{
  "refinement_date": "2026-03-05",
  "version": "v2",
  "summary": "GEX pattern detector refined based on forward tracking results + 95-date backtest",

  "forward_tracking_results": {
    "tracking_period": "2026-02-27 to 2026-03-05",
    "total_predictions": 9,
    "total_validated": 6,
    "by_pattern": {
      "gamma_transition": {
        "predictions": 3,
        "materialized": 0,
        "rate_pct": 0.0,
        "action": "PRUNED — 0% materialization, near-flip without crossing is not predictive",
        "note": "All 3 predictions showed no gamma flip crossing. Pattern conceptually weak."
      },
      "deep_positive_gamma": {
        "predictions": 3,
        "materialized": 3,
        "rate_pct": 100.0,
        "action": "KEPT — tightened threshold from 0.5% to 0.4%",
        "note": "Marginal passes: moves were 0.43%, 0.47%, -0.48%. Tighter threshold prevents false positives."
      },
      "gamma_positioning": {
        "predictions": 2,
        "materialized": "pending",
        "action": "KEPT — strong backtest support (1.64x vol amplification)"
      },
      "zero_dte_negative_gamma": {
        "predictions": 1,
        "materialized": "pending",
        "action": "KEPT — theoretical basis strong, needs more samples"
      },
      "stock_pinning": {
        "predictions": 0,
        "note": "Never fired in forward tracking (SPX was far from abs_gamma_strike). Backtest Sharpe 5.0, WR 65.9%."
      },
      "wall_squeeze": {
        "predictions": 0,
        "note": "Never fired (CW/PW spread was wide ~5.8%). Moved to WATCH tier."
      }
    }
  },

  "backtest_support": {
    "source": "95 dates, Jan 2025 - Feb 2026, GEX calculated from Databento options data",
    "gex_vol_correlation": -0.29,
    "neg_gamma_vol_amplifier": 1.64,
    "regime_stats": {
      "positive": {"n": 60, "avg_1d_pct": 0.231, "wr_pct": 68.3},
      "negative": {"n": 35, "avg_1d_pct": 0.138, "wr_pct": 68.6}
    },
    "extreme_neg_gex_1d_pct": 0.418,
    "extreme_pos_gex_1d_pct": -0.063
  },

  "refinements_applied": {
    "1_pruned_patterns": {
      "gamma_transition": "Removed — 0/3 materialization, not actionable without actual crossing"
    },
    "2_who_whom_what_framework": {
      "description": "Added Regan & Xie (2512.17923) WHO→WHOM→WHAT classification to all patterns",
      "examples": {
        "stock_pinning": {
          "who": "Dealers hedging concentrated OI",
          "whom": "SPX at max gamma strike",
          "what": "PINNING — buying dips & selling rallies around strike"
        },
        "gamma_positioning": {
          "who": "Dealers short gamma",
          "whom": "SPX in negative regime",
          "what": "AMPLIFYING — forced to sell into dips & buy into rallies"
        }
      }
    },
    "3_multi_pattern_confirmation": {
      "description": "Added composite confidence score (0-100) requiring pattern convergence",
      "scoring": {
        "per_active_pattern": "+20 base",
        "multi_pattern_bonus": "+15 for 2+ patterns, +10 more for 3+",
        "regime_agreement": "+10 when patterns align with regime context",
        "high_confidence": "+10 for HIGH confidence detections",
        "alert_threshold": "Alerts only sent if score >= 20"
      }
    },
    "4_regime_context": {
      "description": "All patterns now annotated with GEX regime classification",
      "regimes": [
        "DEEP_POSITIVE: GEX > $500M — vol suppressed",
        "POSITIVE: GEX > 0 — mild dampening",
        "NEGATIVE: GEX < 0 — amplified (1.64x vol)",
        "DEEP_NEGATIVE: GEX < -$300M — extreme amplification",
        "*_TRANSITIONAL: within 0.5% of flip point"
      ],
      "impact": "Pinning signals demoted when regime is NEGATIVE (less reliable). Vol patterns get regime agreement bonus."
    },
    "5_tighter_thresholds": {
      "deep_positive_gamma": "Tightened range threshold from <0.5% to <0.4% (forward tracking showed marginal passes)",
      "gamma_positioning": "Added severity tiers based on GEX magnitude: EXTREME (<-$300M), HIGH (<-$100M), MODERATE, TRANSITIONAL"
    }
  },

  "pattern_tier_system": {
    "ACTIVE": ["stock_pinning", "gamma_positioning", "zero_dte_negative_gamma", "deep_positive_gamma"],
    "WATCH": ["wall_squeeze"],
    "PRUNED": ["gamma_transition"],
    "promotion_criteria": "60%+ materialization over 5+ samples",
    "demotion_criteria": "<60% materialization over 5+ samples → WATCH, <30% → PRUNED"
  },

  "next_steps": [
    "Accumulate more forward tracking data (need 20+ validations per pattern)",
    "Test stock_pinning in live (hasn't fired yet — SPX needs to be near abs_gamma_strike)",
    "Monitor wall_squeeze for WATCH→ACTIVE promotion",
    "Add intraday range to validation (currently using close-to-close, range is better for vol patterns)",
    "Consider adding VIX regime as additional context (VIX > 25 amplifies all patterns)",
    "Run backtest of multi-pattern confirmation scoring on 95-date cache"
  ]
}