{
  "metadata": {
    "days_loaded": 18,
    "date_range": [
      "2026-03-03",
      "2026-03-27"
    ],
    "corr_window": 10,
    "balance_window": 5,
    "fwd_windows": [
      5,
      10,
      15,
      30
    ],
    "train_days": 12,
    "test_days": 6,
    "total_event_minutes": 6770
  },
  "insample_thresholds": {
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    "baseline_std": 0.357335,
    "corr_p10": -0.587879,
    "corr_p90": 0.364743,
    "balance_median": 0.563599,
    "balance_p80": 0.625201,
    "balance_p95": 0.691729
  },
  "insample_event_counts": {
    "NORMAL": 6076,
    "HNEG_ONLY": 360,
    "P95_ONLY": 316,
    "BOTH": 18
  },
  "test1_overlap": {
    "hneg_fires": 378,
    "p95_fires": 334,
    "both_fires": 18,
    "pct_hneg_also_p95": 4.76,
    "pct_p95_also_hneg": 5.39,
    "phi": -0.0019,
    "verdict": "INDEPENDENT (phi<0.1)"
  },
  "test2_time_of_day": {
    "HNEG_ONLY": {
      "Morning": {
        "5": {
          "n": 230,
          "mean_ret": 0.707,
          "pct_up": 50.9,
          "p_vs_normal": 0.1344
        },
        "10": {
          "n": 230,
          "mean_ret": 2.636,
          "pct_up": 65.2,
          "p_vs_normal": 0.0
        },
        "15": {
          "n": 230,
          "mean_ret": 2.99,
          "pct_up": 63.5,
          "p_vs_normal": 0.0001
        },
        "30": {
          "n": 230,
          "mean_ret": 4.882,
          "pct_up": 60.0,
          "p_vs_normal": 0.0
        }
      },
      "Afternoon": {
        "5": {
          "n": 102,
          "mean_ret": -1.546,
          "pct_up": 38.2,
          "p_vs_normal": 0.0213
        },
        "10": {
          "n": 91,
          "mean_ret": -3.05,
          "pct_up": 34.1,
          "p_vs_normal": 0.0034
        },
        "15": {
          "n": 90,
          "mean_ret": -3.099,
          "pct_up": 40.0,
          "p_vs_normal": 0.0253
        },
        "30": {
          "n": 84,
          "mean_ret": -4.442,
          "pct_up": 47.6,
          "p_vs_normal": 0.0276
        }
      }
    },
    "P95_ONLY": {
      "Morning": {
        "5": {
          "n": 126,
          "mean_ret": -2.295,
          "pct_up": 36.5,
          "p_vs_normal": 0.0003
        },
        "10": {
          "n": 126,
          "mean_ret": -2.774,
          "pct_up": 34.1,
          "p_vs_normal": 0.0025
        },
        "15": {
          "n": 126,
          "mean_ret": -2.964,
          "pct_up": 37.3,
          "p_vs_normal": 0.0092
        },
        "30": {
          "n": 126,
          "mean_ret": -3.161,
          "pct_up": 42.9,
          "p_vs_normal": 0.0712
        }
      },
      "Afternoon": {
        "5": {
          "n": 137,
          "mean_ret": -0.214,
          "pct_up": 47.4,
          "p_vs_normal": 0.9572
        },
        "10": {
          "n": 128,
          "mean_ret": 0.21,
          "pct_up": 49.2,
          "p_vs_normal": 0.407
        },
        "15": {
          "n": 117,
          "mean_ret": 0.217,
          "pct_up": 45.3,
          "p_vs_normal": 0.3838
        },
        "30": {
          "n": 94,
          "mean_ret": -1.685,
          "pct_up": 38.3,
          "p_vs_normal": 0.6303
        }
      }
    },
    "BOTH": {
      "Morning": {
        "5": {
          "n": 7,
          "mean_ret": 8.386,
          "pct_up": 85.7,
          "p_vs_normal": 0.0013
        },
        "10": {
          "n": 7,
          "mean_ret": 2.971,
          "pct_up": 57.1,
          "p_vs_normal": 0.3832
        },
        "15": {
          "n": 7,
          "mean_ret": -1.514,
          "pct_up": 71.4,
          "p_vs_normal": 0.7674
        },
        "30": {
          "n": 7,
          "mean_ret": 12.871,
          "pct_up": 71.4,
          "p_vs_normal": 0.0193
        }
      },
      "Afternoon": {}
    },
    "NORMAL": {
      "Morning": {
        "5": {
          "n": 2873,
          "mean_ret": -0.009,
          "pct_up": 48.9,
          "p_vs_normal": null
        },
        "10": {
          "n": 2873,
          "mean_ret": -0.169,
          "pct_up": 49.9,
          "p_vs_normal": null
        },
        "15": {
          "n": 2873,
          "mean_ret": -0.222,
          "pct_up": 49.5,
          "p_vs_normal": null
        },
        "30": {
          "n": 2873,
          "mean_ret": -0.657,
          "pct_up": 48.0,
          "p_vs_normal": null
        }
      },
      "Afternoon": {
        "5": {
          "n": 2751,
          "mean_ret": -0.186,
          "pct_up": 46.7,
          "p_vs_normal": null
        },
        "10": {
          "n": 2684,
          "mean_ret": -0.421,
          "pct_up": 45.2,
          "p_vs_normal": null
        },
        "15": {
          "n": 2606,
          "mean_ret": -0.628,
          "pct_up": 43.2,
          "p_vs_normal": null
        },
        "30": {
          "n": 2367,
          "mean_ret": -0.964,
          "pct_up": 41.6,
          "p_vs_normal": null
        }
      }
    }
  },
  "test3_combined_strength": {
    "5": {
      "NORMAL": {
        "n": 6076,
        "mean_ret": -0.154,
        "pct_up": 47.6
      },
      "HNEG_ONLY": {
        "n": 360,
        "mean_ret": -0.026,
        "pct_up": 46.9,
        "p_vs_normal": 0.724,
        "t_stat": 0.353
      },
      "P95_ONLY": {
        "n": 316,
        "mean_ret": -0.749,
        "pct_up": 44.6,
        "p_vs_normal": 0.118,
        "t_stat": -1.564
      },
      "BOTH": {
        "n": 18,
        "mean_ret": 4.175,
        "pct_up": 61.1,
        "p_vs_normal": 0.0056,
        "t_stat": 2.77
      }
    },
    "10": {
      "NORMAL": {
        "n": 6009,
        "mean_ret": -0.378,
        "pct_up": 47.4
      },
      "HNEG_ONLY": {
        "n": 349,
        "mean_ret": 0.934,
        "pct_up": 55.3,
        "p_vs_normal": 0.0109,
        "t_stat": 2.547
      },
      "P95_ONLY": {
        "n": 307,
        "mean_ret": -0.843,
        "pct_up": 44.3,
        "p_vs_normal": 0.3912,
        "t_stat": -0.857
      },
      "BOTH": {
        "n": 17,
        "mean_ret": 2.244,
        "pct_up": 41.2,
        "p_vs_normal": 0.2456,
        "t_stat": 1.161
      }
    },
    "15": {
      "NORMAL": {
        "n": 5931,
        "mean_ret": -0.587,
        "pct_up": 46.2
      },
      "HNEG_ONLY": {
        "n": 348,
        "mean_ret": 1.24,
        "pct_up": 56.3,
        "p_vs_normal": 0.0035,
        "t_stat": 2.919
      },
      "P95_ONLY": {
        "n": 296,
        "mean_ret": -0.901,
        "pct_up": 43.2,
        "p_vs_normal": 0.6412,
        "t_stat": -0.466
      },
      "BOTH": {
        "n": 17,
        "mean_ret": 0.797,
        "pct_up": 47.1,
        "p_vs_normal": 0.6146,
        "t_stat": 0.503
      }
    },
    "30": {
      "NORMAL": {
        "n": 5692,
        "mean_ret": -1.047,
        "pct_up": 44.6
      },
      "HNEG_ONLY": {
        "n": 342,
        "mean_ret": 2.567,
        "pct_up": 57.9,
        "p_vs_normal": 0.0,
        "t_stat": 4.276
      },
      "P95_ONLY": {
        "n": 273,
        "mean_ret": -2.005,
        "pct_up": 43.6,
        "p_vs_normal": 0.3034,
        "t_stat": -1.029
      },
      "BOTH": {
        "n": 15,
        "mean_ret": 5.053,
        "pct_up": 60.0,
        "p_vs_normal": 0.1172,
        "t_stat": 1.567
      }
    }
  },
  "test4_oos": {
    "train_days": [
      "2026-03-03",
      "2026-03-04",
      "2026-03-05",
      "2026-03-06",
      "2026-03-09",
      "2026-03-10",
      "2026-03-11",
      "2026-03-12",
      "2026-03-13",
      "2026-03-16",
      "2026-03-17",
      "2026-03-19"
    ],
    "test_days": [
      "2026-03-20",
      "2026-03-23",
      "2026-03-24",
      "2026-03-25",
      "2026-03-26",
      "2026-03-27"
    ],
    "train_thresholds": {
      "baseline_mean": -0.130391,
      "baseline_std": 0.357331,
      "corr_p10": -0.587879,
      "corr_p90": 0.357576,
      "balance_median": 0.564406,
      "balance_p80": 0.627107,
      "balance_p95": 0.697774
    },
    "oos_event_counts": {
      "NORMAL": 2001,
      "HNEG_ONLY": 102,
      "P95_ONLY": 54,
      "BOTH": 3
    },
    "test1_overlap": {
      "hneg_fires": 105,
      "p95_fires": 57,
      "both_fires": 3,
      "pct_hneg_also_p95": 2.86,
      "pct_p95_also_hneg": 5.26,
      "phi": 0.0031,
      "verdict": "INDEPENDENT (phi<0.1)"
    },
    "test2_time_of_day": {
      "HNEG_ONLY": {
        "Morning": {
          "5": {
            "n": 73,
            "mean_ret": 0.815,
            "pct_up": 49.3,
            "p_vs_normal": 0.1406
          },
          "10": {
            "n": 73,
            "mean_ret": 2.445,
            "pct_up": 68.5,
            "p_vs_normal": 0.0011
          },
          "15": {
            "n": 73,
            "mean_ret": 3.065,
            "pct_up": 63.0,
            "p_vs_normal": 0.0003
          },
          "30": {
            "n": 73,
            "mean_ret": 4.956,
            "pct_up": 65.8,
            "p_vs_normal": 0.0
          }
        },
        "Afternoon": {
          "5": {
            "n": 16,
            "mean_ret": 1.744,
            "pct_up": 50.0,
            "p_vs_normal": 0.0408
          },
          "10": {
            "n": 11,
            "mean_ret": 0.895,
            "pct_up": 72.7,
            "p_vs_normal": 0.2212
          },
          "15": {
            "n": 11,
            "mean_ret": -2.018,
            "pct_up": 27.3,
            "p_vs_normal": 0.8273
          },
          "30": {
            "n": 9,
            "mean_ret": -8.944,
            "pct_up": 11.1,
            "p_vs_normal": 0.2261
          }
        }
      },
      "P95_ONLY": {
        "Morning": {
          "5": {
            "n": 24,
            "mean_ret": -3.34,
            "pct_up": 29.2,
            "p_vs_normal": 0.0201
          },
          "10": {
            "n": 24,
            "mean_ret": -0.542,
            "pct_up": 41.7,
            "p_vs_normal": 0.8286
          },
          "15": {
            "n": 24,
            "mean_ret": -2.36,
            "pct_up": 29.2,
            "p_vs_normal": 0.6539
          },
          "30": {
            "n": 24,
            "mean_ret": -1.442,
            "pct_up": 33.3,
            "p_vs_normal": 0.4159
          }
        },
        "Afternoon": {
          "5": {
            "n": 30,
            "mean_ret": -1.167,
            "pct_up": 40.0,
            "p_vs_normal": 0.749
          },
          "10": {
            "n": 27,
            "mean_ret": -2.033,
            "pct_up": 33.3,
            "p_vs_normal": 0.7956
          },
          "15": {
            "n": 27,
            "mean_ret": -2.187,
            "pct_up": 33.3,
            "p_vs_normal": 0.8165
          },
          "30": {
            "n": 19,
            "mean_ret": -4.784,
            "pct_up": 26.3,
            "p_vs_normal": 0.9981
          }
        }
      },
      "BOTH": {
        "Morning": {},
        "Afternoon": {}
      },
      "NORMAL": {
        "Morning": {
          "5": {
            "n": 983,
            "mean_ret": -0.297,
            "pct_up": 45.3,
            "p_vs_normal": null
          },
          "10": {
            "n": 983,
            "mean_ret": -0.926,
            "pct_up": 44.5,
            "p_vs_normal": null
          },
          "15": {
            "n": 983,
            "mean_ret": -1.401,
            "pct_up": 45.2,
            "p_vs_normal": null
          },
          "30": {
            "n": 983,
            "mean_ret": -3.646,
            "pct_up": 39.4,
            "p_vs_normal": null
          }
        },
        "Afternoon": {
          "5": {
            "n": 851,
            "mean_ret": -0.867,
            "pct_up": 39.1,
            "p_vs_normal": null
          },
          "10": {
            "n": 830,
            "mean_ret": -1.685,
            "pct_up": 37.1,
            "p_vs_normal": null
          },
          "15": {
            "n": 800,
            "mean_ret": -2.547,
            "pct_up": 31.8,
            "p_vs_normal": null
          },
          "30": {
            "n": 722,
            "mean_ret": -4.79,
            "pct_up": 24.4,
            "p_vs_normal": null
          }
        }
      }
    },
    "test3_combined_strength": {
      "5": {
        "NORMAL": {
          "n": 2001,
          "mean_ret": -0.569,
          "pct_up": 42.8
        },
        "HNEG_ONLY": {
          "n": 102,
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          "pct_up": 49.0,
          "p_vs_normal": 0.0159,
          "t_stat": 2.413
        },
        "P95_ONLY": {
          "n": 54,
          "mean_ret": -2.132,
          "pct_up": 35.2,
          "p_vs_normal": 0.0703,
          "t_stat": -1.811
        },
        "BOTH": {
          "n": 3,
          "mean_ret": -6.367,
          "pct_up": 0.0,
          "p_vs_normal": null,
          "t_stat": null
        }
      },
      "10": {
        "NORMAL": {
          "n": 1980,
          "mean_ret": -1.254,
          "pct_up": 41.6
        },
        "HNEG_ONLY": {
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          "p_vs_normal": 0.0001,
          "t_stat": 4.024
        },
        "P95_ONLY": {
          "n": 51,
          "mean_ret": -1.331,
          "pct_up": 37.3,
          "p_vs_normal": 0.9495,
          "t_stat": -0.063
        },
        "BOTH": {
          "n": 2,
          "mean_ret": -2.55,
          "pct_up": 50.0,
          "p_vs_normal": null,
          "t_stat": null
        }
      },
      "15": {
        "NORMAL": {
          "n": 1950,
          "mean_ret": -1.921,
          "pct_up": 39.8
        },
        "HNEG_ONLY": {
          "n": 97,
          "mean_ret": 3.059,
          "pct_up": 60.8,
          "p_vs_normal": 0.0,
          "t_stat": 4.668
        },
        "P95_ONLY": {
          "n": 51,
          "mean_ret": -2.269,
          "pct_up": 31.4,
          "p_vs_normal": 0.8122,
          "t_stat": -0.238
        },
        "BOTH": {
          "n": 2,
          "mean_ret": -1.15,
          "pct_up": 50.0,
          "p_vs_normal": null,
          "t_stat": null
        }
      },
      "30": {
        "NORMAL": {
          "n": 1872,
          "mean_ret": -3.858,
          "pct_up": 34.6
        },
        "HNEG_ONLY": {
          "n": 95,
          "mean_ret": 4.973,
          "pct_up": 65.3,
          "p_vs_normal": 0.0,
          "t_stat": 6.426
        },
        "P95_ONLY": {
          "n": 43,
          "mean_ret": -2.919,
          "pct_up": 30.2,
          "p_vs_normal": 0.6409,
          "t_stat": 0.467
        },
        "BOTH": {
          "n": 0,
          "mean_ret": null,
          "pct_up": null,
          "p_vs_normal": null,
          "t_stat": null
        }
      }
    }
  }
}