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"mean_ret": 0.1024, "n": 27 }, "5": { "mean_ret": 0.0339, "n": 28 } }, "q5_minus_q1": 0.1082, "monotonicity": 0.5 }, "quintile_3H_IS": { "quintiles": { "1": { "mean_ret": -0.0776, "n": 41 }, "2": { "mean_ret": -0.0541, "n": 41 }, "3": { "mean_ret": -0.1239, "n": 41 }, "4": { "mean_ret": -0.0428, "n": 41 }, "5": { "mean_ret": -0.1169, "n": 41 } }, "q5_minus_q1": -0.0393, "monotonicity": 0.5 }, "quintile_3H_OOS": { "quintiles": { "1": { "mean_ret": -0.1534, "n": 27 }, "2": { "mean_ret": 0.0888, "n": 27 }, "3": { "mean_ret": 0.1443, "n": 27 }, "4": { "mean_ret": 0.1745, "n": 27 }, "5": { "mean_ret": 0.0313, "n": 27 } }, "q5_minus_q1": 0.1847, "monotonicity": 0.75 } }, "ProCustomer": { "name": "ProCustomer", "IC_1H_IS": -0.0235, "IC_1H_OOS": 0.1404, "IC_3H_IS": -0.0085, "IC_3H_OOS": 0.1032, "IC_EOD_IS": -0.0739, "IC_EOD_OOS": 0.095, "wr_thresholds": { "WR_1H_IS_>65%": { "wr": 0.6667, "n": 12 }, "WR_1H_OOS_>65%": { "wr": 0.7333, "n": 15 }, "WR_3H_IS_>65%": { "wr": 0.6667, "n": 12 }, 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"quintile_1H_OOS": { "quintiles": { "1": { "mean_ret": 0.0091, "n": 28 }, "2": { "mean_ret": 0.0057, "n": 27 }, "3": { "mean_ret": 0.046, "n": 28 }, "4": { "mean_ret": -0.0185, "n": 27 }, "5": { "mean_ret": 0.1647, "n": 28 } }, "q5_minus_q1": 0.1556, "monotonicity": 0.5 }, "quintile_3H_IS": { "quintiles": { "1": { "mean_ret": 0.0694, "n": 41 }, "2": { "mean_ret": -0.2766, "n": 41 }, "3": { "mean_ret": -0.0557, "n": 41 }, "4": { "mean_ret": -0.1171, "n": 41 }, "5": { "mean_ret": -0.0352, "n": 41 } }, "q5_minus_q1": -0.1046, "monotonicity": 0.5 }, "quintile_3H_OOS": { "quintiles": { "1": { "mean_ret": -0.0004, "n": 27 }, "2": { "mean_ret": -0.0017, "n": 27 }, "3": { "mean_ret": 0.0651, "n": 27 }, "4": { "mean_ret": 0.0452, "n": 27 }, "5": { "mean_ret": 0.1774, "n": 27 } }, "q5_minus_q1": 0.1777, "monotonicity": 0.5 } }, "BrokerDealer": { "name": "BrokerDealer", "IC_1H_IS": 0.0192, "IC_1H_OOS": 0.1936, "IC_3H_IS": 0.0018, "IC_3H_OOS": 0.1762, "IC_EOD_IS": -0.0191, "IC_EOD_OOS": 0.0842, "wr_thresholds": { "WR_1H_IS_>65%": { "wr": 0.3846, "n": 13 }, "WR_1H_OOS_>65%": { "wr": 0.4, "n": 5 }, "WR_3H_IS_>65%": { "wr": 0.3846, "n": 13 }, "WR_3H_OOS_>65%": { "wr": 0.4, "n": 5 }, "WR_1H_IS_>70%": { "wr": 0.5, "n": 10 }, "WR_1H_OOS_>70%": { "wr": null, "n": 0 }, "WR_3H_IS_>70%": { "wr": 0.4, "n": 10 }, "WR_3H_OOS_>70%": { "wr": null, "n": 0 }, "WR_1H_IS_>75%": { "wr": 0.3333, "n": 6 }, "WR_1H_OOS_>75%": { "wr": null, "n": 0 }, "WR_3H_IS_>75%": { "wr": 0.1667, "n": 6 }, "WR_3H_OOS_>75%": { "wr": null, "n": 0 }, "WR_1H_IS_>80%": { "wr": null, "n": 0 }, "WR_1H_OOS_>80%": { "wr": null, "n": 0 }, "WR_3H_IS_>80%": { "wr": null, "n": 0 }, "WR_3H_OOS_>80%": { "wr": null, "n": 0 }, "WR_1H_IS_>85%": { "wr": null, "n": 0 }, "WR_1H_OOS_>85%": { "wr": null, "n": 0 }, "WR_3H_IS_>85%": { "wr": null, "n": 0 }, "WR_3H_OOS_>85%": { "wr": null, "n": 0 } }, "quintile_1H_IS": { "quintiles": { "1": { "mean_ret": -0.0942, "n": 41 }, "2": { "mean_ret": -0.0567, "n": 41 }, "3": { "mean_ret": -0.0704, "n": 41 }, "4": { "mean_ret": -0.0306, "n": 41 }, "5": { "mean_ret": -0.0981, "n": 41 } }, "q5_minus_q1": -0.0039, "monotonicity": 0.5 }, "quintile_1H_OOS": { "quintiles": { "1": { "mean_ret": -0.0769, "n": 28 }, "2": { "mean_ret": -0.0259, "n": 27 }, "3": { "mean_ret": 0.0501, "n": 28 }, "4": { "mean_ret": 0.1323, "n": 27 }, "5": { "mean_ret": 0.1316, "n": 28 } }, "q5_minus_q1": 0.2084, "monotonicity": 0.75 }, "quintile_3H_IS": { "quintiles": { "1": { "mean_ret": -0.1084, "n": 41 }, "2": { "mean_ret": -0.1212, "n": 41 }, "3": { "mean_ret": -0.0797, "n": 41 }, "4": { "mean_ret": -0.003, "n": 41 }, "5": { "mean_ret": -0.103, "n": 41 } }, "q5_minus_q1": 0.0053, "monotonicity": 0.5 }, "quintile_3H_OOS": { "quintiles": { "1": { "mean_ret": -0.1265, "n": 27 }, "2": { "mean_ret": -0.0498, "n": 27 }, "3": { "mean_ret": 0.1284, "n": 27 }, "4": { "mean_ret": 0.2082, "n": 27 }, "5": { "mean_ret": 0.1252, "n": 27 } }, "q5_minus_q1": 0.2516, "monotonicity": 0.75 } }, "Total": { "name": "Total", 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0.3333, "n": 6 }, "BULL_WR_3H_IS_>80%": { "wr": null, "n": 0 }, "BULL_WR_3H_OOS_>80%": { "wr": 0.3333, "n": 6 }, "BULL_WR_1H_IS_>85%": { "wr": null, "n": 0 }, "BULL_WR_1H_OOS_>85%": { "wr": null, "n": 0 }, "BULL_WR_3H_IS_>85%": { "wr": null, "n": 0 }, "BULL_WR_3H_OOS_>85%": { "wr": null, "n": 0 }, "BEAR_WR_1H_IS_<35%": { "wr": 0.5512, "n": 127 }, "BEAR_WR_1H_OOS_<35%": { "wr": 0.4328, "n": 67 }, "BEAR_WR_3H_IS_<35%": { "wr": 0.4882, "n": 127 }, "BEAR_WR_3H_OOS_<35%": { "wr": 0.3906, "n": 64 }, "BEAR_WR_1H_IS_<30%": { "wr": 0.5437, "n": 103 }, "BEAR_WR_1H_OOS_<30%": { "wr": 0.4286, "n": 56 }, "BEAR_WR_3H_IS_<30%": { "wr": 0.4854, "n": 103 }, "BEAR_WR_3H_OOS_<30%": { "wr": 0.3962, "n": 53 }, "BEAR_WR_1H_IS_<25%": { "wr": 0.4944, "n": 89 }, "BEAR_WR_1H_OOS_<25%": { "wr": 0.46, "n": 50 }, "BEAR_WR_3H_IS_<25%": { "wr": 0.4607, "n": 89 }, "BEAR_WR_3H_OOS_<25%": { "wr": 0.4468, "n": 47 }, "BEAR_WR_1H_IS_<20%": { "wr": 0.5254, "n": 59 }, "BEAR_WR_1H_OOS_<20%": { "wr": 0.4359, "n": 39 }, "BEAR_WR_3H_IS_<20%": { "wr": 0.4915, "n": 59 }, "BEAR_WR_3H_OOS_<20%": { "wr": 0.3889, "n": 36 }, "BEAR_WR_1H_IS_<15%": { "wr": 0.6053, "n": 38 }, "BEAR_WR_1H_OOS_<15%": { "wr": 0.45, "n": 20 }, "BEAR_WR_3H_IS_<15%": { "wr": 0.5789, "n": 38 }, "BEAR_WR_3H_OOS_<15%": { "wr": 0.4706, "n": 17 }, "quintile_1H_IS": { "quintiles": { "1": { "mean_ret": -0.0539, "n": 41 }, "2": { "mean_ret": -0.0178, "n": 41 }, "3": { "mean_ret": -0.0972, "n": 41 }, "4": { "mean_ret": -0.0701, "n": 41 }, "5": { "mean_ret": -0.1108, "n": 41 } }, "q5_minus_q1": -0.0569, "monotonicity": 0.5 }, "quintile_1H_OOS": { "quintiles": { "1": { "mean_ret": 0.0558, "n": 28 }, "2": { "mean_ret": 0.01, "n": 27 }, "3": { "mean_ret": 0.0811, "n": 28 }, "4": { "mean_ret": 0.0293, "n": 27 }, "5": { "mean_ret": 0.0326, "n": 28 } }, "q5_minus_q1": -0.0232, "monotonicity": 0.5 }, "quintile_3H_IS": { "quintiles": { "1": { "mean_ret": -0.1431, "n": 41 }, "2": { "mean_ret": 0.0088, "n": 41 }, "3": { "mean_ret": -0.0694, "n": 41 }, "4": { "mean_ret": -0.0343, "n": 41 }, "5": { "mean_ret": -0.1773, "n": 41 } }, "q5_minus_q1": -0.0342, "monotonicity": 0.5 }, "quintile_3H_OOS": { "quintiles": { "1": { "mean_ret": 0.1203, "n": 27 }, "2": { "mean_ret": -0.0241, "n": 27 }, "3": { "mean_ret": 0.0385, "n": 27 }, "4": { "mean_ret": 0.0265, "n": 27 }, "5": { "mean_ret": 0.1243, "n": 27 } }, "q5_minus_q1": 0.004, "monotonicity": 0.5 } } }, "part_c_combined_matrix": { "IS": { "Double Bull (pos\u2191 neg\u2191)": { "n": 75, "mean_1h": -0.0035, "mean_3h": 0.0165, "mean_eod": -0.0221, "wr_3h_long": 0.5733 }, "Mixed A (pos\u2191 neg\u2193)": { "n": 27, "mean_1h": -0.2558, "mean_3h": -0.3719, "mean_eod": -0.5952, "wr_3h_long": 0.3704 }, "Mixed B (pos\u2193 neg\u2191)": { "n": 27, "mean_1h": -0.1032, "mean_3h": -0.1155, "mean_eod": 0.039, "wr_3h_long": 0.4444 }, "Double Bear (pos\u2193 neg\u2193)": { "n": 76, "mean_1h": -0.0577, "mean_3h": -0.0672, "mean_eod": 0.0654, "wr_3h_long": 0.4868 } }, "OOS": { "Double Bull (pos\u2191 neg\u2191)": { "n": 40, "mean_1h": 0.1269, "mean_3h": 0.1745, "mean_eod": 0.1849, "wr_3h_long": 0.675 }, "Mixed A (pos\u2191 neg\u2193)": { "n": 27, "mean_1h": 0.0185, "mean_3h": -0.0599, "mean_eod": -0.0546, "wr_3h_long": 0.4074 }, "Mixed B (pos\u2193 neg\u2191)": { "n": 27, "mean_1h": -0.003, "mean_3h": 0.073, "mean_eod": 0.1422, "wr_3h_long": 0.6667 }, "Double Bear (pos\u2193 neg\u2193)": { "n": 41, "mean_1h": -0.0042, "mean_3h": 0.0092, "mean_eod": 0.0303, "wr_3h_long": 0.6098 } } }, "part_d_weighted_pos": { "100% Total (v5)": { "IC_3H_IS": 0.0467, "IC_3H_OOS": 0.0942, "WR_70_IS": 0.6667, "WR_70_OOS": null, "n_IS": 6, "n_OOS": 0 }, "100% Firm": { "IC_3H_IS": -0.0077, "IC_3H_OOS": 0.126, "WR_70_IS": 0.4444, "WR_70_OOS": null, "n_IS": 9, "n_OOS": 0 }, "100% MM": { "IC_3H_IS": 0.1281, "IC_3H_OOS": 0.1458, "WR_70_IS": 0.6, "WR_70_OOS": 0.75, "n_IS": 15, "n_OOS": 8 }, "50% Firm + 50% MM": { "IC_3H_IS": 0.0819, "IC_3H_OOS": 0.1659, "WR_70_IS": null, "WR_70_OOS": null, "n_IS": 0, "n_OOS": 0 }, "60% Firm + 20% Cust + 20% MM": { "IC_3H_IS": 0.0428, "IC_3H_OOS": 0.1755, "WR_70_IS": null, "WR_70_OOS": null, "n_IS": 0, "n_OOS": 0 }, "50% Firm + 30% MM + 20% Cust": { "IC_3H_IS": 0.0559, "IC_3H_OOS": 0.1815, "WR_70_IS": null, "WR_70_OOS": null, "n_IS": 0, "n_OOS": 0 } }, "part_d_weighted_neg": { "100% Total": { "IC_3H_IS": -0.0341, "IC_3H_OOS": 0.0117, "WR_70_IS": 0.2857, "WR_70_OOS": 0.5909 }, "100% Firm": { "IC_3H_IS": 0.1273, "IC_3H_OOS": 0.1232, "WR_70_IS": 0.7647, "WR_70_OOS": 0.5882 }, "100% MM": { "IC_3H_IS": -0.0048, "IC_3H_OOS": 0.1462, "WR_70_IS": 0.2, "WR_70_OOS": null }, "50% Firm + 50% MM": { "IC_3H_IS": 0.0642, "IC_3H_OOS": 0.1407, "WR_70_IS": null, "WR_70_OOS": null }, "60% Firm + 20% Cust + 20% MM": { "IC_3H_IS": 0.1175, "IC_3H_OOS": 0.1408, "WR_70_IS": null, "WR_70_OOS": 0.7143 } } }