{
  "meta": {
    "description": "Intraday mean size asymmetry study \u2014 ex-close (excluding last 15 min RTH)",
    "fwd_return_min": 4,
    "window_min": 5,
    "total_days": 290,
    "n_days_in_data": 290,
    "n_windows_total": 21363,
    "exclude_after_et": "15:45",
    "side_convention": "B=buy_aggressor A=sell_aggressor"
  },
  "part_A": {
    "description": "One-sided floor tests (all ratio x floor combos)",
    "best_filter": {
      "label": "ratio>1.3x max_side>=3",
      "N": 680,
      "N_buy": 284,
      "N_sell": 396,
      "rho": 0.1678904320401195,
      "pval": 1.0761923098273314e-05,
      "buy_WR": 0.5598591549295775,
      "sell_WR": 0.5404040404040404,
      "mean_buy_ret_pts": 0.6038732394366197,
      "mean_sell_ret_pts": -0.3440656565656566,
      "events_per_day": 2.3448275862068964,
      "flag": null,
      "ratio_thresh": 1.3,
      "floor_thresh": 3,
      "variant": null,
      "regime": null,
      "zone": null,
      "period": null
    },
    "all_results": [
      {
        "label": "ratio>1.2x max_side>=3",
        "N": 1981,
        "N_buy": 904,
        "N_sell": 1077,
        "rho": 0.15787681715091414,
        "pval": 1.5857597240709142e-12,
        "buy_WR": 0.5730088495575221,
        "sell_WR": 0.49025069637883006,
        "mean_buy_ret_pts": 0.8589601769911505,
        "mean_sell_ret_pts": -0.22191272051996286,
        "events_per_day": 6.8310344827586205,
        "flag": null,
        "ratio_thresh": 1.2,
        "floor_thresh": 3,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.2x max_side>=4",
        "N": 632,
        "N_buy": 269,
        "N_sell": 363,
        "rho": 0.1166263693291543,
        "pval": 0.0033230000840377247,
        "buy_WR": 0.5204460966542751,
        "sell_WR": 0.46005509641873277,
        "mean_buy_ret_pts": 0.3420074349442379,
        "mean_sell_ret_pts": -0.08608815426997245,
        "events_per_day": 2.179310344827586,
        "flag": null,
        "ratio_thresh": 1.2,
        "floor_thresh": 4,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.2x max_side>=5",
        "N": 48,
        "N_buy": 18,
        "N_sell": 30,
        "rho": 0.17728619323543457,
        "pval": 0.22802006476854797,
        "buy_WR": 0.5,
        "sell_WR": 0.6333333333333333,
        "mean_buy_ret_pts": 0.2916666666666667,
        "mean_sell_ret_pts": -0.5666666666666667,
        "events_per_day": 0.16551724137931034,
        "flag": null,
        "ratio_thresh": 1.2,
        "floor_thresh": 5,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.2x max_side>=8",
        "N": 0,
        "N_buy": 0,
        "N_sell": 0,
        "rho": null,
        "pval": null,
        "buy_WR": null,
        "sell_WR": null,
        "mean_buy_ret_pts": null,
        "mean_sell_ret_pts": null,
        "events_per_day": null,
        "flag": "no_events",
        "ratio_thresh": 1.2,
        "floor_thresh": 8,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.3x max_side>=3",
        "N": 680,
        "N_buy": 284,
        "N_sell": 396,
        "rho": 0.1678904320401195,
        "pval": 1.0761923098273314e-05,
        "buy_WR": 0.5598591549295775,
        "sell_WR": 0.5404040404040404,
        "mean_buy_ret_pts": 0.6038732394366197,
        "mean_sell_ret_pts": -0.3440656565656566,
        "events_per_day": 2.3448275862068964,
        "flag": null,
        "ratio_thresh": 1.3,
        "floor_thresh": 3,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.3x max_side>=4",
        "N": 356,
        "N_buy": 147,
        "N_sell": 209,
        "rho": 0.12622874585848665,
        "pval": 0.017179582959617298,
        "buy_WR": 0.54421768707483,
        "sell_WR": 0.5167464114832536,
        "mean_buy_ret_pts": 0.3741496598639456,
        "mean_sell_ret_pts": -0.30861244019138756,
        "events_per_day": 1.2275862068965517,
        "flag": null,
        "ratio_thresh": 1.3,
        "floor_thresh": 4,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.3x max_side>=5",
        "N": 34,
        "N_buy": 11,
        "N_sell": 23,
        "rho": 0.10333522579417725,
        "pval": 0.5608593747094337,
        "buy_WR": 0.45454545454545453,
        "sell_WR": 0.6086956521739131,
        "mean_buy_ret_pts": 0.3409090909090909,
        "mean_sell_ret_pts": -0.358695652173913,
        "events_per_day": 0.11724137931034483,
        "flag": null,
        "ratio_thresh": 1.3,
        "floor_thresh": 5,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.3x max_side>=8",
        "N": 0,
        "N_buy": 0,
        "N_sell": 0,
        "rho": null,
        "pval": null,
        "buy_WR": null,
        "sell_WR": null,
        "mean_buy_ret_pts": null,
        "mean_sell_ret_pts": null,
        "events_per_day": null,
        "flag": "no_events",
        "ratio_thresh": 1.3,
        "floor_thresh": 8,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.5x max_side>=3",
        "N": 93,
        "N_buy": 42,
        "N_sell": 51,
        "rho": 0.14964964312039852,
        "pval": 0.15222211271768804,
        "buy_WR": 0.5476190476190477,
        "sell_WR": 0.5294117647058824,
        "mean_buy_ret_pts": 0.34523809523809523,
        "mean_sell_ret_pts": -0.30392156862745096,
        "events_per_day": 0.32068965517241377,
        "flag": null,
        "ratio_thresh": 1.5,
        "floor_thresh": 3,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.5x max_side>=4",
        "N": 72,
        "N_buy": 32,
        "N_sell": 40,
        "rho": 0.08841589984797972,
        "pval": 0.46017921115434235,
        "buy_WR": 0.46875,
        "sell_WR": 0.55,
        "mean_buy_ret_pts": 0.2109375,
        "mean_sell_ret_pts": -0.2375,
        "events_per_day": 0.2482758620689655,
        "flag": null,
        "ratio_thresh": 1.5,
        "floor_thresh": 4,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.5x max_side>=5",
        "N": 20,
        "N_buy": 7,
        "N_sell": 13,
        "rho": 0.00605615872479481,
        "pval": 0.9797836703114617,
        "buy_WR": 0.2857142857142857,
        "sell_WR": 0.6153846153846154,
        "mean_buy_ret_pts": 0.2857142857142857,
        "mean_sell_ret_pts": -0.25,
        "events_per_day": 0.06896551724137931,
        "flag": "low_N_unreliable",
        "ratio_thresh": 1.5,
        "floor_thresh": 5,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "ratio>1.5x max_side>=8",
        "N": 0,
        "N_buy": 0,
        "N_sell": 0,
        "rho": null,
        "pval": null,
        "buy_WR": null,
        "sell_WR": null,
        "mean_buy_ret_pts": null,
        "mean_sell_ret_pts": null,
        "events_per_day": null,
        "flag": "no_events",
        "ratio_thresh": 1.5,
        "floor_thresh": 8,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": null
      }
    ]
  },
  "part_B": {
    "description": "One-sided vs both-sided vs hybrid floor (ratio>1.2x)",
    "results": [
      {
        "label": "One-sided: max>=3",
        "N": 1981,
        "N_buy": 904,
        "N_sell": 1077,
        "rho": 0.15787681715091414,
        "pval": 1.5857597240709142e-12,
        "buy_WR": 0.5730088495575221,
        "sell_WR": 0.49025069637883006,
        "mean_buy_ret_pts": 0.8589601769911505,
        "mean_sell_ret_pts": -0.22191272051996286,
        "events_per_day": 6.8310344827586205,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": "one_sided_max3",
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "Both-sided: min>=3",
        "N": 821,
        "N_buy": 361,
        "N_sell": 460,
        "rho": 0.10210760769863352,
        "pval": 0.0034016392549053704,
        "buy_WR": 0.5429362880886427,
        "sell_WR": 0.4391304347826087,
        "mean_buy_ret_pts": 0.6045706371191135,
        "mean_sell_ret_pts": 0.06358695652173912,
        "events_per_day": 2.831034482758621,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": "both_sided_min3",
        "regime": null,
        "zone": null,
        "period": null
      },
      {
        "label": "Hybrid: max>=3 AND min>=2",
        "N": 1976,
        "N_buy": 901,
        "N_sell": 1075,
        "rho": 0.15832381437833012,
        "pval": 1.461674190173848e-12,
        "buy_WR": 0.5738068812430632,
        "sell_WR": 0.49116279069767443,
        "mean_buy_ret_pts": 0.8612652608213096,
        "mean_sell_ret_pts": -0.22232558139534883,
        "events_per_day": 6.813793103448276,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": "hybrid_max3_min2",
        "regime": null,
        "zone": null,
        "period": null
      }
    ]
  },
  "part_C": {
    "description": "GEX regime overlay on best filter",
    "best_filter": "ratio>1.3x max_side>=3",
    "results": [
      {
        "label": "NEG GEX (range>60pt)",
        "N": 118,
        "N_buy": 46,
        "N_sell": 72,
        "rho": 0.17370920702861276,
        "pval": 0.05994386701034511,
        "buy_WR": 0.5,
        "sell_WR": 0.5833333333333334,
        "mean_buy_ret_pts": 1.6141304347826086,
        "mean_sell_ret_pts": -0.6354166666666666,
        "events_per_day": 0.4068965517241379,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": "NEG GEX (range>60pt)",
        "zone": null,
        "period": null
      },
      {
        "label": "MID GEX (40-60pt)",
        "N": 251,
        "N_buy": 87,
        "N_sell": 164,
        "rho": 0.13457793618291883,
        "pval": 0.03307454360879558,
        "buy_WR": 0.5862068965517241,
        "sell_WR": 0.5,
        "mean_buy_ret_pts": 0.5172413793103449,
        "mean_sell_ret_pts": -0.17073170731707318,
        "events_per_day": 0.8655172413793103,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": "MID GEX (40-60pt)",
        "zone": null,
        "period": null
      },
      {
        "label": "POS GEX (range<40pt)",
        "N": 311,
        "N_buy": 151,
        "N_sell": 160,
        "rho": 0.2098038372654288,
        "pval": 0.00019408647104439042,
        "buy_WR": 0.5629139072847682,
        "sell_WR": 0.5625,
        "mean_buy_ret_pts": 0.34602649006622516,
        "mean_sell_ret_pts": -0.390625,
        "events_per_day": 1.0724137931034483,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": "POS GEX (range<40pt)",
        "zone": null,
        "period": null
      }
    ]
  },
  "part_D": {
    "description": "Intraday location analysis on best filter",
    "best_filter": "ratio>1.3x max_side>=3",
    "results": [
      {
        "label": "Bottom 25% (near LOD)",
        "N": 65,
        "N_buy": 50,
        "N_sell": 15,
        "rho": 0.2931501473817837,
        "pval": 0.017792115214266654,
        "buy_WR": 0.62,
        "sell_WR": 0.7333333333333333,
        "mean_buy_ret_pts": 1.22,
        "mean_sell_ret_pts": -0.6333333333333333,
        "events_per_day": 0.22413793103448276,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": null,
        "zone": "Bottom 25% (near LOD)",
        "period": null
      },
      {
        "label": "Lower-Mid (25-50%)",
        "N": 73,
        "N_buy": 47,
        "N_sell": 26,
        "rho": 0.16202508342081454,
        "pval": 0.17083750275801307,
        "buy_WR": 0.574468085106383,
        "sell_WR": 0.38461538461538464,
        "mean_buy_ret_pts": 0.39361702127659576,
        "mean_sell_ret_pts": -0.17307692307692307,
        "events_per_day": 0.2517241379310345,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": null,
        "zone": "Lower-Mid (25-50%)",
        "period": null
      },
      {
        "label": "Upper-Mid (50-75%)",
        "N": 103,
        "N_buy": 45,
        "N_sell": 58,
        "rho": 0.16744790918023145,
        "pval": 0.09090757568084482,
        "buy_WR": 0.6,
        "sell_WR": 0.5172413793103449,
        "mean_buy_ret_pts": 0.5055555555555555,
        "mean_sell_ret_pts": -0.3620689655172414,
        "events_per_day": 0.35517241379310344,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": null,
        "zone": "Upper-Mid (50-75%)",
        "period": null
      },
      {
        "label": "Top 25% (near HOD)",
        "N": 439,
        "N_buy": 142,
        "N_sell": 297,
        "rho": 0.13091515710622625,
        "pval": 0.006014528895629622,
        "buy_WR": 0.5211267605633803,
        "sell_WR": 0.5488215488215489,
        "mean_buy_ret_pts": 0.4876760563380282,
        "mean_sell_ret_pts": -0.3409090909090909,
        "events_per_day": 1.513793103448276,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": null,
        "zone": "Top 25% (near HOD)",
        "period": null
      }
    ]
  },
  "part_E": {
    "description": "Time-of-day breakdown on best filter",
    "best_filter": "ratio>1.3x max_side>=3",
    "results": [
      {
        "label": "Morning (9:30-11 ET)",
        "N": 46,
        "N_buy": 15,
        "N_sell": 31,
        "rho": 0.43858043491963683,
        "pval": 0.002297279362397548,
        "buy_WR": 0.7333333333333333,
        "sell_WR": 0.6129032258064516,
        "mean_buy_ret_pts": 2.2666666666666666,
        "mean_sell_ret_pts": -0.967741935483871,
        "events_per_day": 0.15862068965517243,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": "Morning (9:30-11 ET)"
      },
      {
        "label": "Midday (11:00-14 ET)",
        "N": 413,
        "N_buy": 140,
        "N_sell": 273,
        "rho": 0.14810346965813198,
        "pval": 0.0025499313727438922,
        "buy_WR": 0.5642857142857143,
        "sell_WR": 0.5091575091575091,
        "mean_buy_ret_pts": 0.7142857142857143,
        "mean_sell_ret_pts": -0.1794871794871795,
        "events_per_day": 1.4241379310344828,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": "Midday (11:00-14 ET)"
      },
      {
        "label": "Afternoon (14:00-15:45)",
        "N": 221,
        "N_buy": 129,
        "N_sell": 92,
        "rho": 0.18091069841337276,
        "pval": 0.007007971804044399,
        "buy_WR": 0.5348837209302325,
        "sell_WR": 0.6086956521739131,
        "mean_buy_ret_pts": 0.29069767441860467,
        "mean_sell_ret_pts": -0.6222826086956522,
        "events_per_day": 0.7620689655172413,
        "flag": null,
        "ratio_thresh": null,
        "floor_thresh": null,
        "variant": null,
        "regime": null,
        "zone": null,
        "period": "Afternoon (14:00-15:45)"
      }
    ]
  },
  "part_F": {
    "description": "Simulated PnL and null test on best filter",
    "best_filter": "ratio>1.3x max_side>=3",
    "results": {
      "hold_3min": {
        "hold_min": 3,
        "total_trades": 680,
        "win_rate": 0.5205882352941177,
        "avg_pnl_pts": 0.3386029411764706,
        "total_pnl_pts": 230.25,
        "rho_obs": 0.13798983404285187,
        "null_pval_rho": 0.0002,
        "null_pval_wr": 0.0
      },
      "hold_4min": {
        "hold_min": 4,
        "total_trades": 680,
        "win_rate": 0.5485294117647059,
        "avg_pnl_pts": 0.4525735294117647,
        "total_pnl_pts": 307.75,
        "rho_obs": 0.1678904320401195,
        "null_pval_rho": 0.0,
        "null_pval_wr": 0.0
      }
    }
  },
  "part_G": {
    "description": "Baseline ex-close signal (no filters)",
    "results": {
      "n": 21363,
      "rho": 0.1374035245305666,
      "pval": 1.5401272361180562e-90,
      "rho_with_close_included": 0.125,
      "rho_change_pp": 1.240352453056659,
      "quintiles": {
        "Q1": {
          "n": 4273,
          "mean_fwd4_pts": -0.785279663000234,
          "wr": 0.4350573367657384
        },
        "Q2": {
          "n": 4272,
          "mean_fwd4_pts": -0.8349133895131086,
          "wr": 0.4330524344569288
        },
        "Q3": {
          "n": 4273,
          "mean_fwd4_pts": -0.16142054762461971,
          "wr": 0.4816288322021999
        },
        "Q4": {
          "n": 4272,
          "mean_fwd4_pts": 0.5169124531835206,
          "wr": 0.5259831460674157
        },
        "Q5": {
          "n": 4273,
          "mean_fwd4_pts": 1.2179967236133864,
          "wr": 0.5712614088462439
        }
      }
    }
  }
}