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    "n": 32,
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    "avg_gap_pct": 0.17936737739233005,
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    "n_gap_up": 12,
    "n_gap_down": 10,
    "avg_gap_pct": -0.041889334788780944,
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  "test0_baseline_full": {
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    "n": 54,
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    "n_gap_down": 21,
    "avg_gap_pct": 0.08922575391113668,
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  "test1_mm_sign_is_pos": {
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    "n": 31,
    "n_gap_up": 20,
    "n_gap_down": 11,
    "avg_gap_pct": 0.16834282968950515,
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    "gap_up_fade_wr": 0.6,
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    "fade_sharpe": 3.8173800906444555
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  "test1_mm_sign_is_neg": {
    "label": "mm_neg_IS",
    "n": 1,
    "insufficient": true
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  "test1_mm_sign_oos_pos": {
    "label": "mm_pos_OOS",
    "n": 22,
    "n_gap_up": 12,
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    "avg_gap_pct": -0.041889334788780944,
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    "fade_sharpe": 4.186176870623173
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  "test1_mm_sign_oos_neg": {
    "label": "mm_neg_OOS",
    "n": 0,
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  "test2_mm_median_is_high": {
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    "n": 16,
    "n_gap_up": 11,
    "n_gap_down": 5,
    "avg_gap_pct": 0.24188103900624602,
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    "fade_sharpe": 3.2800663259600733
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  "test2_mm_median_is_low": {
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    "n_gap_up": 10,
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    "avg_gap_pct": 0.11685371577841407,
    "avg_rth_return": 0.10895078940752878,
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  "test2_mm_median_oos_high": {
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    "n_gap_up": 7,
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    "avg_gap_pct": 0.05656755090777119,
    "avg_rth_return": 0.30333065669596176,
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    "gap_up_fade_wr": 0.2857142857142857,
    "gap_up_n": 7,
    "gap_down_fade_mean": 0.6195392107765845,
    "gap_down_fade_wr": 0.75,
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    "fade_sharpe": 2.111816100629597
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  "test2_mm_median_oos_low": {
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    "n_gap_up": 5,
    "n_gap_down": 6,
    "avg_gap_pct": -0.14034622048533307,
    "avg_rth_return": 0.17028429949943308,
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    "gap_up_fade_wr": 0.8,
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    "gap_down_fade_wr": 0.6666666666666666,
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    "fade_sharpe": 8.84745822204863
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  "test3_net_sign_is_pos": {
    "label": "net_pos_IS",
    "n": 28,
    "n_gap_up": 19,
    "n_gap_down": 9,
    "avg_gap_pct": 0.1999462615232704,
    "avg_rth_return": -0.025394272135338663,
    "fade_return_mean": 0.1429710966618397,
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    "fade_win_rate": 0.6428571428571429,
    "gap_up_fade_mean": 0.1240586927979209,
    "gap_up_fade_wr": 0.5789473684210527,
    "gap_up_n": 19,
    "gap_down_fade_mean": 0.18289728259677934,
    "gap_down_fade_wr": 0.7777777777777778,
    "gap_down_n": 9,
    "fade_sharpe": 2.791122704357879
  },
  "test3_net_sign_is_neg": {
    "label": "net_neg_IS",
    "n": 4,
    "insufficient": true
  },
  "test3_net_sign_oos_pos": {
    "label": "net_pos_OOS",
    "n": 14,
    "n_gap_up": 9,
    "n_gap_down": 5,
    "avg_gap_pct": 0.07750288461370354,
    "avg_rth_return": 0.30140664673325385,
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    "fade_win_rate": 0.5714285714285714,
    "gap_up_fade_mean": -0.00023005366674072603,
    "gap_up_fade_wr": 0.4444444444444444,
    "gap_up_n": 9,
    "gap_down_fade_mean": 0.8435245142529777,
    "gap_down_fade_wr": 0.8,
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    "fade_sharpe": 5.467239779447931
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  "test3_net_sign_oos_neg": {
    "label": "net_neg_OOS",
    "n": 8,
    "n_gap_up": 3,
    "n_gap_down": 5,
    "avg_gap_pct": -0.2508257187431287,
    "avg_rth_return": 0.12375893298547354,
    "fade_return_mean": 0.0931752462223015,
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    "fade_win_rate": 0.625,
    "gap_up_fade_mean": -0.04077824901756274,
    "gap_up_fade_wr": 0.6666666666666666,
    "gap_up_n": 3,
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    "gap_down_fade_wr": 0.6,
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    "fade_sharpe": 1.7163748529656104
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  "test4_cust_median_is_high": {
    "label": "cust_high_IS",
    "n": 16,
    "n_gap_up": 12,
    "n_gap_down": 4,
    "avg_gap_pct": 0.22421313543398042,
    "avg_rth_return": -0.24826340340349207,
    "fade_return_mean": 0.04616116747853555,
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    "fade_win_rate": 0.625,
    "gap_up_fade_mean": 0.19628304725468507,
    "gap_up_fade_wr": 0.6666666666666666,
    "gap_up_n": 12,
    "gap_down_fade_mean": -0.4042044718499131,
    "gap_down_fade_wr": 0.5,
    "gap_down_n": 4,
    "fade_sharpe": 0.7730438219079487
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  "test4_cust_median_is_low": {
    "label": "cust_low_IS",
    "n": 16,
    "n_gap_up": 9,
    "n_gap_down": 7,
    "avg_gap_pct": 0.1345216193506797,
    "avg_rth_return": 0.30102010041305793,
    "fade_return_mean": 0.24599420130137734,
    "fade_return_std": 0.5735742549646052,
    "fade_win_rate": 0.6875,
    "gap_up_fade_mean": -0.0489119103214938,
    "gap_up_fade_wr": 0.4444444444444444,
    "gap_up_n": 9,
    "gap_down_fade_mean": 0.6251592019593545,
    "gap_down_fade_wr": 1.0,
    "gap_down_n": 7,
    "fade_sharpe": 6.808249934239835
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  "test4_cust_median_oos_high": {
    "label": "cust_high_OOS",
    "n": 11,
    "n_gap_up": 6,
    "n_gap_down": 5,
    "avg_gap_pct": 0.08134782675215098,
    "avg_rth_return": 0.4977719803371542,
    "fade_return_mean": 0.1693233784424408,
    "fade_return_std": 0.9445831605015441,
    "fade_win_rate": 0.5454545454545454,
    "gap_up_fade_mean": -0.30107788507015393,
    "gap_up_fade_wr": 0.3333333333333333,
    "gap_up_n": 6,
    "gap_down_fade_mean": 0.7338048946575545,
    "gap_down_fade_wr": 0.8,
    "gap_down_n": 5,
    "fade_sharpe": 2.8456206032940896
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  "test4_cust_median_oos_low": {
    "label": "cust_low_OOS",
    "n": 11,
    "n_gap_up": 6,
    "n_gap_down": 5,
    "avg_gap_pct": -0.16512649632971288,
    "avg_rth_return": -0.024157024141759333,
    "fade_return_mean": 0.2816724450159804,
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    "fade_win_rate": 0.6363636363636364,
    "gap_up_fade_mean": 0.2803436800612615,
    "gap_up_fade_wr": 0.6666666666666666,
    "gap_up_n": 6,
    "gap_down_fade_mean": 0.2832669629616432,
    "gap_down_fade_wr": 0.6,
    "gap_down_n": 5,
    "fade_sharpe": 5.6050912680841
  },
  "test5_inst_median_is_high": {
    "label": "inst_high_IS",
    "n": 16,
    "n_gap_up": 9,
    "n_gap_down": 7,
    "avg_gap_pct": 0.13066708320340215,
    "avg_rth_return": 0.3606505986670625,
    "fade_return_mean": 0.19932169611938821,
    "fade_return_std": 0.6517506597365901,
    "fade_win_rate": 0.625,
    "gap_up_fade_mean": -0.1434034689312661,
    "gap_up_fade_wr": 0.3333333333333333,
    "gap_up_n": 9,
    "gap_down_fade_mean": 0.639968336898801,
    "gap_down_fade_wr": 1.0,
    "gap_down_n": 7,
    "fade_sharpe": 4.854822600820603
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  "test5_inst_median_is_low": {
    "label": "inst_low_IS",
    "n": 16,
    "n_gap_up": 12,
    "n_gap_down": 4,
    "avg_gap_pct": 0.22806767158125796,
    "avg_rth_return": -0.3078939016574968,
    "fade_return_mean": 0.09283367266052472,
    "fade_return_std": 0.9044423198435569,
    "fade_win_rate": 0.6875,
    "gap_up_fade_mean": 0.26715171621201433,
    "gap_up_fade_wr": 0.75,
    "gap_up_n": 12,
    "gap_down_fade_mean": -0.4301204579939441,
    "gap_down_fade_wr": 0.5,
    "gap_down_n": 4,
    "fade_sharpe": 1.6293895526362066
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  "test5_inst_median_oos_high": {
    "label": "inst_high_OOS",
    "n": 11,
    "n_gap_up": 4,
    "n_gap_down": 7,
    "avg_gap_pct": -0.23198347072842382,
    "avg_rth_return": 0.5344561059041651,
    "fade_return_mean": 0.628200001819301,
    "fade_return_std": 0.7976509915555021,
    "fade_win_rate": 0.8181818181818182,
    "gap_up_fade_mean": 0.12889785688331185,
    "gap_up_fade_wr": 0.75,
    "gap_up_n": 4,
    "gap_down_fade_mean": 0.913515513211295,
    "gap_down_fade_wr": 0.8571428571428571,
    "gap_down_n": 7,
    "fade_sharpe": 12.502166957879682
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  "test5_inst_median_oos_low": {
    "label": "inst_low_OOS",
    "n": 11,
    "n_gap_up": 8,
    "n_gap_down": 3,
    "avg_gap_pct": 0.1482048011508619,
    "avg_rth_return": -0.06084114970877035,
    "fade_return_mean": -0.1772041783608798,
    "fade_return_std": 0.7365810007409094,
    "fade_win_rate": 0.36363636363636365,
    "gap_up_fade_mean": -0.07999958219832526,
    "gap_up_fade_wr": 0.375,
    "gap_up_n": 8,
    "gap_down_fade_mean": -0.43641643479435865,
    "gap_down_fade_wr": 0.3333333333333333,
    "gap_down_n": 3,
    "fade_sharpe": -3.819035680416639
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  "test6_ic_mm_gamma_z": {
    "is_ic": -0.1191348973607038,
    "is_p": 0.5160571968429095,
    "oos_ic": -0.3201581027667985,
    "oos_p": 0.1463415037832898,
    "consistent": true
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  "test6_ic_cust_gamma_z": {
    "is_ic": -0.1539589442815249,
    "is_p": 0.40017673555290156,
    "oos_ic": -0.30660643704121965,
    "oos_p": 0.1651791230751042,
    "consistent": true
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  "test6_ic_inst_gamma_z": {
    "is_ic": 0.18401759530791786,
    "is_p": 0.313364121596079,
    "oos_ic": 0.4861660079051384,
    "oos_p": 0.021783087892448556,
    "consistent": true
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  "test6_ic_net_gamma_z": {
    "is_ic": 0.04142228739002932,
    "is_p": 0.8219064365623479,
    "oos_ic": -0.0220214568040655,
    "oos_p": 0.9225104517760874,
    "consistent": false
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  "test6_ic_bd_gamma_z": {
    "is_ic": 0.08431085043988269,
    "is_p": 0.6463941103586255,
    "oos_ic": 0.3788819875776398,
    "oos_p": 0.08205437428657275,
    "consistent": true
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  "test7_is_gap_up_mm_high": {
    "n": 11,
    "fade_wr": 0.5454545454545454,
    "fade_mean": 0.15535313456479577,
    "avg_gap": 0.43038722067740204
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  "test7_is_gap_up_mm_low": {
    "n": 10,
    "fade_wr": 0.6,
    "fade_mean": 0.020630489395002317,
    "avg_gap": 0.3154153194344897
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  "test7_is_gap_down_mm_high": {
    "n": 5,
    "fade_wr": 0.8,
    "fade_mean": 0.16195580036906923,
    "avg_gap": -0.17283256067029726
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  "test7_is_gap_down_mm_low": {
    "n": 6,
    "fade_wr": 0.8333333333333334,
    "fade_mean": 0.32491958741174726,
    "avg_gap": -0.21408229031504533
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  "test7_oos_gap_up_mm_high": {
    "n": 7,
    "fade_wr": 0.2857142857142857,
    "fade_mean": -0.12264005436417734,
    "avg_gap": 0.3599248878591941
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  "test7_oos_gap_up_mm_low": {
    "n": 5,
    "fade_wr": 0.8,
    "fade_mean": 0.14681503009917735,
    "avg_gap": 0.14865662438176536
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  "test7_oos_gap_down_mm_high": {
    "n": 4,
    "fade_wr": 0.75,
    "fade_mean": 0.6195392107765845,
    "avg_gap": -0.4743077887572188
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  "test7_oos_gap_down_mm_low": {
    "n": 6,
    "fade_wr": 0.6666666666666666,
    "fade_mean": 0.4345337408316084,
    "avg_gap": -0.38118192454124844
  },
  "test8_quintile_mm_gamma_is": {
    "Q1": {
      "mean_ret": 0.05834892628400459,
      "median_ret": 0.35810205908683973,
      "win_rate": 0.6363636363636364,
      "n": 11,
      "std": 0.9244576495864398,
      "t_stat": 0.20933516585721595
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    "Q2": {
      "mean_ret": 0.20270491056515824,
      "median_ret": 0.2352566411826709,
      "win_rate": 0.7,
      "n": 10,
      "std": 0.3388044604469067,
      "t_stat": 1.891973941078265
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    "Q3": {
      "mean_ret": 0.1823271459729976,
      "median_ret": 0.24399126001456664,
      "win_rate": 0.6363636363636364,
      "n": 11,
      "std": 0.8556089633379698,
      "t_stat": 0.7067606327190005
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  },
  "test8_quintile_mm_gamma_oos": {
    "Q1": {
      "mean_ret": 0.30809720755634995,
      "median_ret": 0.16509369198002244,
      "win_rate": 0.75,
      "n": 8,
      "std": 0.4728660407863839,
      "t_stat": 1.8428697003949237
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    "Q2": {
      "mean_ret": 0.4135846862986607,
      "median_ret": 0.1577852685935595,
      "win_rate": 0.5714285714285714,
      "n": 7,
      "std": 1.0923604271502594,
      "t_stat": 1.001722690436131
    },
    "Q3": {
      "mean_ret": -0.05698805807125581,
      "median_ret": -0.3475113122171946,
      "win_rate": 0.42857142857142855,
      "n": 7,
      "std": 0.7886082541198131,
      "t_stat": -0.19119281160116122
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  },
  "test8_quintile_cust_gamma_is": {
    "Q1": {
      "mean_ret": 0.08350894092007631,
      "median_ret": 0.04803266221030301,
      "win_rate": 0.5454545454545454,
      "n": 11,
      "std": 0.4925251135321535,
      "t_stat": 0.5623425406383227
    },
    "Q2": {
      "mean_ret": 0.17896210949333416,
      "median_ret": 0.39029133962093926,
      "win_rate": 0.8,
      "n": 10,
      "std": 0.8129684735979505,
      "t_stat": 0.6961252486984567
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    "Q3": {
      "mean_ret": 0.178751495947675,
      "median_ret": 0.24399126001456664,
      "win_rate": 0.6363636363636364,
      "n": 11,
      "std": 0.9238974407029099,
      "t_stat": 0.6416855558362892
    }
  },
  "test8_quintile_cust_gamma_oos": {
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      "mean_ret": 0.5533863078784261,
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    "Q2": {
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  "test9_large_is_inst_high": {
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  "test12_interaction_is_mm_gamma_z": {
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}