{
  "baseline_rho": 0.12585699439210218,
  "baseline_n": 21907,
  "total_windows": 21907,
  "conditions": [
    {
      "condition": "Overall baseline",
      "n": 21907,
      "rho": 0.12585699439210218,
      "pvalue": 4.817594708760458e-78
    },
    {
      "condition": "Morning (9:30-11:00 ET)",
      "n": 5220,
      "rho": 0.10584943063340806,
      "pvalue": 1.7566653328445697e-14
    },
    {
      "condition": "Midday  (11:00-14:00 ET)",
      "n": 10293,
      "rho": 0.13146063904110206,
      "pvalue": 6.572449722780462e-41
    },
    {
      "condition": "Afternoon (14:00-16:00 ET)",
      "n": 6394,
      "rho": 0.13677576170734812,
      "pvalue": 4.44006659774485e-28
    },
    {
      "condition": "After consol breakout (10pt/12bar)",
      "n": 188,
      "rho": 0.08320288672660157,
      "pvalue": 0.25629930537985895
    },
    {
      "condition": "NOT after consol breakout",
      "n": 21719,
      "rho": 0.12610343440504768,
      "pvalue": 1.091764774884036e-77
    },
    {
      "condition": "Near gamma cluster (within 15pt)",
      "n": 19759,
      "rho": 0.11885390567574688,
      "pvalue": 4.3780388487461785e-63
    },
    {
      "condition": "NOT near gamma cluster",
      "n": 2148,
      "rho": 0.18501703144655496,
      "pvalue": 5.397566278093725e-18
    },
    {
      "condition": "RVOL LOW  (<=0.96)",
      "n": 5588,
      "rho": 0.11680385775174937,
      "pvalue": 1.961640919469539e-18
    },
    {
      "condition": "RVOL MID  (0.96-1.06)",
      "n": 4928,
      "rho": 0.11004909276853833,
      "pvalue": 9.409300632213682e-15
    },
    {
      "condition": "RVOL HIGH (>1.06)",
      "n": 6314,
      "rho": 0.16673677199396778,
      "pvalue": 1.3568711307938701e-40
    },
    {
      "condition": "GEX NEG proxy (day range >60pt)",
      "n": 10010,
      "rho": 0.19734882183497054,
      "pvalue": 1.8799254267509036e-88
    },
    {
      "condition": "GEX MID proxy (40-60pt)",
      "n": 6938,
      "rho": 0.08894557849275511,
      "pvalue": 1.15303510478647e-13
    },
    {
      "condition": "GEX POS proxy (day range <40pt)",
      "n": 4959,
      "rho": 0.03961191090316374,
      "pvalue": 0.00527293546856315
    },
    {
      "condition": "Tight compression (30-bar range <10pt)",
      "n": 6132,
      "rho": 0.03396773589330897,
      "pvalue": 0.007810822424089632
    },
    {
      "condition": "Mid range (10-20pt)",
      "n": 8489,
      "rho": 0.12714173333902806,
      "pvalue": 6.249003365874129e-32
    },
    {
      "condition": "Wide range (30-bar range >20pt)",
      "n": 7286,
      "rho": 0.21044853579220257,
      "pvalue": 9.917987217889272e-74
    },
    {
      "condition": "One-sided delta (top/bot 25%)",
      "n": 10959,
      "rho": 0.1272823618007283,
      "pvalue": 8.184870925386697e-41
    },
    {
      "condition": "Mid delta (middle 50%)",
      "n": 10948,
      "rho": 0.1254806288557346,
      "pvalue": 1.1439318389301426e-39
    },
    {
      "condition": "Strongly bullish delta (top 25%)",
      "n": 5479,
      "rho": 0.1429933991190342,
      "pvalue": 2.011360819248379e-26
    },
    {
      "condition": "Strongly bearish delta (bot 25%)",
      "n": 5480,
      "rho": 0.11130748784559345,
      "pvalue": 1.413783581275661e-16
    },
    {
      "condition": "Near VWAP (within 3pt)",
      "n": 3876,
      "rho": 0.08126890272041597,
      "pvalue": 4.055141584931191e-07
    },
    {
      "condition": "Mid VWAP (3-10pt)",
      "n": 7171,
      "rho": 0.09687342011089253,
      "pvalue": 2.0127069534795497e-16
    },
    {
      "condition": "Far from VWAP (>10pt)",
      "n": 10860,
      "rho": 0.15813572204272283,
      "pvalue": 9.393696149155179e-62
    },
    {
      "condition": "At new day high/low",
      "n": 2195,
      "rho": 0.1454977646516325,
      "pvalue": 7.422021724972593e-12
    },
    {
      "condition": "NOT at new day high/low",
      "n": 19712,
      "rho": 0.12376972678318922,
      "pvalue": 3.87734361197607e-68
    },
    {
      "condition": "After failed breakout",
      "n": 12,
      "rho": -0.17482517482517487,
      "pvalue": 0.5868236643627043
    },
    {
      "condition": "No breakout context",
      "n": 21707,
      "rho": 0.12610949392043858,
      "pvalue": 1.1821654968047438e-77
    },
    {
      "condition": "Morning + near cluster",
      "n": 4725,
      "rho": 0.10347375825013738,
      "pvalue": 1.0043603507432767e-12
    },
    {
      "condition": "Morning + tight compression",
      "n": 427,
      "rho": -0.010227843091926167,
      "pvalue": 0.8330949161954729
    },
    {
      "condition": "Morning + near VWAP",
      "n": 1575,
      "rho": 0.05068483611252744,
      "pvalue": 0.04430562734213775
    },
    {
      "condition": "Morning + low RVOL",
      "n": 1314,
      "rho": 0.08457629753624382,
      "pvalue": 0.002152089724679568
    }
  ],
  "notes": {
    "signal": "mean_buy_size vs mean_sell_size asymmetry",
    "formula": "(mean_buy - mean_sell) / (mean_buy + mean_sell)",
    "window": "5-min rolling",
    "forward_return": "fwd_5min_return",
    "side_convention": "B=buy_aggressor A=sell_aggressor (Databento)",
    "gex_proxy": "day_range>60pt=NEG, <40pt=POS"
  }
}