{
"meta": {
"start": "2021-02-22",
"end": "2026-02-25",
"total_days": 1262
},
"all_buckets": [
{
"label": "0.25-0.5%",
"n": 96,
"avg_gap_pct": -0.035,
"fill_rate": 70.8,
"avg_day_return": 0.175,
"avg_fade_return": 0.063,
"fade_win_rate": 42.7,
"momentum_rate": 57.3,
"avg_range_pct": 1.9
},
{
"label": "0.5-1.0%",
"n": 51,
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"avg_day_return": -0.0,
"avg_fade_return": 0.038,
"fade_win_rate": 52.9,
"momentum_rate": 45.1,
"avg_range_pct": 2.29
},
{
"label": "1.0-1.5%",
"n": 10,
"avg_gap_pct": 0.472,
"fill_rate": 30.0,
"avg_day_return": 0.208,
"avg_fade_return": -0.018,
"fade_win_rate": 60.0,
"momentum_rate": 40.0,
"avg_range_pct": 1.88
},
null,
null
],
"down_buckets": [
{
"label": "0.5-1.0%",
"n": 26,
"avg_gap_pct": -0.671,
"fill_rate": 61.5,
"avg_day_return": 0.037,
"avg_fade_return": 0.037,
"fade_win_rate": 57.7,
"momentum_rate": 38.5,
"avg_range_pct": 2.45
},
null,
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],
"up_buckets": [
{
"label": "0.5-1.0%",
"n": 25,
"avg_gap_pct": 0.67,
"fill_rate": 56.0,
"avg_day_return": -0.039,
"avg_fade_return": 0.039,
"fade_win_rate": 48.0,
"momentum_rate": 52.0,
"avg_range_pct": 2.11
},
{
"label": "1.0-1.5%",
"n": 7,
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"fill_rate": 28.6,
"avg_day_return": 0.161,
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"momentum_rate": 42.9,
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},
{
"label": "\u22651.5%",
"n": 5,
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"fill_rate": 0.0,
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"avg_fade_return": -0.653,
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"momentum_rate": 100.0,
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}
],
"vix_regime": [
{
"vix_regime": "<15",
"direction": "UP",
"n": 4,
"fill_rate": 0.0,
"fade_wr": 25.0,
"avg_fade_return": -0.248,
"avg_gap_pct": 1.53
},
{
"vix_regime": "15-20",
"direction": "DOWN",
"n": 11,
"fill_rate": 81.8,
"fade_wr": 90.9,
"avg_fade_return": 0.914,
"avg_gap_pct": -0.73
},
{
"vix_regime": "15-20",
"direction": "UP",
"n": 16,
"fill_rate": 37.5,
"fade_wr": 43.8,
"avg_fade_return": -0.155,
"avg_gap_pct": 0.98
},
{
"vix_regime": "20-25",
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"fill_rate": 50.0,
"fade_wr": 50.0,
"avg_fade_return": 0.201,
"avg_gap_pct": -0.66
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{
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"fill_rate": 42.9,
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"avg_fade_return": -0.019,
"avg_gap_pct": 0.81
},
{
"vix_regime": "25-35",
"direction": "DOWN",
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"fade_wr": 38.5,
"avg_fade_return": -0.597,
"avg_gap_pct": -1.0
},
{
"vix_regime": "25-35",
"direction": "UP",
"n": 9,
"fill_rate": 66.7,
"fade_wr": 44.4,
"avg_fade_return": -0.211,
"avg_gap_pct": 0.77
}
],
"intraday": {
"gap_down": [
{
"hour_idx": 0,
"avg_fill": 50.484015677385834,
"avg_fade_pnl": 0.49144119534361663,
"n": 6
},
{
"hour_idx": 1,
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"avg_fade_pnl": 0.46995757243908204,
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{
"hour_idx": 2,
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"avg_fade_pnl": 0.504338596885498,
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},
{
"hour_idx": 3,
"avg_fill": 44.46319383709797,
"avg_fade_pnl": 0.5880861177922675,
"n": 6
},
{
"hour_idx": 4,
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"avg_fade_pnl": 0.5960839541141688,
"n": 6
},
{
"hour_idx": 5,
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{
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{
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}
],
"gap_up": [
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"avg_fade_pnl": -0.3753528156503975,
"n": 11
},
{
"hour_idx": 1,
"avg_fill": -31.73698248400511,
"avg_fade_pnl": -0.33847333373353955,
"n": 11
},
{
"hour_idx": 2,
"avg_fill": -37.83701012123785,
"avg_fade_pnl": -0.3625917499239993,
"n": 11
},
{
"hour_idx": 3,
"avg_fill": -35.643495196490456,
"avg_fade_pnl": -0.37424574024686963,
"n": 11
},
{
"hour_idx": 4,
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"avg_fade_pnl": -0.37894932026056033,
"n": 11
},
{
"hour_idx": 5,
"avg_fill": -39.6183447169513,
"avg_fade_pnl": -0.4028186382083716,
"n": 11
},
{
"hour_idx": 6,
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"avg_fade_pnl": -0.4269201393415232,
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{
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"n": 11
}
]
},
"next_day": [
{
"gap_size": "\u22650.5%",
"direction": "DOWN",
"n": 32,
"next_day_avg_return": -0.044,
"next_day_positive_rate": 59.4,
"next_day_avg_gap": 0.199
},
{
"gap_size": "\u22650.5%",
"direction": "UP",
"n": 37,
"next_day_avg_return": 0.461,
"next_day_positive_rate": 64.9,
"next_day_avg_gap": -0.055
},
{
"gap_size": "\u22651.0%",
"direction": "DOWN",
"n": 6,
"next_day_avg_return": -1.496,
"next_day_positive_rate": 33.3,
"next_day_avg_gap": 0.193
},
{
"gap_size": "\u22651.0%",
"direction": "UP",
"n": 12,
"next_day_avg_return": 0.546,
"next_day_positive_rate": 83.3,
"next_day_avg_gap": 0.009
},
{
"gap_size": "\u22651.5%",
"direction": "UP",
"n": 5,
"next_day_avg_return": 0.559,
"next_day_positive_rate": 100.0,
"next_day_avg_gap": -0.01
}
],
"dow": [
{
"day": "Monday",
"direction": "DOWN",
"n": 20,
"fill_rate": 60.0,
"fade_wr": 65.0,
"avg_fade": 0.18
},
{
"day": "Monday",
"direction": "UP",
"n": 17,
"fill_rate": 17.6,
"fade_wr": 29.4,
"avg_fade": -0.416
},
{
"day": "Tuesday",
"direction": "UP",
"n": 6,
"fill_rate": 83.3,
"fade_wr": 66.7,
"avg_fade": 0.238
},
{
"day": "Wednesday",
"direction": "DOWN",
"n": 3,
"fill_rate": 100.0,
"fade_wr": 66.7,
"avg_fade": 0.5
},
{
"day": "Wednesday",
"direction": "UP",
"n": 3,
"fill_rate": 66.7,
"fade_wr": 33.3,
"avg_fade": 0.219
},
{
"day": "Thursday",
"direction": "DOWN",
"n": 4,
"fill_rate": 50.0,
"fade_wr": 50.0,
"avg_fade": -0.76
},
{
"day": "Thursday",
"direction": "UP",
"n": 6,
"fill_rate": 50.0,
"fade_wr": 50.0,
"avg_fade": 0.515
},
{
"day": "Friday",
"direction": "DOWN",
"n": 3,
"fill_rate": 66.7,
"fade_wr": 66.7,
"avg_fade": 0.898
},
{
"day": "Friday",
"direction": "UP",
"n": 5,
"fill_rate": 60.0,
"fade_wr": 60.0,
"avg_fade": -0.303
}
],
"insights": [
"Gap downs \u22650.5%: Average fill rate 62%, fade win rate 58%",
"Gap ups \u22650.5%: Average fill rate 28%, fade win rate 35%",
"High VIX (>25) gap downs: Fade WR only 38% \u2014 momentum dominates in fear regimes",
"Low VIX (<20) gap downs: Fade WR 91% \u2014 gap fills more likely in calm markets",
"Day after \u22651% gap down: Average next-day return -1.496% (continuation), 33.3% positive",
"Monday gap downs: Fill rate 60.0%, fade WR 65.0% (n=20)"
]
}