{
  "model_type": "gbt",
  "features": [
    "confluence_count",
    "rvol",
    "vol_zscore",
    "minutes_since_open",
    "approach_r2",
    "approach_velocity",
    "level_base_rate",
    "dir_level_rate",
    "is_first_touch",
    "is_from_above",
    "is_gex_pos",
    "is_fomc"
  ],
  "generated": "2026-03-15T14:41:17.542156",
  "is_dates": "2025-01-02 to 2025-09-05",
  "oos_dates": "2025-09-08 to 2026-03-02",
  "performance": {
    "is_auc": 0.7609,
    "oos_auc": 0.6936,
    "is_brier": 0.1934,
    "oos_brier": 0.2128
  },
  "level_type_base_rates": {
    "developing_vpoc": 0.5572,
    "dominant_gamma": 0.5732,
    "gap_fill": 0.5207,
    "gex_flip": 0.3958,
    "hvn": 0.5556,
    "ib_high": 0.664,
    "ib_low": 0.5219,
    "lvn": 0.5758,
    "or15_high": 0.5497,
    "or15_low": 0.5509,
    "or30_high": 0.5821,
    "or30_low": 0.5457,
    "overnight_high": 0.625,
    "overnight_low": 0.5305,
    "prior_day_close": 0.535,
    "prior_day_high": 0.6327,
    "prior_day_low": 0.485,
    "prior_day_vpoc": 0.5578,
    "prior_week_high": 0.6702,
    "prior_week_low": 0.375,
    "prior_week_vpoc": 0.6739,
    "round_number": 0.4688,
    "session_high": 0.6751,
    "session_low": 0.4544,
    "swing_high_2h": 0.6589,
    "swing_low_2h": 0.4923,
    "top_oi_strikes": 0.5465,
    "value_area_high": 0.5844,
    "value_area_low": 0.5654,
    "vwap": 0.5803,
    "vwap_minus1": 0.566,
    "vwap_minus2": 0.5041,
    "vwap_plus1": 0.6539,
    "vwap_plus2": 0.7139,
    "zero_gamma": 0.2353
  },
  "direction_level_rates": {
    "developing_vpoc_from_above": 0.5733,
    "developing_vpoc_from_below": 0.5409,
    "dominant_gamma_from_above": 0.5125,
    "dominant_gamma_from_below": 0.631,
    "gap_fill_from_above": 0.5072,
    "gap_fill_from_below": 0.5385,
    "gex_flip_from_above": 0.3966,
    "gex_flip_from_below": 0.3947,
    "hvn_from_above": 0.5855,
    "hvn_from_below": 0.5276,
    "ib_high_from_above": 0.6859,
    "ib_high_from_below": 0.6479,
    "ib_low_from_above": 0.5271,
    "ib_low_from_below": 0.5164,
    "lvn_from_above": 0.5815,
    "lvn_from_below": 0.5707,
    "or15_high_from_above": 0.5862,
    "or15_high_from_below": 0.5274,
    "or15_low_from_above": 0.5169,
    "or15_low_from_below": 0.5805,
    "or30_high_from_above": 0.6203,
    "or30_high_from_below": 0.5503,
    "or30_low_from_above": 0.5325,
    "or30_low_from_below": 0.5583,
    "overnight_high_from_above": 0.6701,
    "overnight_high_from_below": 0.603,
    "overnight_low_from_above": 0.5168,
    "overnight_low_from_below": 0.5487,
    "prior_day_close_from_above": 0.5461,
    "prior_day_close_from_below": 0.5247,
    "prior_day_high_from_above": 0.6148,
    "prior_day_high_from_below": 0.65,
    "prior_day_low_from_above": 0.5181,
    "prior_day_low_from_below": 0.4524,
    "prior_day_vpoc_from_above": 0.5686,
    "prior_day_vpoc_from_below": 0.5503,
    "prior_week_high_from_above": 0.6092,
    "prior_week_high_from_below": 0.7212,
    "prior_week_low_from_above": 0.24,
    "prior_week_low_from_below": 0.4468,
    "prior_week_vpoc_from_above": 0.7123,
    "prior_week_vpoc_from_below": 0.6308,
    "round_number_from_above": 0.4545,
    "round_number_from_below": 0.4796,
    "session_high_from_above": 0.6275,
    "session_high_from_below": 0.6871,
    "session_low_from_above": 0.4768,
    "session_low_from_below": 0.414,
    "swing_high_2h_from_above": 0.6244,
    "swing_high_2h_from_below": 0.6679,
    "swing_low_2h_from_above": 0.5229,
    "swing_low_2h_from_below": 0.4283,
    "top_oi_strikes_from_above": 0.5117,
    "top_oi_strikes_from_below": 0.5789,
    "value_area_high_from_above": 0.5926,
    "value_area_high_from_below": 0.5778,
    "value_area_low_from_above": 0.5981,
    "value_area_low_from_below": 0.5385,
    "vwap_from_above": 0.6072,
    "vwap_from_below": 0.5532,
    "vwap_minus1_from_above": 0.5796,
    "vwap_minus1_from_below": 0.5515,
    "vwap_minus2_from_above": 0.497,
    "vwap_minus2_from_below": 0.516,
    "vwap_plus1_from_above": 0.6765,
    "vwap_plus1_from_below": 0.6273,
    "vwap_plus2_from_above": 0.7207,
    "vwap_plus2_from_below": 0.7103,
    "zero_gamma_from_above": 0.2,
    "zero_gamma_from_below": 0.2857
  },
  "feature_importances": {
    "confluence_count": 0.415923,
    "rvol": 0.090079,
    "vol_zscore": 0.070019,
    "minutes_since_open": 0.191341,
    "approach_r2": 0.026052,
    "approach_velocity": 0.054748,
    "level_base_rate": 0.05572,
    "dir_level_rate": 0.043947,
    "is_first_touch": 0.000862,
    "is_from_above": 0.02036,
    "is_gex_pos": 0.03095,
    "is_fomc": 0.0
  },
  "scaler_means": [
    93.53635071862843,
    1.0247509375946329,
    -0.05904880872807068,
    156.7941950662722,
    0.3454861856120277,
    255.39880674812736,
    0.6026695240979292,
    0.6026695240979291
  ],
  "scaler_stds": [
    74.98338289901973,
    0.6170780760787862,
    0.2859357229951095,
    116.23355053718099,
    0.2916787349362476,
    461.9497160178356,
    0.07544199243780901,
    0.07877192397221423
  ],
  "note": "GBT model - use sklearn to load; weights are feature importances only",
  "all_models": {
    "logistic": {
      "is_auc": 0.6938,
      "oos_auc": 0.6885,
      "is_brier": 0.2138,
      "oos_brier": 0.2147
    },
    "gbt": {
      "is_auc": 0.7609,
      "oos_auc": 0.6936,
      "is_brier": 0.1934,
      "oos_brier": 0.2128
    },
    "empirical": {
      "is_auc": 0.5213,
      "oos_auc": 0.4829,
      "is_brier": 0.2357,
      "oos_brier": 0.2384
    }
  }
}