{ "test1_IS": { "n": 4562, "toward_1h_rate": 0.5949450549450549, "toward_3h_rate": 0.60073548726031, "toward_eod_rate": 0.5717131474103586, "closer_1h_rate": 0.49538461538461537, "closer_3h_rate": 0.5011820330969267, "closer_eod_rate": 0.48915449313855686, "touch_rate_eod": 0.9156071898290223, "toward_1h_tstat": 13.04615847334207, "toward_eod_tstat": 9.741266743769836, "closer_eod_tstat": -1.458327798113148, "avg_dist_pts": 856.7630534853134, "median_dist_pts": 51.5, "pct_magnet_above": 0.3329679964927663 }, "test1_OOS": { "n": 2223, "toward_1h_rate": 0.581447963800905, "toward_3h_rate": 0.5982532751091703, "toward_eod_rate": 0.6245454545454545, "closer_1h_rate": 0.49547511312217196, "closer_3h_rate": 0.5114628820960698, "closer_eod_rate": 0.5113636363636364, "touch_rate_eod": 0.890238416554206, "toward_1h_tstat": 7.761509827934786, "toward_eod_tstat": 12.063644016445933, "closer_eod_tstat": 1.066278999320892, "avg_dist_pts": 779.8489653621233, "median_dist_pts": 54.0, "pct_magnet_above": 0.1902834008097166 }, "test1_ALL": { "n": 6785, "toward_1h_rate": 0.5905325443786982, "toward_3h_rate": 0.5999290654371342, "toward_eod_rate": 0.5890145876749032, "closer_1h_rate": 0.49541420118343193, "closer_3h_rate": 0.5045220783826919, "closer_eod_rate": 0.4964275081869604, "touch_rate_eod": 0.9072955047899779, "toward_1h_tstat": 15.137231782030446, "toward_eod_tstat": 14.82876406338238, "closer_eod_tstat": -0.5856421460967649, "avg_dist_pts": 831.5633456153279, "median_dist_pts": 52.25, "pct_magnet_above": 0.2862196020633751 }, "test2_IS": { "toward_gravity_1h": 0.6021978021978022, "toward_gravity_3h": 0.6023115313895456, "toward_gravity_eod": 0.5874280655157149, "closer_gravity_eod": 0.48738379814077026, "touch_gravity_eod": 0.9809294169224024, "toward_gravity_eod_tstat": 11.93704402652269, "clustered_toward_eod": 0.5454545454545454, "dispersed_toward_eod": 0.5875305080985134, "clustered_closer_eod": 0.45454545454545453, "dispersed_closer_eod": 0.48746394497448414, "pct_clustered": 0.0024112231477422183, "n_clustered": 11, "n_dispersed": 4551 }, "test2_OOS": { "toward_gravity_1h": 0.5909502262443439, "toward_gravity_3h": 0.6020742358078602, "toward_gravity_eod": 0.6372727272727273, "closer_gravity_eod": 0.5354545454545454, "touch_gravity_eod": 0.8681961313540261, "toward_gravity_eod_tstat": 13.391919524751245, "clustered_toward_eod": 0.48, "dispersed_toward_eod": 0.6409302325581395, "clustered_closer_eod": 0.32, "dispersed_closer_eod": 0.5404651162790698, "pct_clustered": 0.02249212775528565, "n_clustered": 50, "n_dispersed": 2173 }, "test2_ALL": { "toward_gravity_1h": 0.5985207100591716, "toward_gravity_3h": 0.6022344387302713, "toward_gravity_eod": 0.6037511164036916, "closer_gravity_eod": 0.5031259303364096, "touch_gravity_eod": 0.9439941046425939, "toward_gravity_eod_tstat": 17.38600415658857, "clustered_toward_eod": 0.4918032786885246, "dispersed_toward_eod": 0.604776926543488, "clustered_closer_eod": 0.3442622950819672, "dispersed_closer_eod": 0.5045816433829052, "pct_clustered": 0.00899042004421518, "n_clustered": 61, "n_dispersed": 6724 }, "test3_IS": { "pct_with_0dte_overlap": 0.9583516001753617, "with_0dte_toward_1h": 0.5837155963302753, "with_0dte_toward_eod": 0.5586876155268022, "with_0dte_closer_eod": 0.46048983364140483, "without_0dte_toward_eod": 0.6526315789473685, "n_with": 4372, "n_without": 190, "overlap_total_toward_eod": 0.5681608133086876, "no_overlap_total_toward_eod": 0.6526315789473685 }, "test3_OOS": { "pct_with_0dte_overlap": 0.9608636977058029, "with_0dte_toward_1h": 0.5742481203007519, "with_0dte_toward_eod": 0.6303833412210128, "with_0dte_closer_eod": 0.5049692380501657, "without_0dte_toward_eod": 0.6551724137931034, "n_with": 2136, "n_without": 87, "overlap_total_toward_eod": 0.6232844297207761, "no_overlap_total_toward_eod": 0.6551724137931034 }, "test3_ALL": { "pct_with_0dte_overlap": 0.959174649963154, "with_0dte_toward_1h": 0.5806103575832305, "with_0dte_toward_eod": 0.5822077317186772, "with_0dte_closer_eod": 0.4750815090824406, "without_0dte_toward_eod": 0.6534296028880866, "n_with": 6508, "n_without": 277, "overlap_total_toward_eod": 0.5862443719919267, "no_overlap_total_toward_eod": 0.6534296028880866 }, "test4_IS": { "n_with_nearby_wall": 3999, "toward_nearest_1h": 0.4938581098019554, "toward_nearest_eod": 0.4876325088339223, "toward_nearest_eod_tstat": -1.5574056131522231, "wall_above_toward_eod": 0.5006418485237484, "wall_below_toward_eod": 0.47920133111480867, "n_wall_above": 1572, "n_wall_below": 2427 }, "test4_OOS": { "n_with_nearby_wall": 1985, "toward_nearest_1h": 0.5020283975659229, "toward_nearest_eod": 0.5056065239551478, "toward_nearest_eod_tstat": 0.49670723217288815, "wall_above_toward_eod": 0.4119170984455959, "wall_below_toward_eod": 0.5663865546218487, "n_wall_above": 783, "n_wall_below": 1202 }, "test4_ALL": { "n_with_nearby_wall": 5984, "toward_nearest_1h": 0.4965609797013924, "toward_nearest_eod": 0.49358541525995947, "toward_nearest_eod_tstat": -0.9875106999830151, "wall_above_toward_eod": 0.47124463519313303, "wall_below_toward_eod": 0.5080690038953812, "n_wall_above": 2355, "n_wall_below": 3629 }, "test5_IS": { "gravity_correct_1h": 0.5661538461538461, "gravity_correct_3h": 0.5763068032571579, "gravity_correct_eod": 0.5571049136786188, "gravity_correct_eod_tstat": 7.727298110509892, "quintile_returns_eod": { "1": -439.7539269911504, "2": -304.1591915836102, "3": 342.98296460176994, "4": 2563.5589147286823, "5": -449.5320243362832 }, "monotonicity": 0.75 }, "test5_OOS": { "gravity_correct_1h": 0.5778280542986425, "gravity_correct_3h": 0.5906113537117904, "gravity_correct_eod": 0.5831818181818181, "gravity_correct_eod_tstat": 7.913423969731362, "quintile_returns_eod": { "1": -352.7530681818182, "2": -738.9952272727273, "3": -619.5881818181817, "4": 2899.3726136363634, "5": -636.9690909090909 }, "monotonicity": 0.5 }, "test5_ALL": { "gravity_correct_1h": 0.5699704142011834, "gravity_correct_3h": 0.5809540698705444, "gravity_correct_eod": 0.5656445370646026, "gravity_correct_eod_tstat": 10.85485801540217, "quintile_returns_eod": { "1": -495.85859374999995, "2": -483.2196947133284, "3": 37.05933779761905, "4": 2788.707334326136, "5": -513.9837425595239 }, "monotonicity": 0.75 }, "test6_IS": { "morning": { "n": 1032, "toward_1h": 0.6521317829457365, "toward_eod": 0.6023622047244095, "closer_eod": 0.4881889763779528, "touch_eod": 0.9089147286821705, "gravity_correct_1h": 0.5804263565891473, "gravity_correct_eod": 0.6043307086614174, "toward_eod_tstat": 6.66674432103871 }, "midday": { "n": 2061, "toward_1h": 0.5632015617374329, "toward_eod": 0.5558288243974422, "closer_eod": 0.47417609444171177, "touch_eod": 0.928190198932557, "gravity_correct_1h": 0.5578330893118595, "gravity_correct_eod": 0.5361534677816036, "toward_eod_tstat": 5.066189773859944 }, "afternoon": { "n": 1469, "toward_1h": 0.5990469707283866, "toward_eod": 0.572498298162015, "closer_eod": 0.5105513955071477, "touch_eod": 0.9026548672566371, "gravity_correct_1h": 0.5677331518039482, "gravity_correct_eod": 0.5534377127297482, "toward_eod_tstat": 5.616718856333171 } }, "test6_OOS": { "morning": { "n": 504, "toward_1h": 0.5932539682539683, "toward_eod": 0.6303030303030303, "closer_eod": 0.5414141414141415, "touch_eod": 0.8888888888888888, "gravity_correct_1h": 0.5813492063492064, "gravity_correct_eod": 0.5878787878787879, "toward_eod_tstat": 6.005642444631684 }, "midday": { "n": 1004, "toward_1h": 0.5591182364729459, "toward_eod": 0.6222222222222222, "closer_eod": 0.501010101010101, "touch_eod": 0.8814741035856574, "gravity_correct_1h": 0.5551102204408818, "gravity_correct_eod": 0.5959595959595959, "toward_eod_tstat": 7.931892331996607 }, "afternoon": { "n": 715, "toward_1h": 0.6045197740112994, "toward_eod": 0.6237762237762238, "closer_eod": 0.5048951048951049, "touch_eod": 0.9034965034965035, "gravity_correct_1h": 0.6073446327683616, "gravity_correct_eod": 0.5622377622377622, "toward_eod_tstat": 6.832076526095561 } }, "test6_ALL": { "morning": { "n": 1536, "toward_1h": 0.6328125, "toward_eod": 0.6115155526141628, "closer_eod": 0.5056254136333554, "touch_eod": 0.90234375, "gravity_correct_1h": 0.5807291666666666, "gravity_correct_eod": 0.598941098610192, "toward_eod_tstat": 8.893589934732839 }, "midday": { "n": 3065, "toward_1h": 0.5618641286511322, "toward_eod": 0.5775719483956335, "closer_eod": 0.48296394310287794, "touch_eod": 0.9128874388254486, "gravity_correct_1h": 0.5569412536921562, "gravity_correct_eod": 0.555739331789613, "toward_eod_tstat": 8.634642323786982 }, "afternoon": { "n": 2184, "toward_1h": 0.6008268259072118, "toward_eod": 0.5892857142857143, "closer_eod": 0.5086996336996337, "touch_eod": 0.9029304029304029, "gravity_correct_1h": 0.5806155259531466, "gravity_correct_eod": 0.5563186813186813, "toward_eod_tstat": 8.48155403763253 } }, "test7_IS": { "pct_firm_mm_overlap": 1.0, "firm_mm_toward_eod": 0.5717131474103586, "no_firm_toward_eod": NaN, "firm_mm_closer_eod": 0.48915449313855686, "no_firm_closer_eod": NaN, "pct_cust_overlay": 1.0, "cust_overlay_toward_eod": 0.5717131474103586, "no_cust_toward_eod": NaN, "n_firm_mm": 4562, "n_cust_overlay": 4562 }, "test7_OOS": { "pct_firm_mm_overlap": 1.0, "firm_mm_toward_eod": 0.6245454545454545, "no_firm_toward_eod": NaN, "firm_mm_closer_eod": 0.5113636363636364, "no_firm_closer_eod": NaN, "pct_cust_overlay": 1.0, "cust_overlay_toward_eod": 0.6245454545454545, "no_cust_toward_eod": NaN, "n_firm_mm": 2223, "n_cust_overlay": 2223 }, "test7_ALL": { "pct_firm_mm_overlap": 1.0, "firm_mm_toward_eod": 0.5890145876749032, "no_firm_toward_eod": NaN, "firm_mm_closer_eod": 0.4964275081869604, "no_firm_closer_eod": NaN, "pct_cust_overlay": 1.0, "cust_overlay_toward_eod": 0.5890145876749032, "no_cust_toward_eod": NaN, "n_firm_mm": 6785, "n_cust_overlay": 6785 }, "distance_IS": { "near_toward_eod": 0.47793505412156534, "near_touch_eod": 0.9958677685950413, "near_n": 1210, "mid_toward_eod": 0.45145631067961167, "mid_touch_eod": 0.9864077669902913, "mid_n": 1030, "far_toward_eod": 0.675120244862265, "far_touch_eod": 0.8423772609819121, "far_n": 2322 }, "distance_OOS": { "near_toward_eod": 0.5381443298969072, "near_touch_eod": 0.911340206185567, "near_n": 485, "mid_toward_eod": 0.604089219330855, "mid_touch_eod": 0.9377289377289377, "mid_n": 546, "far_toward_eod": 0.6694987255734919, "far_touch_eod": 0.8598993288590604, "far_n": 1192 }, "distance_ALL": { "near_toward_eod": 0.49525504151838673, "near_touch_eod": 0.9716814159292035, "near_n": 1695, "mid_toward_eod": 0.5038265306122449, "mid_touch_eod": 0.9695431472081218, "mid_n": 1576, "far_toward_eod": 0.6732101616628176, "far_touch_eod": 0.848321001707456, "far_n": 3514 }, "daily_level_analysis": { "IS": { "n_days": 95, "pct_magnet_above": 0.505, "avg_dist": 1248.8, "median_dist": 84.8, "toward_eod": [ 0.6632, 3.36, 95 ], "closer_eod": [ 0.4526, -0.93, 95 ], "touched": [ 0.8632, 10.3, 95 ], "toward_gravity": [ 0.6737, 3.61, 95 ], "closer_gravity": [ 0.4421, -1.14, 95 ], "gravity_correct": [ 0.6526, 3.12, 95 ] }, "OOS": { "n_days": 49, "pct_magnet_above": 0.286, "avg_dist": 1886.4, "median_dist": 123.0, "toward_eod": [ 0.6735, 2.59, 49 ], "closer_eod": [ 0.5306, 0.43, 49 ], "touched": [ 0.898, 9.2, 49 ], "toward_gravity": [ 0.6531, 2.25, 49 ], "closer_gravity": [ 0.5102, 0.14, 49 ], "gravity_correct": [ 0.5918, 1.31, 49 ] }, "ALL": { "n_days": 144, "pct_magnet_above": 0.431, "avg_dist": 1465.7, "median_dist": 93.0, "toward_eod": [ 0.6667, 4.24, 144 ], "closer_eod": [ 0.4792, -0.5, 144 ], "touched": [ 0.875, 13.61, 144 ], "toward_gravity": [ 0.6667, 4.24, 144 ], "closer_gravity": [ 0.4653, -0.84, 144 ], "gravity_correct": [ 0.6319, 3.28, 144 ] } }, "methodology_note": "Per-snapshot t-stats are inflated by intraday autocorrelation. Daily-level analysis (daily_level_analysis) is the proper test with N=144 independent observations.", "verdict": "WALL at close range (price repelled from nearest neg-gamma strike 97-99% of time). DIRECTIONAL SIGNAL at far range (67% daily accuracy). NOT a magnet." }