{
  "meta": {
    "n_windows": 21907,
    "n_days": 290,
    "date_range": [
      "2025-01-02",
      "2026-02-27"
    ],
    "signal": "mean_size_asymmetry = (mean_buy - mean_sell)/(mean_buy + mean_sell)",
    "side_convention": "B=buyer_aggressor(buy), A=seller_aggressor(sell)"
  },
  "baseline": {
    "rho": 0.12541997632986274,
    "p": 1.6407607522943946e-77,
    "n": 21907
  },
  "test1_median_vs_mean": {
    "mean_rho": 0.12541997632986274,
    "mean_p": 1.6407607522943946e-77,
    "median_rho": -0.038300327994459996,
    "median_p": 1.4230350763034212e-08,
    "interpretation": "whale_driven",
    "n": 21907
  },
  "test2_threshold_trigger": [
    {
      "threshold": 1.2,
      "direction": "BUY",
      "n": 1133,
      "win_rate": 0.5939982347749339,
      "mean_fwd5_pts": 1.3887908208296558
    },
    {
      "threshold": 1.2,
      "direction": "SELL",
      "n": 1211,
      "win_rate": 0.5103220478943022,
      "mean_fwd5_pts": -0.5759702725020645
    },
    {
      "threshold": 1.3,
      "direction": "BUY",
      "n": 363,
      "win_rate": 0.5922865013774105,
      "mean_fwd5_pts": 0.8608815426997245
    },
    {
      "threshold": 1.3,
      "direction": "SELL",
      "n": 429,
      "win_rate": 0.5314685314685315,
      "mean_fwd5_pts": -0.581002331002331
    },
    {
      "threshold": 1.5,
      "direction": "BUY",
      "n": 54,
      "win_rate": 0.6296296296296297,
      "mean_fwd5_pts": 0.8240740740740741
    },
    {
      "threshold": 1.5,
      "direction": "SELL",
      "n": 57,
      "win_rate": 0.543859649122807,
      "mean_fwd5_pts": -0.6491228070175439
    },
    {
      "threshold": 1.75,
      "direction": "BUY",
      "n": 11,
      "win_rate": 0.6363636363636364,
      "mean_fwd5_pts": 1.2045454545454546
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  ],
  "test3_trade_count_filter": [
    {
      "bucket": "50-100",
      "n": 15,
      "rho": -0.23981772851470995,
      "p": 0.3892945606752517
    },
    {
      "bucket": "100-200",
      "n": 57,
      "rho": 0.1330416683359966,
      "p": 0.323846557044568
    },
    {
      "bucket": "200+",
      "n": 21834,
      "rho": 0.12579608396478864,
      "p": 1.0249393564808615e-77
    }
  ],
  "test4_persistence": [
    {
      "consecutive_windows": 2,
      "n": 13542,
      "rho": 0.10369562159194652,
      "p": 1.074511569575876e-33,
      "win_rate": 0.5185119782554635
    },
    {
      "consecutive_windows": 3,
      "n": 8853,
      "rho": 0.09491394204218491,
      "p": 3.572998085747632e-19,
      "win_rate": 0.5166483704732618
    },
    {
      "consecutive_windows": 4,
      "n": 6035,
      "rho": 0.101682035840466,
      "p": 2.4118976003784462e-15,
      "win_rate": 0.5179747985060216
    }
  ],
  "test5_size_of_size": [
    {
      "size_bucket": "<5",
      "n": 21803,
      "rho": 0.12437007715166326,
      "p": 6.901732992336665e-76,
      "avg_mean_buy": 2.9802677687212915,
      "avg_mean_sell": 2.9821766711707203
    },
    {
      "size_bucket": "5-10",
      "n": 104,
      "rho": 0.34317464348174126,
      "p": 0.00036198312451441296,
      "avg_mean_buy": 4.7555448751884715,
      "avg_mean_sell": 4.632136319542849
    }
  ],
  "test6_winsorized_mean": [
    {
      "cap_percentile": 50,
      "n": 21907,
      "rho": -0.011975730778409997,
      "p": 0.07631293216981307
    },
    {
      "cap_percentile": 75,
      "n": 21907,
      "rho": -0.03829453149612062,
      "p": 1.430186647609878e-08
    },
    {
      "cap_percentile": 90,
      "n": 21907,
      "rho": -0.027077358120368475,
      "p": 6.117563213242958e-05
    },
    {
      "cap_percentile": 95,
      "n": 21907,
      "rho": -0.0017033340412528908,
      "p": 0.800966476582493
    },
    {
      "cap_percentile": 99,
      "n": 21907,
      "rho": 0.0631702119457642,
      "p": 8.076550527018528e-21
    }
  ],
  "test7_entry_exit_sim": [
    {
      "entry_threshold": 1.3,
      "n_trades": 529,
      "win_rate": 0.5330812854442344,
      "avg_pnl_pts": 1.6795841209829867,
      "avg_hold_bars": 3.8147448015122873,
      "total_pnl_pts": 888.5
    },
    {
      "entry_threshold": 1.5,
      "n_trades": 82,
      "win_rate": 0.5,
      "avg_pnl_pts": 0.6951219512195121,
      "avg_hold_bars": 4.317073170731708,
      "total_pnl_pts": 57.0
    },
    {
      "entry_threshold": 2.0,
      "n_trades": 2,
      "win_rate": 0.5,
      "avg_pnl_pts": -5.25,
      "avg_hold_bars": 8.0,
      "total_pnl_pts": -10.5
    }
  ],
  "test8_gex_regime": [
    {
      "regime": "NEG GEX (range>60pt)",
      "n": 10010,
      "rho": 0.1968546713286232,
      "p": 5.195973995112162e-88,
      "wr_top_quintile": 0.5831668331668332,
      "day_range_threshold": "60pt"
    },
    {
      "regime": "MID GEX (40-60pt)",
      "n": 6938,
      "rho": 0.0882033167410662,
      "p": 1.8406355840117813e-13,
      "wr_top_quintile": 0.5362162162162162,
      "day_range_threshold": "40-60pt"
    },
    {
      "regime": "POS GEX (range<40pt)",
      "n": 4959,
      "rho": 0.039576051463744336,
      "p": 0.005314243699838862,
      "wr_top_quintile": 0.5080645161290323,
      "day_range_threshold": "40pt"
    }
  ],
  "test9_time_decay": {
    "q5_buy_asymmetry": {
      "1min": {
        "mean_fwd_pts": 0.4145742981054554,
        "win_rate": 0.5243095183748002,
        "n": 4381
      },
      "2min": {
        "mean_fwd_pts": 0.7897078959379279,
        "win_rate": 0.5572797809219534,
        "n": 4382
      },
      "3min": {
        "mean_fwd_pts": 1.0759356458238247,
        "win_rate": 0.5791875855773619,
        "n": 4382
      },
      "4min": {
        "mean_fwd_pts": 1.261410314924692,
        "win_rate": 0.5789593792788681,
        "n": 4382
      },
      "5min": {
        "mean_fwd_pts": 1.2834322227293473,
        "win_rate": 0.5696029210406207,
        "n": 4382
      },
      "10min": {
        "mean_fwd_pts": 1.219021356489087,
        "win_rate": 0.5442384416803567,
        "n": 4261
      }
    },
    "q1_sell_asymmetry": {
      "1min": {
        "mean_fwd_pts": -0.22603833865814696,
        "win_rate_sell": 0.4701049748973072,
        "n": 4382
      },
      "2min": {
        "mean_fwd_pts": -0.46981971702418984,
        "win_rate_sell": 0.4956640803286171,
        "n": 4382
      },
      "3min": {
        "mean_fwd_pts": -0.6534116841624829,
        "win_rate_sell": 0.5089000456412597,
        "n": 4382
      },
      "4min": {
        "mean_fwd_pts": -0.8152099497946144,
        "win_rate_sell": 0.5191693290734825,
        "n": 4382
      },
      "5min": {
        "mean_fwd_pts": -0.8428229119123688,
        "win_rate_sell": 0.5164308534915564,
        "n": 4382
      },
      "10min": {
        "mean_fwd_pts": -0.7896687514477646,
        "win_rate_sell": 0.5066018068102849,
        "n": 4317
      }
    },
    "all_windows_rho_by_horizon": {
      "1min": {
        "rho": 0.07393548621096173,
        "p": 6.1283750758581625e-28,
        "n": 21906
      },
      "2min": {
        "rho": 0.1163628915789334,
        "p": 6.582076679245706e-67,
        "n": 21907
      },
      "3min": {
        "rho": 0.1314879932254427,
        "p": 4.5579796353141726e-85,
        "n": 21906
      },
      "4min": {
        "rho": 0.14375766916856728,
        "p": 1.74477985662754e-101,
        "n": 21907
      },
      "5min": {
        "rho": 0.12541997632986274,
        "p": 1.6407607522943946e-77,
        "n": 21907
      },
      "10min": {
        "rho": 0.08306207820099708,
        "p": 2.0760021320185668e-34,
        "n": 21617
      }
    }
  },
  "test10_exhaustion_combo": [
    {
      "scenario": "Q5 + NO exhaustion",
      "n": 3584,
      "mean_fwd5_pts": 1.3458426339285714,
      "win_rate": 0.5669642857142857
    },
    {
      "scenario": "Q5 + exhaustion streak",
      "n": 798,
      "mean_fwd5_pts": 1.0031328320802004,
      "win_rate": 0.581453634085213
    },
    {
      "scenario": "Q1 + NO exhaustion",
      "n": 3516,
      "mean_fwd5_pts": -0.997084755403868,
      "win_rate": 0.4391353811149033
    },
    {
      "scenario": "Q1 + exhaustion streak",
      "n": 866,
      "mean_fwd5_pts": -0.21651270207852194,
      "win_rate": 0.4745958429561201
    },
    {
      "scenario": "All + exhaustion streak",
      "n": 3004,
      "mean_fwd5_pts": 0.12266977363515313,
      "win_rate": 0.5033288948069241
    },
    {
      "scenario": "All + NO exhaustion",
      "n": 18903,
      "mean_fwd5_pts": 0.006533354493995662,
      "win_rate": 0.49838649949743424
    },
    {
      "scenario": "exhaustion_rho",
      "rho": 0.09155889090236366,
      "p": 4.989881277294164e-07
    }
  ],
  "test11_location_analysis": {
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        "range_quartile": "Q1_LOD",
        "n": 5406,
        "rho": 0.1777524303994367,
        "p": 1.2831343709565003e-39,
        "wr_top_quintile_buy": 0.5607951918631531,
        "wr_bottom_quintile_sell": 0.5483125288950532
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      {
        "range_quartile": "Q2",
        "n": 5404,
        "rho": 0.13795771977133917,
        "p": 2.2447896657514277e-24,
        "wr_top_quintile_buy": 0.5531914893617021,
        "wr_bottom_quintile_sell": 0.5383903792784459
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      {
        "range_quartile": "Q3",
        "n": 5403,
        "rho": 0.10078299623966432,
        "p": 1.1255706675470529e-13,
        "wr_top_quintile_buy": 0.5506709856547894,
        "wr_bottom_quintile_sell": 0.5043961129106895
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      {
        "range_quartile": "Q4_HOD",
        "n": 5404,
        "rho": 0.10528782063103699,
        "p": 8.513522962091265e-15,
        "wr_top_quintile_buy": 0.5448658649398704,
        "wr_bottom_quintile_sell": 0.49861239592969475
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    "b_cluster_distribution": {
      "buy_q45": {
        "mean_pos": 0.516009082887944,
        "pct_near_lod": 28.330249768732656,
        "pct_mid": 39.338575393154485,
        "pct_near_hod": 32.33117483811286
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      "sell_q12": {
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        "pct_mid": 32.86308973172988,
        "pct_near_hod": 55.527289546716005
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    },
    "c_trend_context": [
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        "context": "Above MA20 (uptrend)",
        "n": 11238,
        "rho": 0.11835049601112074,
        "p": 2.4230259977030055e-36
      },
      {
        "context": "Below MA20 (downtrend)",
        "n": 10379,
        "rho": 0.13503625455803625,
        "p": 1.962682993125366e-43
      }
    ],
    "d_momentum_context": [
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        "signal": "BUY asymmetry",
        "momentum": "with_momentum",
        "n": 5481,
        "mean_fwd5_pts": 0.767469439883233,
        "win_rate": 0.5411421273490239,
        "rho": 0.06568521525052762
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      {
        "signal": "BUY asymmetry",
        "momentum": "against_momentum",
        "n": 5091,
        "mean_fwd5_pts": 0.7689059123944215,
        "win_rate": 0.5446867020231781,
        "rho": 0.07885622974398294
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      {
        "signal": "SELL asymmetry",
        "momentum": "with_momentum",
        "n": 5077,
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        "win_rate": 0.5087650187118377,
        "rho": 0.04311559062342909
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      {
        "signal": "SELL asymmetry",
        "momentum": "against_momentum",
        "n": 5307,
        "mean_fwd5_pts": -0.8352176370830978,
        "win_rate": 0.5228942905596382,
        "rho": -0.003164271405442284
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    ],
    "e_quintile_by_zone": {
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          "win_rate": 0.41866913123844735
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        {
          "quintile": "Q3",
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          "quintile": "Q4",
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      "Q2": [
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        {
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      ],
      "Q3": [
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        {
          "quintile": "Q2",
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        {
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          "win_rate": 0.5060129509713228
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        {
          "quintile": "Q4",
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          "mean_fwd5_pts": 0.625,
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      "Q4_HOD": [
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          "mean_fwd5_pts": -0.6306660499537465,
          "win_rate": 0.4606845513413506
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        {
          "quintile": "Q3",
          "n": 1080,
          "mean_fwd5_pts": -0.4131944444444444,
          "win_rate": 0.4722222222222222
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        {
          "quintile": "Q4",
          "n": 1081,
          "mean_fwd5_pts": 0.6785383903792784,
          "win_rate": 0.5494912118408881
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        {
          "quintile": "Q5",
          "n": 1081,
          "mean_fwd5_pts": 0.8892229417206291,
          "win_rate": 0.5402405180388529
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      ]
    }
  }
}