe": -2.43, "win_rate": 0.493, "avg_bps": -1.75, "n_trades": 515, "max_dd_bps": -1294.6, "profit_factor": 0.77 }, "3h": { "sharpe": 0.13, "win_rate": 0.527, "avg_bps": 0.15, "n_trades": 493, "max_dd_bps": -1316.4, "profit_factor": 1.01 }, "eod": { "sharpe": 0.96, "win_rate": 0.571, "avg_bps": 1.07, "n_trades": 527, "max_dd_bps": -1194.1, "profit_factor": 1.11 } }, "afternoon": { "1h": { "sharpe": 2.11, "win_rate": 0.517, "avg_bps": 1.43, "n_trades": 549, "max_dd_bps": -572.8, "profit_factor": 1.24 }, "3h": null, "eod": { "sharpe": 5.94, "win_rate": 0.568, "avg_bps": 3.4, "n_trades": 814, "max_dd_bps": -954.0, "profit_factor": 1.62 } }, "all_day": { "1h": { "sharpe": 0.29, "win_rate": 0.539, "avg_bps": 0.14, "n_trades": 1579, "max_dd_bps": -2524.4, "profit_factor": 1.02 }, "3h": { "sharpe": -1.09, "win_rate": 0.547, "avg_bps": -1.16, "n_trades": 1000, "max_dd_bps": -5076.3, "profit_factor": 0.92 }, "eod": { "sharpe": 0.7, "win_rate": 0.57, "avg_bps": 0.5, "n_trades": 1856, "max_dd_bps": -5058.3, "profit_factor": 1.04 } } }, "quintile_returns": { "morning": { "1h": { "Q1_low": { "mean_bps": 3.38, "median_bps": 9.45, "n": 283, "win_rate": 0.668 }, "Q2": { "mean_bps": -5.74, "median_bps": -1.49, "n": 282, "win_rate": 0.465 }, "Q3": { "mean_bps": 0.72, "median_bps": 3.22, "n": 282, "win_rate": 0.528 }, "Q4": { "mean_bps": -2.87, "median_bps": 0.73, "n": 282, "win_rate": 0.504 }, "Q5_high": { "mean_bps": -2.12, "median_bps": -2.71, "n": 283, "win_rate": 0.445 }, "spread_Q5_Q1": -5.5, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": -1.92, "median_bps": 15.25, "n": 280, "win_rate": 0.632 }, "Q2": { "mean_bps": -7.82, "median_bps": -2.54, "n": 280, "win_rate": 0.468 }, "Q3": { "mean_bps": 3.64, "median_bps": 7.23, "n": 280, "win_rate": 0.564 }, "Q4": { "mean_bps": 2.24, "median_bps": 6.82, "n": 280, "win_rate": 0.607 }, "Q5_high": { "mean_bps": -4.21, "median_bps": -3.92, "n": 280, "win_rate": 0.421 }, "spread_Q5_Q1": -2.29, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -2.36, "median_bps": 14.69, "n": 283, "win_rate": 0.657 }, "Q2": { "mean_bps": -13.18, "median_bps": -2.82, "n": 282, "win_rate": 0.475 }, "Q3": { "mean_bps": 4.72, "median_bps": 6.58, "n": 282, "win_rate": 0.567 }, "Q4": { "mean_bps": 4.41, "median_bps": 7.66, "n": 282, "win_rate": 0.606 }, "Q5_high": { "mean_bps": 0.02, "median_bps": -1.88, "n": 283, "win_rate": 0.481 }, "spread_Q5_Q1": 2.38, "monotonic": false } }, "midday": { "1h": { "Q1_low": { "mean_bps": -1.36, "median_bps": 1.46, "n": 375, "win_rate": 0.531 }, "Q2": { "mean_bps": 0.75, "median_bps": 1.88, "n": 374, "win_rate": 0.561 }, "Q3": { "mean_bps": -2.13, "median_bps": -1.3, "n": 374, "win_rate": 0.46 }, "Q4": { "mean_bps": 1.38, "median_bps": 2.51, "n": 374, "win_rate": 0.578 }, "Q5_high": { "mean_bps": 1.02, "median_bps": 1.12, "n": 375, "win_rate": 0.531 }, "spread_Q5_Q1": 2.38, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": 1.5, "median_bps": 5.76, "n": 370, "win_rate": 0.584 }, "Q2": { "mean_bps": -1.15, "median_bps": 1.07, "n": 369, "win_rate": 0.526 }, "Q3": { "mean_bps": -1.37, "median_bps": -0.36, "n": 370, "win_rate": 0.497 }, "Q4": { "mean_bps": 3.82, "median_bps": 5.12, "n": 369, "win_rate": 0.577 }, "Q5_high": { "mean_bps": -0.06, "median_bps": 3.17, "n": 370, "win_rate": 0.557 }, "spread_Q5_Q1": -1.56, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": 2.66, "median_bps": 4.32, "n": 377, "win_rate": 0.615 }, "Q2": { "mean_bps": -3.39, "median_bps": -2.14, "n": 377, "win_rate": 0.451 }, "Q3": { "mean_bps": -2.68, "median_bps": -0.36, "n": 376, "win_rate": 0.479 }, "Q4": { "mean_bps": 2.5, "median_bps": 5.86, "n": 377, "win_rate": 0.573 }, "Q5_high": { "mean_bps": 0.42, "median_bps": 1.17, "n": 377, "win_rate": 0.52 }, "spread_Q5_Q1": -2.24, "monotonic": false } }, "afternoon": { "1h": { "Q1_low": { "mean_bps": 2.6, "median_bps": 2.24, "n": 370, "win_rate": 0.559 }, "Q2": { "mean_bps": 1.36, "median_bps": 1.11, "n": 369, "win_rate": 0.531 }, "Q3": { "mean_bps": -0.72, "median_bps": 0.36, "n": 370, "win_rate": 0.511 }, "Q4": { "mean_bps": 0.53, "median_bps": 0.73, "n": 369, "win_rate": 0.526 }, "Q5_high": { "mean_bps": 0.02, "median_bps": 1.14, "n": 370, "win_rate": 0.551 }, "spread_Q5_Q1": -2.58, "monotonic": false }, "3h": null, "eod": { "Q1_low": { "mean_bps": 6.34, "median_bps": 3.87, "n": 525, "win_rate": 0.621 }, "Q2": { "mean_bps": -2.26, "median_bps": -0.73, "n": 524, "win_rate": 0.475 }, "Q3": { "mean_bps": -3.56, "median_bps": -2.88, "n": 524, "win_rate": 0.41 }, "Q4": { "mean_bps": -0.17, "median_bps": 0.0, "n": 524, "win_rate": 0.489 }, "Q5_high": { "mean_bps": -1.22, "median_bps": 0.36, "n": 524, "win_rate": 0.502 }, "spread_Q5_Q1": -7.56, "monotonic": false } }, "all_day": { "1h": { "Q1_low": { "mean_bps": 1.09, "median_bps": 3.33, "n": 1027, "win_rate": 0.576 }, "Q2": { "mean_bps": -0.45, "median_bps": 1.44, "n": 1026, "win_rate": 0.527 }, "Q3": { "mean_bps": -0.76, "median_bps": 0.0, "n": 1026, "win_rate": 0.493 }, "Q4": { "mean_bps": -0.3, "median_bps": 1.53, "n": 1026, "win_rate": 0.54 }, "Q5_high": { "mean_bps": -0.16, "median_bps": 0.73, "n": 1027, "win_rate": 0.516 }, "spread_Q5_Q1": -1.25, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": 0.15, "median_bps": 8.33, "n": 650, "win_rate": 0.603 }, "Q2": { "mean_bps": -4.01, "median_bps": 0.72, "n": 649, "win_rate": 0.512 }, "Q3": { "mean_bps": 0.58, "median_bps": 3.38, "n": 650, "win_rate": 0.514 }, "Q4": { "mean_bps": 3.21, "median_bps": 5.82, "n": 649, "win_rate": 0.592 }, "Q5_high": { "mean_bps": -1.85, "median_bps": 0.18, "n": 650, "win_rate": 0.5 }, "spread_Q5_Q1": -2.0, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": 2.61, "median_bps": 5.45, "n": 1184, "win_rate": 0.622 }, "Q2": { "mean_bps": -5.73, "median_bps": -1.93, "n": 1183, "win_rate": 0.454 }, "Q3": { "mean_bps": -0.31, "median_bps": 0.0, "n": 1183, "win_rate": 0.474 }, "Q4": { "mean_bps": 1.8, "median_bps": 2.95, "n": 1183, "win_rate": 0.556 }, "Q5_high": { "mean_bps": -0.43, "median_bps": 0.36, "n": 1184, "win_rate": 0.505 }, "spread_Q5_Q1": -3.04, "monotonic": false } } }, "is_oos_split": { "1h": { "is": { "sharpe": -1.93, "win_rate": 0.525, "avg_bps": -0.86, "n_trades": 1240, "max_dd_bps": -2470.3, "profit_factor": 0.9 }, "oos": { "sharpe": 6.03, "win_rate": 0.59, "avg_bps": 3.83, "n_trades": 339, "max_dd_bps": -503.3, "profit_factor": 1.54 }, "is_sharpe": -1.93, "oos_sharpe": 6.03, "consistent": false }, "3h": { "is": { "sharpe": -3.19, "win_rate": 0.528, "avg_bps": -3.3, "n_trades": 772, "max_dd_bps": -5076.3, "profit_factor": 0.8 }, "oos": { "sharpe": 5.86, "win_rate": 0.61, "avg_bps": 6.08, "n_trades": 228, "max_dd_bps": -552.1, "profit_factor": 1.62 }, "is_sharpe": -3.19, "oos_sharpe": 5.86, "consistent": false }, "eod": { "is": { "sharpe": -1.37, "win_rate": 0.556, "avg_bps": -0.93, "n_trades": 1473, "max_dd_bps": -5058.3, "profit_factor": 0.92 }, "oos": { "sharpe": 8.73, "win_rate": 0.621, "avg_bps": 5.99, "n_trades": 383, "max_dd_bps": -817.9, "profit_factor": 1.81 }, "is_sharpe": -1.37, "oos_sharpe": 8.73, "consistent": false } } }, "Combined": { "description": "GWB + ZDS - SFA (all normalized: positive = bullish)", "calculation": "(GWB_z + ZDS_z - SFA_z) / 3", "backtest": { "morning": { "1h": { "sharpe": 1.95, "win_rate": 0.608, "avg_bps": 3.11, "n_trades": 245, "max_dd_bps": -679.5, "profit_factor": 1.32 }, "3h": { "sharpe": 3.58, "win_rate": 0.607, "avg_bps": 7.84, "n_trades": 239, "max_dd_bps": -741.2, "profit_factor": 1.65 }, "eod": { "sharpe": 1.58, "win_rate": 0.555, "avg_bps": 4.04, "n_trades": 245, "max_dd_bps": -1467.4, "profit_factor": 1.23 } }, "midday": { "1h": { "sharpe": 0.8, "win_rate": 0.522, "avg_bps": 0.79, "n_trades": 301, "max_dd_bps": -586.8, "profit_factor": 1.14 }, "3h": { "sharpe": -0.42, "win_rate": 0.477, "avg_bps": -0.68, "n_trades": 285, "max_dd_bps": -1390.9, "profit_factor": 0.94 }, "eod": { "sharpe": -1.15, "win_rate": 0.505, "avg_bps": -1.92, "n_trades": 309, "max_dd_bps": -1107.5, "profit_factor": 0.85 } }, "afternoon": { "1h": { "sharpe": -0.66, "win_rate": 0.452, "avg_bps": -0.72, "n_trades": 279, "max_dd_bps": -701.7, "profit_factor": 0.9 }, "3h": null, "eod": { "sharpe": 1.08, "win_rate": 0.564, "avg_bps": 0.98, "n_trades": 392, "max_dd_bps": -837.4, "profit_factor": 1.15 } }, "all_day": { "1h": { "sharpe": 1.38, "win_rate": 0.524, "avg_bps": 0.97, "n_trades": 825, "max_dd_bps": -1604.9, "profit_factor": 1.13 }, "3h": { "sharpe": 2.39, "win_rate": 0.536, "avg_bps": 3.21, "n_trades": 524, "max_dd_bps": -1873.0, "profit_factor": 1.27 }, "eod": { "sharpe": 0.88, "win_rate": 0.542, "avg_bps": 0.83, "n_trades": 946, "max_dd_bps": -2196.0, "profit_factor": 1.07 } } }, "quintile_returns": { "morning": { "1h": { "Q1_low": { "mean_bps": 0.58, "median_bps": -0.72, "n": 283, "win_rate": 0.488 }, "Q2": { "mean_bps": -3.28, "median_bps": 0.37, "n": 282, "win_rate": 0.504 }, "Q3": { "mean_bps": -5.98, "median_bps": -1.46, "n": 282, "win_rate": 0.475 }, "Q4": { "mean_bps": -1.1, "median_bps": 1.54, "n": 282, "win_rate": 0.56 }, "Q5_high": { "mean_bps": 3.15, "median_bps": 5.12, "n": 283, "win_rate": 0.583 }, "spread_Q5_Q1": 2.57, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": 1.26, "median_bps": 1.08, "n": 280, "win_rate": 0.511 }, "Q2": { "mean_bps": -2.67, "median_bps": 6.0, "n": 280, "win_rate": 0.561 }, "Q3": { "mean_bps": -11.1, "median_bps": -0.38, "n": 280, "win_rate": 0.489 }, "Q4": { "mean_bps": -2.8, "median_bps": 4.48, "n": 280, "win_rate": 0.529 }, "Q5_high": { "mean_bps": 7.23, "median_bps": 9.57, "n": 280, "win_rate": 0.604 }, "spread_Q5_Q1": 5.97, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": 4.08, "median_bps": 6.29, "n": 283, "win_rate": 0.58 }, "Q2": { "mean_bps": -2.75, "median_bps": 4.83, "n": 282, "win_rate": 0.564 }, "Q3": { "mean_bps": -11.03, "median_bps": 0.02, "n": 282, "win_rate": 0.5 }, "Q4": { "mean_bps": -4.11, "median_bps": 3.28, "n": 282, "win_rate": 0.557 }, "Q5_high": { "mean_bps": 7.35, "median_bps": 9.37, "n": 283, "win_rate": 0.587 }, "spread_Q5_Q1": 3.27, "monotonic": false } }, "midday": { "1h": { "Q1_low": { "mean_bps": -1.11, "median_bps": 1.09, "n": 375, "win_rate": 0.528 }, "Q2": { "mean_bps": -0.18, "median_bps": 1.79, "n": 374, "win_rate": 0.535 }, "Q3": { "mean_bps": -1.49, "median_bps": 1.43, "n": 374, "win_rate": 0.521 }, "Q4": { "mean_bps": -1.52, "median_bps": -0.73, "n": 374, "win_rate": 0.479 }, "Q5_high": { "mean_bps": 3.93, "median_bps": 3.39, "n": 375, "win_rate": 0.597 }, "spread_Q5_Q1": 5.04, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": -0.73, "median_bps": 1.46, "n": 370, "win_rate": 0.524 }, "Q2": { "mean_bps": 0.45, "median_bps": 3.48, "n": 369, "win_rate": 0.58 }, "Q3": { "mean_bps": -3.4, "median_bps": 0.18, "n": 370, "win_rate": 0.5 }, "Q4": { "mean_bps": 0.8, "median_bps": 5.89, "n": 369, "win_rate": 0.55 }, "Q5_high": { "mean_bps": 5.62, "median_bps": 5.41, "n": 370, "win_rate": 0.586 }, "spread_Q5_Q1": 6.35, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -0.34, "median_bps": 0.0, "n": 377, "win_rate": 0.491 }, "Q2": { "mean_bps": -1.58, "median_bps": 4.41, "n": 377, "win_rate": 0.599 }, "Q3": { "mean_bps": -4.65, "median_bps": -0.72, "n": 376, "win_rate": 0.468 }, "Q4": { "mean_bps": -0.07, "median_bps": 1.57, "n": 377, "win_rate": 0.517 }, "Q5_high": { "mean_bps": 6.15, "median_bps": 4.93, "n": 377, "win_rate": 0.562 }, "spread_Q5_Q1": 6.49, "monotonic": false } }, "afternoon": { "1h": { "Q1_low": { "mean_bps": 0.08, "median_bps": 1.11, "n": 370, "win_rate": 0.557 }, "Q2": { "mean_bps": 1.15, "median_bps": 1.07, "n": 369, "win_rate": 0.526 }, "Q3": { "mean_bps": -1.74, "median_bps": 0.39, "n": 370, "win_rate": 0.522 }, "Q4": { "mean_bps": 3.44, "median_bps": 2.71, "n": 369, "win_rate": 0.583 }, "Q5_high": { "mean_bps": 0.87, "median_bps": 0.0, "n": 370, "win_rate": 0.492 }, "spread_Q5_Q1": 0.79, "monotonic": false }, "3h": null, "eod": { "Q1_low": { "mean_bps": -1.45, "median_bps": -0.74, "n": 525, "win_rate": 0.455 }, "Q2": { "mean_bps": -1.75, "median_bps": -0.93, "n": 524, "win_rate": 0.46 }, "Q3": { "mean_bps": -0.34, "median_bps": 0.78, "n": 524, "win_rate": 0.513 }, "Q4": { "mean_bps": 1.14, "median_bps": 0.55, "n": 524, "win_rate": 0.508 }, "Q5_high": { "mean_bps": 1.53, "median_bps": 2.1, "n": 524, "win_rate": 0.561 }, "spread_Q5_Q1": 2.98, "monotonic": false } }, "all_day": { "1h": { "Q1_low": { "mean_bps": -0.2, "median_bps": 1.07, "n": 1027, "win_rate": 0.524 }, "Q2": { "mean_bps": -0.75, "median_bps": 1.12, "n": 1026, "win_rate": 0.522 }, "Q3": { "mean_bps": -1.87, "median_bps": 0.72, "n": 1026, "win_rate": 0.512 }, "Q4": { "mean_bps": -0.63, "median_bps": 1.5, "n": 1026, "win_rate": 0.534 }, "Q5_high": { "mean_bps": 2.86, "median_bps": 2.31, "n": 1027, "win_rate": 0.561 }, "spread_Q5_Q1": 3.06, "monotonic": false }, "3h": { "Q1_low": { "mean_bps": -0.3, "median_bps": 0.93, "n": 650, "win_rate": 0.512 }, "Q2": { "mean_bps": -1.69, "median_bps": 3.31, "n": 649, "win_rate": 0.561 }, "Q3": { "mean_bps": -3.8, "median_bps": 2.78, "n": 650, "win_rate": 0.525 }, "Q4": { "mean_bps": -1.87, "median_bps": 4.62, "n": 649, "win_rate": 0.535 }, "Q5_high": { "mean_bps": 5.73, "median_bps": 6.12, "n": 650, "win_rate": 0.588 }, "spread_Q5_Q1": 6.03, "monotonic": false }, "eod": { "Q1_low": { "mean_bps": -0.05, "median_bps": 0.0, "n": 1184, "win_rate": 0.492 }, "Q2": { "mean_bps": -2.19, "median_bps": 1.08, "n": 1183, "win_rate": 0.52 }, "Q3": { "mean_bps": -1.55, "median_bps": 0.78, "n": 1183, "win_rate": 0.511 }, "Q4": { "mean_bps": -2.53, "median_bps": 1.82, "n": 1183, "win_rate": 0.522 }, "Q5_high": { "mean_bps": 4.25, "median_bps": 4.01, "n": 1184, "win_rate": 0.566 }, "spread_Q5_Q1": 4.3, "monotonic": false } } }, "is_oos_split": { "1h": { "is": { "sharpe": 0.8, "win_rate": 0.544, "avg_bps": 0.49, "n_trades": 689, "max_dd_bps": -1604.9, "profit_factor": 1.06 }, "oos": { "sharpe": 3.17, "win_rate": 0.419, "avg_bps": 3.38, "n_trades": 136, "max_dd_bps": -505.2, "profit_factor": 1.55 }, "is_sharpe": 0.8, "oos_sharpe": 3.17, "consistent": true }, "3h": { "is": { "sharpe": 1.95, "win_rate": 0.542, "avg_bps": 2.29, "n_trades": 454, "max_dd_bps": -1873.0, "profit_factor": 1.19 }, "oos": { "sharpe": 4.26, "win_rate": 0.5, "avg_bps": 9.17, "n_trades": 70, "max_dd_bps": -432.8, "profit_factor": 1.97 }, "is_sharpe": 1.95, "oos_sharpe": 4.26, "consistent": true }, "eod": { "is": { "sharpe": -0.69, "win_rate": 0.532, "avg_bps": -0.6, "n_trades": 790, "max_dd_bps": -2349.9, "profit_factor": 0.95 }, "oos": { "sharpe": 7.6, "win_rate": 0.596, "avg_bps": 8.04, "n_trades": 156, "max_dd_bps": -522.6, "profit_factor": 2.56 }, "is_sharpe": -0.69, "oos_sharpe": 7.6, "consistent": false } } } }, "best_indicator": "ZDS", "scores": { "GWB": "IS/OOS consistent at 1h and EOD. 3h flips. Good.", "ZDS": "IS/OOS consistent at ALL horizons (1h, 3h, EOD). Most robust.", "SFA": "DOES NOT WORK. IS/OOS sign flip on all horizons.", "Combined": "IS/OOS consistent at 1h and 3h, but small sample in OOS." }, "trading_rules": "Trading Rules for Gamma Indicators (ES Futures)\n\nBEST INDICATOR: ZDS (0DTE Dominance Score)\nSECOND: GWB (Gamma Wall Bias)\nDOES NOT WORK: SFA (Smart Flow Asymmetry)\n\nKEY INSIGHT: Negative gamma walls above spot act as MAGNETS, not resistance.\nPrice tends to drift TOWARD large negative gamma concentrations, not away.\n\n=== PRIMARY STRATEGY: ZDS ===\nSignal: ZDS z-score (positive = 0DTE center above spot = bullish)\n - ZDS z-score > +1.0 \u2192 LONG 1 ES\n - ZDS z-score < -1.0 \u2192 SHORT 1 ES\n - Between -1 and +1 \u2192 FLAT\n\nBest time of day: Midday (11:00-13:00 ET)\n - Midday 1h: Sharpe 1.52, 50.7% WR\n - Midday EOD: Sharpe 3.56, 53.8% WR, avg 3.49 bps\n\nIS/OOS Performance:\n - 1h: IS Sharpe 0.90, OOS 0.73 (consistent \u2705)\n - 3h: IS Sharpe 1.74, OOS 0.79 (consistent \u2705)\n - EOD: IS Sharpe 0.64, OOS 5.85 (consistent \u2705)\n\n=== SECONDARY: GWB ===\nSignal: GWB z-score (positive = big wall above = bullish magnet)\n - GWB z-score > +1.0 \u2192 LONG\n - GWB z-score < -1.0 \u2192 SHORT\n\nBest time: Midday 1h (Sharpe 3.11, 49.9% WR, 2.31 bps avg)\n\nIS/OOS:\n - 1h: IS 2.04, OOS 1.26 \u2705\n - EOD: IS 2.35, OOS 6.17 \u2705\n - 3h: FAILS (sign flip) \u274c\n\n=== COMBINED STRATEGY ===\nUse Combined z-score = (GWB_z + ZDS_z - SFA_z) / 3 for morning trades:\n - Morning 1h: Sharpe 1.95, 60.8% WR, 3.11 bps avg\n - Morning EOD: Sharpe 1.58, 55.5% WR\n\nEXIT RULES:\n - Primary: Close after 1h (for 1h trades) or EOD\n - Stop: Exit if z-score flips past 0\n - Hard stop: 50 bps adverse move\n\nPOSITION: 1 ES contract per signal\nTRANSACTION COST: 0.25 pts (.50) per round trip\n\nCAVEATS:\n - Average returns per trade are small (1-5 bps)\n - Win rates near 50% \u2014 edge-based, not high-conviction\n - OOS period is 52 days \u2014 needs more data validation\n - The magnet effect contradicts popular gamma narrative\n", "metadata": { "n_snapshots": 6818, "n_backtest": 6074, "is_days": 105, "oos_days": 52, "date_range": "2025-07-24 to 2026-03-02", "tx_cost_bps": 0.37, "sign_convention": "POSITIVE = BULLISH for GWB, ZDS, Combined. POSITIVE = BEARISH for SFA." } }