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"reversal": 35.0, "ft_delta": -3.1, "chop_delta": 2.7, "trend_delta": -6.2, "value_score": -15.0, "is_n": 19, "oos_n": 21, "is_ft": 89.5, "oos_ft": 90.5 }, { "filter": "Vol < 20d Avg", "n": 44, "close_up": 9.1, "close_dn": 90.9, "chop": 29.5, "trend": 27.3, "avg_ret": -0.4464, "reversal": 38.6, "ft_delta": -2.2, "chop_delta": 4.8, "trend_delta": -6.4, "value_score": -15.5, "is_n": 21, "oos_n": 23, "is_ft": 90.5, "oos_ft": 91.3 }, { "filter": "Strong Open Drive", "n": 39, "close_up": 10.3, "close_dn": 89.7, "chop": 30.8, "trend": 30.8, "avg_ret": -0.613, "reversal": 41.0, "ft_delta": -3.3, "chop_delta": 6.0, "trend_delta": -2.9, "value_score": -15.6, "is_n": 16, "oos_n": 23, "is_ft": 93.8, "oos_ft": 87.0 }, { "filter": "Gap Held (<25%)", "n": 24, "close_up": 16.7, "close_dn": 83.3, "chop": 33.3, "trend": 37.5, "avg_ret": -0.9573, "reversal": 54.2, "ft_delta": -9.7, "chop_delta": 8.6, "trend_delta": 3.8, "value_score": -24.2, "is_n": 16, "oos_n": 8, "is_ft": 81.2, "oos_ft": 87.5 }, { 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"chop_delta": 10.5, "trend_delta": -10.1, "value_score": -30.3, "is_n": 16, "oos_n": 18, "is_ft": 81.2, "oos_ft": 94.4 }, { "filter": "Upper Rejection", "n": 29, "close_up": 13.8, "close_dn": 86.2, "chop": 37.9, "trend": 24.1, "avg_ret": -0.5617, "reversal": 34.5, "ft_delta": -6.9, "chop_delta": 13.2, "trend_delta": -9.5, "value_score": -36.4, "is_n": 15, "oos_n": 14, "is_ft": 86.7, "oos_ft": 85.7 }, { "filter": "Cum\u0394+ & Above VWAP", "n": 26, "close_up": 15.4, "close_dn": 84.6, "chop": 42.3, "trend": 23.1, "avg_ret": -0.7009, "reversal": 38.5, "ft_delta": -8.5, "chop_delta": 17.6, "trend_delta": -10.6, "value_score": -45.0, "is_n": 12, "oos_n": 14, "is_ft": 75.0, "oos_ft": 92.9 }, { "filter": "ORB Bullish Close", "n": 22, "close_up": 13.6, "close_dn": 86.4, "chop": 45.5, "trend": 18.2, "avg_ret": -0.6444, "reversal": 54.5, "ft_delta": -6.7, "chop_delta": 20.7, "trend_delta": -15.5, "value_score": -49.6, "is_n": 9, "oos_n": 13, "is_ft": 77.8, "oos_ft": 92.3 }, { "filter": "Bullish 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"filter": "No Rejection", "n": 33, "close_up": 57.6, "close_dn": 42.4, "chop": 39.4, "trend": 15.2, "avg_ret": 0.0325, "reversal": 51.5, "ft_delta": 0, "chop_delta": 4.3, "trend_delta": -4.1, "value_score": 8.5, "is_n": 26, "oos_n": 7, "is_ft": null, "oos_ft": null }, { "filter": "Cum\u0394 Positive", "n": 28, "close_up": 46.4, "close_dn": 53.6, "chop": 32.1, "trend": 14.3, "avg_ret": 0.0879, "reversal": 50.0, "ft_delta": 0, "chop_delta": -2.9, "trend_delta": -5.0, "value_score": 8.0, "is_n": 19, "oos_n": 9, "is_ft": null, "oos_ft": null }, { "filter": "Buy Dominant", "n": 28, "close_up": 46.4, "close_dn": 53.6, "chop": 32.1, "trend": 14.3, "avg_ret": 0.0879, "reversal": 50.0, "ft_delta": 0, "chop_delta": -2.9, "trend_delta": -5.0, "value_score": 8.0, "is_n": 19, "oos_n": 9, "is_ft": null, "oos_ft": null }, { "filter": "Range Contracting", "n": 42, "close_up": 47.6, "close_dn": 52.4, "chop": 38.1, "trend": 14.3, "avg_ret": 0.0683, "reversal": 52.4, "ft_delta": 0, "chop_delta": 3.0, "trend_delta": -5.0, "value_score": 8.0, "is_n": 27, "oos_n": 15, "is_ft": null, "oos_ft": null }, { "filter": "Cum\u0394 Negative", "n": 29, "close_up": 58.6, "close_dn": 41.4, "chop": 37.9, "trend": 24.1, "avg_ret": 0.0543, "reversal": 55.2, "ft_delta": 0, "chop_delta": 2.8, "trend_delta": 4.8, "value_score": 7.7, "is_n": 20, "oos_n": 9, "is_ft": null, "oos_ft": null }, { "filter": "ORB Indecisive", "n": 15, "close_up": 60.0, "close_dn": 40.0, "chop": 33.3, "trend": 13.3, "avg_ret": 0.1891, "reversal": 40.0, "ft_delta": 0, "chop_delta": -1.8, "trend_delta": -6.0, "value_score": 7.7, "is_n": 7, "oos_n": 8, "is_ft": null, "oos_ft": null }, { "filter": "Sell Dominant", "n": 29, "close_up": 58.6, "close_dn": 41.4, "chop": 37.9, "trend": 24.1, "avg_ret": 0.0543, "reversal": 55.2, "ft_delta": 0, "chop_delta": 2.8, "trend_delta": 4.8, "value_score": 7.7, "is_n": 20, "oos_n": 9, "is_ft": null, "oos_ft": null }, { "filter": "Lower Rejection", "n": 17, "close_up": 29.4, "close_dn": 70.6, "chop": 41.2, "trend": 17.6, "avg_ret": -0.0112, "reversal": 70.6, "ft_delta": 0, "chop_delta": 6.1, "trend_delta": -1.7, "value_score": 7.7, "is_n": 6, "oos_n": 11, "is_ft": null, "oos_ft": null }, { "filter": "\u0394 Accelerating", "n": 12, "close_up": 50.0, "close_dn": 50.0, "chop": 33.3, "trend": 25.0, "avg_ret": 0.0273, "reversal": 58.3, "ft_delta": 0, "chop_delta": -1.8, "trend_delta": 5.7, "value_score": 7.5, "is_n": 10, "oos_n": 2, "is_ft": null, "oos_ft": null }, { "filter": "Gap Held (<25%)", "n": 13, "close_up": 53.8, "close_dn": 46.2, "chop": 38.5, "trend": 23.1, "avg_ret": 0.1129, "reversal": 38.5, "ft_delta": 0, "chop_delta": 3.4, "trend_delta": 3.8, "value_score": 7.2, "is_n": 10, "oos_n": 3, "is_ft": null, "oos_ft": null }, { "filter": "Bullish Alignment", "n": 13, "close_up": 30.8, "close_dn": 69.2, "chop": 38.5, "trend": 23.1, "avg_ret": -0.0392, "reversal": 46.2, "ft_delta": 0, "chop_delta": 3.4, "trend_delta": 3.8, "value_score": 7.2, "is_n": 10, "oos_n": 3, 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"value_score": 39.0, "is_n": 20, "oos_n": 27, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "ORB Bearish Close + No Rejection", "n": 44, "ft": 100.0, "ft_delta": 6.9, "chop": 11.4, "chop_delta": -13.4, "trend": 45.5, "trend_delta": 11.8, "avg_ret": -0.7392, "reversal": 47.7, "value_score": 39.0, "is_n": 19, "oos_n": 25, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Bottom Q + \u0394 Decelerating", "n": 24, "ft": 100.0, "ft_delta": 6.9, "chop": 12.5, "chop_delta": -12.3, "trend": 45.8, "trend_delta": 12.2, "avg_ret": -0.932, "reversal": 45.8, "value_score": 38.3, "is_n": 13, "oos_n": 11, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Strong (top/bot Q) + ORB Bearish Close", "n": 36, "ft": 100.0, "ft_delta": 6.9, "chop": 11.1, "chop_delta": -13.6, "trend": 44.4, "trend_delta": 10.8, "avg_ret": -0.8386, "reversal": 41.7, "value_score": 38.3, "is_n": 15, "oos_n": 21, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "ORB Bearish Close + Weak Open Drive", "n": 40, "ft": 100.0, "ft_delta": 6.9, "chop": 10.0, "chop_delta": -14.8, "trend": 42.5, "trend_delta": 8.8, "avg_ret": -0.7247, "reversal": 45.0, "value_score": 37.5, "is_n": 19, "oos_n": 21, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Negative + Cum\u0394 Bottom Q", "n": 41, "ft": 100.0, "ft_delta": 6.9, "chop": 14.6, "chop_delta": -10.1, "trend": 46.3, "trend_delta": 12.7, "avg_ret": -0.8666, "reversal": 43.9, "value_score": 36.7, "is_n": 19, "oos_n": 22, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Negative + Cum\u0394 Strong (top/bot Q)", "n": 41, "ft": 100.0, "ft_delta": 6.9, "chop": 14.6, "chop_delta": -10.1, "trend": 46.3, "trend_delta": 12.7, "avg_ret": -0.8666, "reversal": 43.9, "value_score": 36.7, "is_n": 19, "oos_n": 22, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Bottom Q + Cum\u0394 Strong (top/bot Q)", "n": 41, "ft": 100.0, "ft_delta": 6.9, "chop": 14.6, "chop_delta": -10.1, "trend": 46.3, "trend_delta": 12.7, "avg_ret": -0.8666, "reversal": 43.9, "value_score": 36.7, "is_n": 19, "oos_n": 22, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Bottom Q + Sell Dominant", "n": 41, "ft": 100.0, "ft_delta": 6.9, "chop": 14.6, "chop_delta": -10.1, "trend": 46.3, "trend_delta": 12.7, "avg_ret": -0.8666, "reversal": 43.9, "value_score": 36.7, "is_n": 19, "oos_n": 22, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Strong (top/bot Q) + Sell Dominant", "n": 41, "ft": 100.0, "ft_delta": 6.9, "chop": 14.6, "chop_delta": -10.1, "trend": 46.3, "trend_delta": 12.7, "avg_ret": -0.8666, "reversal": 43.9, "value_score": 36.7, "is_n": 19, "oos_n": 22, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Negative + \u0394 Accelerating", "n": 19, "ft": 100.0, "ft_delta": 6.9, "chop": 15.8, "chop_delta": -9.0, "trend": 47.4, "trend_delta": 13.7, "avg_ret": -0.7323, "reversal": 42.1, "value_score": 36.5, "is_n": 7, "oos_n": 12, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "\u0394 Accelerating + Sell 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"reversal": 53.1, "value_score": 36.2, "is_n": 16, "oos_n": 16, "is_ft": 100.0, "oos_ft": 100.0 }, { "filters": "Cum\u0394 Bottom Q + Vol > 20d Avg", "n": 26, "ft": 100.0, "ft_delta": 6.9, "chop": 15.4, "chop_delta": -9.4, "trend": 46.2, "trend_delta": 12.5, "avg_ret": -0.8925, "reversal": 46.2, "value_score": 35.7, "is_n": 9, "oos_n": 17, "is_ft": 100.0, "oos_ft": 100.0 } ], "Double Break": [ { "filters": "No Rejection + Cum\u0394- & Below VWAP", "n": 10, "ft": null, "ft_delta": 0, "chop": 70.0, "chop_delta": 34.9, "trend": 10.0, "trend_delta": -9.3, "avg_ret": -0.2369, "reversal": 80.0, "value_score": 44.2, "is_n": 10, "oos_n": 0, "is_ft": null, "oos_ft": null }, { "filters": "Open Drive Down + Cum\u0394- & Below VWAP", "n": 10, "ft": null, "ft_delta": 0, "chop": 70.0, "chop_delta": 34.9, "trend": 10.0, "trend_delta": -9.3, "avg_ret": -0.2369, "reversal": 80.0, "value_score": 44.2, "is_n": 10, "oos_n": 0, "is_ft": null, "oos_ft": null }, { "filters": "Cum\u0394 Negative + Open Drive Up", "n": 12, "ft": null, "ft_delta": 0, "chop": 8.3, "chop_delta": -26.8, "trend": 33.3, "trend_delta": 14.0, "avg_ret": 0.3513, "reversal": 16.7, "value_score": 40.8, "is_n": 7, "oos_n": 5, "is_ft": null, "oos_ft": null }, { "filters": "Vol > 20d Avg + Any Rejection", "n": 8, "ft": null, "ft_delta": 0, "chop": 12.5, "chop_delta": -22.6, "trend": 37.5, "trend_delta": 18.2, "avg_ret": 0.4032, "reversal": 50.0, "value_score": 40.8, "is_n": 6, "oos_n": 2, "is_ft": null, "oos_ft": null }, { "filters": "Sell Dominant + Open Drive Up", "n": 12, "ft": null, "ft_delta": 0, "chop": 8.3, "chop_delta": -26.8, "trend": 33.3, "trend_delta": 14.0, "avg_ret": 0.3513, "reversal": 16.7, "value_score": 40.8, "is_n": 7, "oos_n": 5, "is_ft": null, "oos_ft": null }, { "filters": "No Rejection + Bearish Alignment", "n": 9, "ft": null, "ft_delta": 0, "chop": 66.7, "chop_delta": 31.6, "trend": 11.1, "trend_delta": -8.2, "avg_ret": -0.2132, "reversal": 77.8, "value_score": 39.8, "is_n": 9, "oos_n": 0, "is_ft": null, "oos_ft": null }, { "filters": "Open Drive Down + Bearish Alignment", "n": 9, "ft": null, "ft_delta": 0, "chop": 66.7, "chop_delta": 31.6, "trend": 11.1, "trend_delta": -8.2, "avg_ret": -0.2132, "reversal": 77.8, "value_score": 39.8, "is_n": 9, "oos_n": 0, "is_ft": null, "oos_ft": null }, { "filters": "\u0394 Decelerating + Cum\u0394- & Below VWAP", "n": 11, "ft": null, "ft_delta": 0, "chop": 63.6, "chop_delta": 28.5, "trend": 9.1, "trend_delta": -10.2, "avg_ret": 0.0109, "reversal": 54.5, "value_score": 38.8, "is_n": 9, "oos_n": 2, "is_ft": null, "oos_ft": null }, { "filters": "Below VWAP + No Rejection", "n": 15, "ft": null, "ft_delta": 0, "chop": 60.0, "chop_delta": 24.9, "trend": 6.7, "trend_delta": -12.6, "avg_ret": -0.0941, "reversal": 80.0, "value_score": 37.5, "is_n": 13, "oos_n": 2, "is_ft": null, "oos_ft": null }, { "filters": "\u0394 Decelerating + Bearish Alignment", "n": 8, "ft": null, "ft_delta": 0, "chop": 62.5, "chop_delta": 27.4, "trend": 12.5, "trend_delta": -6.8, "avg_ret": -0.033, "reversal": 62.5, "value_score": 34.2, "is_n": 8, "oos_n": 0, "is_ft": null, "oos_ft": null }, { "filters": "ORB Bearish Close + No Rejection", "n": 12, "ft": null, "ft_delta": 0, "chop": 58.3, "chop_delta": 23.2, "trend": 8.3, "trend_delta": -11.0, "avg_ret": -0.1197, "reversal": 83.3, "value_score": 34.2, "is_n": 11, "oos_n": 1, "is_ft": null, "oos_ft": null }, { "filters": "ORB Bearish Close + Open Drive Down", "n": 10, "ft": null, "ft_delta": 0, "chop": 60.0, "chop_delta": 24.9, "trend": 10.0, "trend_delta": -9.3, "avg_ret": -0.2273, "reversal": 80.0, "value_score": 34.2, "is_n": 10, "oos_n": 0, "is_ft": null, "oos_ft": null }, { "filters": "Vol > 20d Avg + No Rejection", "n": 13, "ft": null, "ft_delta": 0, "chop": 46.2, "chop_delta": 11.1, "trend": 0.0, "trend_delta": -19.3, "avg_ret": 0.0023, "reversal": 46.2, "value_score": 30.4, "is_n": 9, "oos_n": 4, "is_ft": null, "oos_ft": null }, { "filters": "Vol > 20d Avg + Cum\u0394- & Below VWAP", 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65.1 } ], "Clean Break \u2193": [ { "filters": "Cum\u0394 Bottom Q + No Rejection + Open Drive Up", "n": 8, "ft": 100.0, "ft_delta": 6.9, "chop": 12.5, "chop_delta": -12.3, "trend": 75.0, "trend_delta": 41.3, "avg_ret": -1.138, "reversal": 12.5, "value_score": 67.5 }, { "filters": "Weak Open Drive + Open Drive Up + Bearish Alignment", "n": 8, "ft": 100.0, "ft_delta": 6.9, "chop": 0.0, "chop_delta": -24.8, "trend": 62.5, "trend_delta": 28.8, "avg_ret": -1.1278, "reversal": 25.0, "value_score": 67.5 }, { "filters": "Cum\u0394 Bottom Q + ORB Bearish Close + Open Drive Up", "n": 10, "ft": 100.0, "ft_delta": 6.9, "chop": 10.0, "chop_delta": -14.8, "trend": 70.0, "trend_delta": 36.3, "avg_ret": -1.0265, "reversal": 20.0, "value_score": 65.0 }, { "filters": "Cum\u0394 Bottom Q + Open Drive Up + Bearish Alignment", "n": 10, "ft": 100.0, "ft_delta": 6.9, "chop": 10.0, "chop_delta": -14.8, "trend": 70.0, "trend_delta": 36.3, "avg_ret": -1.0265, "reversal": 20.0, "value_score": 65.0 }, { 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"chop": 6.5, "chop_delta": -18.3, "trend": 48.4, "trend_delta": 14.7, "avg_ret": -0.8348, "reversal": 45.2, "value_score": 46.9 }, { "filters": "Cum\u0394 Negative + Vol < 20d Avg + No Rejection", "n": 12, "ft": 100.0, "ft_delta": 6.9, "chop": 8.3, "chop_delta": -16.4, "trend": 50.0, "trend_delta": 16.3, "avg_ret": -0.8407, "reversal": 58.3, "value_score": 46.6 }, { "filters": "Vol < 20d Avg + Sell Dominant + No Rejection", "n": 12, "ft": 100.0, "ft_delta": 6.9, "chop": 8.3, "chop_delta": -16.4, "trend": 50.0, "trend_delta": 16.3, "avg_ret": -0.8407, "reversal": 58.3, "value_score": 46.6 }, { "filters": "Vol < 20d Avg + No Rejection + Cum\u0394- & Below VWAP", "n": 12, "ft": 100.0, "ft_delta": 6.9, "chop": 8.3, "chop_delta": -16.4, "trend": 50.0, "trend_delta": 16.3, "avg_ret": -0.8407, "reversal": 58.3, "value_score": 46.6 }, { "filters": "Vol < 20d Avg + No Rejection + Bearish Alignment", "n": 12, "ft": 100.0, "ft_delta": 6.9, "chop": 8.3, "chop_delta": -16.4, "trend": 50.0, 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"value_score": 0.4, "is_n": 38, "oos_n": 49, "is_ft": 92.1, "oos_ft": 93.9, "is_oos_diff": 1.8 } ], "Double Break": [], "No Break": [] } }