{ "metadata": { "n_days": 429, "is_dates": "2024-06-24 to 2025-06-25", "oos_dates": "2025-06-26 to 2026-02-26", "n_is": 244, "n_oos": 163, "fomc_excluded": true }, "combinations": { "11:00 vs 10:30 (30min)": { "label": "11:00 vs 10:30 (30min)", "check_time": "11:00", "anchor_time": "10:30", "anchor_min": 30, "n_total": 405, "IS": { "n": 243, "ret_30m": { "ic": -0.0003, "pval": 0.9961, "n": 243, "quintiles": { "Q1": { "wr": 0.612, "n": 49, "mean_ret": -0.018, "median_ret": 0.0385 }, "Q2": { "wr": 0.479, "n": 48, "mean_ret": -0.0515, "median_ret": -0.0111 }, "Q3": { "wr": 0.531, "n": 49, "mean_ret": 0.0042, "median_ret": 0.0215 }, "Q4": { "wr": 0.396, "n": 48, "mean_ret": -0.0053, "median_ret": -0.024 }, "Q5": { "wr": 0.633, "n": 49, "mean_ret": 0.0094, "median_ret": 0.0257 } } }, "ret_1h": { "ic": 0.0343, "pval": 0.5949, "n": 242, "quintiles": { "Q1": { "wr": 0.531, "n": 49, "mean_ret": -0.0207, "median_ret": 0.0028 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": -0.0832, "median_ret": 0.0084 }, "Q3": { "wr": 0.604, "n": 48, "mean_ret": 0.0062, "median_ret": 0.0669 }, "Q4": { "wr": 0.521, "n": 48, "mean_ret": 0.0276, "median_ret": 0.0115 }, "Q5": { "wr": 0.49, "n": 49, "mean_ret": 0.0108, "median_ret": -0.0033 } } }, "ret_2h": { "ic": 0.0558, "pval": 0.3878, "n": 242, "quintiles": { "Q1": { "wr": 0.49, "n": 49, "mean_ret": -0.0462, "median_ret": 0.0 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": 0.0041, "median_ret": -0.0079 }, "Q3": { "wr": 0.479, "n": 48, "mean_ret": 0.0118, "median_ret": -0.0201 }, "Q4": { "wr": 0.458, "n": 48, "mean_ret": 0.003, "median_ret": -0.0231 }, "Q5": { "wr": 0.673, "n": 49, "mean_ret": 0.0469, "median_ret": 0.0834 } } }, "ret_eod": { "ic": 0.112, "pval": 0.084, "n": 239, "quintiles": { "Q1": { "wr": 0.479, "n": 48, "mean_ret": -0.1616, "median_ret": -0.0333 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": 0.2105, "median_ret": 0.0328 }, "Q3": { "wr": 0.511, "n": 47, "mean_ret": -0.0881, "median_ret": 0.0197 }, "Q4": { "wr": 0.604, "n": 48, "mean_ret": 0.0578, "median_ret": 0.0625 }, "Q5": { "wr": 0.708, "n": 48, "mean_ret": 0.0915, "median_ret": 0.1889 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": -0.0696, "pval": 0.3787, "n": 162, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": -0.019, "median_ret": 0.0165 }, "Q2": { "wr": 0.688, "n": 32, "mean_ret": 0.0505, "median_ret": 0.0584 }, "Q3": { "wr": 0.438, "n": 32, "mean_ret": -0.0117, "median_ret": -0.0075 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0208, "median_ret": 0.0191 }, "Q5": { "wr": 0.455, "n": 33, "mean_ret": -0.043, "median_ret": -0.0067 } } }, "ret_1h": { "ic": -0.0802, "pval": 0.3101, "n": 162, "quintiles": { "Q1": { "wr": 0.485, "n": 33, "mean_ret": -0.0371, "median_ret": -0.0036 }, "Q2": { "wr": 0.812, "n": 32, "mean_ret": 0.0751, "median_ret": 0.0904 }, "Q3": { "wr": 0.312, "n": 32, "mean_ret": -0.007, "median_ret": -0.025 }, "Q4": { "wr": 0.625, "n": 32, "mean_ret": 0.0394, "median_ret": 0.0749 }, "Q5": { "wr": 0.515, "n": 33, "mean_ret": -0.014, "median_ret": 0.0021 } } }, "ret_2h": { "ic": -0.1173, "pval": 0.1371, "n": 162, "quintiles": { "Q1": { "wr": 0.636, "n": 33, "mean_ret": -0.0064, "median_ret": 0.0649 }, "Q2": { "wr": 0.625, "n": 32, "mean_ret": 0.0299, "median_ret": 0.0739 }, "Q3": { "wr": 0.438, "n": 32, "mean_ret": -0.0583, "median_ret": -0.0267 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0203, "median_ret": 0.0423 }, "Q5": { "wr": 0.606, "n": 33, "mean_ret": 0.0043, "median_ret": 0.0497 } } }, "ret_eod": { "ic": -0.0983, "pval": 0.2193, "n": 158, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": -0.0014, "median_ret": 0.0914 }, "Q2": { "wr": 0.645, "n": 31, "mean_ret": 0.0913, "median_ret": 0.1337 }, "Q3": { "wr": 0.469, "n": 32, "mean_ret": -0.0508, "median_ret": -0.01 }, "Q4": { "wr": 0.452, "n": 31, "mean_ret": -0.0068, "median_ret": -0.0271 }, "Q5": { "wr": 0.5, "n": 32, "mean_ret": -0.0139, "median_ret": -0.0072 } } } }, "ALL": { "n": 405, "ret_30m": { "ic": -0.0363, "pval": 0.4668, "n": 405, "quintiles": { "Q1": { "wr": 0.605, "n": 81, "mean_ret": -0.0008, "median_ret": 0.0349 }, "Q2": { "wr": 0.543, "n": 81, "mean_ret": -0.0296, "median_ret": 0.0321 }, "Q3": { "wr": 0.531, "n": 81, "mean_ret": 0.0163, "median_ret": 0.0215 }, "Q4": { "wr": 0.457, "n": 81, "mean_ret": -0.0043, "median_ret": -0.0104 }, "Q5": { "wr": 0.531, "n": 81, "mean_ret": -0.0196, "median_ret": 0.0123 } } }, "ret_1h": { "ic": -0.0229, "pval": 0.6463, "n": 404, "quintiles": { "Q1": { "wr": 0.58, "n": 81, "mean_ret": 0.0, "median_ret": 0.0437 }, "Q2": { "wr": 0.543, "n": 81, "mean_ret": -0.0506, "median_ret": 0.0293 }, "Q3": { "wr": 0.525, "n": 80, "mean_ret": 0.0099, "median_ret": 0.0267 }, "Q4": { "wr": 0.556, "n": 81, "mean_ret": 0.0344, "median_ret": 0.0358 }, "Q5": { "wr": 0.481, "n": 81, "mean_ret": -0.0073, "median_ret": -0.0043 } } }, "ret_2h": { "ic": -0.0176, "pval": 0.7241, "n": 404, "quintiles": { "Q1": { "wr": 0.617, "n": 81, "mean_ret": 0.0211, "median_ret": 0.0649 }, "Q2": { "wr": 0.494, "n": 81, "mean_ret": -0.0418, "median_ret": -0.0405 }, "Q3": { "wr": 0.475, "n": 80, "mean_ret": -0.0002, "median_ret": -0.0217 }, "Q4": { "wr": 0.494, "n": 81, "mean_ret": 0.0117, "median_ret": -0.0017 }, "Q5": { "wr": 0.642, "n": 81, "mean_ret": 0.0168, "median_ret": 0.0596 } } }, "ret_eod": { "ic": 0.0244, "pval": 0.6282, "n": 397, "quintiles": { "Q1": { "wr": 0.588, "n": 80, "mean_ret": 0.0072, "median_ret": 0.089 }, "Q2": { "wr": 0.481, "n": 79, "mean_ret": 0.069, "median_ret": -0.015 }, "Q3": { "wr": 0.506, "n": 79, "mean_ret": -0.0698, "median_ret": 0.0197 }, "Q4": { "wr": 0.557, "n": 79, "mean_ret": 0.0425, "median_ret": 0.0351 }, "Q5": { "wr": 0.6, "n": 80, "mean_ret": 0.0252, "median_ret": 0.0853 } } } }, "rvol": { "LOW": { "n": 82, "IS": { "n": 40, "ret_30m": { "ic": -0.1478, "pval": 0.3626, "n": 40, "quintiles": { "Q1": { "wr": 0.625, "n": 8, "mean_ret": 0.0204, "median_ret": 0.1041 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0669, "median_ret": 0.0785 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.1542, "median_ret": -0.1225 }, "Q4": { "wr": 0.125, "n": 8, "mean_ret": -0.0707, "median_ret": -0.0634 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": 0.0141, "median_ret": 0.0194 } } }, "ret_1h": { "ic": -0.018, "pval": 0.9122, "n": 40, "quintiles": { "Q1": { "wr": 0.625, "n": 8, "mean_ret": -0.0928, "median_ret": 0.0453 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.0393, "median_ret": 0.0119 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.1989, "median_ret": -0.0676 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0077, "median_ret": -0.0498 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0672, "median_ret": 0.038 } } }, "ret_2h": { "ic": 0.058, "pval": 0.7223, "n": 40, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": 0.0909, "median_ret": 0.0205 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.1942, "median_ret": 0.0468 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.1693, "median_ret": -0.1071 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": 0.0341, "median_ret": -0.0771 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.0962, "median_ret": 0.1117 } } }, "ret_eod": { "ic": 0.1173, "pval": 0.4712, "n": 40, "quintiles": { "Q1": { "wr": 0.375, "n": 8, "mean_ret": 1.121, "median_ret": -0.0816 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.1312, "median_ret": 0.1075 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.0789, "median_ret": -0.0474 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.229, "median_ret": 0.2086 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.023, "median_ret": 0.18 } } } }, "OOS": { "n": 42, "ret_30m": { "ic": -0.0143, "pval": 0.9282, "n": 42, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.0056, "median_ret": 0.0182 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0212, "median_ret": 0.0616 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0017, "median_ret": -0.0 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0182, "median_ret": 0.0175 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.0137, "median_ret": 0.0138 } } }, "ret_1h": { "ic": 0.0767, "pval": 0.6291, "n": 42, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.0119, "median_ret": 0.048 }, "Q2": { "wr": 0.875, "n": 8, "mean_ret": 0.0612, "median_ret": 0.0651 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0071, "median_ret": -0.0056 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0283, "median_ret": 0.0714 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.0531, "median_ret": 0.0945 } } }, "ret_2h": { "ic": -0.2221, "pval": 0.1575, "n": 42, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.0516, "median_ret": 0.1229 }, "Q2": { "wr": 1.0, "n": 8, "mean_ret": 0.1085, "median_ret": 0.1111 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0416, "median_ret": 0.0627 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0193, "median_ret": -0.0329 }, "Q5": { "wr": 0.889, "n": 9, "mean_ret": 0.0381, "median_ret": 0.0534 } } }, "ret_eod": { "ic": -0.236, "pval": 0.148, "n": 39, "quintiles": { "Q1": { "wr": 0.625, "n": 8, "mean_ret": 0.0459, "median_ret": 0.1224 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.0494, "median_ret": 0.1391 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": 0.0209, "median_ret": 0.1089 }, "Q4": { "wr": 0.25, "n": 8, "mean_ret": -0.1685, "median_ret": -0.0969 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0748, "median_ret": -0.0498 } } } }, "ALL": { "n": 82, "ret_30m": { "ic": -0.0829, "pval": 0.4589, "n": 82, "quintiles": { "Q1": { "wr": 0.647, "n": 17, "mean_ret": 0.0159, "median_ret": 0.0654 }, "Q2": { "wr": 0.625, "n": 16, "mean_ret": 0.0447, "median_ret": 0.0616 }, "Q3": { "wr": 0.312, "n": 16, "mean_ret": -0.086, "median_ret": -0.0752 }, "Q4": { "wr": 0.312, "n": 16, "mean_ret": -0.0365, "median_ret": -0.031 }, "Q5": { "wr": 0.647, "n": 17, "mean_ret": 0.0229, "median_ret": 0.0202 } } }, "ret_1h": { "ic": 0.0203, "pval": 0.8562, "n": 82, "quintiles": { "Q1": { "wr": 0.647, "n": 17, "mean_ret": 0.0307, "median_ret": 0.0483 }, "Q2": { "wr": 0.688, "n": 16, "mean_ret": 0.0135, "median_ret": 0.0422 }, "Q3": { "wr": 0.375, "n": 16, "mean_ret": -0.1244, "median_ret": -0.0389 }, "Q4": { "wr": 0.438, "n": 16, "mean_ret": -0.0081, "median_ret": -0.0378 }, "Q5": { "wr": 0.706, "n": 17, "mean_ret": 0.0705, "median_ret": 0.0945 } } }, "ret_2h": { "ic": -0.0616, "pval": 0.5823, "n": 82, "quintiles": { "Q1": { "wr": 0.706, "n": 17, "mean_ret": 0.0371, "median_ret": 0.1229 }, "Q2": { "wr": 0.625, "n": 16, "mean_ret": 0.2082, "median_ret": 0.0817 }, "Q3": { "wr": 0.562, "n": 16, "mean_ret": -0.0561, "median_ret": 0.0385 }, "Q4": { "wr": 0.312, "n": 16, "mean_ret": -0.0277, "median_ret": -0.0464 }, "Q5": { "wr": 0.824, "n": 17, "mean_ret": 0.0707, "median_ret": 0.0708 } } }, "ret_eod": { "ic": -0.0391, "pval": 0.7325, "n": 79, "quintiles": { "Q1": { "wr": 0.562, "n": 16, "mean_ret": 0.0233, "median_ret": 0.1041 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.6504, "median_ret": 0.1196 }, "Q3": { "wr": 0.467, "n": 15, "mean_ret": 0.0069, "median_ret": -0.0429 }, "Q4": { "wr": 0.438, "n": 16, "mean_ret": -0.0005, "median_ret": -0.022 }, "Q5": { "wr": 0.562, "n": 16, "mean_ret": -0.0319, "median_ret": 0.0448 } } } } }, "MED": { "n": 91, "IS": { "n": 33, "ret_30m": { "ic": 0.0047, "pval": 0.9794, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.0807, "median_ret": -0.0925 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": -0.0044, "median_ret": 0.1505 }, "Q3": { "wr": 0.857, "n": 7, "mean_ret": 0.2618, "median_ret": 0.185 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": 0.0577, "median_ret": 0.0521 }, "Q5": { "wr": 0.429, "n": 7, "mean_ret": -0.0245, "median_ret": -0.045 } } }, "ret_1h": { "ic": 0.0545, "pval": 0.7633, "n": 33, "quintiles": { "Q1": { "wr": 0.286, "n": 7, "mean_ret": -0.083, "median_ret": -0.0912 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.1956, "median_ret": 0.1492 }, "Q3": { "wr": 1.0, "n": 7, "mean_ret": 0.3591, "median_ret": 0.2005 }, "Q4": { "wr": 0.833, "n": 6, "mean_ret": 0.1177, "median_ret": 0.1087 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0274, "median_ret": 0.0241 } } }, "ret_2h": { "ic": 0.1547, "pval": 0.3899, "n": 33, "quintiles": { "Q1": { "wr": 0.286, "n": 7, "mean_ret": -0.3926, "median_ret": -0.1512 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": -0.0333, "median_ret": 0.202 }, "Q3": { "wr": 0.857, "n": 7, "mean_ret": 0.4548, "median_ret": 0.3337 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.0391, "median_ret": 0.1859 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.1021, "median_ret": 0.1709 } } }, "ret_eod": { "ic": 0.1898, "pval": 0.29, "n": 33, "quintiles": { "Q1": { "wr": 0.143, "n": 7, "mean_ret": -0.7719, "median_ret": -0.4159 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": 0.1969, "median_ret": 0.2481 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.1108, "median_ret": 0.4234 }, "Q4": { "wr": 0.833, "n": 6, "mean_ret": 0.2475, "median_ret": 0.3122 }, "Q5": { "wr": 0.857, "n": 7, "mean_ret": 0.1618, "median_ret": 0.2403 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": -0.2109, "pval": 0.112, "n": 58, "quintiles": { "Q1": { "wr": 0.75, "n": 12, "mean_ret": 0.0214, "median_ret": 0.0378 }, "Q2": { "wr": 0.727, "n": 11, "mean_ret": 0.0557, "median_ret": 0.0562 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": 0.0021, "median_ret": 0.011 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": 0.0145, "median_ret": 0.0145 }, "Q5": { "wr": 0.333, "n": 12, "mean_ret": -0.0663, "median_ret": -0.0359 } } }, "ret_1h": { "ic": -0.1872, "pval": 0.1594, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0916, "median_ret": 0.1042 }, "Q2": { "wr": 0.727, "n": 11, "mean_ret": 0.0643, "median_ret": 0.0336 }, "Q3": { "wr": 0.417, "n": 12, "mean_ret": -0.0101, "median_ret": -0.0239 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.0233, "median_ret": 0.075 }, "Q5": { "wr": 0.5, "n": 12, "mean_ret": -0.0026, "median_ret": 0.0107 } } }, "ret_2h": { "ic": -0.2266, "pval": 0.0872, "n": 58, "quintiles": { "Q1": { "wr": 0.75, "n": 12, "mean_ret": 0.12, "median_ret": 0.2019 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": 0.0765, "median_ret": 0.0604 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": 0.0049, "median_ret": 0.0272 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.0215, "median_ret": 0.0913 }, "Q5": { "wr": 0.417, "n": 12, "mean_ret": -0.0409, "median_ret": -0.0355 } } }, "ret_eod": { "ic": -0.1377, "pval": 0.3026, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.112, "median_ret": 0.1389 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": 0.1137, "median_ret": 0.024 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": 0.0492, "median_ret": 0.0299 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": 0.0213, "median_ret": 0.0613 }, "Q5": { "wr": 0.417, "n": 12, "mean_ret": -0.004, "median_ret": -0.0765 } } } }, "ALL": { "n": 91, "ret_30m": { "ic": -0.1612, "pval": 0.127, "n": 91, "quintiles": { "Q1": { "wr": 0.789, "n": 19, "mean_ret": 0.0419, "median_ret": 0.047 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.0241, "median_ret": 0.0573 }, "Q3": { "wr": 0.5, "n": 18, "mean_ret": 0.0816, "median_ret": 0.0225 }, "Q4": { "wr": 0.611, "n": 18, "mean_ret": 0.0353, "median_ret": 0.0549 }, "Q5": { "wr": 0.389, "n": 18, "mean_ret": -0.0439, "median_ret": -0.0359 } } }, "ret_1h": { "ic": -0.1265, "pval": 0.2322, "n": 91, "quintiles": { "Q1": { "wr": 0.684, "n": 19, "mean_ret": 0.115, "median_ret": 0.1168 }, "Q2": { "wr": 0.444, "n": 18, "mean_ret": -0.1074, "median_ret": -0.0243 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": 0.1046, "median_ret": 0.0797 }, "Q4": { "wr": 0.778, "n": 18, "mean_ret": 0.0743, "median_ret": 0.0897 }, "Q5": { "wr": 0.556, "n": 18, "mean_ret": 0.0052, "median_ret": 0.0139 } } }, "ret_2h": { "ic": -0.1152, "pval": 0.2767, "n": 91, "quintiles": { "Q1": { "wr": 0.737, "n": 19, "mean_ret": 0.1185, "median_ret": 0.1659 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": -0.1436, "median_ret": -0.0021 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": 0.1354, "median_ret": 0.1038 }, "Q4": { "wr": 0.778, "n": 18, "mean_ret": 0.0798, "median_ret": 0.1453 }, "Q5": { "wr": 0.5, "n": 18, "mean_ret": -0.015, "median_ret": 0.0063 } } }, "ret_eod": { "ic": -0.0135, "pval": 0.8987, "n": 91, "quintiles": { "Q1": { "wr": 0.632, "n": 19, "mean_ret": 0.16, "median_ret": 0.1601 }, "Q2": { "wr": 0.389, "n": 18, "mean_ret": -0.2338, "median_ret": -0.0554 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": 0.1017, "median_ret": 0.1893 }, "Q4": { "wr": 0.611, "n": 18, "mean_ret": 0.062, "median_ret": 0.179 }, "Q5": { "wr": 0.556, "n": 18, "mean_ret": 0.0425, "median_ret": 0.1209 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": 0.0545, "pval": 0.8143, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.1506, "pval": 0.5145, "n": 21, "quintiles": {} }, "ret_2h": { "ic": 0.2584, "pval": 0.258, "n": 21, "quintiles": {} }, "ret_eod": { "ic": 0.061, "pval": 0.7927, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": -0.0427, "pval": 0.7831, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.0804, "median_ret": -0.113 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": 0.0393, "median_ret": 0.0194 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0685, "median_ret": 0.0273 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": -0.016, "median_ret": 0.055 }, "Q5": { "wr": 0.222, "n": 9, "mean_ret": -0.1138, "median_ret": -0.0763 } } }, "ret_1h": { "ic": -0.0544, "pval": 0.7258, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.2583, "median_ret": -0.0704 }, "Q2": { "wr": 0.889, "n": 9, "mean_ret": 0.1132, "median_ret": 0.1276 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0872, "median_ret": -0.0002 }, "Q4": { "wr": 0.333, "n": 9, "mean_ret": 0.0358, "median_ret": -0.0203 }, "Q5": { "wr": 0.333, "n": 9, "mean_ret": -0.1128, "median_ret": -0.1753 } } }, "ret_2h": { "ic": -0.0147, "pval": 0.9248, "n": 44, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.2839, "median_ret": -0.0401 }, "Q2": { "wr": 0.778, "n": 9, "mean_ret": 0.0625, "median_ret": 0.1138 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.1217, "median_ret": -0.1016 }, "Q4": { "wr": 0.222, "n": 9, "mean_ret": -0.1082, "median_ret": -0.2426 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0118, "median_ret": 0.0631 } } }, "ret_eod": { "ic": -0.0211, "pval": 0.893, "n": 43, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.2524, "median_ret": 0.1082 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.145, "median_ret": 0.2454 }, "Q3": { "wr": 0.333, "n": 9, "mean_ret": -0.0505, "median_ret": -0.131 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.014, "median_ret": 0.0468 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": -0.0849, "median_ret": 0.0468 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": -0.0269, "pval": 0.8314, "n": 65, "quintiles": { "Q1": { "wr": 0.308, "n": 13, "mean_ret": -0.1084, "median_ret": -0.113 }, "Q2": { "wr": 0.615, "n": 13, "mean_ret": 0.0695, "median_ret": 0.0787 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.128, "median_ret": -0.0029 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": -0.0592, "median_ret": -0.0552 }, "Q5": { "wr": 0.308, "n": 13, "mean_ret": -0.0769, "median_ret": -0.0629 } } }, "ret_1h": { "ic": -0.0425, "pval": 0.7369, "n": 65, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.2154, "median_ret": -0.0036 }, "Q2": { "wr": 0.769, "n": 13, "mean_ret": 0.0967, "median_ret": 0.1054 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.1436, "median_ret": -0.0315 }, "Q4": { "wr": 0.385, "n": 13, "mean_ret": -0.0239, "median_ret": -0.0203 }, "Q5": { "wr": 0.308, "n": 13, "mean_ret": -0.0699, "median_ret": -0.1249 } } }, "ret_2h": { "ic": 0.0168, "pval": 0.8942, "n": 65, "quintiles": { "Q1": { "wr": 0.385, "n": 13, "mean_ret": -0.2661, "median_ret": -0.0401 }, "Q2": { "wr": 0.769, "n": 13, "mean_ret": 0.0592, "median_ret": 0.0914 }, "Q3": { "wr": 0.308, "n": 13, "mean_ret": -0.2249, "median_ret": -0.1597 }, "Q4": { "wr": 0.385, "n": 13, "mean_ret": -0.1363, "median_ret": -0.2426 }, "Q5": { "wr": 0.462, "n": 13, "mean_ret": -0.015, "median_ret": -0.0685 } } }, "ret_eod": { "ic": -0.0278, "pval": 0.8274, "n": 64, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.3446, "median_ret": -0.0282 }, "Q2": { "wr": 0.769, "n": 13, "mean_ret": 0.1513, "median_ret": 0.459 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": 0.052, "median_ret": 0.0678 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": -0.2585, "median_ret": 0.0335 }, "Q5": { "wr": 0.385, "n": 13, "mean_ret": -0.0987, "median_ret": -0.0475 } } } } } } }, "11:00 vs 10:00 (1hr)": { "label": "11:00 vs 10:00 (1hr)", "check_time": "11:00", "anchor_time": "10:00", "anchor_min": 60, "n_total": 406, "IS": { "n": 244, "ret_30m": { "ic": -0.0256, "pval": 0.6904, "n": 244, "quintiles": { "Q1": { "wr": 0.571, "n": 49, "mean_ret": -0.0347, "median_ret": 0.0553 }, "Q2": { "wr": 0.51, "n": 49, "mean_ret": -0.0184, "median_ret": 0.0021 }, "Q3": { "wr": 0.458, "n": 48, "mean_ret": -0.0221, "median_ret": -0.0106 }, "Q4": { "wr": 0.531, "n": 49, "mean_ret": 0.0027, "median_ret": 0.0362 }, "Q5": { "wr": 0.571, "n": 49, "mean_ret": 0.0058, "median_ret": 0.0206 } } }, "ret_1h": { "ic": 0.0197, "pval": 0.7605, "n": 243, "quintiles": { "Q1": { "wr": 0.49, "n": 49, "mean_ret": -0.1147, "median_ret": -0.0172 }, "Q2": { "wr": 0.625, "n": 48, "mean_ret": 0.0291, "median_ret": 0.0572 }, "Q3": { "wr": 0.49, "n": 49, "mean_ret": -0.0015, "median_ret": -0.0277 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": 0.0262, "median_ret": 0.0255 }, "Q5": { "wr": 0.469, "n": 49, "mean_ret": -0.0046, "median_ret": -0.0117 } } }, "ret_2h": { "ic": 0.0262, "pval": 0.6848, "n": 243, "quintiles": { "Q1": { "wr": 0.388, "n": 49, "mean_ret": -0.1493, "median_ret": -0.077 }, "Q2": { "wr": 0.625, "n": 48, "mean_ret": 0.1141, "median_ret": 0.1033 }, "Q3": { "wr": 0.51, "n": 49, "mean_ret": 0.0079, "median_ret": 0.0291 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0237, "median_ret": 0.0496 }, "Q5": { "wr": 0.531, "n": 49, "mean_ret": 0.0127, "median_ret": 0.0348 } } }, "ret_eod": { "ic": 0.0471, "pval": 0.4677, "n": 240, "quintiles": { "Q1": { "wr": 0.479, "n": 48, "mean_ret": -0.0175, "median_ret": -0.0681 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": 0.0896, "median_ret": 0.0581 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": -0.0054, "median_ret": 0.0809 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": -0.0096, "median_ret": 0.0498 }, "Q5": { "wr": 0.625, "n": 48, "mean_ret": 0.0412, "median_ret": 0.1216 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": -0.0498, "pval": 0.5292, "n": 162, "quintiles": { "Q1": { "wr": 0.667, "n": 33, "mean_ret": -0.0234, "median_ret": 0.0328 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": 0.0377, "median_ret": 0.0089 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": -0.0228, "median_ret": -0.01 }, "Q4": { "wr": 0.531, "n": 32, "mean_ret": 0.0273, "median_ret": 0.0228 }, "Q5": { "wr": 0.485, "n": 33, "mean_ret": -0.0217, "median_ret": -0.0009 } } }, "ret_1h": { "ic": -0.0141, "pval": 0.8582, "n": 162, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": -0.0472, "median_ret": 0.0437 }, "Q2": { "wr": 0.656, "n": 32, "mean_ret": 0.0737, "median_ret": 0.0459 }, "Q3": { "wr": 0.344, "n": 32, "mean_ret": 0.0177, "median_ret": -0.036 }, "Q4": { "wr": 0.531, "n": 32, "mean_ret": 0.0018, "median_ret": 0.0352 }, "Q5": { "wr": 0.667, "n": 33, "mean_ret": 0.0099, "median_ret": 0.0421 } } }, "ret_2h": { "ic": -0.023, "pval": 0.7713, "n": 162, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": -0.0412, "median_ret": 0.0284 }, "Q2": { "wr": 0.625, "n": 32, "mean_ret": 0.0383, "median_ret": 0.0566 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": -0.0413, "median_ret": -0.0074 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0278, "median_ret": 0.064 }, "Q5": { "wr": 0.636, "n": 33, "mean_ret": 0.0073, "median_ret": 0.0497 } } }, "ret_eod": { "ic": -0.0615, "pval": 0.4427, "n": 158, "quintiles": { "Q1": { "wr": 0.625, "n": 32, "mean_ret": -0.0131, "median_ret": 0.1129 }, "Q2": { "wr": 0.645, "n": 31, "mean_ret": 0.0377, "median_ret": 0.1089 }, "Q3": { "wr": 0.375, "n": 32, "mean_ret": -0.032, "median_ret": -0.0328 }, "Q4": { "wr": 0.452, "n": 31, "mean_ret": 0.0382, "median_ret": -0.0384 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": -0.0126, "median_ret": 0.0225 } } } }, "ALL": { "n": 406, "ret_30m": { "ic": -0.0325, "pval": 0.5142, "n": 406, "quintiles": { "Q1": { "wr": 0.61, "n": 82, "mean_ret": -0.0177, "median_ret": 0.0438 }, "Q2": { "wr": 0.543, "n": 81, "mean_ret": -0.0022, "median_ret": 0.018 }, "Q3": { "wr": 0.42, "n": 81, "mean_ret": -0.0273, "median_ret": -0.0228 }, "Q4": { "wr": 0.543, "n": 81, "mean_ret": 0.0106, "median_ret": 0.0255 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": -0.0049, "median_ret": 0.0138 } } }, "ret_1h": { "ic": -0.004, "pval": 0.9367, "n": 405, "quintiles": { "Q1": { "wr": 0.568, "n": 81, "mean_ret": -0.0173, "median_ret": 0.0321 }, "Q2": { "wr": 0.556, "n": 81, "mean_ret": -0.0304, "median_ret": 0.034 }, "Q3": { "wr": 0.444, "n": 81, "mean_ret": -0.0033, "median_ret": -0.0277 }, "Q4": { "wr": 0.568, "n": 81, "mean_ret": 0.0355, "median_ret": 0.0437 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": -0.0032, "median_ret": 0.0103 } } }, "ret_2h": { "ic": 0.0093, "pval": 0.8513, "n": 405, "quintiles": { "Q1": { "wr": 0.457, "n": 81, "mean_ret": -0.068, "median_ret": -0.0203 }, "Q2": { "wr": 0.593, "n": 81, "mean_ret": 0.0095, "median_ret": 0.0596 }, "Q3": { "wr": 0.506, "n": 81, "mean_ret": 0.0068, "median_ret": 0.0003 }, "Q4": { "wr": 0.593, "n": 81, "mean_ret": 0.0449, "median_ret": 0.0961 }, "Q5": { "wr": 0.568, "n": 81, "mean_ret": 0.0065, "median_ret": 0.0459 } } }, "ret_eod": { "ic": 0.0144, "pval": 0.7741, "n": 398, "quintiles": { "Q1": { "wr": 0.537, "n": 80, "mean_ret": -0.0375, "median_ret": 0.0449 }, "Q2": { "wr": 0.557, "n": 79, "mean_ret": 0.0426, "median_ret": 0.0466 }, "Q3": { "wr": 0.525, "n": 80, "mean_ret": 0.0379, "median_ret": 0.0397 }, "Q4": { "wr": 0.519, "n": 79, "mean_ret": -0.0025, "median_ret": 0.0197 }, "Q5": { "wr": 0.588, "n": 80, "mean_ret": 0.0252, "median_ret": 0.0654 } } } }, "rvol": { "LOW": { "n": 83, "IS": { "n": 41, "ret_30m": { "ic": -0.1246, "pval": 0.4378, "n": 41, "quintiles": { "Q1": { "wr": 0.778, "n": 9, "mean_ret": 0.1573, "median_ret": 0.1242 }, "Q2": { "wr": 0.25, "n": 8, "mean_ret": -0.1381, "median_ret": -0.1404 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.1514, "median_ret": -0.1476 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0304, "median_ret": -0.038 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0189, "median_ret": -0.0003 } } }, "ret_1h": { "ic": -0.0537, "pval": 0.739, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.0959, "median_ret": 0.0422 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": -0.1703, "median_ret": 0.0167 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.1406, "median_ret": -0.0852 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": 0.0175, "median_ret": 0.0179 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0579, "median_ret": -0.0843 } } }, "ret_2h": { "ic": -0.0746, "pval": 0.6431, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.4881, "median_ret": 0.1663 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.2418, "median_ret": -0.2541 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.1185, "median_ret": -0.1272 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.0158, "median_ret": 0.1047 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0385, "median_ret": -0.0475 } } }, "ret_eod": { "ic": -0.0368, "pval": 0.8195, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 1.2616, "median_ret": 0.2297 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.0988, "median_ret": -0.1616 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0379, "median_ret": 0.0907 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0157, "median_ret": -0.0251 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0006, "median_ret": 0.0956 } } } }, "OOS": { "n": 42, "ret_30m": { "ic": -0.0639, "pval": 0.6875, "n": 42, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.0084, "median_ret": 0.0589 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.0167, "median_ret": -0.0258 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0186, "median_ret": 0.0354 }, "Q4": { "wr": 0.875, "n": 8, "mean_ret": 0.0454, "median_ret": 0.0506 }, "Q5": { "wr": 0.444, "n": 9, "mean_ret": -0.0057, "median_ret": -0.0009 } } }, "ret_1h": { "ic": 0.114, "pval": 0.4722, "n": 42, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.0106, "median_ret": 0.1104 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.0236, "median_ret": -0.0221 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0409, "median_ret": 0.0389 }, "Q4": { "wr": 1.0, "n": 8, "mean_ret": 0.101, "median_ret": 0.1032 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.0351, "median_ret": 0.0495 } } }, "ret_2h": { "ic": -0.0451, "pval": 0.7765, "n": 42, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.0348, "median_ret": 0.1229 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.0053, "median_ret": -0.004 }, "Q3": { "wr": 0.875, "n": 8, "mean_ret": 0.057, "median_ret": 0.058 }, "Q4": { "wr": 0.875, "n": 8, "mean_ret": 0.0872, "median_ret": 0.0743 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.038, "median_ret": 0.0535 } } }, "ret_eod": { "ic": -0.0174, "pval": 0.9162, "n": 39, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": 0.0001, "median_ret": 0.011 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": -0.1043, "median_ret": -0.0123 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": 0.0146, "median_ret": 0.0466 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": 0.0399, "median_ret": 0.0595 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0782, "median_ret": -0.0321 } } } }, "ALL": { "n": 83, "ret_30m": { "ic": -0.0836, "pval": 0.4524, "n": 83, "quintiles": { "Q1": { "wr": 0.529, "n": 17, "mean_ret": 0.0146, "median_ret": 0.0094 }, "Q2": { "wr": 0.625, "n": 16, "mean_ret": 0.0218, "median_ret": 0.0372 }, "Q3": { "wr": 0.353, "n": 17, "mean_ret": -0.0826, "median_ret": -0.0418 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": 0.0042, "median_ret": 0.0308 }, "Q5": { "wr": 0.471, "n": 17, "mean_ret": -0.0088, "median_ret": 0.0 } } }, "ret_1h": { "ic": 0.038, "pval": 0.733, "n": 83, "quintiles": { "Q1": { "wr": 0.529, "n": 17, "mean_ret": 0.0002, "median_ret": 0.0215 }, "Q2": { "wr": 0.5, "n": 16, "mean_ret": -0.0138, "median_ret": 0.0119 }, "Q3": { "wr": 0.471, "n": 17, "mean_ret": -0.069, "median_ret": -0.0103 }, "Q4": { "wr": 0.625, "n": 16, "mean_ret": 0.029, "median_ret": 0.0714 }, "Q5": { "wr": 0.706, "n": 17, "mean_ret": 0.0199, "median_ret": 0.0421 } } }, "ret_2h": { "ic": -0.0484, "pval": 0.6642, "n": 83, "quintiles": { "Q1": { "wr": 0.529, "n": 17, "mean_ret": 0.1458, "median_ret": 0.1153 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.0423, "median_ret": 0.0144 }, "Q3": { "wr": 0.529, "n": 17, "mean_ret": -0.049, "median_ret": 0.0265 }, "Q4": { "wr": 0.688, "n": 16, "mean_ret": 0.0111, "median_ret": 0.1036 }, "Q5": { "wr": 0.706, "n": 17, "mean_ret": 0.04, "median_ret": 0.0534 } } }, "ret_eod": { "ic": 0.0039, "pval": 0.9725, "n": 80, "quintiles": { "Q1": { "wr": 0.5, "n": 16, "mean_ret": 0.5733, "median_ret": 0.0064 }, "Q2": { "wr": 0.5, "n": 16, "mean_ret": 0.0014, "median_ret": 0.0159 }, "Q3": { "wr": 0.562, "n": 16, "mean_ret": 0.0588, "median_ret": 0.0907 }, "Q4": { "wr": 0.5, "n": 16, "mean_ret": 0.0359, "median_ret": 0.0279 }, "Q5": { "wr": 0.5, "n": 16, "mean_ret": -0.0626, "median_ret": -0.0086 } } } } }, "MED": { "n": 91, "IS": { "n": 33, "ret_30m": { "ic": -0.0742, "pval": 0.6815, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0853, "median_ret": 0.1197 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.1188, "median_ret": 0.0161 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": 0.1002, "median_ret": -0.0074 }, "Q4": { "wr": 0.833, "n": 6, "mean_ret": 0.1174, "median_ret": 0.0818 }, "Q5": { "wr": 0.429, "n": 7, "mean_ret": 0.0179, "median_ret": -0.045 } } }, "ret_1h": { "ic": 0.0094, "pval": 0.9588, "n": 33, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": 0.094, "median_ret": 0.2255 }, "Q2": { "wr": 0.333, "n": 6, "mean_ret": -0.3601, "median_ret": -0.0921 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.236, "median_ret": 0.1794 }, "Q4": { "wr": 1.0, "n": 6, "mean_ret": 0.2011, "median_ret": 0.1793 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0429, "median_ret": 0.043 } } }, "ret_2h": { "ic": 0.1427, "pval": 0.4282, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.0058, "median_ret": -0.0777 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.4451, "median_ret": -0.2502 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.228, "median_ret": 0.104 }, "Q4": { "wr": 1.0, "n": 6, "mean_ret": 0.3298, "median_ret": 0.3243 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0459, "median_ret": 0.0834 } } }, "ret_eod": { "ic": 0.0792, "pval": 0.6613, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": 0.1162, "median_ret": -0.2502 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.5712, "median_ret": 0.0464 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.1505, "median_ret": -0.0741 }, "Q4": { "wr": 1.0, "n": 6, "mean_ret": 0.3394, "median_ret": 0.327 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.1147, "median_ret": 0.2588 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": -0.1608, "pval": 0.2279, "n": 58, "quintiles": { "Q1": { "wr": 0.833, "n": 12, "mean_ret": 0.0319, "median_ret": 0.0375 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0351, "median_ret": 0.0244 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0324, "median_ret": 0.0475 }, "Q4": { "wr": 0.364, "n": 11, "mean_ret": -0.0083, "median_ret": -0.0228 }, "Q5": { "wr": 0.5, "n": 12, "mean_ret": -0.0025, "median_ret": -0.0067 } } }, "ret_1h": { "ic": -0.1636, "pval": 0.2197, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.099, "median_ret": 0.1042 }, "Q2": { "wr": 0.727, "n": 11, "mean_ret": 0.0871, "median_ret": 0.0722 }, "Q3": { "wr": 0.333, "n": 12, "mean_ret": -0.0289, "median_ret": -0.0433 }, "Q4": { "wr": 0.455, "n": 11, "mean_ret": -0.055, "median_ret": -0.0465 }, "Q5": { "wr": 0.75, "n": 12, "mean_ret": 0.0597, "median_ret": 0.0904 } } }, "ret_2h": { "ic": -0.2385, "pval": 0.0714, "n": 58, "quintiles": { "Q1": { "wr": 0.833, "n": 12, "mean_ret": 0.1833, "median_ret": 0.2158 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0341, "median_ret": 0.0976 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0067, "median_ret": 0.0144 }, "Q4": { "wr": 0.455, "n": 11, "mean_ret": -0.074, "median_ret": -0.0405 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.0338, "median_ret": 0.0679 } } }, "ret_eod": { "ic": -0.1674, "pval": 0.2092, "n": 58, "quintiles": { "Q1": { "wr": 0.75, "n": 12, "mean_ret": 0.1864, "median_ret": 0.1481 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0374, "median_ret": 0.0613 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": 0.0137, "median_ret": -0.005 }, "Q4": { "wr": 0.364, "n": 11, "mean_ret": -0.0289, "median_ret": -0.0613 }, "Q5": { "wr": 0.5, "n": 12, "mean_ret": 0.073, "median_ret": 0.0561 } } } }, "ALL": { "n": 91, "ret_30m": { "ic": -0.1042, "pval": 0.3257, "n": 91, "quintiles": { "Q1": { "wr": 0.789, "n": 19, "mean_ret": 0.0346, "median_ret": 0.0516 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": 0.0419, "median_ret": 0.0359 }, "Q3": { "wr": 0.444, "n": 18, "mean_ret": -0.0403, "median_ret": -0.0286 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": 0.0341, "median_ret": 0.0358 }, "Q5": { "wr": 0.5, "n": 18, "mean_ret": 0.0207, "median_ret": -0.0067 } } }, "ret_1h": { "ic": -0.0523, "pval": 0.6224, "n": 91, "quintiles": { "Q1": { "wr": 0.579, "n": 19, "mean_ret": 0.0679, "median_ret": 0.0916 }, "Q2": { "wr": 0.667, "n": 18, "mean_ret": 0.0293, "median_ret": 0.07 }, "Q3": { "wr": 0.333, "n": 18, "mean_ret": -0.033, "median_ret": -0.0489 }, "Q4": { "wr": 0.722, "n": 18, "mean_ret": 0.0533, "median_ret": 0.0887 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.0769, "median_ret": 0.0904 } } }, "ret_2h": { "ic": -0.0584, "pval": 0.5823, "n": 91, "quintiles": { "Q1": { "wr": 0.684, "n": 19, "mean_ret": 0.0911, "median_ret": 0.1935 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.0312, "median_ret": 0.1135 }, "Q3": { "wr": 0.5, "n": 18, "mean_ret": -0.0303, "median_ret": -0.0214 }, "Q4": { "wr": 0.722, "n": 18, "mean_ret": 0.0628, "median_ret": 0.1038 }, "Q5": { "wr": 0.611, "n": 18, "mean_ret": 0.0844, "median_ret": 0.0873 } } }, "ret_eod": { "ic": -0.0203, "pval": 0.8483, "n": 91, "quintiles": { "Q1": { "wr": 0.632, "n": 19, "mean_ret": 0.1786, "median_ret": 0.1176 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.1632, "median_ret": 0.1018 }, "Q3": { "wr": 0.444, "n": 18, "mean_ret": -0.0285, "median_ret": -0.0278 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": 0.0384, "median_ret": 0.1347 }, "Q5": { "wr": 0.611, "n": 18, "mean_ret": 0.106, "median_ret": 0.1625 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": -0.0013, "pval": 0.9955, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.2195, "pval": 0.3391, "n": 21, "quintiles": {} }, "ret_2h": { "ic": 0.3831, "pval": 0.0865, "n": 21, "quintiles": {} }, "ret_eod": { "ic": -0.0481, "pval": 0.8361, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": -0.0199, "pval": 0.8981, "n": 44, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.0928, "median_ret": 0.0328 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": 0.0376, "median_ret": 0.0194 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": 0.0145, "median_ret": -0.0684 }, "Q4": { "wr": 0.444, "n": 9, "mean_ret": 0.04, "median_ret": -0.0629 }, "Q5": { "wr": 0.333, "n": 9, "mean_ret": -0.1078, "median_ret": -0.0552 } } }, "ret_1h": { "ic": 0.0495, "pval": 0.7498, "n": 44, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.2592, "median_ret": -0.137 }, "Q2": { "wr": 0.667, "n": 9, "mean_ret": 0.0728, "median_ret": 0.0437 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": 0.1667, "median_ret": -0.0259 }, "Q4": { "wr": 0.333, "n": 9, "mean_ret": -0.0555, "median_ret": -0.0409 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": -0.0508, "median_ret": 0.0047 } } }, "ret_2h": { "ic": 0.2218, "pval": 0.1478, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.3669, "median_ret": -0.0702 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": -0.074, "median_ret": 0.0114 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.0876, "median_ret": -0.1356 }, "Q4": { "wr": 0.444, "n": 9, "mean_ret": 0.0366, "median_ret": -0.0401 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.0562, "median_ret": 0.0987 } } }, "ret_eod": { "ic": 0.0429, "pval": 0.7848, "n": 43, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": -0.2629, "median_ret": 0.1082 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": -0.0345, "median_ret": 0.1125 }, "Q3": { "wr": 0.333, "n": 9, "mean_ret": 0.0965, "median_ret": -0.0361 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0126, "median_ret": -0.0603 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": -0.0383, "median_ret": 0.1562 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": -0.0172, "pval": 0.892, "n": 65, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.0766, "median_ret": 0.0194 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.0835, "median_ret": -0.0029 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.0934, "median_ret": -0.0953 }, "Q4": { "wr": 0.385, "n": 13, "mean_ret": 0.0387, "median_ret": -0.0696 }, "Q5": { "wr": 0.308, "n": 13, "mean_ret": -0.0882, "median_ret": -0.0602 } } }, "ret_1h": { "ic": 0.076, "pval": 0.5476, "n": 65, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.2183, "median_ret": -0.0761 }, "Q2": { "wr": 0.538, "n": 13, "mean_ret": -0.112, "median_ret": 0.0312 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.0818, "median_ret": -0.0315 }, "Q4": { "wr": 0.385, "n": 13, "mean_ret": 0.1023, "median_ret": -0.0203 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": -0.0464, "median_ret": 0.0047 } } }, "ret_2h": { "ic": 0.2228, "pval": 0.0744, "n": 65, "quintiles": { "Q1": { "wr": 0.308, "n": 13, "mean_ret": -0.3135, "median_ret": -0.058 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.3034, "median_ret": -0.2233 }, "Q3": { "wr": 0.538, "n": 13, "mean_ret": -0.0834, "median_ret": 0.0291 }, "Q4": { "wr": 0.385, "n": 13, "mean_ret": 0.0748, "median_ret": -0.0685 }, "Q5": { "wr": 0.615, "n": 13, "mean_ret": 0.0425, "median_ret": 0.0987 } } }, "ret_eod": { "ic": 0.0103, "pval": 0.9353, "n": 64, "quintiles": { "Q1": { "wr": 0.615, "n": 13, "mean_ret": -0.2018, "median_ret": 0.0601 }, "Q2": { "wr": 0.615, "n": 13, "mean_ret": -0.1542, "median_ret": 0.1752 }, "Q3": { "wr": 0.333, "n": 12, "mean_ret": -0.1838, "median_ret": -0.0893 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.1114, "median_ret": 0.0335 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": -0.0883, "median_ret": 0.0468 } } } } } } }, "11:00 vs 9:30 (1.5hr)": { "label": "11:00 vs 9:30 (1.5hr)", "check_time": "11:00", "anchor_time": "09:30", "anchor_min": 90, "n_total": 402, "IS": { "n": 243, "ret_30m": { "ic": -0.0529, "pval": 0.4115, "n": 243, "quintiles": { "Q1": { "wr": 0.531, "n": 49, "mean_ret": -0.0188, "median_ret": 0.0688 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": -0.006, "median_ret": 0.0161 }, "Q3": { "wr": 0.49, "n": 49, "mean_ret": -0.0284, "median_ret": -0.0104 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": -0.0258, "median_ret": 0.0003 }, "Q5": { "wr": 0.551, "n": 49, "mean_ret": 0.0047, "median_ret": 0.025 } } }, "ret_1h": { "ic": 0.0065, "pval": 0.9201, "n": 242, "quintiles": { "Q1": { "wr": 0.51, "n": 49, "mean_ret": -0.0924, "median_ret": 0.0022 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": -0.0056, "median_ret": 0.0414 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": 0.0299, "median_ret": 0.0337 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0014, "median_ret": 0.0262 }, "Q5": { "wr": 0.49, "n": 49, "mean_ret": -0.0028, "median_ret": -0.0033 } } }, "ret_2h": { "ic": -0.0381, "pval": 0.5553, "n": 242, "quintiles": { "Q1": { "wr": 0.51, "n": 49, "mean_ret": -0.0635, "median_ret": 0.0053 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": 0.0799, "median_ret": 0.0703 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": -0.0061, "median_ret": 0.0463 }, "Q4": { "wr": 0.479, "n": 48, "mean_ret": 0.0002, "median_ret": -0.0163 }, "Q5": { "wr": 0.51, "n": 49, "mean_ret": -0.0076, "median_ret": 0.0012 } } }, "ret_eod": { "ic": -0.0368, "pval": 0.5709, "n": 239, "quintiles": { "Q1": { "wr": 0.562, "n": 48, "mean_ret": 0.1013, "median_ret": 0.0919 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": 0.0067, "median_ret": 0.0117 }, "Q3": { "wr": 0.596, "n": 47, "mean_ret": -0.0153, "median_ret": 0.0498 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": -0.0003, "median_ret": 0.04 }, "Q5": { "wr": 0.583, "n": 48, "mean_ret": 0.0028, "median_ret": 0.051 } } } }, "OOS": { "n": 159, "ret_30m": { "ic": -0.0314, "pval": 0.6944, "n": 159, "quintiles": { "Q1": { "wr": 0.688, "n": 32, "mean_ret": 0.0002, "median_ret": 0.0634 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": -0.0244, "median_ret": 0.0027 }, "Q3": { "wr": 0.387, "n": 31, "mean_ret": 0.0144, "median_ret": -0.0228 }, "Q4": { "wr": 0.531, "n": 32, "mean_ret": 0.0234, "median_ret": 0.0101 }, "Q5": { "wr": 0.562, "n": 32, "mean_ret": -0.0193, "median_ret": 0.0173 } } }, "ret_1h": { "ic": -0.0227, "pval": 0.7759, "n": 159, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": -0.0295, "median_ret": 0.0923 }, "Q2": { "wr": 0.531, "n": 32, "mean_ret": 0.0011, "median_ret": 0.0264 }, "Q3": { "wr": 0.516, "n": 31, "mean_ret": 0.0659, "median_ret": 0.0047 }, "Q4": { "wr": 0.469, "n": 32, "mean_ret": -0.0084, "median_ret": -0.0025 }, "Q5": { "wr": 0.625, "n": 32, "mean_ret": 0.0223, "median_ret": 0.072 } } }, "ret_2h": { "ic": -0.0148, "pval": 0.8531, "n": 159, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": -0.0284, "median_ret": 0.1332 }, "Q2": { "wr": 0.531, "n": 32, "mean_ret": -0.0335, "median_ret": 0.0345 }, "Q3": { "wr": 0.484, "n": 31, "mean_ret": -0.0298, "median_ret": -0.0405 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0438, "median_ret": 0.0617 }, "Q5": { "wr": 0.719, "n": 32, "mean_ret": 0.03, "median_ret": 0.0535 } } }, "ret_eod": { "ic": 0.0058, "pval": 0.942, "n": 157, "quintiles": { "Q1": { "wr": 0.594, "n": 32, "mean_ret": -0.0118, "median_ret": 0.0427 }, "Q2": { "wr": 0.548, "n": 31, "mean_ret": 0.0045, "median_ret": 0.0498 }, "Q3": { "wr": 0.355, "n": 31, "mean_ret": -0.0849, "median_ret": -0.0505 }, "Q4": { "wr": 0.581, "n": 31, "mean_ret": 0.1158, "median_ret": 0.171 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": -0.0163, "median_ret": 0.0225 } } } }, "ALL": { "n": 402, "ret_30m": { "ic": -0.0318, "pval": 0.5255, "n": 402, "quintiles": { "Q1": { "wr": 0.58, "n": 81, "mean_ret": 0.0029, "median_ret": 0.0401 }, "Q2": { "wr": 0.537, "n": 80, "mean_ret": -0.0061, "median_ret": 0.0216 }, "Q3": { "wr": 0.438, "n": 80, "mean_ret": -0.0315, "median_ret": -0.0211 }, "Q4": { "wr": 0.525, "n": 80, "mean_ret": -0.0126, "median_ret": 0.0116 }, "Q5": { "wr": 0.568, "n": 81, "mean_ret": -0.0003, "median_ret": 0.0218 } } }, "ret_1h": { "ic": -0.0075, "pval": 0.8805, "n": 401, "quintiles": { "Q1": { "wr": 0.568, "n": 81, "mean_ret": 0.0013, "median_ret": 0.0336 }, "Q2": { "wr": 0.512, "n": 80, "mean_ret": -0.0392, "median_ret": 0.028 }, "Q3": { "wr": 0.5, "n": 80, "mean_ret": -0.0035, "median_ret": 0.0002 }, "Q4": { "wr": 0.537, "n": 80, "mean_ret": 0.0135, "median_ret": 0.0255 }, "Q5": { "wr": 0.537, "n": 80, "mean_ret": 0.0048, "median_ret": 0.012 } } }, "ret_2h": { "ic": -0.0156, "pval": 0.7547, "n": 401, "quintiles": { "Q1": { "wr": 0.543, "n": 81, "mean_ret": -0.0033, "median_ret": 0.0291 }, "Q2": { "wr": 0.525, "n": 80, "mean_ret": -0.0171, "median_ret": 0.0284 }, "Q3": { "wr": 0.5, "n": 80, "mean_ret": -0.0165, "median_ret": 0.0001 }, "Q4": { "wr": 0.55, "n": 80, "mean_ret": 0.0277, "median_ret": 0.0582 }, "Q5": { "wr": 0.575, "n": 80, "mean_ret": 0.0033, "median_ret": 0.0452 } } }, "ret_eod": { "ic": -0.0053, "pval": 0.9165, "n": 396, "quintiles": { "Q1": { "wr": 0.6, "n": 80, "mean_ret": 0.0134, "median_ret": 0.0708 }, "Q2": { "wr": 0.506, "n": 79, "mean_ret": 0.0488, "median_ret": 0.0332 }, "Q3": { "wr": 0.494, "n": 79, "mean_ret": -0.0121, "median_ret": -0.0097 }, "Q4": { "wr": 0.544, "n": 79, "mean_ret": 0.0082, "median_ret": 0.0498 }, "Q5": { "wr": 0.57, "n": 79, "mean_ret": 0.002, "median_ret": 0.0504 } } } }, "rvol": { "LOW": { "n": 80, "IS": { "n": 41, "ret_30m": { "ic": -0.0838, "pval": 0.6024, "n": 41, "quintiles": { "Q1": { "wr": 0.778, "n": 9, "mean_ret": 0.1251, "median_ret": 0.1333 }, "Q2": { "wr": 0.0, "n": 8, "mean_ret": -0.1406, "median_ret": -0.1225 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": -0.1037, "median_ret": -0.088 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0572, "median_ret": -0.0718 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0011, "median_ret": -0.0003 } } }, "ret_1h": { "ic": -0.1051, "pval": 0.5133, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.0324, "median_ret": 0.0422 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.1096, "median_ret": -0.0499 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": -0.078, "median_ret": 0.0572 }, "Q4": { "wr": 0.25, "n": 8, "mean_ret": -0.0663, "median_ret": -0.0525 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0258, "median_ret": -0.0098 } } }, "ret_2h": { "ic": -0.1747, "pval": 0.2745, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.4338, "median_ret": 0.3681 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": -0.0563, "median_ret": -0.0247 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.1833, "median_ret": -0.1443 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0539, "median_ret": -0.008 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0285, "median_ret": 0.0097 } } }, "ret_eod": { "ic": -0.1354, "pval": 0.3988, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 1.3002, "median_ret": 0.2441 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.0579, "median_ret": -0.0765 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": -0.0123, "median_ret": 0.0907 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0123, "median_ret": -0.0311 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0369, "median_ret": 0.0279 } } } }, "OOS": { "n": 39, "ret_30m": { "ic": -0.137, "pval": 0.4054, "n": 39, "quintiles": { "Q1": { "wr": 0.75, "n": 8, "mean_ret": 0.0531, "median_ret": 0.0892 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.0236, "median_ret": -0.0376 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": -0.0076, "median_ret": 0.0169 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0234, "median_ret": 0.0216 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0035, "median_ret": 0.0065 } } }, "ret_1h": { "ic": 0.0206, "pval": 0.9007, "n": 39, "quintiles": { "Q1": { "wr": 0.75, "n": 8, "mean_ret": 0.0722, "median_ret": 0.1169 }, "Q2": { "wr": 0.25, "n": 8, "mean_ret": -0.0207, "median_ret": -0.025 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.0048, "median_ret": 0.0103 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.0579, "median_ret": 0.0933 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.0428, "median_ret": 0.0458 } } }, "ret_2h": { "ic": -0.1518, "pval": 0.3562, "n": 39, "quintiles": { "Q1": { "wr": 0.625, "n": 8, "mean_ret": 0.0659, "median_ret": 0.1561 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0417, "median_ret": 0.0345 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.0388, "median_ret": 0.1069 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.0453, "median_ret": 0.0621 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.0184, "median_ret": 0.045 } } }, "ret_eod": { "ic": -0.001, "pval": 0.9953, "n": 38, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": 0.0071, "median_ret": 0.047 }, "Q2": { "wr": 0.571, "n": 7, "mean_ret": -0.0948, "median_ret": 0.0466 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0456, "median_ret": 0.0847 }, "Q4": { "wr": 0.429, "n": 7, "mean_ret": -0.1534, "median_ret": -0.3073 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0037, "median_ret": -0.0358 } } } }, "ALL": { "n": 80, "ret_30m": { "ic": -0.0949, "pval": 0.4023, "n": 80, "quintiles": { "Q1": { "wr": 0.562, "n": 16, "mean_ret": 0.0136, "median_ret": 0.053 }, "Q2": { "wr": 0.625, "n": 16, "mean_ret": 0.0412, "median_ret": 0.021 }, "Q3": { "wr": 0.312, "n": 16, "mean_ret": -0.1058, "median_ret": -0.0845 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": -0.0063, "median_ret": 0.0101 }, "Q5": { "wr": 0.438, "n": 16, "mean_ret": -0.0023, "median_ret": -0.0003 } } }, "ret_1h": { "ic": -0.0285, "pval": 0.8021, "n": 80, "quintiles": { "Q1": { "wr": 0.5, "n": 16, "mean_ret": 0.0198, "median_ret": 0.0134 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.0077, "median_ret": 0.0407 }, "Q3": { "wr": 0.5, "n": 16, "mean_ret": -0.0961, "median_ret": 0.0028 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": 0.0124, "median_ret": 0.0344 }, "Q5": { "wr": 0.625, "n": 16, "mean_ret": 0.0085, "median_ret": 0.0246 } } }, "ret_2h": { "ic": -0.1256, "pval": 0.2668, "n": 80, "quintiles": { "Q1": { "wr": 0.625, "n": 16, "mean_ret": 0.0565, "median_ret": 0.1002 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.2026, "median_ret": 0.035 }, "Q3": { "wr": 0.375, "n": 16, "mean_ret": -0.1055, "median_ret": -0.12 }, "Q4": { "wr": 0.75, "n": 16, "mean_ret": 0.037, "median_ret": 0.0819 }, "Q5": { "wr": 0.625, "n": 16, "mean_ret": -0.005, "median_ret": 0.045 } } }, "ret_eod": { "ic": -0.0145, "pval": 0.8994, "n": 79, "quintiles": { "Q1": { "wr": 0.562, "n": 16, "mean_ret": -0.0227, "median_ret": 0.0777 }, "Q2": { "wr": 0.438, "n": 16, "mean_ret": 0.5881, "median_ret": -0.1381 }, "Q3": { "wr": 0.533, "n": 15, "mean_ret": 0.0686, "median_ret": 0.0815 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": -0.0219, "median_ret": 0.091 }, "Q5": { "wr": 0.438, "n": 16, "mean_ret": -0.0203, "median_ret": -0.0251 } } } } }, "MED": { "n": 90, "IS": { "n": 32, "ret_30m": { "ic": -0.1917, "pval": 0.2932, "n": 32, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.1527, "median_ret": 0.1197 }, "Q2": { "wr": 0.333, "n": 6, "mean_ret": -0.0993, "median_ret": -0.0696 }, "Q3": { "wr": 0.667, "n": 6, "mean_ret": 0.0432, "median_ret": 0.0836 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.0423, "median_ret": 0.0818 }, "Q5": { "wr": 0.429, "n": 7, "mean_ret": 0.0102, "median_ret": -0.0103 } } }, "ret_1h": { "ic": -0.0209, "pval": 0.9096, "n": 32, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": 0.1408, "median_ret": 0.0679 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.2404, "median_ret": -0.0403 }, "Q3": { "wr": 0.5, "n": 6, "mean_ret": 0.081, "median_ret": 0.008 }, "Q4": { "wr": 0.833, "n": 6, "mean_ret": 0.132, "median_ret": 0.1688 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.0956, "median_ret": 0.0964 } } }, "ret_2h": { "ic": 0.0191, "pval": 0.9175, "n": 32, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": 0.2337, "median_ret": 0.2722 }, "Q2": { "wr": 0.333, "n": 6, "mean_ret": -0.4102, "median_ret": -0.1098 }, "Q3": { "wr": 0.833, "n": 6, "mean_ret": 0.029, "median_ret": 0.1448 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.0712, "median_ret": 0.159 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.1672, "median_ret": 0.1963 } } }, "ret_eod": { "ic": 0.0403, "pval": 0.8266, "n": 32, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": 0.25, "median_ret": 0.4234 }, "Q2": { "wr": 0.333, "n": 6, "mean_ret": -0.7045, "median_ret": -0.1884 }, "Q3": { "wr": 0.667, "n": 6, "mean_ret": 0.1053, "median_ret": 0.1565 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": -0.1848, "median_ret": -0.0761 }, "Q5": { "wr": 0.857, "n": 7, "mean_ret": 0.2847, "median_ret": 0.4138 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": 0.0569, "pval": 0.6712, "n": 58, "quintiles": { "Q1": { "wr": 0.75, "n": 12, "mean_ret": -0.0025, "median_ret": 0.0563 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0028, "median_ret": 0.0115 }, "Q3": { "wr": 0.25, "n": 12, "mean_ret": -0.0267, "median_ret": -0.0289 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0135, "median_ret": 0.0414 }, "Q5": { "wr": 0.667, "n": 12, "mean_ret": 0.0358, "median_ret": 0.0644 } } }, "ret_1h": { "ic": -0.0674, "pval": 0.6152, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.0631, "median_ret": 0.1049 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0359, "median_ret": 0.0321 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.0406, "median_ret": 0.0158 }, "Q4": { "wr": 0.364, "n": 11, "mean_ret": -0.0655, "median_ret": -0.0685 }, "Q5": { "wr": 0.75, "n": 12, "mean_ret": 0.0825, "median_ret": 0.11 } } }, "ret_2h": { "ic": -0.0705, "pval": 0.5991, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.1078, "median_ret": 0.1758 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0767, "median_ret": 0.1293 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0391, "median_ret": 0.0144 }, "Q4": { "wr": 0.364, "n": 11, "mean_ret": -0.0876, "median_ret": -0.0432 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.1152, "median_ret": 0.1198 } } }, "ret_eod": { "ic": -0.0217, "pval": 0.8713, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.1101, "median_ret": 0.0427 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": 0.1014, "median_ret": 0.207 }, "Q3": { "wr": 0.25, "n": 12, "mean_ret": -0.0783, "median_ret": -0.0558 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": 0.0282, "median_ret": 0.0648 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.1304, "median_ret": 0.1489 } } } }, "ALL": { "n": 90, "ret_30m": { "ic": -0.0156, "pval": 0.8836, "n": 90, "quintiles": { "Q1": { "wr": 0.722, "n": 18, "mean_ret": 0.009, "median_ret": 0.0511 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": 0.0302, "median_ret": 0.0279 }, "Q3": { "wr": 0.278, "n": 18, "mean_ret": -0.0278, "median_ret": -0.0373 }, "Q4": { "wr": 0.667, "n": 18, "mean_ret": 0.0337, "median_ret": 0.0488 }, "Q5": { "wr": 0.611, "n": 18, "mean_ret": 0.028, "median_ret": 0.0644 } } }, "ret_1h": { "ic": -0.0229, "pval": 0.8304, "n": 90, "quintiles": { "Q1": { "wr": 0.667, "n": 18, "mean_ret": 0.0536, "median_ret": 0.0923 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": 0.0134, "median_ret": 0.0772 }, "Q3": { "wr": 0.444, "n": 18, "mean_ret": 0.0171, "median_ret": -0.0061 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": 0.01, "median_ret": 0.0448 }, "Q5": { "wr": 0.778, "n": 18, "mean_ret": 0.0948, "median_ret": 0.11 } } }, "ret_2h": { "ic": -0.0204, "pval": 0.8488, "n": 90, "quintiles": { "Q1": { "wr": 0.611, "n": 18, "mean_ret": 0.0778, "median_ret": 0.1436 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": 0.0018, "median_ret": 0.1602 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": -0.035, "median_ret": 0.0144 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": -0.0122, "median_ret": 0.0998 }, "Q5": { "wr": 0.778, "n": 18, "mean_ret": 0.1361, "median_ret": 0.1627 } } }, "ret_eod": { "ic": 0.0171, "pval": 0.8729, "n": 90, "quintiles": { "Q1": { "wr": 0.667, "n": 18, "mean_ret": 0.1627, "median_ret": 0.0895 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.1515, "median_ret": 0.2092 }, "Q3": { "wr": 0.333, "n": 18, "mean_ret": -0.0365, "median_ret": -0.05 }, "Q4": { "wr": 0.5, "n": 18, "mean_ret": -0.0388, "median_ret": 0.0521 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.198, "median_ret": 0.2501 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": -0.0117, "pval": 0.9599, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.2416, "pval": 0.2915, "n": 21, "quintiles": {} }, "ret_2h": { "ic": 0.2831, "pval": 0.2136, "n": 21, "quintiles": {} }, "ret_eod": { "ic": 0.0545, "pval": 0.8143, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": -0.1237, "pval": 0.4235, "n": 44, "quintiles": { "Q1": { "wr": 0.778, "n": 9, "mean_ret": -0.0095, "median_ret": 0.0658 }, "Q2": { "wr": 0.333, "n": 9, "mean_ret": -0.0513, "median_ret": -0.0673 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": 0.0212, "median_ret": -0.0415 }, "Q4": { "wr": 0.333, "n": 9, "mean_ret": -0.0231, "median_ret": -0.0629 }, "Q5": { "wr": 0.444, "n": 9, "mean_ret": -0.0451, "median_ret": -0.0953 } } }, "ret_1h": { "ic": -0.0399, "pval": 0.7971, "n": 44, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.1923, "median_ret": 0.0437 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": -0.0012, "median_ret": 0.0216 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": 0.0797, "median_ret": -0.0145 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": 0.0084, "median_ret": 0.0449 }, "Q5": { "wr": 0.333, "n": 9, "mean_ret": -0.0301, "median_ret": -0.0704 } } }, "ret_2h": { "ic": 0.1223, "pval": 0.4289, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.3055, "median_ret": -0.0702 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": -0.1729, "median_ret": 0.0914 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.0571, "median_ret": -0.1555 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": 0.0808, "median_ret": 0.0114 }, "Q5": { "wr": 0.444, "n": 9, "mean_ret": 0.0224, "median_ret": -0.1269 } } }, "ret_eod": { "ic": 0.0894, "pval": 0.5686, "n": 43, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": -0.1569, "median_ret": 0.1604 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.1723, "median_ret": -0.0796 }, "Q3": { "wr": 0.556, "n": 9, "mean_ret": -0.131, "median_ret": 0.0335 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.2462, "median_ret": 0.2244 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": -0.0243, "median_ret": 0.0601 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": -0.0862, "pval": 0.4948, "n": 65, "quintiles": { "Q1": { "wr": 0.692, "n": 13, "mean_ret": -0.018, "median_ret": 0.0658 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.1796, "median_ret": -0.037 }, "Q3": { "wr": 0.308, "n": 13, "mean_ret": -0.0548, "median_ret": -0.0673 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": 0.0106, "median_ret": -0.0552 }, "Q5": { "wr": 0.308, "n": 13, "mean_ret": -0.0612, "median_ret": -0.0953 } } }, "ret_1h": { "ic": 0.0471, "pval": 0.7094, "n": 65, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.1562, "median_ret": 0.0022 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.2443, "median_ret": -0.141 }, "Q3": { "wr": 0.538, "n": 13, "mean_ret": 0.0254, "median_ret": 0.0047 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": 0.0211, "median_ret": -0.0036 }, "Q5": { "wr": 0.462, "n": 13, "mean_ret": -0.0023, "median_ret": -0.059 } } }, "ret_2h": { "ic": 0.1597, "pval": 0.2039, "n": 65, "quintiles": { "Q1": { "wr": 0.308, "n": 13, "mean_ret": -0.2877, "median_ret": -0.0702 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.3855, "median_ret": -0.2233 }, "Q3": { "wr": 0.538, "n": 13, "mean_ret": -0.0198, "median_ret": 0.0987 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.0452, "median_ret": 0.0114 }, "Q5": { "wr": 0.462, "n": 13, "mean_ret": 0.0649, "median_ret": -0.1269 } } }, "ret_eod": { "ic": 0.0505, "pval": 0.6921, "n": 64, "quintiles": { "Q1": { "wr": 0.692, "n": 13, "mean_ret": -0.1199, "median_ret": 0.1604 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.2693, "median_ret": -0.131 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0006, "median_ret": 0.0402 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": -0.0919, "median_ret": -0.0271 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": -0.0208, "median_ret": 0.0601 } } } } } } }, "11:30 vs 11:00 (30min)": { "label": "11:30 vs 11:00 (30min)", "check_time": "11:30", "anchor_time": "11:00", "anchor_min": 30, "n_total": 406, "IS": { "n": 244, "ret_30m": { "ic": -0.0148, "pval": 0.8186, "n": 243, "quintiles": { "Q1": { "wr": 0.571, "n": 49, "mean_ret": 0.006, "median_ret": 0.0242 }, "Q2": { "wr": 0.583, "n": 48, "mean_ret": 0.028, "median_ret": 0.0611 }, "Q3": { "wr": 0.367, "n": 49, "mean_ret": -0.0723, "median_ret": -0.0647 }, "Q4": { "wr": 0.479, "n": 48, "mean_ret": 0.0078, "median_ret": -0.0075 }, "Q5": { "wr": 0.551, "n": 49, "mean_ret": 0.0237, "median_ret": 0.0079 } } }, "ret_1h": { "ic": 0.0405, "pval": 0.53, "n": 243, "quintiles": { "Q1": { "wr": 0.49, "n": 49, "mean_ret": 0.0095, "median_ret": -0.0064 }, "Q2": { "wr": 0.479, "n": 48, "mean_ret": -0.0084, "median_ret": -0.0051 }, "Q3": { "wr": 0.429, "n": 49, "mean_ret": -0.0057, "median_ret": -0.0368 }, "Q4": { "wr": 0.604, "n": 48, "mean_ret": 0.0601, "median_ret": 0.0431 }, "Q5": { "wr": 0.571, "n": 49, "mean_ret": 0.0103, "median_ret": 0.0369 } } }, "ret_2h": { "ic": 0.0591, "pval": 0.3622, "n": 240, "quintiles": { "Q1": { "wr": 0.5, "n": 48, "mean_ret": -0.0393, "median_ret": -0.0108 }, "Q2": { "wr": 0.604, "n": 48, "mean_ret": -0.0715, "median_ret": 0.0671 }, "Q3": { "wr": 0.521, "n": 48, "mean_ret": 0.1495, "median_ret": 0.009 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": 0.0579, "median_ret": 0.0695 }, "Q5": { "wr": 0.583, "n": 48, "mean_ret": 0.0243, "median_ret": 0.0507 } } }, "ret_eod": { "ic": 0.0454, "pval": 0.484, "n": 240, "quintiles": { "Q1": { "wr": 0.458, "n": 48, "mean_ret": -0.0139, "median_ret": -0.0204 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": -0.0924, "median_ret": 0.0897 }, "Q3": { "wr": 0.521, "n": 48, "mean_ret": 0.1913, "median_ret": 0.0237 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": 0.0398, "median_ret": 0.0608 }, "Q5": { "wr": 0.646, "n": 48, "mean_ret": 0.0363, "median_ret": 0.071 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": 0.1668, "pval": 0.0339, "n": 162, "quintiles": { "Q1": { "wr": 0.455, "n": 33, "mean_ret": 0.0004, "median_ret": -0.0093 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": -0.0315, "median_ret": 0.0254 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": 0.0291, "median_ret": 0.0012 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0214, "median_ret": 0.0461 }, "Q5": { "wr": 0.758, "n": 33, "mean_ret": 0.0383, "median_ret": 0.0328 } } }, "ret_1h": { "ic": 0.0997, "pval": 0.207, "n": 162, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": -0.0144, "median_ret": 0.007 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": -0.0229, "median_ret": 0.0477 }, "Q3": { "wr": 0.594, "n": 32, "mean_ret": 0.03, "median_ret": 0.0466 }, "Q4": { "wr": 0.656, "n": 32, "mean_ret": 0.0412, "median_ret": 0.0742 }, "Q5": { "wr": 0.667, "n": 33, "mean_ret": 0.0355, "median_ret": 0.0288 } } }, "ret_2h": { "ic": 0.099, "pval": 0.2143, "n": 159, "quintiles": { "Q1": { "wr": 0.469, "n": 32, "mean_ret": -0.0041, "median_ret": -0.0361 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": -0.0543, "median_ret": 0.0014 }, "Q3": { "wr": 0.645, "n": 31, "mean_ret": 0.0537, "median_ret": 0.123 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": -0.0233, "median_ret": 0.0125 }, "Q5": { "wr": 0.656, "n": 32, "mean_ret": 0.0643, "median_ret": 0.0737 } } }, "ret_eod": { "ic": 0.0392, "pval": 0.6249, "n": 158, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0497, "median_ret": -0.0169 }, "Q2": { "wr": 0.516, "n": 31, "mean_ret": -0.0155, "median_ret": 0.0407 }, "Q3": { "wr": 0.531, "n": 32, "mean_ret": 0.0512, "median_ret": 0.047 }, "Q4": { "wr": 0.645, "n": 31, "mean_ret": 0.0004, "median_ret": 0.0386 }, "Q5": { "wr": 0.594, "n": 32, "mean_ret": 0.0327, "median_ret": 0.0416 } } } }, "ALL": { "n": 406, "ret_30m": { "ic": 0.0522, "pval": 0.2944, "n": 405, "quintiles": { "Q1": { "wr": 0.531, "n": 81, "mean_ret": 0.0026, "median_ret": 0.0126 }, "Q2": { "wr": 0.543, "n": 81, "mean_ret": 0.0192, "median_ret": 0.026 }, "Q3": { "wr": 0.444, "n": 81, "mean_ret": -0.046, "median_ret": -0.0209 }, "Q4": { "wr": 0.494, "n": 81, "mean_ret": 0.0071, "median_ret": -0.0023 }, "Q5": { "wr": 0.667, "n": 81, "mean_ret": 0.0358, "median_ret": 0.0328 } } }, "ret_1h": { "ic": 0.0609, "pval": 0.2211, "n": 405, "quintiles": { "Q1": { "wr": 0.531, "n": 81, "mean_ret": -0.0015, "median_ret": 0.0121 }, "Q2": { "wr": 0.506, "n": 81, "mean_ret": 0.013, "median_ret": 0.0361 }, "Q3": { "wr": 0.481, "n": 81, "mean_ret": -0.0172, "median_ret": -0.0148 }, "Q4": { "wr": 0.58, "n": 81, "mean_ret": 0.024, "median_ret": 0.0401 }, "Q5": { "wr": 0.654, "n": 81, "mean_ret": 0.0485, "median_ret": 0.0374 } } }, "ret_2h": { "ic": 0.0674, "pval": 0.1789, "n": 399, "quintiles": { "Q1": { "wr": 0.487, "n": 80, "mean_ret": -0.0202, "median_ret": -0.0146 }, "Q2": { "wr": 0.588, "n": 80, "mean_ret": -0.03, "median_ret": 0.046 }, "Q3": { "wr": 0.544, "n": 79, "mean_ret": 0.0695, "median_ret": 0.0307 }, "Q4": { "wr": 0.512, "n": 80, "mean_ret": -0.0072, "median_ret": 0.0125 }, "Q5": { "wr": 0.662, "n": 80, "mean_ret": 0.0752, "median_ret": 0.0838 } } }, "ret_eod": { "ic": 0.0435, "pval": 0.3863, "n": 398, "quintiles": { "Q1": { "wr": 0.475, "n": 80, "mean_ret": -0.0365, "median_ret": -0.0204 }, "Q2": { "wr": 0.557, "n": 79, "mean_ret": -0.0163, "median_ret": 0.0731 }, "Q3": { "wr": 0.5, "n": 80, "mean_ret": 0.0807, "median_ret": -0.0043 }, "Q4": { "wr": 0.57, "n": 79, "mean_ret": 0.0123, "median_ret": 0.0555 }, "Q5": { "wr": 0.662, "n": 80, "mean_ret": 0.0642, "median_ret": 0.0476 } } } }, "rvol": { "LOW": { "n": 83, "IS": { "n": 41, "ret_30m": { "ic": 0.1503, "pval": 0.3481, "n": 41, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.0492, "median_ret": -0.0594 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0258, "median_ret": 0.099 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.0978, "median_ret": -0.0885 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.0475, "median_ret": 0.0433 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0019, "median_ret": -0.0112 } } }, "ret_1h": { "ic": 0.1235, "pval": 0.4417, "n": 41, "quintiles": { "Q1": { "wr": 0.222, "n": 9, "mean_ret": -0.022, "median_ret": -0.0346 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.0563, "median_ret": -0.1263 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0961, "median_ret": 0.1515 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.101, "median_ret": 0.0753 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0113, "median_ret": 0.0111 } } }, "ret_2h": { "ic": 0.2164, "pval": 0.1742, "n": 41, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.1205, "median_ret": -0.0669 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.1651, "median_ret": -0.3288 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.9008, "median_ret": 0.124 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0998, "median_ret": 0.1557 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": 0.0065, "median_ret": 0.0239 } } }, "ret_eod": { "ic": 0.1474, "pval": 0.3578, "n": 41, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": 0.0017, "median_ret": -0.019 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.1356, "median_ret": -0.4738 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 1.3304, "median_ret": 0.2615 }, "Q4": { "wr": 0.875, "n": 8, "mean_ret": 0.2841, "median_ret": 0.3221 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0208, "median_ret": 0.0114 } } } }, "OOS": { "n": 42, "ret_30m": { "ic": 0.0364, "pval": 0.8191, "n": 42, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.0232, "median_ret": 0.041 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0147, "median_ret": 0.0135 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0253, "median_ret": 0.0043 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0234, "median_ret": 0.0263 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.0267, "median_ret": 0.0368 } } }, "ret_1h": { "ic": 0.0698, "pval": 0.6606, "n": 42, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.0127, "median_ret": 0.0161 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.057, "median_ret": 0.0775 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0135, "median_ret": -0.0041 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0361, "median_ret": 0.0276 }, "Q5": { "wr": 0.889, "n": 9, "mean_ret": 0.0406, "median_ret": 0.0429 } } }, "ret_2h": { "ic": 0.1132, "pval": 0.4928, "n": 39, "quintiles": { "Q1": { "wr": 0.375, "n": 8, "mean_ret": -0.0558, "median_ret": -0.0739 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0892, "median_ret": 0.1417 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.0195, "median_ret": 0.0043 }, "Q4": { "wr": 0.875, "n": 8, "mean_ret": 0.0689, "median_ret": 0.0953 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": 0.0159, "median_ret": 0.0038 } } }, "ret_eod": { "ic": 0.0968, "pval": 0.5579, "n": 39, "quintiles": { "Q1": { "wr": 0.375, "n": 8, "mean_ret": -0.2141, "median_ret": -0.3369 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.1143, "median_ret": 0.1448 }, "Q3": { "wr": 0.286, "n": 7, "mean_ret": -0.1, "median_ret": -0.0654 }, "Q4": { "wr": 0.875, "n": 8, "mean_ret": 0.1134, "median_ret": 0.0747 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0938, "median_ret": -0.0907 } } } }, "ALL": { "n": 83, "ret_30m": { "ic": 0.1181, "pval": 0.2876, "n": 83, "quintiles": { "Q1": { "wr": 0.471, "n": 17, "mean_ret": -0.0101, "median_ret": -0.0093 }, "Q2": { "wr": 0.438, "n": 16, "mean_ret": -0.0218, "median_ret": -0.0185 }, "Q3": { "wr": 0.529, "n": 17, "mean_ret": -0.0035, "median_ret": 0.0154 }, "Q4": { "wr": 0.625, "n": 16, "mean_ret": 0.0371, "median_ret": 0.0299 }, "Q5": { "wr": 0.706, "n": 17, "mean_ret": 0.017, "median_ret": 0.0328 } } }, "ret_1h": { "ic": 0.1373, "pval": 0.2159, "n": 83, "quintiles": { "Q1": { "wr": 0.412, "n": 17, "mean_ret": -0.0301, "median_ret": -0.0336 }, "Q2": { "wr": 0.5, "n": 16, "mean_ret": 0.0743, "median_ret": 0.0101 }, "Q3": { "wr": 0.588, "n": 17, "mean_ret": 0.0764, "median_ret": 0.0365 }, "Q4": { "wr": 0.625, "n": 16, "mean_ret": 0.0499, "median_ret": 0.0404 }, "Q5": { "wr": 0.765, "n": 17, "mean_ret": 0.0174, "median_ret": 0.0378 } } }, "ret_2h": { "ic": 0.1665, "pval": 0.1399, "n": 80, "quintiles": { "Q1": { "wr": 0.312, "n": 16, "mean_ret": -0.1174, "median_ret": -0.0846 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.0272, "median_ret": 0.0564 }, "Q3": { "wr": 0.562, "n": 16, "mean_ret": 0.4328, "median_ret": 0.0233 }, "Q4": { "wr": 0.688, "n": 16, "mean_ret": 0.0242, "median_ret": 0.0986 }, "Q5": { "wr": 0.562, "n": 16, "mean_ret": 0.0371, "median_ret": 0.0366 } } }, "ret_eod": { "ic": 0.1274, "pval": 0.26, "n": 80, "quintiles": { "Q1": { "wr": 0.375, "n": 16, "mean_ret": -0.1538, "median_ret": -0.0543 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.0308, "median_ret": 0.0872 }, "Q3": { "wr": 0.562, "n": 16, "mean_ret": 0.6857, "median_ret": 0.0683 }, "Q4": { "wr": 0.688, "n": 16, "mean_ret": 0.1175, "median_ret": 0.1677 }, "Q5": { "wr": 0.625, "n": 16, "mean_ret": -0.0132, "median_ret": 0.0261 } } } } }, "MED": { "n": 91, "IS": { "n": 33, "ret_30m": { "ic": 0.0575, "pval": 0.7507, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0403, "median_ret": 0.0785 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.0587, "median_ret": 0.0463 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.1802, "median_ret": 0.0142 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.052, "median_ret": 0.0822 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0781, "median_ret": 0.0796 } } }, "ret_1h": { "ic": 0.0575, "pval": 0.7507, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0801, "median_ret": 0.1326 }, "Q2": { "wr": 0.333, "n": 6, "mean_ret": 0.051, "median_ret": -0.077 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.2816, "median_ret": -0.0971 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.0733, "median_ret": 0.1079 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0368, "median_ret": 0.1935 } } }, "ret_2h": { "ic": 0.1283, "pval": 0.4766, "n": 33, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": -0.0079, "median_ret": 0.1914 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.1187, "median_ret": 0.1707 }, "Q3": { "wr": 0.286, "n": 7, "mean_ret": -0.6566, "median_ret": -0.3111 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.0233, "median_ret": 0.1826 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.1736, "median_ret": 0.2864 } } }, "ret_eod": { "ic": 0.0842, "pval": 0.6412, "n": 33, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": 0.1411, "median_ret": 0.1605 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.0458, "median_ret": 0.2332 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.6921, "median_ret": -0.099 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": 0.1271, "median_ret": 0.1538 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0797, "median_ret": 0.2473 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": 0.1357, "pval": 0.3096, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.0343, "median_ret": 0.0372 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": -0.0205, "median_ret": 0.0434 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.0219, "median_ret": 0.0155 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0417, "median_ret": 0.0852 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.062, "median_ret": 0.0373 } } }, "ret_1h": { "ic": -0.0181, "pval": 0.893, "n": 58, "quintiles": { "Q1": { "wr": 0.75, "n": 12, "mean_ret": 0.0519, "median_ret": 0.0457 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": 0.0159, "median_ret": 0.0788 }, "Q3": { "wr": 0.667, "n": 12, "mean_ret": 0.0745, "median_ret": 0.1144 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.051, "median_ret": 0.0473 }, "Q5": { "wr": 0.5, "n": 12, "mean_ret": 0.0235, "median_ret": -0.0131 } } }, "ret_2h": { "ic": 0.0742, "pval": 0.5798, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0257, "median_ret": 0.0282 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.007, "median_ret": 0.0055 }, "Q3": { "wr": 0.75, "n": 12, "mean_ret": 0.0851, "median_ret": 0.1552 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.0576, "median_ret": 0.0909 }, "Q5": { "wr": 0.75, "n": 12, "mean_ret": 0.0777, "median_ret": 0.0843 } } }, "ret_eod": { "ic": 0.0429, "pval": 0.7491, "n": 58, "quintiles": { "Q1": { "wr": 0.417, "n": 12, "mean_ret": 0.021, "median_ret": -0.0428 }, "Q2": { "wr": 0.455, "n": 11, "mean_ret": 0.0614, "median_ret": -0.0356 }, "Q3": { "wr": 0.667, "n": 12, "mean_ret": 0.1403, "median_ret": 0.1625 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": -0.0518, "median_ret": 0.0273 }, "Q5": { "wr": 0.667, "n": 12, "mean_ret": 0.0894, "median_ret": 0.0867 } } } }, "ALL": { "n": 91, "ret_30m": { "ic": 0.0889, "pval": 0.4019, "n": 91, "quintiles": { "Q1": { "wr": 0.579, "n": 19, "mean_ret": 0.01, "median_ret": 0.0286 }, "Q2": { "wr": 0.667, "n": 18, "mean_ret": 0.0312, "median_ret": 0.0496 }, "Q3": { "wr": 0.667, "n": 18, "mean_ret": -0.0249, "median_ret": 0.0206 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": 0.0147, "median_ret": 0.0446 }, "Q5": { "wr": 0.778, "n": 18, "mean_ret": 0.0731, "median_ret": 0.0605 } } }, "ret_1h": { "ic": 0.0171, "pval": 0.8723, "n": 91, "quintiles": { "Q1": { "wr": 0.684, "n": 19, "mean_ret": 0.0292, "median_ret": 0.0507 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": 0.0502, "median_ret": 0.0485 }, "Q3": { "wr": 0.667, "n": 18, "mean_ret": -0.0243, "median_ret": 0.0777 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": 0.0248, "median_ret": 0.0266 }, "Q5": { "wr": 0.611, "n": 18, "mean_ret": 0.0366, "median_ret": 0.038 } } }, "ret_2h": { "ic": 0.0812, "pval": 0.4443, "n": 91, "quintiles": { "Q1": { "wr": 0.579, "n": 19, "mean_ret": 0.0134, "median_ret": 0.0331 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": 0.0193, "median_ret": 0.0108 }, "Q3": { "wr": 0.667, "n": 18, "mean_ret": -0.1208, "median_ret": 0.1552 }, "Q4": { "wr": 0.667, "n": 18, "mean_ret": 0.0435, "median_ret": 0.0913 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.0654, "median_ret": 0.0913 } } }, "ret_eod": { "ic": 0.0399, "pval": 0.7073, "n": 91, "quintiles": { "Q1": { "wr": 0.474, "n": 19, "mean_ret": 0.0282, "median_ret": -0.0356 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": 0.0677, "median_ret": 0.0036 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": -0.1027, "median_ret": 0.1785 }, "Q4": { "wr": 0.5, "n": 18, "mean_ret": -0.0182, "median_ret": 0.0078 }, "Q5": { "wr": 0.667, "n": 18, "mean_ret": 0.0706, "median_ret": 0.0867 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": 0.1792, "pval": 0.437, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.2779, "pval": 0.2225, "n": 21, "quintiles": {} }, "ret_2h": { "ic": 0.2636, "pval": 0.2482, "n": 21, "quintiles": {} }, "ret_eod": { "ic": 0.239, "pval": 0.2968, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": 0.1557, "pval": 0.3127, "n": 44, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.0189, "median_ret": -0.0487 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": -0.1097, "median_ret": -0.0725 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.1293, "median_ret": -0.0144 }, "Q4": { "wr": 0.222, "n": 9, "mean_ret": -0.0927, "median_ret": -0.0709 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.0714, "median_ret": 0.0586 } } }, "ret_1h": { "ic": 0.2615, "pval": 0.0865, "n": 44, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.1276, "median_ret": -0.2269 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": -0.1478, "median_ret": 0.0653 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": 0.037, "median_ret": -0.0938 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": -0.0155, "median_ret": 0.0515 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.1065, "median_ret": 0.0796 } } }, "ret_2h": { "ic": 0.01, "pval": 0.9486, "n": 44, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.0475, "median_ret": -0.0266 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": -0.0905, "median_ret": -0.0651 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": -0.0357, "median_ret": -0.0393 }, "Q4": { "wr": 0.333, "n": 9, "mean_ret": -0.1281, "median_ret": -0.1457 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0749, "median_ret": 0.0178 } } }, "ret_eod": { "ic": 0.0175, "pval": 0.9112, "n": 43, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.1331, "median_ret": 0.0593 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": -0.1864, "median_ret": 0.0633 }, "Q3": { "wr": 0.556, "n": 9, "mean_ret": 0.1215, "median_ret": 0.0425 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.055, "median_ret": -0.1482 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0766, "median_ret": 0.0087 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": 0.1433, "pval": 0.2549, "n": 65, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.0422, "median_ret": -0.0487 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.0542, "median_ret": -0.0725 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": 0.0136, "median_ret": -0.0532 }, "Q4": { "wr": 0.231, "n": 13, "mean_ret": -0.0645, "median_ret": -0.0647 }, "Q5": { "wr": 0.846, "n": 13, "mean_ret": 0.0947, "median_ret": 0.0599 } } }, "ret_1h": { "ic": 0.2604, "pval": 0.0362, "n": 65, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.1232, "median_ret": -0.1888 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.0635, "median_ret": -0.0095 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.0747, "median_ret": -0.0888 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.0829, "median_ret": 0.0597 }, "Q5": { "wr": 0.846, "n": 13, "mean_ret": 0.1535, "median_ret": 0.1286 } } }, "ret_2h": { "ic": 0.0918, "pval": 0.4671, "n": 65, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.0177, "median_ret": -0.0266 }, "Q2": { "wr": 0.538, "n": 13, "mean_ret": -0.1263, "median_ret": 0.0234 }, "Q3": { "wr": 0.385, "n": 13, "mean_ret": -0.2065, "median_ret": -0.2427 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.1463, "median_ret": 0.0056 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": 0.0656, "median_ret": 0.0178 } } }, "ret_eod": { "ic": 0.0928, "pval": 0.4657, "n": 64, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.1107, "median_ret": 0.0593 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.1672, "median_ret": -0.05 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": -0.137, "median_ret": -0.0496 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": 0.1272, "median_ret": -0.1233 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": 0.0721, "median_ret": 0.0087 } } } } } } }, "11:30 vs 10:30 (1hr)": { "label": "11:30 vs 10:30 (1hr)", "check_time": "11:30", "anchor_time": "10:30", "anchor_min": 60, "n_total": 406, "IS": { "n": 243, "ret_30m": { "ic": 0.0258, "pval": 0.6894, "n": 242, "quintiles": { "Q1": { "wr": 0.551, "n": 49, "mean_ret": 0.0226, "median_ret": 0.0537 }, "Q2": { "wr": 0.375, "n": 48, "mean_ret": -0.0995, "median_ret": -0.0894 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": 0.0261, "median_ret": 0.0273 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0314, "median_ret": 0.0074 }, "Q5": { "wr": 0.51, "n": 49, "mean_ret": 0.013, "median_ret": 0.002 } } }, "ret_1h": { "ic": 0.0455, "pval": 0.4809, "n": 242, "quintiles": { "Q1": { "wr": 0.408, "n": 49, "mean_ret": -0.0153, "median_ret": -0.0207 }, "Q2": { "wr": 0.458, "n": 48, "mean_ret": -0.0146, "median_ret": -0.0162 }, "Q3": { "wr": 0.667, "n": 48, "mean_ret": 0.0778, "median_ret": 0.1072 }, "Q4": { "wr": 0.458, "n": 48, "mean_ret": -0.0021, "median_ret": -0.0186 }, "Q5": { "wr": 0.592, "n": 49, "mean_ret": 0.021, "median_ret": 0.0369 } } }, "ret_2h": { "ic": 0.0231, "pval": 0.7228, "n": 239, "quintiles": { "Q1": { "wr": 0.562, "n": 48, "mean_ret": -0.0561, "median_ret": 0.0342 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": 0.0709, "median_ret": 0.0237 }, "Q3": { "wr": 0.66, "n": 47, "mean_ret": 0.0901, "median_ret": 0.1488 }, "Q4": { "wr": 0.396, "n": 48, "mean_ret": -0.0282, "median_ret": -0.0379 }, "Q5": { "wr": 0.625, "n": 48, "mean_ret": 0.0529, "median_ret": 0.0979 } } }, "ret_eod": { "ic": 0.0973, "pval": 0.1337, "n": 239, "quintiles": { "Q1": { "wr": 0.5, "n": 48, "mean_ret": -0.0876, "median_ret": 0.0123 }, "Q2": { "wr": 0.396, "n": 48, "mean_ret": 0.0383, "median_ret": -0.1124 }, "Q3": { "wr": 0.574, "n": 47, "mean_ret": 0.0953, "median_ret": 0.0815 }, "Q4": { "wr": 0.583, "n": 48, "mean_ret": 0.0255, "median_ret": 0.0426 }, "Q5": { "wr": 0.708, "n": 48, "mean_ret": 0.0989, "median_ret": 0.1441 } } } }, "OOS": { "n": 163, "ret_30m": { "ic": 0.0949, "pval": 0.2282, "n": 163, "quintiles": { "Q1": { "wr": 0.515, "n": 33, "mean_ret": -0.0197, "median_ret": 0.0053 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": 0.0099, "median_ret": 0.0107 }, "Q3": { "wr": 0.576, "n": 33, "mean_ret": 0.0287, "median_ret": 0.0228 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0141, "median_ret": 0.0372 }, "Q5": { "wr": 0.697, "n": 33, "mean_ret": 0.0258, "median_ret": 0.0328 } } }, "ret_1h": { "ic": 0.066, "pval": 0.4026, "n": 163, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": -0.0704, "median_ret": 0.0417 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": 0.0377, "median_ret": 0.0171 }, "Q3": { "wr": 0.606, "n": 33, "mean_ret": 0.0482, "median_ret": 0.0796 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.002, "median_ret": 0.0372 }, "Q5": { "wr": 0.697, "n": 33, "mean_ret": 0.047, "median_ret": 0.0299 } } }, "ret_2h": { "ic": 0.0469, "pval": 0.5558, "n": 160, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0375, "median_ret": 0.0016 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": 0.0129, "median_ret": 0.035 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": -0.0378, "median_ret": -0.005 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0139, "median_ret": 0.0807 }, "Q5": { "wr": 0.656, "n": 32, "mean_ret": 0.0753, "median_ret": 0.0682 } } }, "ret_eod": { "ic": -0.0582, "pval": 0.4665, "n": 159, "quintiles": { "Q1": { "wr": 0.594, "n": 32, "mean_ret": -0.0273, "median_ret": 0.0499 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": 0.0751, "median_ret": 0.034 }, "Q3": { "wr": 0.516, "n": 31, "mean_ret": -0.0214, "median_ret": 0.0087 }, "Q4": { "wr": 0.5, "n": 32, "mean_ret": -0.0562, "median_ret": 0.0078 }, "Q5": { "wr": 0.594, "n": 32, "mean_ret": 0.0433, "median_ret": 0.0571 } } } }, "ALL": { "n": 406, "ret_30m": { "ic": 0.0431, "pval": 0.3865, "n": 405, "quintiles": { "Q1": { "wr": 0.568, "n": 81, "mean_ret": 0.0132, "median_ret": 0.025 }, "Q2": { "wr": 0.407, "n": 81, "mean_ret": -0.0488, "median_ret": -0.0362 }, "Q3": { "wr": 0.58, "n": 81, "mean_ret": 0.0162, "median_ret": 0.0268 }, "Q4": { "wr": 0.531, "n": 81, "mean_ret": 0.0191, "median_ret": 0.0068 }, "Q5": { "wr": 0.605, "n": 81, "mean_ret": 0.0206, "median_ret": 0.0279 } } }, "ret_1h": { "ic": 0.049, "pval": 0.3249, "n": 405, "quintiles": { "Q1": { "wr": 0.519, "n": 81, "mean_ret": 0.0044, "median_ret": 0.0161 }, "Q2": { "wr": 0.457, "n": 81, "mean_ret": -0.0277, "median_ret": -0.0182 }, "Q3": { "wr": 0.617, "n": 81, "mean_ret": 0.0538, "median_ret": 0.0743 }, "Q4": { "wr": 0.519, "n": 81, "mean_ret": -0.0049, "median_ret": 0.0149 }, "Q5": { "wr": 0.642, "n": 81, "mean_ret": 0.0397, "median_ret": 0.0359 } } }, "ret_2h": { "ic": 0.029, "pval": 0.5641, "n": 399, "quintiles": { "Q1": { "wr": 0.588, "n": 80, "mean_ret": 0.0234, "median_ret": 0.0521 }, "Q2": { "wr": 0.525, "n": 80, "mean_ret": 0.0044, "median_ret": 0.0237 }, "Q3": { "wr": 0.557, "n": 79, "mean_ret": 0.0048, "median_ret": 0.016 }, "Q4": { "wr": 0.463, "n": 80, "mean_ret": -0.014, "median_ret": -0.0127 }, "Q5": { "wr": 0.662, "n": 80, "mean_ret": 0.0688, "median_ret": 0.0824 } } }, "ret_eod": { "ic": 0.0326, "pval": 0.5169, "n": 398, "quintiles": { "Q1": { "wr": 0.562, "n": 80, "mean_ret": 0.0112, "median_ret": 0.0406 }, "Q2": { "wr": 0.468, "n": 79, "mean_ret": 0.0162, "median_ret": -0.019 }, "Q3": { "wr": 0.537, "n": 80, "mean_ret": 0.0095, "median_ret": 0.0293 }, "Q4": { "wr": 0.544, "n": 79, "mean_ret": 0.0024, "median_ret": 0.0183 }, "Q5": { "wr": 0.65, "n": 80, "mean_ret": 0.0677, "median_ret": 0.0944 } } } }, "rvol": { "LOW": { "n": 83, "IS": { "n": 40, "ret_30m": { "ic": 0.2719, "pval": 0.0897, "n": 40, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": 0.0169, "median_ret": -0.014 }, "Q2": { "wr": 0.125, "n": 8, "mean_ret": -0.2183, "median_ret": -0.1744 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": -0.0313, "median_ret": -0.022 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.1543, "median_ret": 0.1238 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.009, "median_ret": 0.0165 } } }, "ret_1h": { "ic": 0.2056, "pval": 0.203, "n": 40, "quintiles": { "Q1": { "wr": 0.125, "n": 8, "mean_ret": 0.0153, "median_ret": -0.0822 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.023, "median_ret": -0.0608 }, "Q3": { "wr": 0.75, "n": 8, "mean_ret": 0.0833, "median_ret": 0.0777 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.142, "median_ret": 0.1099 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0421, "median_ret": 0.0111 } } }, "ret_2h": { "ic": 0.2126, "pval": 0.1879, "n": 40, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": -0.0288, "median_ret": -0.0079 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": 0.6481, "median_ret": -0.1714 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.018, "median_ret": 0.0197 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": 0.0123, "median_ret": -0.0108 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.0977, "median_ret": 0.1047 } } }, "ret_eod": { "ic": 0.1625, "pval": 0.3165, "n": 40, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": 0.2265, "median_ret": 0.0473 }, "Q2": { "wr": 0.25, "n": 8, "mean_ret": 0.9329, "median_ret": -0.1142 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0669, "median_ret": 0.4232 }, "Q4": { "wr": 0.875, "n": 8, "mean_ret": 0.1543, "median_ret": 0.096 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.1648, "median_ret": 0.1846 } } } }, "OOS": { "n": 43, "ret_30m": { "ic": 0.1358, "pval": 0.3854, "n": 43, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.002, "median_ret": -0.0093 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.0598, "median_ret": 0.0619 }, "Q3": { "wr": 0.778, "n": 9, "mean_ret": 0.0291, "median_ret": 0.0368 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0106, "median_ret": -0.0249 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.039, "median_ret": 0.0509 } } }, "ret_1h": { "ic": 0.0272, "pval": 0.8626, "n": 43, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.0, "median_ret": 0.0161 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0535, "median_ret": 0.077 }, "Q3": { "wr": 0.667, "n": 9, "mean_ret": 0.0495, "median_ret": 0.0378 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0017, "median_ret": 0.0205 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.0326, "median_ret": 0.0616 } } }, "ret_2h": { "ic": 0.1077, "pval": 0.5083, "n": 40, "quintiles": { "Q1": { "wr": 0.25, "n": 8, "mean_ret": -0.0654, "median_ret": -0.0925 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.0681, "median_ret": 0.071 }, "Q3": { "wr": 0.75, "n": 8, "mean_ret": 0.0689, "median_ret": 0.0954 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": -0.0149, "median_ret": 0.0543 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": 0.0132, "median_ret": -0.0228 } } }, "ret_eod": { "ic": -0.1008, "pval": 0.5362, "n": 40, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": -0.0625, "median_ret": -0.0025 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.0268, "median_ret": 0.0951 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0176, "median_ret": 0.065 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": -0.036, "median_ret": 0.0546 }, "Q5": { "wr": 0.125, "n": 8, "mean_ret": -0.1351, "median_ret": -0.1218 } } } }, "ALL": { "n": 83, "ret_30m": { "ic": 0.1452, "pval": 0.1901, "n": 83, "quintiles": { "Q1": { "wr": 0.588, "n": 17, "mean_ret": 0.018, "median_ret": 0.0242 }, "Q2": { "wr": 0.312, "n": 16, "mean_ret": -0.0911, "median_ret": -0.069 }, "Q3": { "wr": 0.706, "n": 17, "mean_ret": 0.0521, "median_ret": 0.03 }, "Q4": { "wr": 0.438, "n": 16, "mean_ret": 0.0128, "median_ret": -0.0138 }, "Q5": { "wr": 0.765, "n": 17, "mean_ret": 0.029, "median_ret": 0.0382 } } }, "ret_1h": { "ic": 0.119, "pval": 0.284, "n": 83, "quintiles": { "Q1": { "wr": 0.412, "n": 17, "mean_ret": -0.0227, "median_ret": -0.0375 }, "Q2": { "wr": 0.5, "n": 16, "mean_ret": 0.07, "median_ret": 0.006 }, "Q3": { "wr": 0.706, "n": 17, "mean_ret": 0.1188, "median_ret": 0.1105 }, "Q4": { "wr": 0.5, "n": 16, "mean_ret": -0.0286, "median_ret": -0.0151 }, "Q5": { "wr": 0.765, "n": 17, "mean_ret": 0.0386, "median_ret": 0.0456 } } }, "ret_2h": { "ic": 0.1563, "pval": 0.1661, "n": 80, "quintiles": { "Q1": { "wr": 0.438, "n": 16, "mean_ret": -0.0524, "median_ret": -0.0414 }, "Q2": { "wr": 0.438, "n": 16, "mean_ret": 0.3466, "median_ret": -0.1036 }, "Q3": { "wr": 0.562, "n": 16, "mean_ret": 0.0325, "median_ret": 0.0448 }, "Q4": { "wr": 0.688, "n": 16, "mean_ret": 0.044, "median_ret": 0.0931 }, "Q5": { "wr": 0.562, "n": 16, "mean_ret": 0.0379, "median_ret": 0.0081 } } }, "ret_eod": { "ic": 0.0368, "pval": 0.7457, "n": 80, "quintiles": { "Q1": { "wr": 0.5, "n": 16, "mean_ret": -0.0722, "median_ret": -0.0025 }, "Q2": { "wr": 0.438, "n": 16, "mean_ret": 0.579, "median_ret": -0.0421 }, "Q3": { "wr": 0.75, "n": 16, "mean_ret": 0.1538, "median_ret": 0.199 }, "Q4": { "wr": 0.688, "n": 16, "mean_ret": 0.0333, "median_ret": 0.0546 }, "Q5": { "wr": 0.438, "n": 16, "mean_ret": -0.0158, "median_ret": -0.0562 } } } } }, "MED": { "n": 91, "IS": { "n": 33, "ret_30m": { "ic": 0.0561, "pval": 0.7563, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0433, "median_ret": 0.1115 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": -0.1378, "median_ret": 0.0434 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.0513, "median_ret": 0.0142 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.1454, "median_ret": 0.2018 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0344, "median_ret": 0.0665 } } }, "ret_1h": { "ic": 0.1925, "pval": 0.2831, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.0903, "median_ret": -0.1462 }, "Q2": { "wr": 0.333, "n": 6, "mean_ret": -0.1521, "median_ret": -0.0795 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.05, "median_ret": 0.0578 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.1394, "median_ret": 0.1683 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": -0.0069, "median_ret": 0.061 } } }, "ret_2h": { "ic": 0.0702, "pval": 0.6979, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.4294, "median_ret": -0.3092 }, "Q2": { "wr": 0.833, "n": 6, "mean_ret": 0.1039, "median_ret": 0.1786 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.1641, "median_ret": -0.0255 }, "Q4": { "wr": 0.833, "n": 6, "mean_ret": 0.1499, "median_ret": 0.2237 }, "Q5": { "wr": 0.429, "n": 7, "mean_ret": 0.0068, "median_ret": -0.079 } } }, "ret_eod": { "ic": 0.1557, "pval": 0.3868, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.5483, "median_ret": -0.535 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.2522, "median_ret": 0.3204 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.257, "median_ret": -0.099 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": 0.0579, "median_ret": -0.0139 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.2164, "median_ret": 0.3271 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": -0.019, "pval": 0.8872, "n": 58, "quintiles": { "Q1": { "wr": 0.75, "n": 12, "mean_ret": 0.0708, "median_ret": 0.0833 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": -0.0007, "median_ret": 0.0286 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": -0.016, "median_ret": 0.0261 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": 0.032, "median_ret": 0.0412 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.0542, "median_ret": 0.0373 } } }, "ret_1h": { "ic": -0.1138, "pval": 0.3951, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.0485, "median_ret": 0.0536 }, "Q2": { "wr": 0.727, "n": 11, "mean_ret": 0.0854, "median_ret": 0.0788 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.0037, "median_ret": 0.0276 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.0488, "median_ret": 0.0888 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.0359, "median_ret": 0.0159 } } }, "ret_2h": { "ic": -0.1196, "pval": 0.3711, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.0811, "median_ret": 0.1884 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": 0.0677, "median_ret": 0.0917 }, "Q3": { "wr": 0.667, "n": 12, "mean_ret": -0.0096, "median_ret": 0.0282 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": 0.0135, "median_ret": 0.0159 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.1016, "median_ret": 0.1074 } } }, "ret_eod": { "ic": -0.086, "pval": 0.5208, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0878, "median_ret": 0.0386 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": 0.1774, "median_ret": 0.158 }, "Q3": { "wr": 0.333, "n": 12, "mean_ret": -0.0159, "median_ret": -0.0591 }, "Q4": { "wr": 0.455, "n": 11, "mean_ret": -0.0585, "median_ret": -0.0027 }, "Q5": { "wr": 0.75, "n": 12, "mean_ret": 0.0785, "median_ret": 0.1117 } } } }, "ALL": { "n": 91, "ret_30m": { "ic": -0.0152, "pval": 0.8865, "n": 91, "quintiles": { "Q1": { "wr": 0.842, "n": 19, "mean_ret": 0.0763, "median_ret": 0.0537 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": -0.0763, "median_ret": 0.0154 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": 0.0089, "median_ret": 0.0361 }, "Q4": { "wr": 0.5, "n": 18, "mean_ret": 0.0337, "median_ret": 0.025 }, "Q5": { "wr": 0.778, "n": 18, "mean_ret": 0.0577, "median_ret": 0.0413 } } }, "ret_1h": { "ic": -0.0136, "pval": 0.8985, "n": 91, "quintiles": { "Q1": { "wr": 0.684, "n": 19, "mean_ret": 0.0805, "median_ret": 0.0566 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": -0.0789, "median_ret": 0.0198 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": 0.0416, "median_ret": 0.0548 }, "Q4": { "wr": 0.611, "n": 18, "mean_ret": 0.0152, "median_ret": 0.0508 }, "Q5": { "wr": 0.667, "n": 18, "mean_ret": 0.0552, "median_ret": 0.0324 } } }, "ret_2h": { "ic": -0.0551, "pval": 0.6039, "n": 91, "quintiles": { "Q1": { "wr": 0.684, "n": 19, "mean_ret": 0.0958, "median_ret": 0.1914 }, "Q2": { "wr": 0.611, "n": 18, "mean_ret": -0.1203, "median_ret": 0.0913 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": -0.0469, "median_ret": 0.0894 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": -0.0161, "median_ret": 0.016 }, "Q5": { "wr": 0.778, "n": 18, "mean_ret": 0.1036, "median_ret": 0.1115 } } }, "ret_eod": { "ic": -0.0128, "pval": 0.9039, "n": 91, "quintiles": { "Q1": { "wr": 0.579, "n": 19, "mean_ret": 0.1214, "median_ret": 0.0386 }, "Q2": { "wr": 0.611, "n": 18, "mean_ret": -0.0799, "median_ret": 0.174 }, "Q3": { "wr": 0.278, "n": 18, "mean_ret": -0.145, "median_ret": -0.0906 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": 0.0343, "median_ret": 0.0286 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.1097, "median_ret": 0.1424 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": 0.1844, "pval": 0.4236, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.226, "pval": 0.3246, "n": 21, "quintiles": {} }, "ret_2h": { "ic": 0.3273, "pval": 0.1476, "n": 21, "quintiles": {} }, "ret_eod": { "ic": 0.3338, "pval": 0.1392, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": 0.2173, "pval": 0.1564, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.1954, "median_ret": -0.1678 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": 0.0811, "median_ret": -0.0029 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0226, "median_ret": 0.0182 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": 0.0507, "median_ret": 0.0273 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0087, "median_ret": 0.0114 } } }, "ret_1h": { "ic": 0.3433, "pval": 0.0225, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.3143, "median_ret": -0.2517 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": 0.0336, "median_ret": 0.0597 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": -0.0081, "median_ret": 0.0456 }, "Q4": { "wr": 0.444, "n": 9, "mean_ret": 0.0408, "median_ret": -0.0321 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.0956, "median_ret": 0.1168 } } }, "ret_2h": { "ic": 0.1725, "pval": 0.2628, "n": 44, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.205, "median_ret": -0.0537 }, "Q2": { "wr": 0.667, "n": 9, "mean_ret": 0.0954, "median_ret": 0.1167 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.1475, "median_ret": -0.114 }, "Q4": { "wr": 0.111, "n": 9, "mean_ret": -0.1634, "median_ret": -0.2212 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.1811, "median_ret": 0.123 } } }, "ret_eod": { "ic": -0.0223, "pval": 0.8869, "n": 43, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": -0.1456, "median_ret": 0.1959 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.1415, "median_ret": 0.263 }, "Q3": { "wr": 0.444, "n": 9, "mean_ret": -0.0771, "median_ret": -0.1528 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.1759, "median_ret": -0.0923 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.1038, "median_ret": 0.0535 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": 0.1606, "pval": 0.2013, "n": 65, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.0761, "median_ret": -0.0487 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.0384, "median_ret": -0.08 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.0394, "median_ret": -0.0223 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.0728, "median_ret": 0.0268 }, "Q5": { "wr": 0.615, "n": 13, "mean_ret": 0.0285, "median_ret": 0.0175 } } }, "ret_1h": { "ic": 0.2626, "pval": 0.0346, "n": 65, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.1407, "median_ret": 0.0423 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.0215, "median_ret": -0.0095 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.095, "median_ret": -0.0535 }, "Q4": { "wr": 0.615, "n": 13, "mean_ret": 0.1363, "median_ret": 0.081 }, "Q5": { "wr": 0.692, "n": 13, "mean_ret": 0.0959, "median_ret": 0.1168 } } }, "ret_2h": { "ic": 0.1764, "pval": 0.1599, "n": 65, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.0895, "median_ret": 0.0711 }, "Q2": { "wr": 0.538, "n": 13, "mean_ret": -0.0602, "median_ret": 0.0234 }, "Q3": { "wr": 0.308, "n": 13, "mean_ret": -0.1867, "median_ret": -0.1439 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": 0.0325, "median_ret": -0.102 }, "Q5": { "wr": 0.615, "n": 13, "mean_ret": 0.1654, "median_ret": 0.1168 } } }, "ret_eod": { "ic": 0.0527, "pval": 0.6792, "n": 64, "quintiles": { "Q1": { "wr": 0.615, "n": 13, "mean_ret": -0.1182, "median_ret": 0.1959 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.1083, "median_ret": -0.05 }, "Q3": { "wr": 0.417, "n": 12, "mean_ret": -0.0849, "median_ret": -0.1497 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.0619, "median_ret": 0.0425 }, "Q5": { "wr": 0.462, "n": 13, "mean_ret": 0.038, "median_ret": -0.1061 } } } } } } }, "11:30 vs 9:30 (2hr)": { "label": "11:30 vs 9:30 (2hr)", "check_time": "11:30", "anchor_time": "09:30", "anchor_min": 120, "n_total": 403, "IS": { "n": 243, "ret_30m": { "ic": 0.0337, "pval": 0.6023, "n": 242, "quintiles": { "Q1": { "wr": 0.469, "n": 49, "mean_ret": -0.0578, "median_ret": -0.0281 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": 0.004, "median_ret": 0.0071 }, "Q3": { "wr": 0.646, "n": 48, "mean_ret": 0.0298, "median_ret": 0.039 }, "Q4": { "wr": 0.521, "n": 48, "mean_ret": 0.0314, "median_ret": 0.0027 }, "Q5": { "wr": 0.429, "n": 49, "mean_ret": -0.0097, "median_ret": -0.0165 } } }, "ret_1h": { "ic": 0.0132, "pval": 0.8384, "n": 242, "quintiles": { "Q1": { "wr": 0.429, "n": 49, "mean_ret": -0.035, "median_ret": -0.0445 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": 0.0618, "median_ret": 0.0426 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": 0.0219, "median_ret": 0.0338 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0258, "median_ret": 0.0371 }, "Q5": { "wr": 0.51, "n": 49, "mean_ret": -0.0054, "median_ret": 0.0166 } } }, "ret_2h": { "ic": -0.0179, "pval": 0.7828, "n": 239, "quintiles": { "Q1": { "wr": 0.562, "n": 48, "mean_ret": -0.0609, "median_ret": 0.0262 }, "Q2": { "wr": 0.646, "n": 48, "mean_ret": 0.2175, "median_ret": 0.088 }, "Q3": { "wr": 0.596, "n": 47, "mean_ret": -0.0058, "median_ret": 0.0501 }, "Q4": { "wr": 0.417, "n": 48, "mean_ret": -0.0316, "median_ret": -0.0727 }, "Q5": { "wr": 0.562, "n": 48, "mean_ret": 0.0097, "median_ret": 0.067 } } }, "ret_eod": { "ic": 0.0096, "pval": 0.8822, "n": 239, "quintiles": { "Q1": { "wr": 0.5, "n": 48, "mean_ret": -0.0326, "median_ret": 0.004 }, "Q2": { "wr": 0.604, "n": 48, "mean_ret": 0.2171, "median_ret": 0.0632 }, "Q3": { "wr": 0.511, "n": 47, "mean_ret": -0.0359, "median_ret": 0.0587 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": -0.0475, "median_ret": 0.0096 }, "Q5": { "wr": 0.604, "n": 48, "mean_ret": 0.0638, "median_ret": 0.0958 } } } }, "OOS": { "n": 160, "ret_30m": { "ic": 0.119, "pval": 0.134, "n": 160, "quintiles": { "Q1": { "wr": 0.438, "n": 32, "mean_ret": -0.0431, "median_ret": -0.0126 }, "Q2": { "wr": 0.469, "n": 32, "mean_ret": 0.0216, "median_ret": -0.0055 }, "Q3": { "wr": 0.656, "n": 32, "mean_ret": 0.027, "median_ret": 0.0388 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0166, "median_ret": 0.0324 }, "Q5": { "wr": 0.688, "n": 32, "mean_ret": 0.0343, "median_ret": 0.0358 } } }, "ret_1h": { "ic": 0.0896, "pval": 0.2601, "n": 160, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0672, "median_ret": 0.008 }, "Q2": { "wr": 0.594, "n": 32, "mean_ret": 0.0274, "median_ret": 0.042 }, "Q3": { "wr": 0.594, "n": 32, "mean_ret": 0.0093, "median_ret": 0.033 }, "Q4": { "wr": 0.719, "n": 32, "mean_ret": 0.0565, "median_ret": 0.0682 }, "Q5": { "wr": 0.625, "n": 32, "mean_ret": 0.0391, "median_ret": 0.0293 } } }, "ret_2h": { "ic": 0.0847, "pval": 0.2882, "n": 159, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.03, "median_ret": 0.0014 }, "Q2": { "wr": 0.531, "n": 32, "mean_ret": 0.0104, "median_ret": 0.0149 }, "Q3": { "wr": 0.484, "n": 31, "mean_ret": -0.0875, "median_ret": -0.0141 }, "Q4": { "wr": 0.625, "n": 32, "mean_ret": 0.0572, "median_ret": 0.0917 }, "Q5": { "wr": 0.688, "n": 32, "mean_ret": 0.0765, "median_ret": 0.0783 } } }, "ret_eod": { "ic": -0.0214, "pval": 0.7894, "n": 158, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0396, "median_ret": 0.0217 }, "Q2": { "wr": 0.581, "n": 31, "mean_ret": 0.0575, "median_ret": 0.1338 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": -0.0903, "median_ret": -0.0059 }, "Q4": { "wr": 0.581, "n": 31, "mean_ret": 0.0568, "median_ret": 0.0554 }, "Q5": { "wr": 0.562, "n": 32, "mean_ret": 0.0258, "median_ret": 0.0309 } } } }, "ALL": { "n": 403, "ret_30m": { "ic": 0.0531, "pval": 0.2884, "n": 402, "quintiles": { "Q1": { "wr": 0.469, "n": 81, "mean_ret": -0.0136, "median_ret": -0.0093 }, "Q2": { "wr": 0.512, "n": 80, "mean_ret": -0.0286, "median_ret": 0.0155 }, "Q3": { "wr": 0.625, "n": 80, "mean_ret": 0.0402, "median_ret": 0.0508 }, "Q4": { "wr": 0.525, "n": 80, "mean_ret": 0.012, "median_ret": 0.0085 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": 0.0104, "median_ret": 0.0079 } } }, "ret_1h": { "ic": 0.0387, "pval": 0.4395, "n": 402, "quintiles": { "Q1": { "wr": 0.506, "n": 81, "mean_ret": -0.0321, "median_ret": 0.0161 }, "Q2": { "wr": 0.55, "n": 80, "mean_ret": 0.0124, "median_ret": 0.0241 }, "Q3": { "wr": 0.575, "n": 80, "mean_ret": 0.0568, "median_ret": 0.0494 }, "Q4": { "wr": 0.562, "n": 80, "mean_ret": 0.0142, "median_ret": 0.0353 }, "Q5": { "wr": 0.568, "n": 81, "mean_ret": 0.016, "median_ret": 0.0272 } } }, "ret_2h": { "ic": 0.0404, "pval": 0.4216, "n": 398, "quintiles": { "Q1": { "wr": 0.525, "n": 80, "mean_ret": -0.0333, "median_ret": 0.0149 }, "Q2": { "wr": 0.557, "n": 79, "mean_ret": 0.0724, "median_ret": 0.0295 }, "Q3": { "wr": 0.613, "n": 80, "mean_ret": 0.0361, "median_ret": 0.0545 }, "Q4": { "wr": 0.494, "n": 79, "mean_ret": -0.0143, "median_ret": -0.0045 }, "Q5": { "wr": 0.613, "n": 80, "mean_ret": 0.029, "median_ret": 0.0737 } } }, "ret_eod": { "ic": 0.014, "pval": 0.7806, "n": 397, "quintiles": { "Q1": { "wr": 0.537, "n": 80, "mean_ret": -0.0031, "median_ret": 0.0396 }, "Q2": { "wr": 0.532, "n": 79, "mean_ret": 0.0771, "median_ret": 0.0187 }, "Q3": { "wr": 0.582, "n": 79, "mean_ret": 0.0176, "median_ret": 0.0425 }, "Q4": { "wr": 0.532, "n": 79, "mean_ret": -0.0226, "median_ret": 0.0108 }, "Q5": { "wr": 0.575, "n": 80, "mean_ret": 0.034, "median_ret": 0.051 } } } }, "rvol": { "LOW": { "n": 81, "IS": { "n": 41, "ret_30m": { "ic": 0.0477, "pval": 0.7669, "n": 41, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.1187, "median_ret": -0.0756 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0567, "median_ret": 0.115 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0165, "median_ret": -0.0142 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0078, "median_ret": -0.0112 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0136, "median_ret": 0.0025 } } }, "ret_1h": { "ic": -0.1413, "pval": 0.3782, "n": 41, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": 0.1534, "median_ret": -0.0375 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.1181, "median_ret": 0.1767 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": 0.0086, "median_ret": -0.0433 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0356, "median_ret": -0.022 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0464, "median_ret": -0.001 } } }, "ret_2h": { "ic": -0.107, "pval": 0.5056, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.7923, "median_ret": 0.077 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0912, "median_ret": 0.2154 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.2432, "median_ret": -0.3001 }, "Q4": { "wr": 0.25, "n": 8, "mean_ret": -0.1181, "median_ret": -0.0765 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0853, "median_ret": 0.1026 } } }, "ret_eod": { "ic": -0.0949, "pval": 0.5549, "n": 41, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": 1.1172, "median_ret": -0.0296 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.1793, "median_ret": 0.359 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0323, "median_ret": 0.0525 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": -0.0989, "median_ret": 0.0314 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.132, "median_ret": 0.096 } } } }, "OOS": { "n": 40, "ret_30m": { "ic": 0.2458, "pval": 0.1263, "n": 40, "quintiles": { "Q1": { "wr": 0.375, "n": 8, "mean_ret": 0.0117, "median_ret": -0.0126 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": -0.0094, "median_ret": -0.0053 }, "Q3": { "wr": 0.75, "n": 8, "mean_ret": 0.0293, "median_ret": 0.0343 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0228, "median_ret": 0.0333 }, "Q5": { "wr": 0.75, "n": 8, "mean_ret": 0.0549, "median_ret": 0.0595 } } }, "ret_1h": { "ic": 0.2311, "pval": 0.1513, "n": 40, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": 0.0046, "median_ret": -0.0165 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0093, "median_ret": 0.0341 }, "Q3": { "wr": 0.75, "n": 8, "mean_ret": 0.0276, "median_ret": 0.0262 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0383, "median_ret": 0.0524 }, "Q5": { "wr": 0.875, "n": 8, "mean_ret": 0.0669, "median_ret": 0.071 } } }, "ret_2h": { "ic": 0.2405, "pval": 0.1403, "n": 39, "quintiles": { "Q1": { "wr": 0.375, "n": 8, "mean_ret": -0.0357, "median_ret": -0.0414 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": -0.0063, "median_ret": 0.0221 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.019, "median_ret": 0.0295 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0501, "median_ret": 0.0848 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0553, "median_ret": 0.056 } } }, "ret_eod": { "ic": 0.0245, "pval": 0.8823, "n": 39, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": -0.0831, "median_ret": -0.0025 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": -0.0058, "median_ret": 0.0446 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.0297, "median_ret": 0.0368 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0749, "median_ret": -0.0268 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0298, "median_ret": -0.0562 } } } }, "ALL": { "n": 81, "ret_30m": { "ic": 0.1277, "pval": 0.2559, "n": 81, "quintiles": { "Q1": { "wr": 0.471, "n": 17, "mean_ret": 0.0081, "median_ret": -0.0093 }, "Q2": { "wr": 0.375, "n": 16, "mean_ret": -0.067, "median_ret": -0.079 }, "Q3": { "wr": 0.688, "n": 16, "mean_ret": 0.0427, "median_ret": 0.0343 }, "Q4": { "wr": 0.5, "n": 16, "mean_ret": -0.0026, "median_ret": -0.0112 }, "Q5": { "wr": 0.688, "n": 16, "mean_ret": 0.0321, "median_ret": 0.0391 } } }, "ret_1h": { "ic": 0.0554, "pval": 0.6233, "n": 81, "quintiles": { "Q1": { "wr": 0.529, "n": 17, "mean_ret": 0.0027, "median_ret": 0.0161 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.1133, "median_ret": 0.0241 }, "Q3": { "wr": 0.625, "n": 16, "mean_ret": 0.0607, "median_ret": 0.0617 }, "Q4": { "wr": 0.438, "n": 16, "mean_ret": -0.012, "median_ret": -0.022 }, "Q5": { "wr": 0.75, "n": 16, "mean_ret": 0.0171, "median_ret": 0.0536 } } }, "ret_2h": { "ic": 0.0697, "pval": 0.5388, "n": 80, "quintiles": { "Q1": { "wr": 0.562, "n": 16, "mean_ret": -0.0181, "median_ret": 0.0221 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.432, "median_ret": 0.0613 }, "Q3": { "wr": 0.5, "n": 16, "mean_ret": -0.0415, "median_ret": -0.0246 }, "Q4": { "wr": 0.375, "n": 16, "mean_ret": -0.055, "median_ret": -0.0263 }, "Q5": { "wr": 0.688, "n": 16, "mean_ret": 0.0757, "median_ret": 0.1022 } } }, "ret_eod": { "ic": 0.0058, "pval": 0.9592, "n": 80, "quintiles": { "Q1": { "wr": 0.562, "n": 16, "mean_ret": -0.0294, "median_ret": 0.0227 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.673, "median_ret": 0.055 }, "Q3": { "wr": 0.5, "n": 16, "mean_ret": 0.059, "median_ret": 0.0089 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": -0.1122, "median_ret": 0.0314 }, "Q5": { "wr": 0.562, "n": 16, "mean_ret": 0.0507, "median_ret": 0.0451 } } } } }, "MED": { "n": 90, "IS": { "n": 32, "ret_30m": { "ic": 0.1796, "pval": 0.3253, "n": 32, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.1906, "median_ret": -0.0667 }, "Q2": { "wr": 0.833, "n": 6, "mean_ret": 0.1207, "median_ret": 0.1526 }, "Q3": { "wr": 0.667, "n": 6, "mean_ret": 0.0406, "median_ret": 0.0508 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.0399, "median_ret": 0.0403 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.0785, "median_ret": 0.1165 } } }, "ret_1h": { "ic": 0.1983, "pval": 0.2766, "n": 32, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.1023, "median_ret": -0.1462 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.0353, "median_ret": 0.022 }, "Q3": { "wr": 0.5, "n": 6, "mean_ret": 0.0216, "median_ret": -0.0035 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": -0.0452, "median_ret": 0.0594 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.1097, "median_ret": 0.1935 } } }, "ret_2h": { "ic": 0.1426, "pval": 0.4363, "n": 32, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0532, "median_ret": 0.1914 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.4455, "median_ret": -0.0079 }, "Q3": { "wr": 0.5, "n": 6, "mean_ret": -0.021, "median_ret": 0.0405 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": -0.1249, "median_ret": -0.0165 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.1403, "median_ret": 0.2864 } } }, "ret_eod": { "ic": 0.202, "pval": 0.2676, "n": 32, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.3119, "median_ret": 0.3149 }, "Q2": { "wr": 0.167, "n": 6, "mean_ret": -0.722, "median_ret": -0.2164 }, "Q3": { "wr": 0.5, "n": 6, "mean_ret": -0.2152, "median_ret": -0.1052 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": -0.0941, "median_ret": 0.0305 }, "Q5": { "wr": 0.857, "n": 7, "mean_ret": 0.2813, "median_ret": 0.4241 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": -0.0766, "pval": 0.5675, "n": 58, "quintiles": { "Q1": { "wr": 0.833, "n": 12, "mean_ret": 0.0691, "median_ret": 0.0643 }, "Q2": { "wr": 0.364, "n": 11, "mean_ret": 0.0004, "median_ret": -0.0256 }, "Q3": { "wr": 0.667, "n": 12, "mean_ret": -0.001, "median_ret": 0.0509 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0313, "median_ret": 0.0454 }, "Q5": { "wr": 0.75, "n": 12, "mean_ret": 0.0406, "median_ret": 0.0271 } } }, "ret_1h": { "ic": -0.1684, "pval": 0.2065, "n": 58, "quintiles": { "Q1": { "wr": 0.833, "n": 12, "mean_ret": 0.1082, "median_ret": 0.1135 }, "Q2": { "wr": 0.455, "n": 11, "mean_ret": 0.0064, "median_ret": -0.0553 }, "Q3": { "wr": 0.667, "n": 12, "mean_ret": 0.0287, "median_ret": 0.0467 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.0417, "median_ret": 0.0888 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.0302, "median_ret": 0.0145 } } }, "ret_2h": { "ic": -0.136, "pval": 0.3087, "n": 58, "quintiles": { "Q1": { "wr": 0.833, "n": 12, "mean_ret": 0.1508, "median_ret": 0.183 }, "Q2": { "wr": 0.455, "n": 11, "mean_ret": 0.0271, "median_ret": -0.0437 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0383, "median_ret": 0.0469 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0149, "median_ret": 0.0331 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.0966, "median_ret": 0.0884 } } }, "ret_eod": { "ic": -0.1055, "pval": 0.4304, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.1544, "median_ret": 0.0827 }, "Q2": { "wr": 0.455, "n": 11, "mean_ret": 0.0109, "median_ret": -0.1173 }, "Q3": { "wr": 0.417, "n": 12, "mean_ret": -0.0416, "median_ret": -0.0507 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0711, "median_ret": 0.0273 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.0713, "median_ret": 0.0417 } } } }, "ALL": { "n": 90, "ret_30m": { "ic": 0.0131, "pval": 0.9023, "n": 90, "quintiles": { "Q1": { "wr": 0.722, "n": 18, "mean_ret": 0.0712, "median_ret": 0.0643 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.0474, "median_ret": 0.0337 }, "Q3": { "wr": 0.667, "n": 18, "mean_ret": 0.0227, "median_ret": 0.0563 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": 0.0044, "median_ret": 0.0298 }, "Q5": { "wr": 0.778, "n": 18, "mean_ret": 0.0642, "median_ret": 0.0413 } } }, "ret_1h": { "ic": -0.0224, "pval": 0.8341, "n": 90, "quintiles": { "Q1": { "wr": 0.722, "n": 18, "mean_ret": 0.1033, "median_ret": 0.0966 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": -0.0647, "median_ret": -0.0025 }, "Q3": { "wr": 0.667, "n": 18, "mean_ret": 0.0444, "median_ret": 0.0845 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": -0.0428, "median_ret": 0.044 }, "Q5": { "wr": 0.667, "n": 18, "mean_ret": 0.0838, "median_ret": 0.028 } } }, "ret_2h": { "ic": -0.0243, "pval": 0.8203, "n": 90, "quintiles": { "Q1": { "wr": 0.778, "n": 18, "mean_ret": 0.1262, "median_ret": 0.183 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.0829, "median_ret": 0.1161 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": -0.0728, "median_ret": 0.016 }, "Q4": { "wr": 0.5, "n": 18, "mean_ret": -0.0823, "median_ret": 0.0038 }, "Q5": { "wr": 0.833, "n": 18, "mean_ret": 0.155, "median_ret": 0.1178 } } }, "ret_eod": { "ic": 0.0136, "pval": 0.8987, "n": 90, "quintiles": { "Q1": { "wr": 0.667, "n": 18, "mean_ret": 0.2015, "median_ret": 0.1424 }, "Q2": { "wr": 0.444, "n": 18, "mean_ret": -0.1824, "median_ret": -0.0779 }, "Q3": { "wr": 0.5, "n": 18, "mean_ret": -0.044, "median_ret": -0.0223 }, "Q4": { "wr": 0.444, "n": 18, "mean_ret": -0.0993, "median_ret": -0.0976 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.184, "median_ret": 0.1963 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": 0.3273, "pval": 0.1476, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.2234, "pval": 0.3304, "n": 21, "quintiles": {} }, "ret_2h": { "ic": 0.239, "pval": 0.2968, "n": 21, "quintiles": {} }, "ret_eod": { "ic": 0.2, "pval": 0.3847, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": 0.2661, "pval": 0.0808, "n": 44, "quintiles": { "Q1": { "wr": 0.222, "n": 9, "mean_ret": -0.2179, "median_ret": -0.1089 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": 0.0112, "median_ret": -0.0223 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0814, "median_ret": 0.0278 }, "Q4": { "wr": 0.667, "n": 9, "mean_ret": 0.0948, "median_ret": 0.0943 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0047, "median_ret": 0.0175 } } }, "ret_1h": { "ic": 0.4047, "pval": 0.0064, "n": 44, "quintiles": { "Q1": { "wr": 0.222, "n": 9, "mean_ret": -0.3515, "median_ret": -0.2517 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": -0.061, "median_ret": -0.0095 }, "Q3": { "wr": 0.75, "n": 8, "mean_ret": 0.0478, "median_ret": 0.0664 }, "Q4": { "wr": 0.667, "n": 9, "mean_ret": 0.1445, "median_ret": 0.1168 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.074, "median_ret": 0.0773 } } }, "ret_2h": { "ic": 0.2359, "pval": 0.1231, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.248, "median_ret": -0.2292 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": -0.107, "median_ret": -0.1546 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": -0.0067, "median_ret": -0.0125 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": 0.074, "median_ret": 0.0711 }, "Q5": { "wr": 0.444, "n": 9, "mean_ret": 0.064, "median_ret": -0.0266 } } }, "ret_eod": { "ic": 0.0606, "pval": 0.6997, "n": 43, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.2453, "median_ret": -0.05 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0392, "median_ret": 0.2184 }, "Q3": { "wr": 0.556, "n": 9, "mean_ret": -0.0206, "median_ret": 0.0087 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0022, "median_ret": 0.048 }, "Q5": { "wr": 0.444, "n": 9, "mean_ret": 0.0796, "median_ret": -0.1061 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": 0.2505, "pval": 0.0441, "n": 65, "quintiles": { "Q1": { "wr": 0.385, "n": 13, "mean_ret": -0.1431, "median_ret": -0.08 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": 0.0008, "median_ret": -0.0725 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.0403, "median_ret": -0.0029 }, "Q4": { "wr": 0.615, "n": 13, "mean_ret": 0.0783, "median_ret": 0.0599 }, "Q5": { "wr": 0.615, "n": 13, "mean_ret": 0.0519, "median_ret": 0.0273 } } }, "ret_1h": { "ic": 0.3321, "pval": 0.0069, "n": 65, "quintiles": { "Q1": { "wr": 0.308, "n": 13, "mean_ret": -0.2245, "median_ret": -0.1782 }, "Q2": { "wr": 0.538, "n": 13, "mean_ret": -0.0135, "median_ret": 0.0423 }, "Q3": { "wr": 0.538, "n": 13, "mean_ret": -0.004, "median_ret": 0.0597 }, "Q4": { "wr": 0.692, "n": 13, "mean_ret": 0.0905, "median_ret": 0.1168 }, "Q5": { "wr": 0.692, "n": 13, "mean_ret": 0.1265, "median_ret": 0.1626 } } }, "ret_2h": { "ic": 0.2456, "pval": 0.0486, "n": 65, "quintiles": { "Q1": { "wr": 0.385, "n": 13, "mean_ret": -0.2492, "median_ret": -0.2292 }, "Q2": { "wr": 0.538, "n": 13, "mean_ret": -0.0162, "median_ret": 0.0178 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.0247, "median_ret": -0.1396 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.0501, "median_ret": 0.0673 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": 0.1015, "median_ret": 0.0056 } } }, "ret_eod": { "ic": 0.0733, "pval": 0.5651, "n": 64, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.1344, "median_ret": 0.0593 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.1079, "median_ret": -0.0713 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": 0.0917, "median_ret": -0.072 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": -0.1525, "median_ret": 0.0425 }, "Q5": { "wr": 0.462, "n": 13, "mean_ret": 0.1052, "median_ret": -0.1061 } } } } } } }, "12:00 vs 11:00 (1hr)": { "label": "12:00 vs 11:00 (1hr)", "check_time": "12:00", "anchor_time": "11:00", "anchor_min": 60, "n_total": 405, "IS": { "n": 243, "ret_30m": { "ic": -0.0403, "pval": 0.5317, "n": 243, "quintiles": { "Q1": { "wr": 0.653, "n": 49, "mean_ret": 0.0379, "median_ret": 0.0473 }, "Q2": { "wr": 0.458, "n": 48, "mean_ret": -0.0212, "median_ret": -0.0054 }, "Q3": { "wr": 0.592, "n": 49, "mean_ret": 0.0454, "median_ret": 0.0366 }, "Q4": { "wr": 0.625, "n": 48, "mean_ret": 0.009, "median_ret": 0.0132 }, "Q5": { "wr": 0.571, "n": 49, "mean_ret": 0.0011, "median_ret": 0.0215 } } }, "ret_1h": { "ic": 0.0015, "pval": 0.9816, "n": 243, "quintiles": { "Q1": { "wr": 0.633, "n": 49, "mean_ret": 0.021, "median_ret": 0.0649 }, "Q2": { "wr": 0.479, "n": 48, "mean_ret": 0.0038, "median_ret": -0.0218 }, "Q3": { "wr": 0.51, "n": 49, "mean_ret": 0.0241, "median_ret": 0.0044 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": -0.0089, "median_ret": -0.0109 }, "Q5": { "wr": 0.571, "n": 49, "mean_ret": 0.033, "median_ret": 0.067 } } }, "ret_2h": { "ic": -0.0242, "pval": 0.7086, "n": 240, "quintiles": { "Q1": { "wr": 0.521, "n": 48, "mean_ret": -0.013, "median_ret": 0.0235 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": 0.1078, "median_ret": 0.064 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": 0.1651, "median_ret": 0.0817 }, "Q4": { "wr": 0.458, "n": 48, "mean_ret": -0.0581, "median_ret": -0.0272 }, "Q5": { "wr": 0.438, "n": 48, "mean_ret": 0.0042, "median_ret": -0.0485 } } }, "ret_eod": { "ic": 0.002, "pval": 0.9748, "n": 240, "quintiles": { "Q1": { "wr": 0.458, "n": 48, "mean_ret": -0.0636, "median_ret": -0.0441 }, "Q2": { "wr": 0.625, "n": 48, "mean_ret": 0.1081, "median_ret": 0.174 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": 0.1904, "median_ret": 0.0697 }, "Q4": { "wr": 0.417, "n": 48, "mean_ret": -0.1206, "median_ret": -0.1069 }, "Q5": { "wr": 0.625, "n": 48, "mean_ret": 0.0596, "median_ret": 0.027 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": 0.088, "pval": 0.2657, "n": 162, "quintiles": { "Q1": { "wr": 0.515, "n": 33, "mean_ret": -0.0178, "median_ret": 0.0167 }, "Q2": { "wr": 0.375, "n": 32, "mean_ret": -0.0538, "median_ret": -0.029 }, "Q3": { "wr": 0.562, "n": 32, "mean_ret": 0.0229, "median_ret": 0.0413 }, "Q4": { "wr": 0.688, "n": 32, "mean_ret": 0.0543, "median_ret": 0.0731 }, "Q5": { "wr": 0.515, "n": 33, "mean_ret": 0.0055, "median_ret": 0.001 } } }, "ret_1h": { "ic": 0.0981, "pval": 0.2142, "n": 162, "quintiles": { "Q1": { "wr": 0.424, "n": 33, "mean_ret": -0.0522, "median_ret": -0.0386 }, "Q2": { "wr": 0.406, "n": 32, "mean_ret": -0.046, "median_ret": -0.0137 }, "Q3": { "wr": 0.594, "n": 32, "mean_ret": 0.013, "median_ret": 0.0319 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0354, "median_ret": 0.0577 }, "Q5": { "wr": 0.515, "n": 33, "mean_ret": -0.0136, "median_ret": 0.0021 } } }, "ret_2h": { "ic": 0.0586, "pval": 0.4629, "n": 159, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0271, "median_ret": 0.0006 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": -0.0286, "median_ret": 0.0586 }, "Q3": { "wr": 0.548, "n": 31, "mean_ret": 0.0051, "median_ret": 0.0088 }, "Q4": { "wr": 0.688, "n": 32, "mean_ret": 0.0341, "median_ret": 0.0616 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": -0.0122, "median_ret": 0.005 } } }, "ret_eod": { "ic": 0.1119, "pval": 0.1616, "n": 158, "quintiles": { "Q1": { "wr": 0.438, "n": 32, "mean_ret": -0.104, "median_ret": -0.0438 }, "Q2": { "wr": 0.516, "n": 31, "mean_ret": -0.0043, "median_ret": 0.0346 }, "Q3": { "wr": 0.625, "n": 32, "mean_ret": 0.0324, "median_ret": 0.112 }, "Q4": { "wr": 0.677, "n": 31, "mean_ret": 0.0447, "median_ret": 0.0414 }, "Q5": { "wr": 0.5, "n": 32, "mean_ret": 0.0018, "median_ret": 0.0173 } } } }, "ALL": { "n": 405, "ret_30m": { "ic": 0.0218, "pval": 0.6612, "n": 405, "quintiles": { "Q1": { "wr": 0.556, "n": 81, "mean_ret": -0.0011, "median_ret": 0.0224 }, "Q2": { "wr": 0.469, "n": 81, "mean_ret": -0.0151, "median_ret": -0.0055 }, "Q3": { "wr": 0.556, "n": 81, "mean_ret": 0.0305, "median_ret": 0.0335 }, "Q4": { "wr": 0.679, "n": 81, "mean_ret": 0.0255, "median_ret": 0.0384 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": 0.0083, "median_ret": 0.0088 } } }, "ret_1h": { "ic": 0.0408, "pval": 0.4125, "n": 405, "quintiles": { "Q1": { "wr": 0.543, "n": 81, "mean_ret": -0.0079, "median_ret": 0.0141 }, "Q2": { "wr": 0.481, "n": 81, "mean_ret": -0.0102, "median_ret": -0.0035 }, "Q3": { "wr": 0.494, "n": 81, "mean_ret": 0.0053, "median_ret": -0.005 }, "Q4": { "wr": 0.543, "n": 81, "mean_ret": 0.0169, "median_ret": 0.028 }, "Q5": { "wr": 0.556, "n": 81, "mean_ret": 0.0142, "median_ret": 0.0208 } } }, "ret_2h": { "ic": 0.0089, "pval": 0.8589, "n": 399, "quintiles": { "Q1": { "wr": 0.525, "n": 80, "mean_ret": -0.0296, "median_ret": 0.0189 }, "Q2": { "wr": 0.588, "n": 80, "mean_ret": 0.0815, "median_ret": 0.0707 }, "Q3": { "wr": 0.468, "n": 79, "mean_ret": 0.066, "median_ret": -0.0067 }, "Q4": { "wr": 0.537, "n": 80, "mean_ret": -0.0233, "median_ret": 0.0111 }, "Q5": { "wr": 0.512, "n": 80, "mean_ret": 0.0183, "median_ret": 0.0039 } } }, "ret_eod": { "ic": 0.0473, "pval": 0.3468, "n": 398, "quintiles": { "Q1": { "wr": 0.463, "n": 80, "mean_ret": -0.0952, "median_ret": -0.0372 }, "Q2": { "wr": 0.57, "n": 79, "mean_ret": 0.0862, "median_ret": 0.0727 }, "Q3": { "wr": 0.588, "n": 80, "mean_ret": 0.1111, "median_ret": 0.0896 }, "Q4": { "wr": 0.532, "n": 79, "mean_ret": -0.0391, "median_ret": 0.0167 }, "Q5": { "wr": 0.575, "n": 80, "mean_ret": 0.0297, "median_ret": 0.0256 } } } }, "rvol": { "LOW": { "n": 83, "IS": { "n": 41, "ret_30m": { "ic": 0.0524, "pval": 0.7447, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.0237, "median_ret": 0.065 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": 0.0387, "median_ret": -0.0092 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.1623, "median_ret": 0.1787 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0625, "median_ret": 0.049 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0091, "median_ret": 0.0092 } } }, "ret_1h": { "ic": 0.0233, "pval": 0.8848, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.0119, "median_ret": 0.0827 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": 0.0837, "median_ret": -0.0305 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.3559, "median_ret": 0.1864 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0948, "median_ret": -0.1802 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0497, "median_ret": 0.0921 } } }, "ret_2h": { "ic": 0.0462, "pval": 0.7744, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.0886, "median_ret": 0.0027 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.2444, "median_ret": 0.0693 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 1.2278, "median_ret": 0.4805 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.2861, "median_ret": -0.2315 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0141, "median_ret": 0.0494 } } }, "ret_eod": { "ic": 0.1052, "pval": 0.5126, "n": 41, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.1493, "median_ret": -0.0538 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.3223, "median_ret": 0.122 }, "Q3": { "wr": 0.75, "n": 8, "mean_ret": 1.413, "median_ret": 0.4138 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0977, "median_ret": -0.0371 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.1162, "median_ret": 0.168 } } } }, "OOS": { "n": 42, "ret_30m": { "ic": 0.2944, "pval": 0.0584, "n": 42, "quintiles": { "Q1": { "wr": 0.222, "n": 9, "mean_ret": -0.0211, "median_ret": -0.0211 }, "Q2": { "wr": 0.25, "n": 8, "mean_ret": -0.0205, "median_ret": -0.0383 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0441, "median_ret": 0.0484 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": 0.0241, "median_ret": -0.0008 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.0205, "median_ret": 0.011 } } }, "ret_1h": { "ic": -0.1675, "pval": 0.289, "n": 42, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.0222, "median_ret": 0.025 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.0032, "median_ret": -0.0065 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0145, "median_ret": 0.0402 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0518, "median_ret": 0.0248 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": -0.0233, "median_ret": 0.0021 } } }, "ret_2h": { "ic": -0.0045, "pval": 0.9785, "n": 39, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": -0.0484, "median_ret": -0.0394 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": 0.0179, "median_ret": -0.004 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.0746, "median_ret": -0.0061 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.0754, "median_ret": 0.0655 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0796, "median_ret": -0.0609 } } }, "ret_eod": { "ic": 0.1235, "pval": 0.4539, "n": 39, "quintiles": { "Q1": { "wr": 0.375, "n": 8, "mean_ret": -0.2022, "median_ret": -0.3094 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0237, "median_ret": 0.0379 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.0235, "median_ret": 0.0955 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0177, "median_ret": 0.0133 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0949, "median_ret": -0.0662 } } } }, "ALL": { "n": 83, "ret_30m": { "ic": 0.1358, "pval": 0.221, "n": 83, "quintiles": { "Q1": { "wr": 0.412, "n": 17, "mean_ret": 0.0026, "median_ret": -0.0078 }, "Q2": { "wr": 0.375, "n": 16, "mean_ret": 0.0467, "median_ret": -0.0178 }, "Q3": { "wr": 0.471, "n": 17, "mean_ret": 0.0624, "median_ret": -0.0258 }, "Q4": { "wr": 0.625, "n": 16, "mean_ret": 0.0497, "median_ret": 0.0274 }, "Q5": { "wr": 0.647, "n": 17, "mean_ret": 0.0072, "median_ret": 0.0056 } } }, "ret_1h": { "ic": -0.0341, "pval": 0.7597, "n": 83, "quintiles": { "Q1": { "wr": 0.647, "n": 17, "mean_ret": 0.0249, "median_ret": 0.0827 }, "Q2": { "wr": 0.438, "n": 16, "mean_ret": 0.0793, "median_ret": -0.0137 }, "Q3": { "wr": 0.353, "n": 17, "mean_ret": 0.0985, "median_ret": -0.0317 }, "Q4": { "wr": 0.625, "n": 16, "mean_ret": 0.0282, "median_ret": 0.035 }, "Q5": { "wr": 0.588, "n": 17, "mean_ret": -0.0034, "median_ret": 0.0056 } } }, "ret_2h": { "ic": 0.0093, "pval": 0.935, "n": 80, "quintiles": { "Q1": { "wr": 0.562, "n": 16, "mean_ret": -0.049, "median_ret": 0.023 }, "Q2": { "wr": 0.438, "n": 16, "mean_ret": 0.14, "median_ret": -0.004 }, "Q3": { "wr": 0.562, "n": 16, "mean_ret": 0.4592, "median_ret": 0.0314 }, "Q4": { "wr": 0.688, "n": 16, "mean_ret": -0.0235, "median_ret": 0.0161 }, "Q5": { "wr": 0.438, "n": 16, "mean_ret": -0.0265, "median_ret": -0.0368 } } }, "ret_eod": { "ic": 0.105, "pval": 0.3539, "n": 80, "quintiles": { "Q1": { "wr": 0.375, "n": 16, "mean_ret": -0.1631, "median_ret": -0.0701 }, "Q2": { "wr": 0.625, "n": 16, "mean_ret": 0.1905, "median_ret": 0.0379 }, "Q3": { "wr": 0.688, "n": 16, "mean_ret": 0.6225, "median_ret": 0.0966 }, "Q4": { "wr": 0.688, "n": 16, "mean_ret": 0.0676, "median_ret": 0.112 }, "Q5": { "wr": 0.438, "n": 16, "mean_ret": -0.0599, "median_ret": -0.0302 } } } } }, "MED": { "n": 91, "IS": { "n": 33, "ret_30m": { "ic": 0.0194, "pval": 0.9147, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0593, "median_ret": 0.0361 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.1366, "median_ret": -0.0731 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": 0.0106, "median_ret": -0.0055 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": -0.0277, "median_ret": 0.0197 }, "Q5": { "wr": 0.857, "n": 7, "mean_ret": -0.02, "median_ret": 0.0826 } } }, "ret_1h": { "ic": -0.0775, "pval": 0.668, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0587, "median_ret": 0.0817 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.1246, "median_ret": 0.0031 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.0413, "median_ret": -0.0499 }, "Q4": { "wr": 0.833, "n": 6, "mean_ret": 0.093, "median_ret": 0.125 }, "Q5": { "wr": 0.429, "n": 7, "mean_ret": -0.0568, "median_ret": -0.0738 } } }, "ret_2h": { "ic": -0.2376, "pval": 0.183, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0693, "median_ret": 0.0472 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.0301, "median_ret": 0.0772 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.081, "median_ret": 0.1126 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": -0.1657, "median_ret": -0.0725 }, "Q5": { "wr": 0.286, "n": 7, "mean_ret": -0.2309, "median_ret": -0.1907 } } }, "ret_eod": { "ic": -0.268, "pval": 0.1315, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.2429, "median_ret": 0.1466 }, "Q2": { "wr": 0.833, "n": 6, "mean_ret": -0.1327, "median_ret": 0.2157 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.1501, "median_ret": -0.2626 }, "Q4": { "wr": 0.333, "n": 6, "mean_ret": -0.1128, "median_ret": -0.2326 }, "Q5": { "wr": 0.286, "n": 7, "mean_ret": -0.2351, "median_ret": -0.0414 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": -0.1055, "pval": 0.4304, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0346, "median_ret": 0.0168 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": -0.0089, "median_ret": 0.0064 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.0191, "median_ret": 0.0421 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.0577, "median_ret": 0.0476 }, "Q5": { "wr": 0.417, "n": 12, "mean_ret": -0.025, "median_ret": -0.0402 } } }, "ret_1h": { "ic": 0.098, "pval": 0.4644, "n": 58, "quintiles": { "Q1": { "wr": 0.333, "n": 12, "mean_ret": -0.0654, "median_ret": -0.0405 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0596, "median_ret": 0.0483 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.014, "median_ret": 0.0387 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0025, "median_ret": 0.0681 }, "Q5": { "wr": 0.5, "n": 12, "mean_ret": 0.0091, "median_ret": 0.0001 } } }, "ret_2h": { "ic": 0.1289, "pval": 0.3348, "n": 58, "quintiles": { "Q1": { "wr": 0.5, "n": 12, "mean_ret": -0.0036, "median_ret": 0.0038 }, "Q2": { "wr": 0.636, "n": 11, "mean_ret": 0.0985, "median_ret": 0.1088 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.0231, "median_ret": 0.0063 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0206, "median_ret": 0.1904 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.0652, "median_ret": 0.0527 } } }, "ret_eod": { "ic": 0.1006, "pval": 0.4526, "n": 58, "quintiles": { "Q1": { "wr": 0.417, "n": 12, "mean_ret": -0.0355, "median_ret": -0.0119 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0964, "median_ret": 0.0727 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": -0.0257, "median_ret": -0.0278 }, "Q4": { "wr": 0.818, "n": 11, "mean_ret": 0.0844, "median_ret": 0.169 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.0172, "median_ret": 0.0488 } } } }, "ALL": { "n": 91, "ret_30m": { "ic": -0.0496, "pval": 0.6407, "n": 91, "quintiles": { "Q1": { "wr": 0.632, "n": 19, "mean_ret": 0.0357, "median_ret": 0.0391 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": -0.0409, "median_ret": -0.0089 }, "Q3": { "wr": 0.5, "n": 18, "mean_ret": -0.0112, "median_ret": 0.0018 }, "Q4": { "wr": 0.889, "n": 18, "mean_ret": 0.0646, "median_ret": 0.0572 }, "Q5": { "wr": 0.444, "n": 18, "mean_ret": -0.0364, "median_ret": -0.0283 } } }, "ret_1h": { "ic": 0.0246, "pval": 0.8171, "n": 91, "quintiles": { "Q1": { "wr": 0.474, "n": 19, "mean_ret": -0.02, "median_ret": -0.0073 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.0449, "median_ret": 0.0329 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": 0.0371, "median_ret": 0.1072 }, "Q4": { "wr": 0.611, "n": 18, "mean_ret": 0.0488, "median_ret": 0.0685 }, "Q5": { "wr": 0.5, "n": 18, "mean_ret": -0.036, "median_ret": 0.0001 } } }, "ret_2h": { "ic": 0.0333, "pval": 0.7539, "n": 91, "quintiles": { "Q1": { "wr": 0.579, "n": 19, "mean_ret": 0.0252, "median_ret": 0.0446 }, "Q2": { "wr": 0.667, "n": 18, "mean_ret": -0.0397, "median_ret": 0.0743 }, "Q3": { "wr": 0.5, "n": 18, "mean_ret": 0.0138, "median_ret": 0.0379 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": -0.0114, "median_ret": 0.0274 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.0005, "median_ret": 0.0527 } } }, "ret_eod": { "ic": -0.0025, "pval": 0.9816, "n": 91, "quintiles": { "Q1": { "wr": 0.526, "n": 19, "mean_ret": 0.0543, "median_ret": 0.026 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.089, "median_ret": 0.0685 }, "Q3": { "wr": 0.444, "n": 18, "mean_ret": -0.0042, "median_ret": -0.1124 }, "Q4": { "wr": 0.611, "n": 18, "mean_ret": -0.0393, "median_ret": 0.0175 }, "Q5": { "wr": 0.611, "n": 18, "mean_ret": 0.0193, "median_ret": 0.0748 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": -0.0455, "pval": 0.8449, "n": 21, "quintiles": {} }, "ret_1h": { "ic": -0.0636, "pval": 0.7841, "n": 21, "quintiles": {} }, "ret_2h": { "ic": -0.1714, "pval": 0.4575, "n": 21, "quintiles": {} }, "ret_eod": { "ic": -0.0403, "pval": 0.8624, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": 0.3698, "pval": 0.0135, "n": 44, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.0713, "median_ret": 0.0393 }, "Q2": { "wr": 0.222, "n": 9, "mean_ret": -0.1317, "median_ret": -0.0557 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.0572, "median_ret": -0.0516 }, "Q4": { "wr": 0.667, "n": 9, "mean_ret": 0.0268, "median_ret": 0.0438 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.1095, "median_ret": 0.1157 } } }, "ret_1h": { "ic": 0.2647, "pval": 0.0825, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.0815, "median_ret": -0.0935 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": -0.1755, "median_ret": -0.1312 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.0855, "median_ret": -0.0373 }, "Q4": { "wr": 0.444, "n": 9, "mean_ret": -0.0355, "median_ret": -0.1713 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0857, "median_ret": 0.0922 } } }, "ret_2h": { "ic": 0.1033, "pval": 0.5045, "n": 44, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.0214, "median_ret": 0.0113 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": -0.1375, "median_ret": 0.0846 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": -0.0955, "median_ret": 0.0449 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": -0.1362, "median_ret": 0.0138 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.107, "median_ret": 0.1242 } } }, "ret_eod": { "ic": 0.2098, "pval": 0.177, "n": 43, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.2001, "median_ret": -0.1 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": -0.1207, "median_ret": 0.048 }, "Q3": { "wr": 0.333, "n": 9, "mean_ret": 0.0953, "median_ret": -0.0051 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.136, "median_ret": -0.2165 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.2342, "median_ret": 0.1274 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": 0.272, "pval": 0.0284, "n": 65, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.0461, "median_ret": 0.0337 }, "Q2": { "wr": 0.538, "n": 13, "mean_ret": -0.0571, "median_ret": 0.0055 }, "Q3": { "wr": 0.308, "n": 13, "mean_ret": -0.0441, "median_ret": -0.0338 }, "Q4": { "wr": 0.769, "n": 13, "mean_ret": 0.0924, "median_ret": 0.0627 }, "Q5": { "wr": 0.692, "n": 13, "mean_ret": 0.0813, "median_ret": 0.0404 } } }, "ret_1h": { "ic": 0.1656, "pval": 0.1873, "n": 65, "quintiles": { "Q1": { "wr": 0.385, "n": 13, "mean_ret": -0.0785, "median_ret": -0.0935 }, "Q2": { "wr": 0.538, "n": 13, "mean_ret": -0.0839, "median_ret": 0.0151 }, "Q3": { "wr": 0.385, "n": 13, "mean_ret": -0.0728, "median_ret": -0.0273 }, "Q4": { "wr": 0.231, "n": 13, "mean_ret": -0.0573, "median_ret": -0.1857 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": 0.064, "median_ret": 0.0564 } } }, "ret_2h": { "ic": 0.0334, "pval": 0.7915, "n": 65, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.0338, "median_ret": 0.0113 }, "Q2": { "wr": 0.615, "n": 13, "mean_ret": -0.0387, "median_ret": 0.0846 }, "Q3": { "wr": 0.538, "n": 13, "mean_ret": 0.0845, "median_ret": 0.0676 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.0471, "median_ret": 0.0138 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": 0.0257, "median_ret": 0.0307 } } }, "ret_eod": { "ic": 0.1015, "pval": 0.425, "n": 64, "quintiles": { "Q1": { "wr": 0.462, "n": 13, "mean_ret": -0.1208, "median_ret": -0.0702 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.2159, "median_ret": -0.0051 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": 0.0914, "median_ret": 0.1411 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": 0.0494, "median_ret": -0.1062 }, "Q5": { "wr": 0.538, "n": 13, "mean_ret": 0.06, "median_ret": 0.0075 } } } } } } }, "12:00 vs 10:00 (2hr)": { "label": "12:00 vs 10:00 (2hr)", "check_time": "12:00", "anchor_time": "10:00", "anchor_min": 120, "n_total": 406, "IS": { "n": 243, "ret_30m": { "ic": -0.0593, "pval": 0.3571, "n": 243, "quintiles": { "Q1": { "wr": 0.571, "n": 49, "mean_ret": 0.0342, "median_ret": 0.0431 }, "Q2": { "wr": 0.604, "n": 48, "mean_ret": 0.0393, "median_ret": 0.0351 }, "Q3": { "wr": 0.592, "n": 49, "mean_ret": -0.0054, "median_ret": 0.0211 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": -0.0003, "median_ret": 0.0085 }, "Q5": { "wr": 0.592, "n": 49, "mean_ret": 0.0056, "median_ret": 0.0146 } } }, "ret_1h": { "ic": 0.0227, "pval": 0.7248, "n": 243, "quintiles": { "Q1": { "wr": 0.551, "n": 49, "mean_ret": 0.0376, "median_ret": 0.0504 }, "Q2": { "wr": 0.521, "n": 48, "mean_ret": 0.0153, "median_ret": 0.046 }, "Q3": { "wr": 0.531, "n": 49, "mean_ret": -0.0011, "median_ret": 0.0149 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": 0.0039, "median_ret": -0.0061 }, "Q5": { "wr": 0.592, "n": 49, "mean_ret": 0.0177, "median_ret": 0.0394 } } }, "ret_2h": { "ic": -0.01, "pval": 0.8773, "n": 240, "quintiles": { "Q1": { "wr": 0.542, "n": 48, "mean_ret": 0.2347, "median_ret": 0.0329 }, "Q2": { "wr": 0.458, "n": 48, "mean_ret": -0.0142, "median_ret": -0.0544 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": 0.014, "median_ret": 0.1006 }, "Q4": { "wr": 0.438, "n": 48, "mean_ret": -0.0404, "median_ret": -0.0413 }, "Q5": { "wr": 0.479, "n": 48, "mean_ret": 0.012, "median_ret": -0.0072 } } }, "ret_eod": { "ic": 0.0637, "pval": 0.3257, "n": 240, "quintiles": { "Q1": { "wr": 0.521, "n": 48, "mean_ret": 0.1742, "median_ret": 0.0567 }, "Q2": { "wr": 0.458, "n": 48, "mean_ret": -0.0793, "median_ret": -0.0441 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": 0.0109, "median_ret": 0.0572 }, "Q4": { "wr": 0.625, "n": 48, "mean_ret": 0.0263, "median_ret": 0.0794 }, "Q5": { "wr": 0.562, "n": 48, "mean_ret": 0.0418, "median_ret": 0.0123 } } } }, "OOS": { "n": 163, "ret_30m": { "ic": 0.1262, "pval": 0.1085, "n": 163, "quintiles": { "Q1": { "wr": 0.364, "n": 33, "mean_ret": -0.0397, "median_ret": -0.0338 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": -0.0433, "median_ret": -0.0009 }, "Q3": { "wr": 0.606, "n": 33, "mean_ret": 0.0439, "median_ret": 0.0401 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0156, "median_ret": 0.0304 }, "Q5": { "wr": 0.576, "n": 33, "mean_ret": 0.0276, "median_ret": 0.016 } } }, "ret_1h": { "ic": 0.042, "pval": 0.5948, "n": 163, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": 0.0018, "median_ret": 0.0141 }, "Q2": { "wr": 0.344, "n": 32, "mean_ret": -0.0899, "median_ret": -0.0478 }, "Q3": { "wr": 0.515, "n": 33, "mean_ret": 0.0178, "median_ret": 0.025 }, "Q4": { "wr": 0.5, "n": 32, "mean_ret": -0.0222, "median_ret": -0.0045 }, "Q5": { "wr": 0.576, "n": 33, "mean_ret": 0.014, "median_ret": 0.0123 } } }, "ret_2h": { "ic": 0.02, "pval": 0.8014, "n": 160, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": 0.0354, "median_ret": 0.0623 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": -0.1156, "median_ret": -0.0033 }, "Q3": { "wr": 0.656, "n": 32, "mean_ret": 0.0302, "median_ret": 0.0501 }, "Q4": { "wr": 0.5, "n": 32, "mean_ret": -0.0066, "median_ret": 0.0075 }, "Q5": { "wr": 0.594, "n": 32, "mean_ret": 0.0179, "median_ret": 0.0128 } } }, "ret_eod": { "ic": 0.0043, "pval": 0.9566, "n": 159, "quintiles": { "Q1": { "wr": 0.625, "n": 32, "mean_ret": 0.0276, "median_ret": 0.0379 }, "Q2": { "wr": 0.406, "n": 32, "mean_ret": -0.1015, "median_ret": -0.0657 }, "Q3": { "wr": 0.645, "n": 31, "mean_ret": 0.0668, "median_ret": 0.0539 }, "Q4": { "wr": 0.469, "n": 32, "mean_ret": -0.0072, "median_ret": -0.0025 }, "Q5": { "wr": 0.594, "n": 32, "mean_ret": -0.0207, "median_ret": 0.0346 } } } }, "ALL": { "n": 406, "ret_30m": { "ic": 0.0245, "pval": 0.6224, "n": 406, "quintiles": { "Q1": { "wr": 0.476, "n": 82, "mean_ret": -0.0117, "median_ret": -0.0027 }, "Q2": { "wr": 0.556, "n": 81, "mean_ret": 0.022, "median_ret": 0.0378 }, "Q3": { "wr": 0.605, "n": 81, "mean_ret": 0.019, "median_ret": 0.0335 }, "Q4": { "wr": 0.58, "n": 81, "mean_ret": 0.0031, "median_ret": 0.0211 }, "Q5": { "wr": 0.58, "n": 81, "mean_ret": 0.0136, "median_ret": 0.0146 } } }, "ret_1h": { "ic": 0.0431, "pval": 0.3869, "n": 406, "quintiles": { "Q1": { "wr": 0.512, "n": 82, "mean_ret": -0.0146, "median_ret": 0.0066 }, "Q2": { "wr": 0.481, "n": 81, "mean_ret": 0.0004, "median_ret": -0.005 }, "Q3": { "wr": 0.519, "n": 81, "mean_ret": 0.0118, "median_ret": 0.0149 }, "Q4": { "wr": 0.519, "n": 81, "mean_ret": 0.0018, "median_ret": 0.0122 }, "Q5": { "wr": 0.58, "n": 81, "mean_ret": 0.0143, "median_ret": 0.022 } } }, "ret_2h": { "ic": 0.0094, "pval": 0.8507, "n": 400, "quintiles": { "Q1": { "wr": 0.512, "n": 80, "mean_ret": -0.01, "median_ret": 0.0135 }, "Q2": { "wr": 0.55, "n": 80, "mean_ret": 0.1047, "median_ret": 0.0332 }, "Q3": { "wr": 0.537, "n": 80, "mean_ret": 0.0081, "median_ret": 0.0279 }, "Q4": { "wr": 0.5, "n": 80, "mean_ret": -0.0096, "median_ret": 0.0008 }, "Q5": { "wr": 0.525, "n": 80, "mean_ret": 0.015, "median_ret": 0.0056 } } }, "ret_eod": { "ic": 0.0479, "pval": 0.3396, "n": 399, "quintiles": { "Q1": { "wr": 0.512, "n": 80, "mean_ret": -0.0023, "median_ret": 0.0294 }, "Q2": { "wr": 0.512, "n": 80, "mean_ret": 0.0214, "median_ret": 0.0079 }, "Q3": { "wr": 0.544, "n": 79, "mean_ret": 0.0348, "median_ret": 0.0325 }, "Q4": { "wr": 0.575, "n": 80, "mean_ret": 0.0194, "median_ret": 0.0561 }, "Q5": { "wr": 0.575, "n": 80, "mean_ret": 0.0166, "median_ret": 0.0215 } } } }, "rvol": { "LOW": { "n": 84, "IS": { "n": 41, "ret_30m": { "ic": -0.1822, "pval": 0.2541, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.1752, "median_ret": 0.065 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.1179, "median_ret": 0.0079 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0189, "median_ret": 0.0361 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": 0.031, "median_ret": 0.0363 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0657, "median_ret": -0.0195 } } }, "ret_1h": { "ic": -0.0077, "pval": 0.9621, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.3112, "median_ret": 0.0948 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": 0.0865, "median_ret": 0.0257 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.0695, "median_ret": -0.206 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0485, "median_ret": 0.0318 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0077, "median_ret": 0.0206 } } }, "ret_2h": { "ic": -0.0479, "pval": 0.7661, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 1.0829, "median_ret": 0.0745 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": -0.0529, "median_ret": 0.0522 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.106, "median_ret": -0.2097 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": -0.01, "median_ret": 0.0866 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": 0.051, "median_ret": 0.0398 } } }, "ret_eod": { "ic": 0.051, "pval": 0.7513, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 1.2021, "median_ret": 0.1147 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": -0.0932, "median_ret": 0.0046 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.1084, "median_ret": 0.1564 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0834, "median_ret": 0.1387 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.135, "median_ret": 0.0955 } } } }, "OOS": { "n": 43, "ret_30m": { "ic": 0.156, "pval": 0.3178, "n": 43, "quintiles": { "Q1": { "wr": 0.222, "n": 9, "mean_ret": -0.0245, "median_ret": -0.034 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0242, "median_ret": 0.023 }, "Q3": { "wr": 0.222, "n": 9, "mean_ret": -0.0114, "median_ret": -0.031 }, "Q4": { "wr": 0.75, "n": 8, "mean_ret": 0.03, "median_ret": 0.0155 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0091, "median_ret": 0.0056 } } }, "ret_1h": { "ic": -0.2102, "pval": 0.1761, "n": 43, "quintiles": { "Q1": { "wr": 0.778, "n": 9, "mean_ret": 0.0339, "median_ret": 0.0247 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.002, "median_ret": -0.0134 }, "Q3": { "wr": 0.444, "n": 9, "mean_ret": 0.0006, "median_ret": -0.0286 }, "Q4": { "wr": 0.625, "n": 8, "mean_ret": 0.0195, "median_ret": 0.0171 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": -0.0381, "median_ret": 0.0021 } } }, "ret_2h": { "ic": -0.0355, "pval": 0.828, "n": 40, "quintiles": { "Q1": { "wr": 0.25, "n": 8, "mean_ret": -0.0531, "median_ret": -0.053 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": -0.0045, "median_ret": 0.0278 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.015, "median_ret": 0.0075 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": 0.014, "median_ret": 0.0033 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.1101, "median_ret": -0.0368 } } }, "ret_eod": { "ic": -0.0602, "pval": 0.712, "n": 40, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": -0.1006, "median_ret": 0.0126 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": -0.0206, "median_ret": 0.1104 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0435, "median_ret": 0.0427 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.1477, "median_ret": -0.1049 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0707, "median_ret": -0.0662 } } } }, "ALL": { "n": 84, "ret_30m": { "ic": 0.0052, "pval": 0.9624, "n": 84, "quintiles": { "Q1": { "wr": 0.412, "n": 17, "mean_ret": -0.004, "median_ret": -0.0022 }, "Q2": { "wr": 0.588, "n": 17, "mean_ret": 0.1507, "median_ret": 0.0431 }, "Q3": { "wr": 0.438, "n": 16, "mean_ret": -0.0016, "median_ret": -0.019 }, "Q4": { "wr": 0.529, "n": 17, "mean_ret": 0.0026, "median_ret": 0.001 }, "Q5": { "wr": 0.529, "n": 17, "mean_ret": 0.0044, "median_ret": 0.0056 } } }, "ret_1h": { "ic": -0.0645, "pval": 0.5598, "n": 84, "quintiles": { "Q1": { "wr": 0.588, "n": 17, "mean_ret": 0.0081, "median_ret": 0.0141 }, "Q2": { "wr": 0.529, "n": 17, "mean_ret": 0.2143, "median_ret": 0.0827 }, "Q3": { "wr": 0.312, "n": 16, "mean_ret": -0.0472, "median_ret": -0.0766 }, "Q4": { "wr": 0.588, "n": 17, "mean_ret": 0.0366, "median_ret": 0.0122 }, "Q5": { "wr": 0.588, "n": 17, "mean_ret": -0.0163, "median_ret": 0.0056 } } }, "ret_2h": { "ic": -0.0158, "pval": 0.8889, "n": 81, "quintiles": { "Q1": { "wr": 0.471, "n": 17, "mean_ret": -0.0626, "median_ret": -0.0076 }, "Q2": { "wr": 0.75, "n": 16, "mean_ret": 0.6648, "median_ret": 0.1653 }, "Q3": { "wr": 0.438, "n": 16, "mean_ret": -0.0866, "median_ret": -0.0415 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": 0.0167, "median_ret": 0.0475 }, "Q5": { "wr": 0.438, "n": 16, "mean_ret": -0.0476, "median_ret": -0.0094 } } }, "ret_eod": { "ic": 0.0151, "pval": 0.8935, "n": 81, "quintiles": { "Q1": { "wr": 0.529, "n": 17, "mean_ret": -0.043, "median_ret": 0.0346 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.6583, "median_ret": 0.0206 }, "Q3": { "wr": 0.625, "n": 16, "mean_ret": 0.0251, "median_ret": 0.0937 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": 0.0676, "median_ret": 0.0374 }, "Q5": { "wr": 0.5, "n": 16, "mean_ret": -0.0604, "median_ret": -0.0129 } } } } }, "MED": { "n": 91, "IS": { "n": 33, "ret_30m": { "ic": 0.0936, "pval": 0.6045, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.1211, "median_ret": -0.0845 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.0865, "median_ret": 0.083 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.0192, "median_ret": 0.0198 }, "Q4": { "wr": 0.833, "n": 6, "mean_ret": -0.0665, "median_ret": 0.0317 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.0321, "median_ret": 0.0551 } } }, "ret_1h": { "ic": 0.0605, "pval": 0.7381, "n": 33, "quintiles": { "Q1": { "wr": 0.429, "n": 7, "mean_ret": -0.2478, "median_ret": -0.0341 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.2027, "median_ret": 0.1828 }, "Q3": { "wr": 0.571, "n": 7, "mean_ret": -0.0161, "median_ret": 0.1188 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": 0.0242, "median_ret": 0.1276 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.003, "median_ret": 0.0403 } } }, "ret_2h": { "ic": -0.0124, "pval": 0.9455, "n": 33, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": -0.2269, "median_ret": 0.1411 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": 0.2221, "median_ret": 0.0189 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.1696, "median_ret": -0.1584 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": -0.1148, "median_ret": 0.1163 }, "Q5": { "wr": 0.429, "n": 7, "mean_ret": -0.0542, "median_ret": -0.0576 } } }, "ret_eod": { "ic": 0.0625, "pval": 0.7297, "n": 33, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": -0.3053, "median_ret": 0.0643 }, "Q2": { "wr": 0.667, "n": 6, "mean_ret": 0.1774, "median_ret": 0.1554 }, "Q3": { "wr": 0.143, "n": 7, "mean_ret": -0.2586, "median_ret": -0.2626 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": -0.015, "median_ret": 0.2751 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0718, "median_ret": 0.2445 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": -0.1731, "pval": 0.1938, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0494, "median_ret": 0.0776 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0048, "median_ret": 0.0167 }, "Q3": { "wr": 0.667, "n": 12, "mean_ret": 0.0454, "median_ret": 0.0331 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": -0.0053, "median_ret": 0.0326 }, "Q5": { "wr": 0.5, "n": 12, "mean_ret": -0.0208, "median_ret": -0.0103 } } }, "ret_1h": { "ic": -0.1036, "pval": 0.4391, "n": 58, "quintiles": { "Q1": { "wr": 0.667, "n": 12, "mean_ret": 0.0904, "median_ret": 0.0948 }, "Q2": { "wr": 0.364, "n": 11, "mean_ret": -0.0873, "median_ret": -0.1295 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.0284, "median_ret": 0.06 }, "Q4": { "wr": 0.364, "n": 11, "mean_ret": -0.0434, "median_ret": -0.0392 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.0156, "median_ret": 0.0404 } } }, "ret_2h": { "ic": -0.04, "pval": 0.7655, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0974, "median_ret": 0.0546 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0258, "median_ret": 0.0088 }, "Q3": { "wr": 0.75, "n": 12, "mean_ret": 0.0174, "median_ret": 0.0951 }, "Q4": { "wr": 0.455, "n": 11, "mean_ret": -0.0097, "median_ret": -0.0175 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.0643, "median_ret": 0.0638 } } }, "ret_eod": { "ic": -0.0133, "pval": 0.9213, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0499, "median_ret": 0.0378 }, "Q2": { "wr": 0.455, "n": 11, "mean_ret": -0.0024, "median_ret": -0.0066 }, "Q3": { "wr": 0.667, "n": 12, "mean_ret": 0.0163, "median_ret": 0.0447 }, "Q4": { "wr": 0.364, "n": 11, "mean_ret": 0.0066, "median_ret": -0.0255 }, "Q5": { "wr": 0.75, "n": 12, "mean_ret": 0.0518, "median_ret": 0.0887 } } } }, "ALL": { "n": 91, "ret_30m": { "ic": -0.0817, "pval": 0.4412, "n": 91, "quintiles": { "Q1": { "wr": 0.526, "n": 19, "mean_ret": 0.0013, "median_ret": 0.0167 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": 0.0132, "median_ret": 0.0507 }, "Q3": { "wr": 0.722, "n": 18, "mean_ret": 0.03, "median_ret": 0.0288 }, "Q4": { "wr": 0.667, "n": 18, "mean_ret": -0.0142, "median_ret": 0.0414 }, "Q5": { "wr": 0.5, "n": 18, "mean_ret": -0.0167, "median_ret": -0.0078 } } }, "ret_1h": { "ic": -0.059, "pval": 0.5784, "n": 91, "quintiles": { "Q1": { "wr": 0.474, "n": 19, "mean_ret": 0.0001, "median_ret": -0.0073 }, "Q2": { "wr": 0.611, "n": 18, "mean_ret": -0.0172, "median_ret": 0.0753 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": 0.0481, "median_ret": 0.0934 }, "Q4": { "wr": 0.444, "n": 18, "mean_ret": -0.053, "median_ret": -0.0302 }, "Q5": { "wr": 0.556, "n": 18, "mean_ret": 0.0058, "median_ret": 0.0267 } } }, "ret_2h": { "ic": -0.0469, "pval": 0.659, "n": 91, "quintiles": { "Q1": { "wr": 0.526, "n": 19, "mean_ret": 0.0516, "median_ret": 0.0346 }, "Q2": { "wr": 0.667, "n": 18, "mean_ret": 0.0187, "median_ret": 0.0611 }, "Q3": { "wr": 0.667, "n": 18, "mean_ret": -0.0061, "median_ret": 0.0624 }, "Q4": { "wr": 0.389, "n": 18, "mean_ret": -0.1327, "median_ret": -0.0359 }, "Q5": { "wr": 0.778, "n": 18, "mean_ret": 0.0553, "median_ret": 0.0928 } } }, "ret_eod": { "ic": 0.0267, "pval": 0.8015, "n": 91, "quintiles": { "Q1": { "wr": 0.526, "n": 19, "mean_ret": 0.1052, "median_ret": 0.026 }, "Q2": { "wr": 0.611, "n": 18, "mean_ret": -0.128, "median_ret": 0.1247 }, "Q3": { "wr": 0.444, "n": 18, "mean_ret": -0.0166, "median_ret": -0.0543 }, "Q4": { "wr": 0.444, "n": 18, "mean_ret": -0.082, "median_ret": -0.0214 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.0596, "median_ret": 0.0887 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": 0.0753, "pval": 0.7456, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.187, "pval": 0.417, "n": 21, "quintiles": {} }, "ret_2h": { "ic": -0.1299, "pval": 0.5747, "n": 21, "quintiles": {} }, "ret_eod": { "ic": -0.1532, "pval": 0.5072, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": 0.5027, "pval": 0.0005, "n": 44, "quintiles": { "Q1": { "wr": 0.222, "n": 9, "mean_ret": -0.1576, "median_ret": -0.0824 }, "Q2": { "wr": 0.444, "n": 9, "mean_ret": -0.0549, "median_ret": -0.0032 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.0981, "median_ret": -0.0589 }, "Q4": { "wr": 0.667, "n": 9, "mean_ret": 0.0699, "median_ret": 0.0926 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.1122, "median_ret": 0.1202 } } }, "ret_1h": { "ic": 0.3277, "pval": 0.0299, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.1095, "median_ret": -0.1312 }, "Q2": { "wr": 0.333, "n": 9, "mean_ret": -0.1283, "median_ret": -0.1857 }, "Q3": { "wr": 0.125, "n": 8, "mean_ret": -0.2097, "median_ret": -0.2674 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": 0.0067, "median_ret": 0.0922 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.1346, "median_ret": 0.2561 } } }, "ret_2h": { "ic": 0.2118, "pval": 0.1674, "n": 44, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.0353, "median_ret": 0.0676 }, "Q2": { "wr": 0.556, "n": 9, "mean_ret": -0.1649, "median_ret": 0.0138 }, "Q3": { "wr": 0.25, "n": 8, "mean_ret": -0.3155, "median_ret": -0.3392 }, "Q4": { "wr": 0.667, "n": 9, "mean_ret": -0.0397, "median_ret": 0.0221 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.2474, "median_ret": 0.283 } } }, "ret_eod": { "ic": 0.0812, "pval": 0.6045, "n": 43, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": -0.073, "median_ret": 0.0328 }, "Q2": { "wr": 0.5, "n": 8, "mean_ret": -0.0361, "median_ret": -0.0376 }, "Q3": { "wr": 0.444, "n": 9, "mean_ret": -0.0553, "median_ret": -0.0044 }, "Q4": { "wr": 0.25, "n": 8, "mean_ret": -0.1373, "median_ret": -0.0979 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.1837, "median_ret": 0.1274 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": 0.3937, "pval": 0.0012, "n": 65, "quintiles": { "Q1": { "wr": 0.308, "n": 13, "mean_ret": -0.1078, "median_ret": -0.046 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.0137, "median_ret": -0.0032 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": -0.0635, "median_ret": -0.026 }, "Q4": { "wr": 0.769, "n": 13, "mean_ret": 0.1199, "median_ret": 0.1312 }, "Q5": { "wr": 0.846, "n": 13, "mean_ret": 0.0914, "median_ret": 0.0926 } } }, "ret_1h": { "ic": 0.2941, "pval": 0.0174, "n": 65, "quintiles": { "Q1": { "wr": 0.308, "n": 13, "mean_ret": -0.1048, "median_ret": -0.1312 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.1563, "median_ret": -0.1857 }, "Q3": { "wr": 0.154, "n": 13, "mean_ret": -0.1639, "median_ret": -0.1713 }, "Q4": { "wr": 0.538, "n": 13, "mean_ret": 0.1198, "median_ret": 0.0922 }, "Q5": { "wr": 0.615, "n": 13, "mean_ret": 0.0767, "median_ret": 0.2069 } } }, "ret_2h": { "ic": 0.1083, "pval": 0.3905, "n": 65, "quintiles": { "Q1": { "wr": 0.692, "n": 13, "mean_ret": 0.0126, "median_ret": 0.0846 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.1646, "median_ret": -0.1359 }, "Q3": { "wr": 0.462, "n": 13, "mean_ret": 0.0507, "median_ret": -0.057 }, "Q4": { "wr": 0.615, "n": 13, "mean_ret": 0.1075, "median_ret": 0.0221 }, "Q5": { "wr": 0.615, "n": 13, "mean_ret": 0.0788, "median_ret": 0.1242 } } }, "ret_eod": { "ic": 0.0075, "pval": 0.9533, "n": 64, "quintiles": { "Q1": { "wr": 0.615, "n": 13, "mean_ret": 0.0114, "median_ret": 0.0343 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.1305, "median_ret": -0.1539 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0677, "median_ret": 0.133 }, "Q4": { "wr": 0.385, "n": 13, "mean_ret": 0.0123, "median_ret": -0.0958 }, "Q5": { "wr": 0.462, "n": 13, "mean_ret": 0.0265, "median_ret": -0.0051 } } } } } } }, "12:00 vs 9:30 (2.5hr)": { "label": "12:00 vs 9:30 (2.5hr)", "check_time": "12:00", "anchor_time": "09:30", "anchor_min": 150, "n_total": 402, "IS": { "n": 242, "ret_30m": { "ic": -0.0953, "pval": 0.1394, "n": 242, "quintiles": { "Q1": { "wr": 0.612, "n": 49, "mean_ret": 0.0396, "median_ret": 0.0361 }, "Q2": { "wr": 0.625, "n": 48, "mean_ret": 0.0698, "median_ret": 0.0568 }, "Q3": { "wr": 0.458, "n": 48, "mean_ret": -0.0367, "median_ret": -0.0065 }, "Q4": { "wr": 0.604, "n": 48, "mean_ret": -0.0063, "median_ret": 0.009 }, "Q5": { "wr": 0.592, "n": 49, "mean_ret": 0.0047, "median_ret": 0.0146 } } }, "ret_1h": { "ic": -0.042, "pval": 0.5157, "n": 242, "quintiles": { "Q1": { "wr": 0.571, "n": 49, "mean_ret": 0.031, "median_ret": 0.0564 }, "Q2": { "wr": 0.521, "n": 48, "mean_ret": 0.0878, "median_ret": 0.0153 }, "Q3": { "wr": 0.562, "n": 48, "mean_ret": -0.047, "median_ret": 0.0163 }, "Q4": { "wr": 0.438, "n": 48, "mean_ret": -0.0247, "median_ret": -0.0476 }, "Q5": { "wr": 0.592, "n": 49, "mean_ret": 0.0248, "median_ret": 0.0394 } } }, "ret_2h": { "ic": -0.0602, "pval": 0.3538, "n": 239, "quintiles": { "Q1": { "wr": 0.562, "n": 48, "mean_ret": 0.094, "median_ret": 0.0473 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": 0.262, "median_ret": 0.1207 }, "Q3": { "wr": 0.426, "n": 47, "mean_ret": -0.1144, "median_ret": -0.0763 }, "Q4": { "wr": 0.438, "n": 48, "mean_ret": -0.0667, "median_ret": -0.051 }, "Q5": { "wr": 0.521, "n": 48, "mean_ret": 0.0299, "median_ret": 0.0056 } } }, "ret_eod": { "ic": -0.0132, "pval": 0.8386, "n": 239, "quintiles": { "Q1": { "wr": 0.521, "n": 48, "mean_ret": -0.0132, "median_ret": 0.0353 }, "Q2": { "wr": 0.646, "n": 48, "mean_ret": 0.2788, "median_ret": 0.1867 }, "Q3": { "wr": 0.383, "n": 47, "mean_ret": -0.1374, "median_ret": -0.1389 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": -0.0378, "median_ret": -0.0021 }, "Q5": { "wr": 0.667, "n": 48, "mean_ret": 0.0814, "median_ret": 0.0923 } } } }, "OOS": { "n": 160, "ret_30m": { "ic": 0.0645, "pval": 0.4178, "n": 160, "quintiles": { "Q1": { "wr": 0.406, "n": 32, "mean_ret": -0.0287, "median_ret": -0.0198 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": -0.0294, "median_ret": 0.0103 }, "Q3": { "wr": 0.594, "n": 32, "mean_ret": 0.0329, "median_ret": 0.0391 }, "Q4": { "wr": 0.656, "n": 32, "mean_ret": 0.0261, "median_ret": 0.0414 }, "Q5": { "wr": 0.469, "n": 32, "mean_ret": 0.0076, "median_ret": -0.0075 } } }, "ret_1h": { "ic": 0.0427, "pval": 0.5916, "n": 160, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0023, "median_ret": 0.0083 }, "Q2": { "wr": 0.375, "n": 32, "mean_ret": -0.0718, "median_ret": -0.0465 }, "Q3": { "wr": 0.469, "n": 32, "mean_ret": -0.0253, "median_ret": -0.0032 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0176, "median_ret": 0.0405 }, "Q5": { "wr": 0.562, "n": 32, "mean_ret": 0.0031, "median_ret": 0.009 } } }, "ret_2h": { "ic": 0.0635, "pval": 0.4262, "n": 159, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0084, "median_ret": 0.0458 }, "Q2": { "wr": 0.438, "n": 32, "mean_ret": -0.0699, "median_ret": -0.0112 }, "Q3": { "wr": 0.645, "n": 31, "mean_ret": -0.0282, "median_ret": 0.0221 }, "Q4": { "wr": 0.625, "n": 32, "mean_ret": 0.039, "median_ret": 0.1091 }, "Q5": { "wr": 0.594, "n": 32, "mean_ret": 0.0313, "median_ret": 0.0128 } } }, "ret_eod": { "ic": 0.0452, "pval": 0.5729, "n": 158, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0452, "median_ret": 0.0294 }, "Q2": { "wr": 0.516, "n": 31, "mean_ret": -0.0018, "median_ret": 0.0343 }, "Q3": { "wr": 0.469, "n": 32, "mean_ret": -0.0459, "median_ret": -0.0159 }, "Q4": { "wr": 0.677, "n": 31, "mean_ret": 0.0368, "median_ret": 0.0727 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": 0.0133, "median_ret": 0.0264 } } } }, "ALL": { "n": 402, "ret_30m": { "ic": -0.0174, "pval": 0.7277, "n": 402, "quintiles": { "Q1": { "wr": 0.481, "n": 81, "mean_ret": -0.0263, "median_ret": -0.0022 }, "Q2": { "wr": 0.637, "n": 80, "mean_ret": 0.0604, "median_ret": 0.0416 }, "Q3": { "wr": 0.525, "n": 80, "mean_ret": 0.0048, "median_ret": 0.0138 }, "Q4": { "wr": 0.625, "n": 80, "mean_ret": 0.0021, "median_ret": 0.0261 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": 0.0059, "median_ret": 0.011 } } }, "ret_1h": { "ic": 0.0158, "pval": 0.7516, "n": 402, "quintiles": { "Q1": { "wr": 0.444, "n": 81, "mean_ret": -0.0368, "median_ret": -0.0116 }, "Q2": { "wr": 0.512, "n": 80, "mean_ret": 0.0444, "median_ret": 0.0098 }, "Q3": { "wr": 0.575, "n": 80, "mean_ret": -0.0023, "median_ret": 0.0281 }, "Q4": { "wr": 0.5, "n": 80, "mean_ret": -0.0089, "median_ret": 0.0086 }, "Q5": { "wr": 0.58, "n": 81, "mean_ret": 0.0162, "median_ret": 0.022 } } }, "ret_2h": { "ic": 0.0053, "pval": 0.9156, "n": 398, "quintiles": { "Q1": { "wr": 0.512, "n": 80, "mean_ret": -0.0352, "median_ret": 0.0106 }, "Q2": { "wr": 0.544, "n": 79, "mean_ret": 0.189, "median_ret": 0.0168 }, "Q3": { "wr": 0.525, "n": 80, "mean_ret": -0.0542, "median_ret": 0.0033 }, "Q4": { "wr": 0.506, "n": 79, "mean_ret": -0.0195, "median_ret": 0.0075 }, "Q5": { "wr": 0.55, "n": 80, "mean_ret": 0.0321, "median_ret": 0.012 } } }, "ret_eod": { "ic": 0.0243, "pval": 0.6292, "n": 397, "quintiles": { "Q1": { "wr": 0.512, "n": 80, "mean_ret": -0.0318, "median_ret": 0.0234 }, "Q2": { "wr": 0.544, "n": 79, "mean_ret": 0.1127, "median_ret": 0.0539 }, "Q3": { "wr": 0.506, "n": 79, "mean_ret": -0.0304, "median_ret": 0.0012 }, "Q4": { "wr": 0.557, "n": 79, "mean_ret": -0.0126, "median_ret": 0.0502 }, "Q5": { "wr": 0.6, "n": 80, "mean_ret": 0.0501, "median_ret": 0.0346 } } } }, "rvol": { "LOW": { "n": 81, "IS": { "n": 41, "ret_30m": { "ic": -0.1718, "pval": 0.2829, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.1081, "median_ret": 0.0431 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.2268, "median_ret": 0.0487 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0204, "median_ret": 0.0257 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.0251, "median_ret": 0.0005 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0443, "median_ret": -0.0007 } } }, "ret_1h": { "ic": -0.0873, "pval": 0.5874, "n": 41, "quintiles": { "Q1": { "wr": 0.556, "n": 9, "mean_ret": 0.1496, "median_ret": 0.0948 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": 0.2875, "median_ret": -0.0275 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": -0.0351, "median_ret": 0.018 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0239, "median_ret": -0.0369 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.011, "median_ret": 0.0921 } } }, "ret_2h": { "ic": -0.1463, "pval": 0.3612, "n": 41, "quintiles": { "Q1": { "wr": 0.778, "n": 9, "mean_ret": 0.2653, "median_ret": 0.1018 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.9573, "median_ret": 0.11 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": -0.1342, "median_ret": -0.002 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0828, "median_ret": -0.0488 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0618, "median_ret": 0.0829 } } }, "ret_eod": { "ic": -0.035, "pval": 0.8279, "n": 41, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": 0.2412, "median_ret": 0.1147 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 1.1816, "median_ret": 0.1164 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": 0.0914, "median_ret": 0.0367 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": -0.1003, "median_ret": 0.0157 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.1419, "median_ret": 0.0955 } } } }, "OOS": { "n": 40, "ret_30m": { "ic": 0.0859, "pval": 0.5981, "n": 40, "quintiles": { "Q1": { "wr": 0.25, "n": 8, "mean_ret": -0.0174, "median_ret": -0.0276 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.038, "median_ret": 0.0364 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.036, "median_ret": -0.0186 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": 0.0377, "median_ret": 0.0022 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": 0.0151, "median_ret": 0.0108 } } }, "ret_1h": { "ic": -0.175, "pval": 0.28, "n": 40, "quintiles": { "Q1": { "wr": 0.625, "n": 8, "mean_ret": 0.0008, "median_ret": 0.0083 }, "Q2": { "wr": 0.625, "n": 8, "mean_ret": 0.0623, "median_ret": 0.0291 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": -0.0166, "median_ret": 0.0186 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.0274, "median_ret": -0.0602 }, "Q5": { "wr": 0.625, "n": 8, "mean_ret": -0.0102, "median_ret": 0.0039 } } }, "ret_2h": { "ic": -0.0075, "pval": 0.9639, "n": 39, "quintiles": { "Q1": { "wr": 0.25, "n": 8, "mean_ret": -0.0879, "median_ret": -0.053 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.0551, "median_ret": 0.0278 }, "Q3": { "wr": 0.714, "n": 7, "mean_ret": 0.0115, "median_ret": 0.0433 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.052, "median_ret": -0.0137 }, "Q5": { "wr": 0.375, "n": 8, "mean_ret": -0.0508, "median_ret": -0.0094 } } }, "ret_eod": { "ic": -0.0091, "pval": 0.9561, "n": 39, "quintiles": { "Q1": { "wr": 0.5, "n": 8, "mean_ret": -0.1082, "median_ret": 0.0126 }, "Q2": { "wr": 0.75, "n": 8, "mean_ret": 0.0802, "median_ret": 0.131 }, "Q3": { "wr": 0.429, "n": 7, "mean_ret": -0.1147, "median_ret": 0.0 }, "Q4": { "wr": 0.375, "n": 8, "mean_ret": -0.1306, "median_ret": -0.1032 }, "Q5": { "wr": 0.5, "n": 8, "mean_ret": -0.0645, "median_ret": -0.0662 } } } }, "ALL": { "n": 81, "ret_30m": { "ic": -0.0377, "pval": 0.738, "n": 81, "quintiles": { "Q1": { "wr": 0.412, "n": 17, "mean_ret": -0.0027, "median_ret": -0.0022 }, "Q2": { "wr": 0.688, "n": 16, "mean_ret": 0.1704, "median_ret": 0.054 }, "Q3": { "wr": 0.438, "n": 16, "mean_ret": 0.0283, "median_ret": -0.0098 }, "Q4": { "wr": 0.5, "n": 16, "mean_ret": -0.0328, "median_ret": -0.0019 }, "Q5": { "wr": 0.562, "n": 16, "mean_ret": 0.0053, "median_ret": 0.0083 } } }, "ret_1h": { "ic": -0.1345, "pval": 0.2311, "n": 81, "quintiles": { "Q1": { "wr": 0.588, "n": 17, "mean_ret": 0.027, "median_ret": 0.0141 }, "Q2": { "wr": 0.562, "n": 16, "mean_ret": 0.2208, "median_ret": 0.0396 }, "Q3": { "wr": 0.5, "n": 16, "mean_ret": -0.0031, "median_ret": -0.0109 }, "Q4": { "wr": 0.375, "n": 16, "mean_ret": -0.041, "median_ret": -0.0689 }, "Q5": { "wr": 0.625, "n": 16, "mean_ret": 0.003, "median_ret": 0.009 } } }, "ret_2h": { "ic": -0.0552, "pval": 0.6267, "n": 80, "quintiles": { "Q1": { "wr": 0.438, "n": 16, "mean_ret": -0.0412, "median_ret": -0.0233 }, "Q2": { "wr": 0.75, "n": 16, "mean_ret": 0.651, "median_ret": 0.1076 }, "Q3": { "wr": 0.562, "n": 16, "mean_ret": -0.0961, "median_ret": 0.0075 }, "Q4": { "wr": 0.5, "n": 16, "mean_ret": -0.004, "median_ret": 0.0081 }, "Q5": { "wr": 0.438, "n": 16, "mean_ret": -0.0222, "median_ret": -0.0032 } } }, "ret_eod": { "ic": -0.0204, "pval": 0.8572, "n": 80, "quintiles": { "Q1": { "wr": 0.562, "n": 16, "mean_ret": -0.0396, "median_ret": 0.0379 }, "Q2": { "wr": 0.625, "n": 16, "mean_ret": 0.6781, "median_ret": 0.0616 }, "Q3": { "wr": 0.438, "n": 16, "mean_ret": -0.0198, "median_ret": -0.0006 }, "Q4": { "wr": 0.562, "n": 16, "mean_ret": 0.0096, "median_ret": 0.0457 }, "Q5": { "wr": 0.562, "n": 16, "mean_ret": 0.0029, "median_ret": 0.0415 } } } } }, "MED": { "n": 90, "IS": { "n": 32, "ret_30m": { "ic": -0.0161, "pval": 0.9302, "n": 32, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0829, "median_ret": 0.0436 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.1493, "median_ret": -0.0147 }, "Q3": { "wr": 0.5, "n": 6, "mean_ret": 0.0089, "median_ret": 0.0173 }, "Q4": { "wr": 0.667, "n": 6, "mean_ret": -0.1105, "median_ret": 0.0144 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.029, "median_ret": 0.0551 } } }, "ret_1h": { "ic": 0.0363, "pval": 0.8437, "n": 32, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.12, "median_ret": 0.0817 }, "Q2": { "wr": 0.167, "n": 6, "mean_ret": -0.2281, "median_ret": -0.1198 }, "Q3": { "wr": 0.833, "n": 6, "mean_ret": 0.0913, "median_ret": 0.1372 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": -0.1312, "median_ret": 0.0235 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": 0.0331, "median_ret": 0.0403 } } }, "ret_2h": { "ic": -0.0543, "pval": 0.7681, "n": 32, "quintiles": { "Q1": { "wr": 0.714, "n": 7, "mean_ret": 0.0345, "median_ret": 0.1411 }, "Q2": { "wr": 0.5, "n": 6, "mean_ret": -0.0213, "median_ret": -0.007 }, "Q3": { "wr": 0.5, "n": 6, "mean_ret": -0.1569, "median_ret": 0.0176 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": -0.2464, "median_ret": -0.0564 }, "Q5": { "wr": 0.571, "n": 7, "mean_ret": -0.021, "median_ret": 0.1126 } } }, "ret_eod": { "ic": 0.059, "pval": 0.7483, "n": 32, "quintiles": { "Q1": { "wr": 0.571, "n": 7, "mean_ret": 0.1653, "median_ret": 0.0643 }, "Q2": { "wr": 0.333, "n": 6, "mean_ret": -0.4449, "median_ret": -0.1886 }, "Q3": { "wr": 0.5, "n": 6, "mean_ret": -0.0634, "median_ret": -0.043 }, "Q4": { "wr": 0.5, "n": 6, "mean_ret": -0.2287, "median_ret": 0.108 }, "Q5": { "wr": 0.714, "n": 7, "mean_ret": 0.1186, "median_ret": 0.2473 } } } }, "OOS": { "n": 58, "ret_30m": { "ic": -0.1497, "pval": 0.262, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0241, "median_ret": 0.0444 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0198, "median_ret": 0.0168 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.0307, "median_ret": 0.014 }, "Q4": { "wr": 0.727, "n": 11, "mean_ret": 0.026, "median_ret": 0.0391 }, "Q5": { "wr": 0.417, "n": 12, "mean_ret": -0.0232, "median_ret": -0.0354 } } }, "ret_1h": { "ic": -0.0267, "pval": 0.8421, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0527, "median_ret": 0.0396 }, "Q2": { "wr": 0.364, "n": 11, "mean_ret": -0.0512, "median_ret": -0.0524 }, "Q3": { "wr": 0.5, "n": 12, "mean_ret": -0.048, "median_ret": 0.0259 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": 0.0425, "median_ret": 0.0427 }, "Q5": { "wr": 0.583, "n": 12, "mean_ret": 0.0179, "median_ret": 0.0267 } } }, "ret_2h": { "ic": 0.0369, "pval": 0.7831, "n": 58, "quintiles": { "Q1": { "wr": 0.583, "n": 12, "mean_ret": 0.0648, "median_ret": 0.0546 }, "Q2": { "wr": 0.545, "n": 11, "mean_ret": 0.0525, "median_ret": 0.0088 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0538, "median_ret": 0.0274 }, "Q4": { "wr": 0.636, "n": 11, "mean_ret": 0.0549, "median_ret": 0.0461 }, "Q5": { "wr": 0.833, "n": 12, "mean_ret": 0.0845, "median_ret": 0.095 } } }, "ret_eod": { "ic": 0.0333, "pval": 0.8039, "n": 58, "quintiles": { "Q1": { "wr": 0.5, "n": 12, "mean_ret": 0.0158, "median_ret": -0.0028 }, "Q2": { "wr": 0.455, "n": 11, "mean_ret": 0.0079, "median_ret": -0.0066 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": -0.0308, "median_ret": 0.009 }, "Q4": { "wr": 0.545, "n": 11, "mean_ret": 0.0659, "median_ret": 0.0414 }, "Q5": { "wr": 0.75, "n": 12, "mean_ret": 0.0692, "median_ret": 0.0748 } } } }, "ALL": { "n": 90, "ret_30m": { "ic": -0.1058, "pval": 0.3211, "n": 90, "quintiles": { "Q1": { "wr": 0.611, "n": 18, "mean_ret": 0.0199, "median_ret": 0.0445 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": -0.0167, "median_ret": -0.0022 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": 0.0308, "median_ret": 0.0318 }, "Q4": { "wr": 0.722, "n": 18, "mean_ret": -0.0142, "median_ret": 0.0365 }, "Q5": { "wr": 0.5, "n": 18, "mean_ret": -0.011, "median_ret": -0.0078 } } }, "ret_1h": { "ic": -0.0277, "pval": 0.7952, "n": 90, "quintiles": { "Q1": { "wr": 0.556, "n": 18, "mean_ret": 0.0465, "median_ret": 0.0396 }, "Q2": { "wr": 0.389, "n": 18, "mean_ret": -0.0705, "median_ret": -0.0474 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": -0.0031, "median_ret": 0.0685 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": -0.0037, "median_ret": 0.0484 }, "Q5": { "wr": 0.556, "n": 18, "mean_ret": 0.0107, "median_ret": 0.0267 } } }, "ret_2h": { "ic": -0.0081, "pval": 0.9399, "n": 90, "quintiles": { "Q1": { "wr": 0.611, "n": 18, "mean_ret": 0.0964, "median_ret": 0.0801 }, "Q2": { "wr": 0.556, "n": 18, "mean_ret": -0.0093, "median_ret": 0.011 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": -0.0938, "median_ret": 0.0242 }, "Q4": { "wr": 0.611, "n": 18, "mean_ret": -0.0548, "median_ret": 0.062 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.0543, "median_ret": 0.0928 } } }, "ret_eod": { "ic": 0.0501, "pval": 0.6392, "n": 90, "quintiles": { "Q1": { "wr": 0.611, "n": 18, "mean_ret": 0.1557, "median_ret": 0.0963 }, "Q2": { "wr": 0.333, "n": 18, "mean_ret": -0.2099, "median_ret": -0.1243 }, "Q3": { "wr": 0.556, "n": 18, "mean_ret": -0.0561, "median_ret": 0.009 }, "Q4": { "wr": 0.556, "n": 18, "mean_ret": -0.0274, "median_ret": 0.0723 }, "Q5": { "wr": 0.722, "n": 18, "mean_ret": 0.0837, "median_ret": 0.0887 } } } } }, "HIGH": { "n": 65, "IS": { "n": 21, "ret_30m": { "ic": -0.1182, "pval": 0.6099, "n": 21, "quintiles": {} }, "ret_1h": { "ic": 0.0753, "pval": 0.7456, "n": 21, "quintiles": {} }, "ret_2h": { "ic": -0.0987, "pval": 0.6704, "n": 21, "quintiles": {} }, "ret_eod": { "ic": -0.1208, "pval": 0.602, "n": 21, "quintiles": {} } }, "OOS": { "n": 44, "ret_30m": { "ic": 0.4065, "pval": 0.0062, "n": 44, "quintiles": { "Q1": { "wr": 0.333, "n": 9, "mean_ret": -0.1122, "median_ret": -0.0508 }, "Q2": { "wr": 0.222, "n": 9, "mean_ret": -0.1626, "median_ret": -0.0557 }, "Q3": { "wr": 0.625, "n": 8, "mean_ret": 0.0232, "median_ret": 0.0323 }, "Q4": { "wr": 0.667, "n": 9, "mean_ret": 0.0474, "median_ret": 0.099 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.0892, "median_ret": 0.1202 } } }, "ret_1h": { "ic": 0.2954, "pval": 0.0515, "n": 44, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.0713, "median_ret": -0.0273 }, "Q2": { "wr": 0.111, "n": 9, "mean_ret": -0.2491, "median_ret": -0.1857 }, "Q3": { "wr": 0.375, "n": 8, "mean_ret": -0.0732, "median_ret": -0.0871 }, "Q4": { "wr": 0.556, "n": 9, "mean_ret": 0.0128, "median_ret": 0.0791 }, "Q5": { "wr": 0.667, "n": 9, "mean_ret": 0.0898, "median_ret": 0.2069 } } }, "ret_2h": { "ic": 0.2369, "pval": 0.1215, "n": 44, "quintiles": { "Q1": { "wr": 0.667, "n": 9, "mean_ret": -0.0141, "median_ret": 0.1008 }, "Q2": { "wr": 0.222, "n": 9, "mean_ret": -0.361, "median_ret": -0.3825 }, "Q3": { "wr": 0.5, "n": 8, "mean_ret": -0.0889, "median_ret": -0.047 }, "Q4": { "wr": 0.667, "n": 9, "mean_ret": -0.0085, "median_ret": 0.0862 }, "Q5": { "wr": 0.778, "n": 9, "mean_ret": 0.1897, "median_ret": 0.2255 } } }, "ret_eod": { "ic": 0.1256, "pval": 0.4221, "n": 43, "quintiles": { "Q1": { "wr": 0.444, "n": 9, "mean_ret": -0.1316, "median_ret": -0.0044 }, "Q2": { "wr": 0.375, "n": 8, "mean_ret": -0.0226, "median_ret": -0.1179 }, "Q3": { "wr": 0.556, "n": 9, "mean_ret": -0.119, "median_ret": 0.0421 }, "Q4": { "wr": 0.5, "n": 8, "mean_ret": 0.1028, "median_ret": 0.0756 }, "Q5": { "wr": 0.556, "n": 9, "mean_ret": 0.0805, "median_ret": 0.0075 } } } }, "ALL": { "n": 65, "ret_30m": { "ic": 0.2685, "pval": 0.0306, "n": 65, "quintiles": { "Q1": { "wr": 0.385, "n": 13, "mean_ret": -0.0667, "median_ret": -0.0163 }, "Q2": { "wr": 0.462, "n": 13, "mean_ret": -0.0648, "median_ret": -0.0032 }, "Q3": { "wr": 0.615, "n": 13, "mean_ret": 0.0979, "median_ret": 0.0347 }, "Q4": { "wr": 0.615, "n": 13, "mean_ret": -0.016, "median_ret": 0.0852 }, "Q5": { "wr": 0.769, "n": 13, "mean_ret": 0.076, "median_ret": 0.0438 } } }, "ret_1h": { "ic": 0.2615, "pval": 0.0353, "n": 65, "quintiles": { "Q1": { "wr": 0.308, "n": 13, "mean_ret": -0.1106, "median_ret": -0.0474 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.1674, "median_ret": -0.1678 }, "Q3": { "wr": 0.385, "n": 13, "mean_ret": 0.0278, "median_ret": -0.1605 }, "Q4": { "wr": 0.385, "n": 13, "mean_ret": -0.0632, "median_ret": -0.0335 }, "Q5": { "wr": 0.615, "n": 13, "mean_ret": 0.085, "median_ret": 0.2069 } } }, "ret_2h": { "ic": 0.1519, "pval": 0.227, "n": 65, "quintiles": { "Q1": { "wr": 0.615, "n": 13, "mean_ret": -0.0702, "median_ret": 0.0858 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.1524, "median_ret": -0.1187 }, "Q3": { "wr": 0.615, "n": 13, "mean_ret": 0.2421, "median_ret": 0.0749 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": -0.0537, "median_ret": -0.057 }, "Q5": { "wr": 0.692, "n": 13, "mean_ret": 0.1191, "median_ret": 0.1242 } } }, "ret_eod": { "ic": 0.0621, "pval": 0.6257, "n": 64, "quintiles": { "Q1": { "wr": 0.538, "n": 13, "mean_ret": -0.0632, "median_ret": 0.0328 }, "Q2": { "wr": 0.385, "n": 13, "mean_ret": -0.1399, "median_ret": -0.1192 }, "Q3": { "wr": 0.583, "n": 12, "mean_ret": 0.1509, "median_ret": 0.0672 }, "Q4": { "wr": 0.462, "n": 13, "mean_ret": -0.1382, "median_ret": -0.0498 }, "Q5": { "wr": 0.462, "n": 13, "mean_ret": 0.0592, "median_ret": -0.0051 } } } } } } } }, "cumulative": { "Cumulative to 10:30 (2 shifts)": { "label": "Cumulative to 10:30 (2 shifts)", "check_time": "10:30", "n_shifts": 2, "n_total": 402, "IS": { "n": 242, "ret_30m": { "ic": -0.0164, "pval": 0.7997, "n": 242, "quintiles": { "Q1": { "wr": 0.653, "n": 49, "mean_ret": 0.0319, "median_ret": 0.0283 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": 0.0072, "median_ret": 0.0024 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": -0.0148, "median_ret": 0.0113 }, "Q4": { "wr": 0.458, "n": 48, "mean_ret": -0.0017, "median_ret": -0.0195 }, "Q5": { "wr": 0.551, "n": 49, "mean_ret": 0.0072, "median_ret": 0.0365 } } }, "ret_1h": { "ic": -0.0576, "pval": 0.3726, "n": 242, "quintiles": { "Q1": { "wr": 0.551, "n": 49, "mean_ret": 0.0252, "median_ret": 0.0565 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": -0.0116, "median_ret": 0.0438 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": -0.0312, "median_ret": 0.0248 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": -0.0079, "median_ret": 0.0038 }, "Q5": { "wr": 0.51, "n": 49, "mean_ret": -0.0138, "median_ret": 0.003 } } }, "ret_2h": { "ic": -0.0521, "pval": 0.4207, "n": 241, "quintiles": { "Q1": { "wr": 0.551, "n": 49, "mean_ret": 0.011, "median_ret": 0.0182 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": -0.0175, "median_ret": -0.0032 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": 0.0663, "median_ret": 0.0944 }, "Q4": { "wr": 0.438, "n": 48, "mean_ret": -0.0238, "median_ret": -0.0453 }, "Q5": { "wr": 0.583, "n": 48, "mean_ret": 0.0007, "median_ret": 0.0148 } } }, "ret_eod": { "ic": -0.0897, "pval": 0.1677, "n": 238, "quintiles": { "Q1": { "wr": 0.583, "n": 48, "mean_ret": 0.0621, "median_ret": 0.1564 }, "Q2": { "wr": 0.532, "n": 47, "mean_ret": 0.1231, "median_ret": 0.0227 }, "Q3": { "wr": 0.521, "n": 48, "mean_ret": 0.0173, "median_ret": 0.0187 }, "Q4": { "wr": 0.511, "n": 47, "mean_ret": -0.0593, "median_ret": 0.0016 }, "Q5": { "wr": 0.5, "n": 48, "mean_ret": -0.0087, "median_ret": 0.0252 } } } }, "OOS": { "n": 160, "ret_30m": { "ic": -0.0795, "pval": 0.3175, "n": 160, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0129, "median_ret": 0.0086 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": 0.0176, "median_ret": 0.0034 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": -0.0362, "median_ret": 0.0003 }, "Q4": { "wr": 0.438, "n": 32, "mean_ret": -0.0508, "median_ret": -0.0268 }, "Q5": { "wr": 0.5, "n": 32, "mean_ret": -0.0352, "median_ret": 0.0025 } } }, "ret_1h": { "ic": -0.037, "pval": 0.6427, "n": 160, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": -0.001, "median_ret": 0.0303 }, "Q2": { "wr": 0.375, "n": 32, "mean_ret": 0.0141, "median_ret": -0.0572 }, "Q3": { "wr": 0.562, "n": 32, "mean_ret": 0.0109, "median_ret": 0.032 }, "Q4": { "wr": 0.375, "n": 32, "mean_ret": -0.1056, "median_ret": -0.0881 }, "Q5": { "wr": 0.562, "n": 32, "mean_ret": -0.0424, "median_ret": 0.0201 } } }, "ret_2h": { "ic": -0.0172, "pval": 0.8291, "n": 160, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": 0.0062, "median_ret": 0.0126 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": 0.0215, "median_ret": 0.0394 }, "Q3": { "wr": 0.625, "n": 32, "mean_ret": 0.0609, "median_ret": 0.0654 }, "Q4": { "wr": 0.375, "n": 32, "mean_ret": -0.1502, "median_ret": -0.0708 }, "Q5": { "wr": 0.688, "n": 32, "mean_ret": 0.0031, "median_ret": 0.0912 } } }, "ret_eod": { "ic": 0.0267, "pval": 0.739, "n": 158, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0261, "median_ret": 0.0062 }, "Q2": { "wr": 0.613, "n": 31, "mean_ret": 0.013, "median_ret": 0.0629 }, "Q3": { "wr": 0.562, "n": 32, "mean_ret": 0.0496, "median_ret": 0.1176 }, "Q4": { "wr": 0.516, "n": 31, "mean_ret": -0.103, "median_ret": 0.0395 }, "Q5": { "wr": 0.625, "n": 32, "mean_ret": -0.0477, "median_ret": 0.0327 } } } }, "ALL": { "n": 402, "ret_30m": { "ic": -0.0307, "pval": 0.5388, "n": 402, "quintiles": { "Q1": { "wr": 0.568, "n": 81, "mean_ret": -0.0089, "median_ret": 0.0155 }, "Q2": { "wr": 0.537, "n": 80, "mean_ret": 0.008, "median_ret": 0.0153 }, "Q3": { "wr": 0.463, "n": 80, "mean_ret": -0.0048, "median_ret": -0.0145 }, "Q4": { "wr": 0.5, "n": 80, "mean_ret": -0.0207, "median_ret": 0.0009 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": -0.002, "median_ret": 0.0116 } } }, "ret_1h": { "ic": -0.036, "pval": 0.4713, "n": 402, "quintiles": { "Q1": { "wr": 0.494, "n": 81, "mean_ret": 0.0113, "median_ret": -0.0165 }, "Q2": { "wr": 0.562, "n": 80, "mean_ret": 0.0055, "median_ret": 0.0815 }, "Q3": { "wr": 0.512, "n": 80, "mean_ret": -0.0344, "median_ret": 0.0089 }, "Q4": { "wr": 0.45, "n": 80, "mean_ret": -0.0427, "median_ret": -0.0252 }, "Q5": { "wr": 0.556, "n": 81, "mean_ret": -0.0126, "median_ret": 0.0154 } } }, "ret_2h": { "ic": -0.0309, "pval": 0.5369, "n": 401, "quintiles": { "Q1": { "wr": 0.531, "n": 81, "mean_ret": 0.0147, "median_ret": 0.012 }, "Q2": { "wr": 0.6, "n": 80, "mean_ret": 0.0465, "median_ret": 0.1221 }, "Q3": { "wr": 0.487, "n": 80, "mean_ret": -0.0301, "median_ret": -0.0194 }, "Q4": { "wr": 0.45, "n": 80, "mean_ret": -0.0437, "median_ret": -0.0404 }, "Q5": { "wr": 0.637, "n": 80, "mean_ret": 0.0111, "median_ret": 0.0346 } } }, "ret_eod": { "ic": -0.0415, "pval": 0.4105, "n": 396, "quintiles": { "Q1": { "wr": 0.525, "n": 80, "mean_ret": -0.0024, "median_ret": 0.017 }, "Q2": { "wr": 0.658, "n": 79, "mean_ret": 0.1669, "median_ret": 0.1838 }, "Q3": { "wr": 0.468, "n": 79, "mean_ret": -0.0809, "median_ret": -0.0274 }, "Q4": { "wr": 0.506, "n": 79, "mean_ret": -0.0327, "median_ret": 0.0016 }, "Q5": { "wr": 0.557, "n": 79, "mean_ret": -0.015, "median_ret": 0.0347 } } } }, "persistent": { "n": 241, "ret_30m": { "ic": -0.0153, "pval": 0.8138, "n": 241, "quintiles": { "Q1": { "wr": 0.571, "n": 49, "mean_ret": 0.0117, "median_ret": 0.01 }, "Q2": { "wr": 0.479, "n": 48, "mean_ret": -0.0006, "median_ret": -0.0069 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": 0.0141, "median_ret": 0.0087 }, "Q4": { "wr": 0.458, "n": 48, "mean_ret": -0.0247, "median_ret": -0.017 }, "Q5": { "wr": 0.542, "n": 48, "mean_ret": 0.0028, "median_ret": 0.01 } } }, "ret_1h": { "ic": 0.0588, "pval": 0.3636, "n": 241, "quintiles": { "Q1": { "wr": 0.469, "n": 49, "mean_ret": -0.0324, "median_ret": -0.0403 }, "Q2": { "wr": 0.521, "n": 48, "mean_ret": -0.0829, "median_ret": 0.0089 }, "Q3": { "wr": 0.417, "n": 48, "mean_ret": -0.0251, "median_ret": -0.0298 }, "Q4": { "wr": 0.583, "n": 48, "mean_ret": -0.0465, "median_ret": 0.0239 }, "Q5": { "wr": 0.562, "n": 48, "mean_ret": 0.0206, "median_ret": 0.0269 } } }, "ret_2h": { "ic": 0.0457, "pval": 0.4804, "n": 241, "quintiles": { "Q1": { "wr": 0.51, "n": 49, "mean_ret": -0.0247, "median_ret": 0.0016 }, "Q2": { "wr": 0.521, "n": 48, "mean_ret": -0.0956, "median_ret": 0.0133 }, "Q3": { "wr": 0.521, "n": 48, "mean_ret": 0.0165, "median_ret": 0.014 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": -0.036, "median_ret": -0.0082 }, "Q5": { "wr": 0.688, "n": 48, "mean_ret": 0.0387, "median_ret": 0.0346 } } }, "ret_eod": { "ic": 0.0134, "pval": 0.8366, "n": 239, "quintiles": { "Q1": { "wr": 0.458, "n": 48, "mean_ret": -0.02, "median_ret": -0.0201 }, "Q2": { "wr": 0.521, "n": 48, "mean_ret": -0.1691, "median_ret": 0.0371 }, "Q3": { "wr": 0.553, "n": 47, "mean_ret": 0.0637, "median_ret": 0.1571 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": -0.0137, "median_ret": 0.0089 }, "Q5": { "wr": 0.542, "n": 48, "mean_ret": -0.0233, "median_ret": 0.0304 } } } }, "mixed": { "n": 161, "ret_30m": { "ic": -0.1079, "pval": 0.1733, "n": 161, "quintiles": { "Q1": { "wr": 0.515, "n": 33, "mean_ret": -0.0059, "median_ret": 0.0032 }, "Q2": { "wr": 0.625, "n": 32, "mean_ret": 0.0299, "median_ret": 0.0692 }, "Q3": { "wr": 0.531, "n": 32, "mean_ret": -0.0197, "median_ret": 0.0144 }, "Q4": { "wr": 0.438, "n": 32, "mean_ret": -0.0363, "median_ret": -0.049 }, "Q5": { "wr": 0.469, "n": 32, "mean_ret": -0.0444, "median_ret": -0.0213 } } }, "ret_1h": { "ic": -0.1354, "pval": 0.0867, "n": 161, "quintiles": { "Q1": { "wr": 0.485, "n": 33, "mean_ret": 0.0326, "median_ret": -0.0165 }, "Q2": { "wr": 0.594, "n": 32, "mean_ret": 0.0819, "median_ret": 0.0962 }, "Q3": { "wr": 0.625, "n": 32, "mean_ret": 0.036, "median_ret": 0.0963 }, "Q4": { "wr": 0.5, "n": 32, "mean_ret": -0.0213, "median_ret": 0.0008 }, "Q5": { "wr": 0.406, "n": 32, "mean_ret": -0.0621, "median_ret": -0.0315 } } }, "ret_2h": { "ic": -0.1243, "pval": 0.1173, "n": 160, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": 0.0052, "median_ret": 0.0151 }, "Q2": { "wr": 0.594, "n": 32, "mean_ret": 0.1329, "median_ret": 0.1877 }, "Q3": { "wr": 0.688, "n": 32, "mean_ret": 0.1806, "median_ret": 0.2208 }, "Q4": { "wr": 0.469, "n": 32, "mean_ret": -0.0433, "median_ret": -0.0214 }, "Q5": { "wr": 0.375, "n": 32, "mean_ret": -0.1262, "median_ret": -0.0945 } } }, "ret_eod": { "ic": -0.11, "pval": 0.1701, "n": 157, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": -0.0392, "median_ret": 0.0218 }, "Q2": { "wr": 0.774, "n": 31, "mean_ret": 0.1874, "median_ret": 0.1838 }, "Q3": { "wr": 0.71, "n": 31, "mean_ret": 0.459, "median_ret": 0.2342 }, "Q4": { "wr": 0.355, "n": 31, "mean_ret": -0.1136, "median_ret": -0.082 }, "Q5": { "wr": 0.469, "n": 32, "mean_ret": -0.1429, "median_ret": -0.0353 } } } }, "persistent_bull_ret_30m": { "n": 183, "mean_ret": -0.0042, "wr": 0.514 }, "persistent_bear_ret_30m": { "n": 58, "mean_ret": 0.0163, "wr": 0.569 }, "persistent_bull_ret_1h": { "n": 183, "mean_ret": -0.0325, "wr": 0.525 }, "persistent_bear_ret_1h": { "n": 58, "mean_ret": -0.0356, "wr": 0.466 }, "persistent_bull_ret_2h": { "n": 183, "mean_ret": -0.0134, "wr": 0.552 }, "persistent_bear_ret_2h": { "n": 58, "mean_ret": -0.0418, "wr": 0.534 }, "persistent_bull_ret_eod": { "n": 183, "mean_ret": -0.0414, "wr": 0.53 }, "persistent_bear_ret_eod": { "n": 58, "mean_ret": -0.0062, "wr": 0.483 } }, "Cumulative to 11:00 (3 shifts)": { "label": "Cumulative to 11:00 (3 shifts)", "check_time": "11:00", "n_shifts": 3, "n_total": 401, "IS": { "n": 242, "ret_30m": { "ic": -0.0487, "pval": 0.4507, "n": 242, "quintiles": { "Q1": { "wr": 0.531, "n": 49, "mean_ret": -0.0188, "median_ret": 0.0688 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": -0.006, "median_ret": 0.0161 }, "Q3": { "wr": 0.479, "n": 48, "mean_ret": -0.0309, "median_ret": -0.0148 }, "Q4": { "wr": 0.521, "n": 48, "mean_ret": -0.0174, "median_ret": 0.0116 }, "Q5": { "wr": 0.551, "n": 49, "mean_ret": 0.0047, "median_ret": 0.025 } } }, "ret_1h": { "ic": 0.0114, "pval": 0.8601, "n": 241, "quintiles": { "Q1": { "wr": 0.51, "n": 49, "mean_ret": -0.0924, "median_ret": 0.0022 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": -0.0056, "median_ret": 0.0414 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": 0.0299, "median_ret": 0.0337 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": 0.0172, "median_ret": 0.0365 }, "Q5": { "wr": 0.479, "n": 48, "mean_ret": -0.0102, "median_ret": -0.0075 } } }, "ret_2h": { "ic": -0.0329, "pval": 0.6113, "n": 241, "quintiles": { "Q1": { "wr": 0.51, "n": 49, "mean_ret": -0.0635, "median_ret": 0.0053 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": 0.0799, "median_ret": 0.0703 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": -0.0061, "median_ret": 0.0463 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": 0.0254, "median_ret": 0.0044 }, "Q5": { "wr": 0.5, "n": 48, "mean_ret": -0.0196, "median_ret": -0.0013 } } }, "ret_eod": { "ic": -0.0324, "pval": 0.6184, "n": 238, "quintiles": { "Q1": { "wr": 0.562, "n": 48, "mean_ret": 0.1013, "median_ret": 0.0919 }, "Q2": { "wr": 0.511, "n": 47, "mean_ret": 0.0126, "median_ret": 0.0332 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": -0.0207, "median_ret": 0.048 }, "Q4": { "wr": 0.553, "n": 47, "mean_ret": 0.0137, "median_ret": 0.0498 }, "Q5": { "wr": 0.583, "n": 48, "mean_ret": 0.0028, "median_ret": 0.051 } } } }, "OOS": { "n": 159, "ret_30m": { "ic": -0.0314, "pval": 0.6944, "n": 159, "quintiles": { "Q1": { "wr": 0.688, "n": 32, "mean_ret": 0.0002, "median_ret": 0.0634 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": -0.0244, "median_ret": 0.0027 }, "Q3": { "wr": 0.387, "n": 31, "mean_ret": 0.0144, "median_ret": -0.0228 }, "Q4": { "wr": 0.531, "n": 32, "mean_ret": 0.0234, "median_ret": 0.0101 }, "Q5": { "wr": 0.562, "n": 32, "mean_ret": -0.0193, "median_ret": 0.0173 } } }, "ret_1h": { "ic": -0.0227, "pval": 0.7759, "n": 159, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": -0.0295, "median_ret": 0.0923 }, "Q2": { "wr": 0.531, "n": 32, "mean_ret": 0.0011, "median_ret": 0.0264 }, "Q3": { "wr": 0.516, "n": 31, "mean_ret": 0.0659, "median_ret": 0.0047 }, "Q4": { "wr": 0.469, "n": 32, "mean_ret": -0.0084, "median_ret": -0.0025 }, "Q5": { "wr": 0.625, "n": 32, "mean_ret": 0.0223, "median_ret": 0.072 } } }, "ret_2h": { "ic": -0.0148, "pval": 0.8531, "n": 159, "quintiles": { "Q1": { "wr": 0.562, "n": 32, "mean_ret": -0.0284, "median_ret": 0.1332 }, "Q2": { "wr": 0.531, "n": 32, "mean_ret": -0.0335, "median_ret": 0.0345 }, "Q3": { "wr": 0.484, "n": 31, "mean_ret": -0.0298, "median_ret": -0.0405 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0438, "median_ret": 0.0617 }, "Q5": { "wr": 0.719, "n": 32, "mean_ret": 0.03, "median_ret": 0.0535 } } }, "ret_eod": { "ic": 0.0058, "pval": 0.942, "n": 157, "quintiles": { "Q1": { "wr": 0.594, "n": 32, "mean_ret": -0.0118, "median_ret": 0.0427 }, "Q2": { "wr": 0.548, "n": 31, "mean_ret": 0.0045, "median_ret": 0.0498 }, "Q3": { "wr": 0.355, "n": 31, "mean_ret": -0.0849, "median_ret": -0.0505 }, "Q4": { "wr": 0.581, "n": 31, "mean_ret": 0.1158, "median_ret": 0.171 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": -0.0163, "median_ret": 0.0225 } } } }, "ALL": { "n": 401, "ret_30m": { "ic": -0.0285, "pval": 0.5696, "n": 401, "quintiles": { "Q1": { "wr": 0.58, "n": 81, "mean_ret": 0.0029, "median_ret": 0.0401 }, "Q2": { "wr": 0.537, "n": 80, "mean_ret": -0.0061, "median_ret": 0.0216 }, "Q3": { "wr": 0.438, "n": 80, "mean_ret": -0.0315, "median_ret": -0.0211 }, "Q4": { "wr": 0.537, "n": 80, "mean_ret": -0.0076, "median_ret": 0.0146 }, "Q5": { "wr": 0.562, "n": 80, "mean_ret": -0.0015, "median_ret": 0.021 } } }, "ret_1h": { "ic": -0.0041, "pval": 0.9351, "n": 400, "quintiles": { "Q1": { "wr": 0.562, "n": 80, "mean_ret": 0.0004, "median_ret": 0.0329 }, "Q2": { "wr": 0.512, "n": 80, "mean_ret": -0.0397, "median_ret": 0.028 }, "Q3": { "wr": 0.512, "n": 80, "mean_ret": 0.0043, "median_ret": 0.0052 }, "Q4": { "wr": 0.537, "n": 80, "mean_ret": 0.012, "median_ret": 0.0255 }, "Q5": { "wr": 0.537, "n": 80, "mean_ret": 0.0048, "median_ret": 0.012 } } }, "ret_2h": { "ic": -0.0121, "pval": 0.8101, "n": 400, "quintiles": { "Q1": { "wr": 0.537, "n": 80, "mean_ret": -0.0128, "median_ret": 0.0192 }, "Q2": { "wr": 0.537, "n": 80, "mean_ret": -0.0057, "median_ret": 0.03 }, "Q3": { "wr": 0.5, "n": 80, "mean_ret": -0.0174, "median_ret": 0.0001 }, "Q4": { "wr": 0.55, "n": 80, "mean_ret": 0.0347, "median_ret": 0.0582 }, "Q5": { "wr": 0.575, "n": 80, "mean_ret": 0.0033, "median_ret": 0.0452 } } }, "ret_eod": { "ic": -0.0018, "pval": 0.9713, "n": 395, "quintiles": { "Q1": { "wr": 0.595, "n": 79, "mean_ret": 0.0073, "median_ret": 0.0613 }, "Q2": { "wr": 0.506, "n": 79, "mean_ret": 0.048, "median_ret": 0.0332 }, "Q3": { "wr": 0.494, "n": 79, "mean_ret": -0.0055, "median_ret": -0.0097 }, "Q4": { "wr": 0.557, "n": 79, "mean_ret": 0.0171, "median_ret": 0.0498 }, "Q5": { "wr": 0.57, "n": 79, "mean_ret": 0.002, "median_ret": 0.0504 } } } }, "persistent": { "n": 147, "ret_30m": { "ic": 0.0409, "pval": 0.6232, "n": 147, "quintiles": { "Q1": { "wr": 0.567, "n": 30, "mean_ret": -0.1263, "median_ret": 0.0151 }, "Q2": { "wr": 0.414, "n": 29, "mean_ret": -0.0204, "median_ret": -0.0193 }, "Q3": { "wr": 0.655, "n": 29, "mean_ret": 0.0159, "median_ret": 0.0412 }, "Q4": { "wr": 0.517, "n": 29, "mean_ret": -0.0067, "median_ret": 0.0057 }, "Q5": { "wr": 0.533, "n": 30, "mean_ret": -0.0229, "median_ret": 0.0141 } } }, "ret_1h": { "ic": -0.0656, "pval": 0.4297, "n": 147, "quintiles": { "Q1": { "wr": 0.6, "n": 30, "mean_ret": -0.1488, "median_ret": 0.046 }, "Q2": { "wr": 0.552, "n": 29, "mean_ret": -0.0022, "median_ret": 0.0278 }, "Q3": { "wr": 0.724, "n": 29, "mean_ret": 0.0674, "median_ret": 0.0748 }, "Q4": { "wr": 0.448, "n": 29, "mean_ret": -0.0132, "median_ret": -0.0449 }, "Q5": { "wr": 0.5, "n": 30, "mean_ret": -0.0249, "median_ret": -0.0006 } } }, "ret_2h": { "ic": -0.0508, "pval": 0.5413, "n": 147, "quintiles": { "Q1": { "wr": 0.5, "n": 30, "mean_ret": -0.1811, "median_ret": 0.0435 }, "Q2": { "wr": 0.586, "n": 29, "mean_ret": 0.0331, "median_ret": 0.104 }, "Q3": { "wr": 0.552, "n": 29, "mean_ret": 0.0446, "median_ret": 0.0708 }, "Q4": { "wr": 0.517, "n": 29, "mean_ret": 0.0029, "median_ret": 0.0265 }, "Q5": { "wr": 0.6, "n": 30, "mean_ret": -0.0328, "median_ret": 0.0397 } } }, "ret_eod": { "ic": 0.0018, "pval": 0.9833, "n": 145, "quintiles": { "Q1": { "wr": 0.448, "n": 29, "mean_ret": -0.0837, "median_ret": -0.0239 }, "Q2": { "wr": 0.621, "n": 29, "mean_ret": 0.0165, "median_ret": 0.1 }, "Q3": { "wr": 0.621, "n": 29, "mean_ret": 0.0717, "median_ret": 0.1094 }, "Q4": { "wr": 0.448, "n": 29, "mean_ret": -0.0024, "median_ret": -0.0256 }, "Q5": { "wr": 0.655, "n": 29, "mean_ret": -0.0097, "median_ret": 0.1377 } } } }, "mixed": { "n": 254, "ret_30m": { "ic": -0.0587, "pval": 0.3519, "n": 254, "quintiles": { "Q1": { "wr": 0.569, "n": 51, "mean_ret": -0.0071, "median_ret": 0.0401 }, "Q2": { "wr": 0.588, "n": 51, "mean_ret": 0.0373, "median_ret": 0.0474 }, "Q3": { "wr": 0.5, "n": 50, "mean_ret": 0.0236, "median_ret": -0.0023 }, "Q4": { "wr": 0.431, "n": 51, "mean_ret": -0.0342, "median_ret": -0.036 }, "Q5": { "wr": 0.549, "n": 51, "mean_ret": 0.0065, "median_ret": 0.0202 } } }, "ret_1h": { "ic": 0.0173, "pval": 0.784, "n": 253, "quintiles": { "Q1": { "wr": 0.51, "n": 51, "mean_ret": -0.0123, "median_ret": 0.0022 }, "Q2": { "wr": 0.5, "n": 50, "mean_ret": -0.033, "median_ret": 0.0116 }, "Q3": { "wr": 0.569, "n": 51, "mean_ret": 0.0564, "median_ret": 0.034 }, "Q4": { "wr": 0.48, "n": 50, "mean_ret": 0.0205, "median_ret": -0.004 }, "Q5": { "wr": 0.51, "n": 51, "mean_ret": 0.0124, "median_ret": 0.0055 } } }, "ret_2h": { "ic": -0.0123, "pval": 0.8452, "n": 253, "quintiles": { "Q1": { "wr": 0.529, "n": 51, "mean_ret": -0.0224, "median_ret": 0.0053 }, "Q2": { "wr": 0.52, "n": 50, "mean_ret": -0.0131, "median_ret": 0.0255 }, "Q3": { "wr": 0.588, "n": 51, "mean_ret": 0.1175, "median_ret": 0.0902 }, "Q4": { "wr": 0.5, "n": 50, "mean_ret": -0.0156, "median_ret": 0.0001 }, "Q5": { "wr": 0.529, "n": 51, "mean_ret": 0.0163, "median_ret": 0.0442 } } }, "ret_eod": { "ic": -0.0301, "pval": 0.6363, "n": 250, "quintiles": { "Q1": { "wr": 0.62, "n": 50, "mean_ret": -0.0526, "median_ret": 0.0482 }, "Q2": { "wr": 0.54, "n": 50, "mean_ret": 0.1061, "median_ret": 0.1112 }, "Q3": { "wr": 0.48, "n": 50, "mean_ret": 0.0347, "median_ret": -0.0207 }, "Q4": { "wr": 0.52, "n": 50, "mean_ret": 0.0282, "median_ret": 0.0168 }, "Q5": { "wr": 0.52, "n": 50, "mean_ret": -0.0033, "median_ret": 0.0366 } } } }, "persistent_bull_ret_30m": { "n": 126, "mean_ret": -0.0185, "wr": 0.532 }, "persistent_bear_ret_30m": { "n": 21, "mean_ret": -0.1177, "wr": 0.571 }, "persistent_bull_ret_1h": { "n": 126, "mean_ret": -0.0076, "wr": 0.548 }, "persistent_bear_ret_1h": { "n": 21, "mean_ret": -0.1305, "wr": 0.667 }, "persistent_bull_ret_2h": { "n": 126, "mean_ret": -0.0056, "wr": 0.556 }, "persistent_bear_ret_2h": { "n": 21, "mean_ret": -0.1609, "wr": 0.524 }, "persistent_bull_ret_eod": { "n": 126, "mean_ret": -0.0128, "wr": 0.556 }, "persistent_bear_ret_eod": { "n": 21, "mean_ret": 0.0652, "wr": 0.524 } }, "Cumulative to 11:30 (4 shifts)": { "label": "Cumulative to 11:30 (4 shifts)", "check_time": "11:30", "n_shifts": 4, "n_total": 401, "IS": { "n": 242, "ret_30m": { "ic": 0.0346, "pval": 0.593, "n": 241, "quintiles": { "Q1": { "wr": 0.469, "n": 49, "mean_ret": -0.0578, "median_ret": -0.0281 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": 0.004, "median_ret": 0.0071 }, "Q3": { "wr": 0.646, "n": 48, "mean_ret": 0.0298, "median_ret": 0.039 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0345, "median_ret": 0.0255 }, "Q5": { "wr": 0.417, "n": 48, "mean_ret": -0.0109, "median_ret": -0.0174 } } }, "ret_1h": { "ic": 0.0137, "pval": 0.8329, "n": 241, "quintiles": { "Q1": { "wr": 0.429, "n": 49, "mean_ret": -0.035, "median_ret": -0.0445 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": 0.0618, "median_ret": 0.0426 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": 0.0219, "median_ret": 0.0338 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": 0.0301, "median_ret": 0.0387 }, "Q5": { "wr": 0.5, "n": 48, "mean_ret": -0.0091, "median_ret": -0.0005 } } }, "ret_2h": { "ic": -0.016, "pval": 0.8057, "n": 238, "quintiles": { "Q1": { "wr": 0.562, "n": 48, "mean_ret": -0.0609, "median_ret": 0.0262 }, "Q2": { "wr": 0.638, "n": 47, "mean_ret": 0.2199, "median_ret": 0.0867 }, "Q3": { "wr": 0.604, "n": 48, "mean_ret": -0.0035, "median_ret": 0.0545 }, "Q4": { "wr": 0.426, "n": 47, "mean_ret": -0.0253, "median_ret": -0.0708 }, "Q5": { "wr": 0.562, "n": 48, "mean_ret": 0.0097, "median_ret": 0.067 } } }, "ret_eod": { "ic": 0.0113, "pval": 0.8622, "n": 238, "quintiles": { "Q1": { "wr": 0.5, "n": 48, "mean_ret": -0.0326, "median_ret": 0.004 }, "Q2": { "wr": 0.617, "n": 47, "mean_ret": 0.2221, "median_ret": 0.0724 }, "Q3": { "wr": 0.5, "n": 48, "mean_ret": -0.0354, "median_ret": 0.0216 }, "Q4": { "wr": 0.553, "n": 47, "mean_ret": -0.041, "median_ret": 0.0108 }, "Q5": { "wr": 0.604, "n": 48, "mean_ret": 0.0638, "median_ret": 0.0958 } } } }, "OOS": { "n": 159, "ret_30m": { "ic": 0.1186, "pval": 0.1367, "n": 159, "quintiles": { "Q1": { "wr": 0.438, "n": 32, "mean_ret": -0.0431, "median_ret": -0.0126 }, "Q2": { "wr": 0.469, "n": 32, "mean_ret": 0.0216, "median_ret": -0.0055 }, "Q3": { "wr": 0.645, "n": 31, "mean_ret": 0.0268, "median_ret": 0.0457 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0166, "median_ret": 0.0324 }, "Q5": { "wr": 0.688, "n": 32, "mean_ret": 0.0343, "median_ret": 0.0358 } } }, "ret_1h": { "ic": 0.0893, "pval": 0.2631, "n": 159, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0672, "median_ret": 0.008 }, "Q2": { "wr": 0.594, "n": 32, "mean_ret": 0.0274, "median_ret": 0.042 }, "Q3": { "wr": 0.613, "n": 31, "mean_ret": 0.0145, "median_ret": 0.0515 }, "Q4": { "wr": 0.719, "n": 32, "mean_ret": 0.0565, "median_ret": 0.0682 }, "Q5": { "wr": 0.625, "n": 32, "mean_ret": 0.0391, "median_ret": 0.0293 } } }, "ret_2h": { "ic": 0.0855, "pval": 0.2852, "n": 158, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.03, "median_ret": 0.0014 }, "Q2": { "wr": 0.548, "n": 31, "mean_ret": 0.025, "median_ret": 0.0178 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": -0.0876, "median_ret": -0.005 }, "Q4": { "wr": 0.613, "n": 31, "mean_ret": 0.0559, "median_ret": 0.0909 }, "Q5": { "wr": 0.688, "n": 32, "mean_ret": 0.0765, "median_ret": 0.0783 } } }, "ret_eod": { "ic": -0.0208, "pval": 0.7964, "n": 157, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0396, "median_ret": 0.0217 }, "Q2": { "wr": 0.581, "n": 31, "mean_ret": 0.0575, "median_ret": 0.1338 }, "Q3": { "wr": 0.516, "n": 31, "mean_ret": -0.0877, "median_ret": 0.0087 }, "Q4": { "wr": 0.581, "n": 31, "mean_ret": 0.0568, "median_ret": 0.0554 }, "Q5": { "wr": 0.562, "n": 32, "mean_ret": 0.0258, "median_ret": 0.0309 } } } }, "ALL": { "n": 401, "ret_30m": { "ic": 0.0544, "pval": 0.2777, "n": 400, "quintiles": { "Q1": { "wr": 0.475, "n": 80, "mean_ret": -0.0108, "median_ret": -0.0087 }, "Q2": { "wr": 0.5, "n": 80, "mean_ret": -0.0331, "median_ret": 0.0063 }, "Q3": { "wr": 0.625, "n": 80, "mean_ret": 0.0413, "median_ret": 0.0549 }, "Q4": { "wr": 0.525, "n": 80, "mean_ret": 0.0125, "median_ret": 0.0085 }, "Q5": { "wr": 0.55, "n": 80, "mean_ret": 0.0112, "median_ret": 0.0112 } } }, "ret_1h": { "ic": 0.0381, "pval": 0.4477, "n": 400, "quintiles": { "Q1": { "wr": 0.512, "n": 80, "mean_ret": -0.0282, "median_ret": 0.0213 }, "Q2": { "wr": 0.537, "n": 80, "mean_ret": 0.0051, "median_ret": 0.0146 }, "Q3": { "wr": 0.588, "n": 80, "mean_ret": 0.0616, "median_ret": 0.0629 }, "Q4": { "wr": 0.575, "n": 80, "mean_ret": 0.0152, "median_ret": 0.0371 }, "Q5": { "wr": 0.562, "n": 80, "mean_ret": 0.0156, "median_ret": 0.0222 } } }, "ret_2h": { "ic": 0.0414, "pval": 0.4108, "n": 396, "quintiles": { "Q1": { "wr": 0.525, "n": 80, "mean_ret": -0.0333, "median_ret": 0.0149 }, "Q2": { "wr": 0.557, "n": 79, "mean_ret": 0.0724, "median_ret": 0.0295 }, "Q3": { "wr": 0.62, "n": 79, "mean_ret": 0.0397, "median_ret": 0.059 }, "Q4": { "wr": 0.506, "n": 79, "mean_ret": -0.0087, "median_ret": 0.0124 }, "Q5": { "wr": 0.608, "n": 79, "mean_ret": 0.0279, "median_ret": 0.0709 } } }, "ret_eod": { "ic": 0.0154, "pval": 0.7601, "n": 395, "quintiles": { "Q1": { "wr": 0.544, "n": 79, "mean_ret": 0.0037, "median_ret": 0.0405 }, "Q2": { "wr": 0.532, "n": 79, "mean_ret": 0.0742, "median_ret": 0.0187 }, "Q3": { "wr": 0.582, "n": 79, "mean_ret": 0.0159, "median_ret": 0.0425 }, "Q4": { "wr": 0.544, "n": 79, "mean_ret": -0.0175, "median_ret": 0.0155 }, "Q5": { "wr": 0.57, "n": 79, "mean_ret": 0.0337, "median_ret": 0.0464 } } } }, "persistent": { "n": 89, "ret_30m": { "ic": 0.028, "pval": 0.7943, "n": 89, "quintiles": { "Q1": { "wr": 0.5, "n": 18, "mean_ret": -0.0522, "median_ret": -0.0213 }, "Q2": { "wr": 0.5, "n": 18, "mean_ret": 0.0508, "median_ret": 0.0157 }, "Q3": { "wr": 0.529, "n": 17, "mean_ret": 0.0123, "median_ret": 0.002 }, "Q4": { "wr": 0.444, "n": 18, "mean_ret": 0.0039, "median_ret": -0.0074 }, "Q5": { "wr": 0.5, "n": 18, "mean_ret": 0.0207, "median_ret": 0.0059 } } }, "ret_1h": { "ic": 0.0777, "pval": 0.469, "n": 89, "quintiles": { "Q1": { "wr": 0.333, "n": 18, "mean_ret": -0.0551, "median_ret": -0.0644 }, "Q2": { "wr": 0.611, "n": 18, "mean_ret": 0.0469, "median_ret": 0.0315 }, "Q3": { "wr": 0.647, "n": 17, "mean_ret": 0.042, "median_ret": 0.0359 }, "Q4": { "wr": 0.611, "n": 18, "mean_ret": 0.0154, "median_ret": 0.0285 }, "Q5": { "wr": 0.5, "n": 18, "mean_ret": 0.0298, "median_ret": 0.0133 } } }, "ret_2h": { "ic": 0.0311, "pval": 0.7737, "n": 88, "quintiles": { "Q1": { "wr": 0.667, "n": 18, "mean_ret": -0.0244, "median_ret": 0.0453 }, "Q2": { "wr": 0.588, "n": 17, "mean_ret": 0.0494, "median_ret": 0.0662 }, "Q3": { "wr": 0.611, "n": 18, "mean_ret": 0.0684, "median_ret": 0.098 }, "Q4": { "wr": 0.706, "n": 17, "mean_ret": 0.0841, "median_ret": 0.0966 }, "Q5": { "wr": 0.611, "n": 18, "mean_ret": 0.0388, "median_ret": 0.1105 } } }, "ret_eod": { "ic": -0.0464, "pval": 0.6676, "n": 88, "quintiles": { "Q1": { "wr": 0.556, "n": 18, "mean_ret": 0.1876, "median_ret": 0.0565 }, "Q2": { "wr": 0.647, "n": 17, "mean_ret": 0.0853, "median_ret": 0.0555 }, "Q3": { "wr": 0.722, "n": 18, "mean_ret": 0.1537, "median_ret": 0.2066 }, "Q4": { "wr": 0.588, "n": 17, "mean_ret": 0.0701, "median_ret": 0.0931 }, "Q5": { "wr": 0.611, "n": 18, "mean_ret": 0.0868, "median_ret": 0.0605 } } } }, "mixed": { "n": 312, "ret_30m": { "ic": 0.071, "pval": 0.2117, "n": 311, "quintiles": { "Q1": { "wr": 0.476, "n": 63, "mean_ret": -0.0147, "median_ret": -0.0081 }, "Q2": { "wr": 0.419, "n": 62, "mean_ret": -0.0512, "median_ret": -0.0524 }, "Q3": { "wr": 0.677, "n": 62, "mean_ret": 0.0492, "median_ret": 0.0569 }, "Q4": { "wr": 0.613, "n": 62, "mean_ret": 0.0303, "median_ret": 0.0415 }, "Q5": { "wr": 0.548, "n": 62, "mean_ret": 0.0037, "median_ret": 0.0124 } } }, "ret_1h": { "ic": 0.0376, "pval": 0.5087, "n": 311, "quintiles": { "Q1": { "wr": 0.492, "n": 63, "mean_ret": -0.0501, "median_ret": -0.0002 }, "Q2": { "wr": 0.565, "n": 62, "mean_ret": 0.0328, "median_ret": 0.042 }, "Q3": { "wr": 0.581, "n": 62, "mean_ret": 0.0273, "median_ret": 0.0447 }, "Q4": { "wr": 0.645, "n": 62, "mean_ret": 0.0628, "median_ret": 0.0791 }, "Q5": { "wr": 0.516, "n": 62, "mean_ret": -0.0047, "median_ret": 0.0094 } } }, "ret_2h": { "ic": 0.0045, "pval": 0.9377, "n": 308, "quintiles": { "Q1": { "wr": 0.484, "n": 62, "mean_ret": -0.0524, "median_ret": -0.0099 }, "Q2": { "wr": 0.59, "n": 61, "mean_ret": 0.1244, "median_ret": 0.0433 }, "Q3": { "wr": 0.565, "n": 62, "mean_ret": -0.0003, "median_ret": 0.0209 }, "Q4": { "wr": 0.574, "n": 61, "mean_ret": 0.02, "median_ret": 0.0371 }, "Q5": { "wr": 0.5, "n": 62, "mean_ret": -0.0256, "median_ret": -0.0006 } } }, "ret_eod": { "ic": -0.0349, "pval": 0.5421, "n": 307, "quintiles": { "Q1": { "wr": 0.516, "n": 62, "mean_ret": -0.0306, "median_ret": 0.0217 }, "Q2": { "wr": 0.541, "n": 61, "mean_ret": 0.0916, "median_ret": 0.0187 }, "Q3": { "wr": 0.574, "n": 61, "mean_ret": -0.0025, "median_ret": 0.0389 }, "Q4": { "wr": 0.59, "n": 61, "mean_ret": 0.0127, "median_ret": 0.1161 }, "Q5": { "wr": 0.452, "n": 62, "mean_ret": -0.0963, "median_ret": -0.0492 } } } }, "persistent_bull_ret_30m": { "n": 75, "mean_ret": 0.0187, "wr": 0.493 }, "persistent_bear_ret_30m": { "n": 14, "mean_ret": -0.0555, "wr": 0.5 }, "persistent_bull_ret_1h": { "n": 75, "mean_ret": 0.0281, "wr": 0.56 }, "persistent_bear_ret_1h": { "n": 14, "mean_ret": -0.0521, "wr": 0.429 }, "persistent_bull_ret_2h": { "n": 75, "mean_ret": 0.0595, "wr": 0.627 }, "persistent_bear_ret_2h": { "n": 14, "mean_ret": -0.046, "wr": 0.643 }, "persistent_bull_ret_eod": { "n": 75, "mean_ret": 0.098, "wr": 0.627 }, "persistent_bear_ret_eod": { "n": 14, "mean_ret": 0.2211, "wr": 0.571 } }, "Cumulative to 12:00 (5 shifts)": { "label": "Cumulative to 12:00 (5 shifts)", "check_time": "12:00", "n_shifts": 5, "n_total": 400, "IS": { "n": 241, "ret_30m": { "ic": -0.093, "pval": 0.1501, "n": 241, "quintiles": { "Q1": { "wr": 0.612, "n": 49, "mean_ret": 0.0396, "median_ret": 0.0361 }, "Q2": { "wr": 0.625, "n": 48, "mean_ret": 0.0695, "median_ret": 0.0499 }, "Q3": { "wr": 0.458, "n": 48, "mean_ret": -0.036, "median_ret": -0.0065 }, "Q4": { "wr": 0.583, "n": 48, "mean_ret": -0.0089, "median_ret": 0.0086 }, "Q5": { "wr": 0.604, "n": 48, "mean_ret": 0.0058, "median_ret": 0.0199 } } }, "ret_1h": { "ic": -0.0457, "pval": 0.4801, "n": 241, "quintiles": { "Q1": { "wr": 0.571, "n": 49, "mean_ret": 0.031, "median_ret": 0.0564 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": 0.0931, "median_ret": 0.0219 }, "Q3": { "wr": 0.562, "n": 48, "mean_ret": -0.0434, "median_ret": 0.0258 }, "Q4": { "wr": 0.417, "n": 48, "mean_ret": -0.0315, "median_ret": -0.0489 }, "Q5": { "wr": 0.604, "n": 48, "mean_ret": 0.0281, "median_ret": 0.042 } } }, "ret_2h": { "ic": -0.0631, "pval": 0.3322, "n": 238, "quintiles": { "Q1": { "wr": 0.562, "n": 48, "mean_ret": 0.094, "median_ret": 0.0473 }, "Q2": { "wr": 0.574, "n": 47, "mean_ret": 0.2716, "median_ret": 0.1266 }, "Q3": { "wr": 0.438, "n": 48, "mean_ret": -0.1088, "median_ret": -0.0668 }, "Q4": { "wr": 0.426, "n": 47, "mean_ret": -0.0714, "median_ret": -0.0518 }, "Q5": { "wr": 0.521, "n": 48, "mean_ret": 0.0299, "median_ret": 0.0056 } } }, "ret_eod": { "ic": -0.016, "pval": 0.8062, "n": 238, "quintiles": { "Q1": { "wr": 0.521, "n": 48, "mean_ret": -0.0132, "median_ret": 0.0353 }, "Q2": { "wr": 0.66, "n": 47, "mean_ret": 0.2901, "median_ret": 0.1868 }, "Q3": { "wr": 0.375, "n": 48, "mean_ret": -0.1354, "median_ret": -0.1357 }, "Q4": { "wr": 0.511, "n": 47, "mean_ret": -0.0377, "median_ret": 0.0015 }, "Q5": { "wr": 0.667, "n": 48, "mean_ret": 0.0814, "median_ret": 0.0923 } } } }, "OOS": { "n": 159, "ret_30m": { "ic": 0.0704, "pval": 0.3782, "n": 159, "quintiles": { "Q1": { "wr": 0.406, "n": 32, "mean_ret": -0.0287, "median_ret": -0.0198 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": -0.0294, "median_ret": 0.0103 }, "Q3": { "wr": 0.581, "n": 31, "mean_ret": 0.03, "median_ret": 0.0245 }, "Q4": { "wr": 0.688, "n": 32, "mean_ret": 0.0356, "median_ret": 0.0442 }, "Q5": { "wr": 0.469, "n": 32, "mean_ret": 0.0076, "median_ret": -0.0075 } } }, "ret_1h": { "ic": 0.0478, "pval": 0.5494, "n": 159, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0023, "median_ret": 0.0083 }, "Q2": { "wr": 0.375, "n": 32, "mean_ret": -0.0718, "median_ret": -0.0465 }, "Q3": { "wr": 0.452, "n": 31, "mean_ret": -0.0284, "median_ret": -0.0035 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": 0.0319, "median_ret": 0.0473 }, "Q5": { "wr": 0.562, "n": 32, "mean_ret": 0.0031, "median_ret": 0.009 } } }, "ret_2h": { "ic": 0.068, "pval": 0.3962, "n": 158, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0084, "median_ret": 0.0458 }, "Q2": { "wr": 0.452, "n": 31, "mean_ret": -0.0687, "median_ret": -0.01 }, "Q3": { "wr": 0.625, "n": 32, "mean_ret": -0.0307, "median_ret": 0.0195 }, "Q4": { "wr": 0.645, "n": 31, "mean_ret": 0.0503, "median_ret": 0.1095 }, "Q5": { "wr": 0.594, "n": 32, "mean_ret": 0.0313, "median_ret": 0.0128 } } }, "ret_eod": { "ic": 0.0491, "pval": 0.5417, "n": 157, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.0452, "median_ret": 0.0294 }, "Q2": { "wr": 0.516, "n": 31, "mean_ret": -0.0018, "median_ret": 0.0343 }, "Q3": { "wr": 0.452, "n": 31, "mean_ret": -0.0507, "median_ret": -0.0319 }, "Q4": { "wr": 0.71, "n": 31, "mean_ret": 0.0467, "median_ret": 0.1027 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": 0.0133, "median_ret": 0.0264 } } } }, "ALL": { "n": 400, "ret_30m": { "ic": -0.0149, "pval": 0.7662, "n": 400, "quintiles": { "Q1": { "wr": 0.487, "n": 80, "mean_ret": -0.0259, "median_ret": -0.002 }, "Q2": { "wr": 0.625, "n": 80, "mean_ret": 0.0589, "median_ret": 0.0383 }, "Q3": { "wr": 0.525, "n": 80, "mean_ret": 0.0048, "median_ret": 0.0138 }, "Q4": { "wr": 0.625, "n": 80, "mean_ret": 0.0038, "median_ret": 0.0261 }, "Q5": { "wr": 0.55, "n": 80, "mean_ret": 0.0065, "median_ret": 0.011 } } }, "ret_1h": { "ic": 0.016, "pval": 0.7492, "n": 400, "quintiles": { "Q1": { "wr": 0.45, "n": 80, "mean_ret": -0.0301, "median_ret": -0.0095 }, "Q2": { "wr": 0.512, "n": 80, "mean_ret": 0.0402, "median_ret": 0.0098 }, "Q3": { "wr": 0.575, "n": 80, "mean_ret": -0.0023, "median_ret": 0.0281 }, "Q4": { "wr": 0.5, "n": 80, "mean_ret": -0.0057, "median_ret": 0.0086 }, "Q5": { "wr": 0.588, "n": 80, "mean_ret": 0.0181, "median_ret": 0.025 } } }, "ret_2h": { "ic": 0.0054, "pval": 0.9144, "n": 396, "quintiles": { "Q1": { "wr": 0.512, "n": 80, "mean_ret": -0.0352, "median_ret": 0.0106 }, "Q2": { "wr": 0.544, "n": 79, "mean_ret": 0.1899, "median_ret": 0.0168 }, "Q3": { "wr": 0.532, "n": 79, "mean_ret": -0.0533, "median_ret": 0.0039 }, "Q4": { "wr": 0.506, "n": 79, "mean_ret": -0.0159, "median_ret": 0.0075 }, "Q5": { "wr": 0.557, "n": 79, "mean_ret": 0.0329, "median_ret": 0.0126 } } }, "ret_eod": { "ic": 0.0241, "pval": 0.6323, "n": 395, "quintiles": { "Q1": { "wr": 0.519, "n": 79, "mean_ret": -0.0265, "median_ret": 0.026 }, "Q2": { "wr": 0.544, "n": 79, "mean_ret": 0.1102, "median_ret": 0.0539 }, "Q3": { "wr": 0.506, "n": 79, "mean_ret": -0.0304, "median_ret": 0.0012 }, "Q4": { "wr": 0.557, "n": 79, "mean_ret": -0.011, "median_ret": 0.0502 }, "Q5": { "wr": 0.608, "n": 79, "mean_ret": 0.0517, "median_ret": 0.0347 } } } }, "persistent": { "n": 49, "ret_30m": { "ic": 0.1018, "pval": 0.4863, "n": 49, "quintiles": { "Q1": { "wr": 0.3, "n": 10, "mean_ret": -0.0222, "median_ret": -0.039 }, "Q2": { "wr": 0.8, "n": 10, "mean_ret": 0.0249, "median_ret": 0.0366 }, "Q3": { "wr": 0.667, "n": 9, "mean_ret": 0.0124, "median_ret": 0.0252 }, "Q4": { "wr": 0.8, "n": 10, "mean_ret": 0.0592, "median_ret": 0.0738 }, "Q5": { "wr": 0.4, "n": 10, "mean_ret": -0.0066, "median_ret": -0.0085 } } }, "ret_1h": { "ic": 0.147, "pval": 0.3134, "n": 49, "quintiles": { "Q1": { "wr": 0.6, "n": 10, "mean_ret": 0.0462, "median_ret": 0.0204 }, "Q2": { "wr": 0.6, "n": 10, "mean_ret": 0.023, "median_ret": 0.0632 }, "Q3": { "wr": 0.556, "n": 9, "mean_ret": 0.0081, "median_ret": 0.0123 }, "Q4": { "wr": 0.9, "n": 10, "mean_ret": 0.1303, "median_ret": 0.177 }, "Q5": { "wr": 0.6, "n": 10, "mean_ret": 0.0334, "median_ret": 0.0444 } } }, "ret_2h": { "ic": -0.0627, "pval": 0.6689, "n": 49, "quintiles": { "Q1": { "wr": 0.6, "n": 10, "mean_ret": 0.2489, "median_ret": 0.0803 }, "Q2": { "wr": 0.6, "n": 10, "mean_ret": 0.0097, "median_ret": 0.0695 }, "Q3": { "wr": 0.667, "n": 9, "mean_ret": 0.0544, "median_ret": 0.1157 }, "Q4": { "wr": 0.6, "n": 10, "mean_ret": 0.1055, "median_ret": 0.1313 }, "Q5": { "wr": 0.4, "n": 10, "mean_ret": -0.0141, "median_ret": -0.0275 } } }, "ret_eod": { "ic": -0.0808, "pval": 0.5809, "n": 49, "quintiles": { "Q1": { "wr": 0.8, "n": 10, "mean_ret": 0.435, "median_ret": 0.164 }, "Q2": { "wr": 0.6, "n": 10, "mean_ret": -0.0622, "median_ret": 0.0335 }, "Q3": { "wr": 0.778, "n": 9, "mean_ret": 0.0971, "median_ret": 0.1206 }, "Q4": { "wr": 0.7, "n": 10, "mean_ret": 0.1603, "median_ret": 0.1443 }, "Q5": { "wr": 0.5, "n": 10, "mean_ret": 0.0379, "median_ret": -0.0179 } } } }, "mixed": { "n": 351, "ret_30m": { "ic": -0.0389, "pval": 0.4676, "n": 351, "quintiles": { "Q1": { "wr": 0.521, "n": 71, "mean_ret": -0.0261, "median_ret": 0.0107 }, "Q2": { "wr": 0.629, "n": 70, "mean_ret": 0.0642, "median_ret": 0.0363 }, "Q3": { "wr": 0.543, "n": 70, "mean_ret": 0.0139, "median_ret": 0.0297 }, "Q4": { "wr": 0.571, "n": 70, "mean_ret": -0.003, "median_ret": 0.0075 }, "Q5": { "wr": 0.529, "n": 70, "mean_ret": -0.0031, "median_ret": 0.008 } } }, "ret_1h": { "ic": -0.0179, "pval": 0.738, "n": 351, "quintiles": { "Q1": { "wr": 0.437, "n": 71, "mean_ret": -0.0226, "median_ret": -0.0152 }, "Q2": { "wr": 0.514, "n": 70, "mean_ret": 0.0284, "median_ret": 0.0098 }, "Q3": { "wr": 0.586, "n": 70, "mean_ret": 0.0215, "median_ret": 0.0655 }, "Q4": { "wr": 0.486, "n": 70, "mean_ret": -0.0291, "median_ret": -0.004 }, "Q5": { "wr": 0.514, "n": 70, "mean_ret": -0.0091, "median_ret": 0.0033 } } }, "ret_2h": { "ic": -0.0092, "pval": 0.8642, "n": 347, "quintiles": { "Q1": { "wr": 0.529, "n": 70, "mean_ret": -0.0288, "median_ret": 0.025 }, "Q2": { "wr": 0.536, "n": 69, "mean_ret": 0.1654, "median_ret": 0.0138 }, "Q3": { "wr": 0.551, "n": 69, "mean_ret": -0.0184, "median_ret": 0.0124 }, "Q4": { "wr": 0.478, "n": 69, "mean_ret": -0.046, "median_ret": -0.0302 }, "Q5": { "wr": 0.529, "n": 70, "mean_ret": 0.0053, "median_ret": 0.0056 } } }, "ret_eod": { "ic": 0.024, "pval": 0.6561, "n": 346, "quintiles": { "Q1": { "wr": 0.5, "n": 70, "mean_ret": -0.0619, "median_ret": 0.0082 }, "Q2": { "wr": 0.551, "n": 69, "mean_ret": 0.0961, "median_ret": 0.0539 }, "Q3": { "wr": 0.493, "n": 69, "mean_ret": 0.0078, "median_ret": -0.0379 }, "Q4": { "wr": 0.565, "n": 69, "mean_ret": -0.0436, "median_ret": 0.0414 }, "Q5": { "wr": 0.536, "n": 69, "mean_ret": 0.0148, "median_ret": 0.0156 } } } }, "persistent_bull_ret_30m": { "n": 40, "mean_ret": 0.0182, "wr": 0.65 }, "persistent_bear_ret_30m": { "n": 9, "mean_ret": -0.0069, "wr": 0.333 }, "persistent_bull_ret_1h": { "n": 40, "mean_ret": 0.0427, "wr": 0.65 }, "persistent_bear_ret_1h": { "n": 9, "mean_ret": 0.0771, "wr": 0.667 }, "persistent_bull_ret_2h": { "n": 40, "mean_ret": 0.0484, "wr": 0.575 }, "persistent_bear_ret_2h": { "n": 9, "mean_ret": 0.2282, "wr": 0.556 }, "persistent_bull_ret_eod": { "n": 40, "mean_ret": 0.0647, "wr": 0.65 }, "persistent_bear_ret_eod": { "n": 9, "mean_ret": 0.4441, "wr": 0.778 } } }, "participant_breakdown": { "best_combination": "12:00 vs 11:00 (1hr)", "results": { "mm_gamma": { "IS": { "n": 243, "ret_30m": { "ic": -0.0403, "pval": 0.5317, "n": 243, "quintiles": { "Q1": { "wr": 0.653, "n": 49, "mean_ret": 0.0379, "median_ret": 0.0473 }, "Q2": { "wr": 0.458, "n": 48, "mean_ret": -0.0212, "median_ret": -0.0054 }, "Q3": { "wr": 0.592, "n": 49, "mean_ret": 0.0454, "median_ret": 0.0366 }, "Q4": { "wr": 0.625, "n": 48, "mean_ret": 0.009, "median_ret": 0.0132 }, "Q5": { "wr": 0.571, "n": 49, "mean_ret": 0.0011, "median_ret": 0.0215 } } }, "ret_1h": { "ic": 0.0015, "pval": 0.9816, "n": 243, "quintiles": { "Q1": { "wr": 0.633, "n": 49, "mean_ret": 0.021, "median_ret": 0.0649 }, "Q2": { "wr": 0.479, "n": 48, "mean_ret": 0.0038, "median_ret": -0.0218 }, "Q3": { "wr": 0.51, "n": 49, "mean_ret": 0.0241, "median_ret": 0.0044 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": -0.0089, "median_ret": -0.0109 }, "Q5": { "wr": 0.571, "n": 49, "mean_ret": 0.033, "median_ret": 0.067 } } }, "ret_2h": { "ic": -0.0242, "pval": 0.7086, "n": 240, "quintiles": { "Q1": { "wr": 0.521, "n": 48, "mean_ret": -0.013, "median_ret": 0.0235 }, "Q2": { "wr": 0.542, "n": 48, "mean_ret": 0.1078, "median_ret": 0.064 }, "Q3": { "wr": 0.542, "n": 48, "mean_ret": 0.1651, "median_ret": 0.0817 }, "Q4": { "wr": 0.458, "n": 48, "mean_ret": -0.0581, "median_ret": -0.0272 }, "Q5": { "wr": 0.438, "n": 48, "mean_ret": 0.0042, "median_ret": -0.0485 } } }, "ret_eod": { "ic": 0.002, "pval": 0.9748, "n": 240, "quintiles": { "Q1": { "wr": 0.458, "n": 48, "mean_ret": -0.0636, "median_ret": -0.0441 }, "Q2": { "wr": 0.625, "n": 48, "mean_ret": 0.1081, "median_ret": 0.174 }, "Q3": { "wr": 0.583, "n": 48, "mean_ret": 0.1904, "median_ret": 0.0697 }, "Q4": { "wr": 0.417, "n": 48, "mean_ret": -0.1206, "median_ret": -0.1069 }, "Q5": { "wr": 0.625, "n": 48, "mean_ret": 0.0596, "median_ret": 0.027 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": 0.088, "pval": 0.2657, "n": 162, "quintiles": { "Q1": { "wr": 0.515, "n": 33, "mean_ret": -0.0178, "median_ret": 0.0167 }, "Q2": { "wr": 0.375, "n": 32, "mean_ret": -0.0538, "median_ret": -0.029 }, "Q3": { "wr": 0.562, "n": 32, "mean_ret": 0.0229, "median_ret": 0.0413 }, "Q4": { "wr": 0.688, "n": 32, "mean_ret": 0.0543, "median_ret": 0.0731 }, "Q5": { "wr": 0.515, "n": 33, "mean_ret": 0.0055, "median_ret": 0.001 } } }, "ret_1h": { "ic": 0.0981, "pval": 0.2142, "n": 162, "quintiles": { "Q1": { "wr": 0.424, "n": 33, "mean_ret": -0.0522, "median_ret": -0.0386 }, "Q2": { "wr": 0.406, "n": 32, "mean_ret": -0.046, "median_ret": -0.0137 }, "Q3": { "wr": 0.594, "n": 32, "mean_ret": 0.013, "median_ret": 0.0319 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0354, "median_ret": 0.0577 }, "Q5": { "wr": 0.515, "n": 33, "mean_ret": -0.0136, "median_ret": 0.0021 } } }, "ret_2h": { "ic": 0.0586, "pval": 0.4629, "n": 159, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0271, "median_ret": 0.0006 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": -0.0286, "median_ret": 0.0586 }, "Q3": { "wr": 0.548, "n": 31, "mean_ret": 0.0051, "median_ret": 0.0088 }, "Q4": { "wr": 0.688, "n": 32, "mean_ret": 0.0341, "median_ret": 0.0616 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": -0.0122, "median_ret": 0.005 } } }, "ret_eod": { "ic": 0.1119, "pval": 0.1616, "n": 158, "quintiles": { "Q1": { "wr": 0.438, "n": 32, "mean_ret": -0.104, "median_ret": -0.0438 }, "Q2": { "wr": 0.516, "n": 31, "mean_ret": -0.0043, "median_ret": 0.0346 }, "Q3": { "wr": 0.625, "n": 32, "mean_ret": 0.0324, "median_ret": 0.112 }, "Q4": { "wr": 0.677, "n": 31, "mean_ret": 0.0447, "median_ret": 0.0414 }, "Q5": { "wr": 0.5, "n": 32, "mean_ret": 0.0018, "median_ret": 0.0173 } } } }, "ALL": { "n": 405, "ret_30m": { "ic": 0.0218, "pval": 0.6612, "n": 405, "quintiles": { "Q1": { "wr": 0.556, "n": 81, "mean_ret": -0.0011, "median_ret": 0.0224 }, "Q2": { "wr": 0.469, "n": 81, "mean_ret": -0.0151, "median_ret": -0.0055 }, "Q3": { "wr": 0.556, "n": 81, "mean_ret": 0.0305, "median_ret": 0.0335 }, "Q4": { "wr": 0.679, "n": 81, "mean_ret": 0.0255, "median_ret": 0.0384 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": 0.0083, "median_ret": 0.0088 } } }, "ret_1h": { "ic": 0.0408, "pval": 0.4125, "n": 405, "quintiles": { "Q1": { "wr": 0.543, "n": 81, "mean_ret": -0.0079, "median_ret": 0.0141 }, "Q2": { "wr": 0.481, "n": 81, "mean_ret": -0.0102, "median_ret": -0.0035 }, "Q3": { "wr": 0.494, "n": 81, "mean_ret": 0.0053, "median_ret": -0.005 }, "Q4": { "wr": 0.543, "n": 81, "mean_ret": 0.0169, "median_ret": 0.028 }, "Q5": { "wr": 0.556, "n": 81, "mean_ret": 0.0142, "median_ret": 0.0208 } } }, "ret_2h": { "ic": 0.0089, "pval": 0.8589, "n": 399, "quintiles": { "Q1": { "wr": 0.525, "n": 80, "mean_ret": -0.0296, "median_ret": 0.0189 }, "Q2": { "wr": 0.588, "n": 80, "mean_ret": 0.0815, "median_ret": 0.0707 }, "Q3": { "wr": 0.468, "n": 79, "mean_ret": 0.066, "median_ret": -0.0067 }, "Q4": { "wr": 0.537, "n": 80, "mean_ret": -0.0233, "median_ret": 0.0111 }, "Q5": { "wr": 0.512, "n": 80, "mean_ret": 0.0183, "median_ret": 0.0039 } } }, "ret_eod": { "ic": 0.0473, "pval": 0.3468, "n": 398, "quintiles": { "Q1": { "wr": 0.463, "n": 80, "mean_ret": -0.0952, "median_ret": -0.0372 }, "Q2": { "wr": 0.57, "n": 79, "mean_ret": 0.0862, "median_ret": 0.0727 }, "Q3": { "wr": 0.588, "n": 80, "mean_ret": 0.1111, "median_ret": 0.0896 }, "Q4": { "wr": 0.532, "n": 79, "mean_ret": -0.0391, "median_ret": 0.0167 }, "Q5": { "wr": 0.575, "n": 80, "mean_ret": 0.0297, "median_ret": 0.0256 } } } } }, "cust_gamma": { "IS": { "n": 243, "ret_30m": { "ic": 0.0703, "pval": 0.2752, "n": 243, "quintiles": { "Q1": { "wr": 0.531, "n": 49, "mean_ret": -0.0041, "median_ret": 0.0094 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": -0.0022, "median_ret": 0.0096 }, "Q3": { "wr": 0.612, "n": 49, "mean_ret": 0.0232, "median_ret": 0.0215 }, "Q4": { "wr": 0.646, "n": 48, "mean_ret": 0.0351, "median_ret": 0.0502 }, "Q5": { "wr": 0.551, "n": 49, "mean_ret": 0.0212, "median_ret": 0.0146 } } }, "ret_1h": { "ic": 0.0289, "pval": 0.6539, "n": 243, "quintiles": { "Q1": { "wr": 0.592, "n": 49, "mean_ret": 0.0243, "median_ret": 0.0645 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": -0.0063, "median_ret": -0.0016 }, "Q3": { "wr": 0.449, "n": 49, "mean_ret": 0.0173, "median_ret": -0.0449 }, "Q4": { "wr": 0.604, "n": 48, "mean_ret": 0.0326, "median_ret": 0.0963 }, "Q5": { "wr": 0.551, "n": 49, "mean_ret": 0.0057, "median_ret": 0.029 } } }, "ret_2h": { "ic": 0.0049, "pval": 0.9404, "n": 240, "quintiles": { "Q1": { "wr": 0.479, "n": 48, "mean_ret": 0.0184, "median_ret": -0.0247 }, "Q2": { "wr": 0.458, "n": 48, "mean_ret": -0.0316, "median_ret": -0.0187 }, "Q3": { "wr": 0.5, "n": 48, "mean_ret": 0.1896, "median_ret": -0.0188 }, "Q4": { "wr": 0.583, "n": 48, "mean_ret": 0.0158, "median_ret": 0.099 }, "Q5": { "wr": 0.479, "n": 48, "mean_ret": 0.0138, "median_ret": -0.0081 } } }, "ret_eod": { "ic": -0.0281, "pval": 0.6648, "n": 240, "quintiles": { "Q1": { "wr": 0.604, "n": 48, "mean_ret": 0.0554, "median_ret": 0.0304 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": -0.0105, "median_ret": -0.0141 }, "Q3": { "wr": 0.562, "n": 48, "mean_ret": 0.2092, "median_ret": 0.0495 }, "Q4": { "wr": 0.5, "n": 48, "mean_ret": -0.0898, "median_ret": -0.0027 }, "Q5": { "wr": 0.542, "n": 48, "mean_ret": 0.0095, "median_ret": 0.0641 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": -0.0394, "pval": 0.6187, "n": 162, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": 0.0137, "median_ret": 0.0013 }, "Q2": { "wr": 0.688, "n": 32, "mean_ret": 0.027, "median_ret": 0.0503 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": -0.0145, "median_ret": -0.0021 }, "Q4": { "wr": 0.438, "n": 32, "mean_ret": -0.0139, "median_ret": -0.0187 }, "Q5": { "wr": 0.485, "n": 33, "mean_ret": -0.0019, "median_ret": -0.0078 } } }, "ret_1h": { "ic": 0.0033, "pval": 0.9665, "n": 162, "quintiles": { "Q1": { "wr": 0.545, "n": 33, "mean_ret": -0.0007, "median_ret": 0.0056 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": -0.0136, "median_ret": -0.0022 }, "Q3": { "wr": 0.438, "n": 32, "mean_ret": -0.0193, "median_ret": -0.0189 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": -0.0066, "median_ret": 0.0252 }, "Q5": { "wr": 0.424, "n": 33, "mean_ret": -0.0245, "median_ret": -0.0073 } } }, "ret_2h": { "ic": -0.0165, "pval": 0.8363, "n": 159, "quintiles": { "Q1": { "wr": 0.688, "n": 32, "mean_ret": 0.0401, "median_ret": 0.0448 }, "Q2": { "wr": 0.438, "n": 32, "mean_ret": -0.0838, "median_ret": -0.0431 }, "Q3": { "wr": 0.548, "n": 31, "mean_ret": 0.0022, "median_ret": 0.0058 }, "Q4": { "wr": 0.719, "n": 32, "mean_ret": 0.0221, "median_ret": 0.0743 }, "Q5": { "wr": 0.438, "n": 32, "mean_ret": -0.0095, "median_ret": -0.0185 } } }, "ret_eod": { "ic": -0.0843, "pval": 0.2924, "n": 158, "quintiles": { "Q1": { "wr": 0.594, "n": 32, "mean_ret": 0.0552, "median_ret": 0.0636 }, "Q2": { "wr": 0.581, "n": 31, "mean_ret": -0.0271, "median_ret": 0.0075 }, "Q3": { "wr": 0.594, "n": 32, "mean_ret": 0.0088, "median_ret": 0.0607 }, "Q4": { "wr": 0.548, "n": 31, "mean_ret": 0.0095, "median_ret": 0.0517 }, "Q5": { "wr": 0.438, "n": 32, "mean_ret": -0.0776, "median_ret": -0.0509 } } } }, "ALL": { "n": 405, "ret_30m": { "ic": 0.0073, "pval": 0.8828, "n": 405, "quintiles": { "Q1": { "wr": 0.519, "n": 81, "mean_ret": -0.0049, "median_ret": 0.0013 }, "Q2": { "wr": 0.63, "n": 81, "mean_ret": 0.0132, "median_ret": 0.0281 }, "Q3": { "wr": 0.605, "n": 81, "mean_ret": 0.0206, "median_ret": 0.0335 }, "Q4": { "wr": 0.531, "n": 81, "mean_ret": 0.0185, "median_ret": 0.0055 }, "Q5": { "wr": 0.519, "n": 81, "mean_ret": 0.0006, "median_ret": 0.0279 } } }, "ret_1h": { "ic": 0.0087, "pval": 0.8615, "n": 405, "quintiles": { "Q1": { "wr": 0.543, "n": 81, "mean_ret": 0.0069, "median_ret": 0.0123 }, "Q2": { "wr": 0.531, "n": 81, "mean_ret": -0.0028, "median_ret": 0.0115 }, "Q3": { "wr": 0.481, "n": 81, "mean_ret": -0.0078, "median_ret": -0.0295 }, "Q4": { "wr": 0.543, "n": 81, "mean_ret": 0.0287, "median_ret": 0.0151 }, "Q5": { "wr": 0.519, "n": 81, "mean_ret": -0.0066, "median_ret": 0.022 } } }, "ret_2h": { "ic": -0.0022, "pval": 0.9646, "n": 399, "quintiles": { "Q1": { "wr": 0.55, "n": 80, "mean_ret": 0.0031, "median_ret": 0.011 }, "Q2": { "wr": 0.475, "n": 80, "mean_ret": -0.0206, "median_ret": -0.01 }, "Q3": { "wr": 0.532, "n": 79, "mean_ret": 0.1019, "median_ret": 0.0241 }, "Q4": { "wr": 0.575, "n": 80, "mean_ret": 0.0473, "median_ret": 0.054 }, "Q5": { "wr": 0.5, "n": 80, "mean_ret": -0.0185, "median_ret": 0.0011 } } }, "ret_eod": { "ic": -0.0517, "pval": 0.3032, "n": 398, "quintiles": { "Q1": { "wr": 0.6, "n": 80, "mean_ret": 0.0389, "median_ret": 0.0346 }, "Q2": { "wr": 0.544, "n": 79, "mean_ret": 0.0049, "median_ret": 0.0079 }, "Q3": { "wr": 0.537, "n": 80, "mean_ret": 0.0917, "median_ret": 0.0259 }, "Q4": { "wr": 0.557, "n": 79, "mean_ret": 0.0158, "median_ret": 0.0597 }, "Q5": { "wr": 0.487, "n": 80, "mean_ret": -0.0591, "median_ret": -0.0053 } } } } }, "firm_gamma": { "IS": { "n": 243, "ret_30m": { "ic": -0.0694, "pval": 0.2814, "n": 243, "quintiles": { "Q1": { "wr": 0.612, "n": 49, "mean_ret": 0.0189, "median_ret": 0.0335 }, "Q2": { "wr": 0.604, "n": 48, "mean_ret": 0.032, "median_ret": 0.035 }, "Q3": { "wr": 0.592, "n": 49, "mean_ret": 0.0309, "median_ret": 0.0224 }, "Q4": { "wr": 0.604, "n": 48, "mean_ret": -0.0152, "median_ret": 0.0391 }, "Q5": { "wr": 0.49, "n": 49, "mean_ret": 0.0062, "median_ret": -0.0076 } } }, "ret_1h": { "ic": 0.0002, "pval": 0.998, "n": 243, "quintiles": { "Q1": { "wr": 0.51, "n": 49, "mean_ret": 0.0195, "median_ret": 0.0394 }, "Q2": { "wr": 0.583, "n": 48, "mean_ret": -0.0031, "median_ret": 0.0712 }, "Q3": { "wr": 0.429, "n": 49, "mean_ret": 0.0388, "median_ret": -0.0341 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": 0.0095, "median_ret": 0.0281 }, "Q5": { "wr": 0.612, "n": 49, "mean_ret": 0.0083, "median_ret": 0.0177 } } }, "ret_2h": { "ic": -0.0257, "pval": 0.6922, "n": 240, "quintiles": { "Q1": { "wr": 0.479, "n": 48, "mean_ret": 0.0131, "median_ret": -0.0069 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": 0.048, "median_ret": 0.0019 }, "Q3": { "wr": 0.521, "n": 48, "mean_ret": 0.1777, "median_ret": 0.0126 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": 0.0089, "median_ret": 0.0375 }, "Q5": { "wr": 0.438, "n": 48, "mean_ret": -0.0418, "median_ret": -0.0428 } } }, "ret_eod": { "ic": -0.0356, "pval": 0.5828, "n": 240, "quintiles": { "Q1": { "wr": 0.583, "n": 48, "mean_ret": 0.0987, "median_ret": 0.0686 }, "Q2": { "wr": 0.5, "n": 48, "mean_ret": -0.0077, "median_ret": 0.003 }, "Q3": { "wr": 0.521, "n": 48, "mean_ret": 0.1467, "median_ret": 0.0566 }, "Q4": { "wr": 0.562, "n": 48, "mean_ret": -0.044, "median_ret": 0.0319 }, "Q5": { "wr": 0.542, "n": 48, "mean_ret": -0.0199, "median_ret": 0.0396 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": -0.076, "pval": 0.3363, "n": 162, "quintiles": { "Q1": { "wr": 0.606, "n": 33, "mean_ret": 0.0243, "median_ret": 0.0273 }, "Q2": { "wr": 0.5, "n": 32, "mean_ret": 0.0064, "median_ret": -0.0055 }, "Q3": { "wr": 0.5, "n": 32, "mean_ret": 0.0137, "median_ret": 0.0039 }, "Q4": { "wr": 0.5, "n": 32, "mean_ret": -0.0044, "median_ret": -0.0077 }, "Q5": { "wr": 0.545, "n": 33, "mean_ret": -0.029, "median_ret": 0.0039 } } }, "ret_1h": { "ic": -0.1144, "pval": 0.147, "n": 162, "quintiles": { "Q1": { "wr": 0.455, "n": 33, "mean_ret": -0.0355, "median_ret": -0.0206 }, "Q2": { "wr": 0.656, "n": 32, "mean_ret": 0.0452, "median_ret": 0.0431 }, "Q3": { "wr": 0.562, "n": 32, "mean_ret": 0.0169, "median_ret": 0.0316 }, "Q4": { "wr": 0.5, "n": 32, "mean_ret": -0.0228, "median_ret": -0.0007 }, "Q5": { "wr": 0.333, "n": 33, "mean_ret": -0.0662, "median_ret": -0.0407 } } }, "ret_2h": { "ic": 0.0034, "pval": 0.966, "n": 159, "quintiles": { "Q1": { "wr": 0.438, "n": 32, "mean_ret": -0.0457, "median_ret": -0.0094 }, "Q2": { "wr": 0.688, "n": 32, "mean_ret": 0.0512, "median_ret": 0.0659 }, "Q3": { "wr": 0.581, "n": 31, "mean_ret": 0.0135, "median_ret": 0.0676 }, "Q4": { "wr": 0.594, "n": 32, "mean_ret": -0.0067, "median_ret": 0.0142 }, "Q5": { "wr": 0.531, "n": 32, "mean_ret": -0.0408, "median_ret": 0.0338 } } }, "ret_eod": { "ic": 0.0109, "pval": 0.8914, "n": 158, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.099, "median_ret": -0.002 }, "Q2": { "wr": 0.548, "n": 31, "mean_ret": 0.0059, "median_ret": 0.0346 }, "Q3": { "wr": 0.656, "n": 32, "mean_ret": 0.0769, "median_ret": 0.0829 }, "Q4": { "wr": 0.548, "n": 31, "mean_ret": 0.0163, "median_ret": 0.0167 }, "Q5": { "wr": 0.5, "n": 32, "mean_ret": -0.0301, "median_ret": 0.0139 } } } }, "ALL": { "n": 405, "ret_30m": { "ic": -0.0691, "pval": 0.1653, "n": 405, "quintiles": { "Q1": { "wr": 0.593, "n": 81, "mean_ret": 0.0201, "median_ret": 0.0245 }, "Q2": { "wr": 0.568, "n": 81, "mean_ret": 0.0128, "median_ret": 0.0324 }, "Q3": { "wr": 0.568, "n": 81, "mean_ret": 0.0227, "median_ret": 0.0196 }, "Q4": { "wr": 0.568, "n": 81, "mean_ret": 0.0035, "median_ret": 0.016 }, "Q5": { "wr": 0.506, "n": 81, "mean_ret": -0.011, "median_ret": 0.0028 } } }, "ret_1h": { "ic": -0.0417, "pval": 0.4025, "n": 405, "quintiles": { "Q1": { "wr": 0.506, "n": 81, "mean_ret": 0.003, "median_ret": 0.0208 }, "Q2": { "wr": 0.543, "n": 81, "mean_ret": -0.0041, "median_ret": 0.0483 }, "Q3": { "wr": 0.506, "n": 81, "mean_ret": 0.024, "median_ret": 0.0122 }, "Q4": { "wr": 0.593, "n": 81, "mean_ret": 0.0253, "median_ret": 0.0302 }, "Q5": { "wr": 0.469, "n": 81, "mean_ret": -0.0299, "median_ret": -0.005 } } }, "ret_2h": { "ic": -0.0143, "pval": 0.7755, "n": 399, "quintiles": { "Q1": { "wr": 0.5, "n": 80, "mean_ret": -0.0047, "median_ret": -0.0015 }, "Q2": { "wr": 0.5, "n": 80, "mean_ret": 0.0164, "median_ret": 0.0042 }, "Q3": { "wr": 0.506, "n": 79, "mean_ret": 0.0974, "median_ret": 0.0039 }, "Q4": { "wr": 0.688, "n": 80, "mean_ret": 0.0616, "median_ret": 0.0859 }, "Q5": { "wr": 0.438, "n": 80, "mean_ret": -0.0575, "median_ret": -0.0321 } } }, "ret_eod": { "ic": -0.0125, "pval": 0.8038, "n": 398, "quintiles": { "Q1": { "wr": 0.562, "n": 80, "mean_ret": 0.0273, "median_ret": 0.0251 }, "Q2": { "wr": 0.506, "n": 79, "mean_ret": -0.0254, "median_ret": 0.0079 }, "Q3": { "wr": 0.525, "n": 80, "mean_ret": 0.0583, "median_ret": 0.0326 }, "Q4": { "wr": 0.633, "n": 79, "mean_ret": 0.0538, "median_ret": 0.0631 }, "Q5": { "wr": 0.5, "n": 80, "mean_ret": -0.0214, "median_ret": 0.0012 } } } } }, "total_gamma": { "IS": { "n": 243, "ret_30m": { "ic": -0.0378, "pval": 0.5573, "n": 243, "quintiles": { "Q1": { "wr": 0.551, "n": 49, "mean_ret": -0.0073, "median_ret": 0.0211 }, "Q2": { "wr": 0.562, "n": 48, "mean_ret": 0.0257, "median_ret": 0.0482 }, "Q3": { "wr": 0.571, "n": 49, "mean_ret": 0.0124, "median_ret": 0.0198 }, "Q4": { "wr": 0.583, "n": 48, "mean_ret": 0.0372, "median_ret": 0.0099 }, "Q5": { "wr": 0.633, "n": 49, "mean_ret": 0.0058, "median_ret": 0.0242 } } }, "ret_1h": { "ic": 0.0135, "pval": 0.8344, "n": 243, "quintiles": { "Q1": { "wr": 0.51, "n": 49, "mean_ret": 0.0003, "median_ret": 0.0044 }, "Q2": { "wr": 0.625, "n": 48, "mean_ret": 0.0697, "median_ret": 0.0681 }, "Q3": { "wr": 0.429, "n": 49, "mean_ret": -0.0641, "median_ret": -0.0616 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0391, "median_ret": 0.0188 }, "Q5": { "wr": 0.592, "n": 49, "mean_ret": 0.0302, "median_ret": 0.0446 } } }, "ret_2h": { "ic": -0.0772, "pval": 0.2337, "n": 240, "quintiles": { "Q1": { "wr": 0.604, "n": 48, "mean_ret": 0.0287, "median_ret": 0.0685 }, "Q2": { "wr": 0.521, "n": 48, "mean_ret": 0.2082, "median_ret": 0.0017 }, "Q3": { "wr": 0.458, "n": 48, "mean_ret": -0.0303, "median_ret": -0.0109 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0212, "median_ret": 0.0438 }, "Q5": { "wr": 0.375, "n": 48, "mean_ret": -0.0218, "median_ret": -0.0518 } } }, "ret_eod": { "ic": -0.0627, "pval": 0.3336, "n": 240, "quintiles": { "Q1": { "wr": 0.521, "n": 48, "mean_ret": -0.0108, "median_ret": 0.0406 }, "Q2": { "wr": 0.604, "n": 48, "mean_ret": 0.2655, "median_ret": 0.1114 }, "Q3": { "wr": 0.521, "n": 48, "mean_ret": -0.0579, "median_ret": 0.0725 }, "Q4": { "wr": 0.542, "n": 48, "mean_ret": 0.0178, "median_ret": 0.0365 }, "Q5": { "wr": 0.521, "n": 48, "mean_ret": -0.0407, "median_ret": 0.0027 } } } }, "OOS": { "n": 162, "ret_30m": { "ic": 0.0223, "pval": 0.7781, "n": 162, "quintiles": { "Q1": { "wr": 0.364, "n": 33, "mean_ret": -0.0534, "median_ret": -0.0366 }, "Q2": { "wr": 0.625, "n": 32, "mean_ret": 0.0215, "median_ret": 0.036 }, "Q3": { "wr": 0.625, "n": 32, "mean_ret": 0.0244, "median_ret": 0.0366 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0148, "median_ret": 0.0183 }, "Q5": { "wr": 0.485, "n": 33, "mean_ret": 0.005, "median_ret": -0.0025 } } }, "ret_1h": { "ic": 0.1274, "pval": 0.1062, "n": 162, "quintiles": { "Q1": { "wr": 0.394, "n": 33, "mean_ret": -0.1057, "median_ret": -0.0739 }, "Q2": { "wr": 0.562, "n": 32, "mean_ret": 0.0058, "median_ret": 0.0122 }, "Q3": { "wr": 0.562, "n": 32, "mean_ret": 0.0143, "median_ret": 0.0252 }, "Q4": { "wr": 0.469, "n": 32, "mean_ret": -0.0062, "median_ret": -0.0018 }, "Q5": { "wr": 0.515, "n": 33, "mean_ret": 0.0289, "median_ret": 0.0208 } } }, "ret_2h": { "ic": 0.0268, "pval": 0.7374, "n": 159, "quintiles": { "Q1": { "wr": 0.531, "n": 32, "mean_ret": -0.1045, "median_ret": 0.0079 }, "Q2": { "wr": 0.656, "n": 32, "mean_ret": 0.0214, "median_ret": 0.0784 }, "Q3": { "wr": 0.581, "n": 31, "mean_ret": 0.0036, "median_ret": 0.0097 }, "Q4": { "wr": 0.562, "n": 32, "mean_ret": 0.0025, "median_ret": 0.0428 }, "Q5": { "wr": 0.5, "n": 32, "mean_ret": 0.0482, "median_ret": 0.0061 } } }, "ret_eod": { "ic": 0.0152, "pval": 0.8494, "n": 158, "quintiles": { "Q1": { "wr": 0.5, "n": 32, "mean_ret": -0.0666, "median_ret": -0.0006 }, "Q2": { "wr": 0.645, "n": 31, "mean_ret": 0.0305, "median_ret": 0.0807 }, "Q3": { "wr": 0.562, "n": 32, "mean_ret": -0.0166, "median_ret": 0.0255 }, "Q4": { "wr": 0.581, "n": 31, "mean_ret": -0.0102, "median_ret": 0.0421 }, "Q5": { "wr": 0.469, "n": 32, "mean_ret": 0.0328, "median_ret": -0.0286 } } } }, "ALL": { "n": 405, "ret_30m": { "ic": -0.0102, "pval": 0.8382, "n": 405, "quintiles": { "Q1": { "wr": 0.531, "n": 81, "mean_ret": -0.0077, "median_ret": 0.0168 }, "Q2": { "wr": 0.494, "n": 81, "mean_ret": -0.0074, "median_ret": -0.0018 }, "Q3": { "wr": 0.654, "n": 81, "mean_ret": 0.0338, "median_ret": 0.0357 }, "Q4": { "wr": 0.605, "n": 81, "mean_ret": 0.0289, "median_ret": 0.0361 }, "Q5": { "wr": 0.519, "n": 81, "mean_ret": 0.0006, "median_ret": 0.0084 } } }, "ret_1h": { "ic": 0.053, "pval": 0.2871, "n": 405, "quintiles": { "Q1": { "wr": 0.481, "n": 81, "mean_ret": -0.0201, "median_ret": -0.0236 }, "Q2": { "wr": 0.543, "n": 81, "mean_ret": -0.0019, "median_ret": 0.029 }, "Q3": { "wr": 0.494, "n": 81, "mean_ret": -0.0081, "median_ret": -0.0166 }, "Q4": { "wr": 0.556, "n": 81, "mean_ret": 0.0239, "median_ret": 0.0255 }, "Q5": { "wr": 0.543, "n": 81, "mean_ret": 0.0245, "median_ret": 0.0247 } } }, "ret_2h": { "ic": -0.0291, "pval": 0.5615, "n": 399, "quintiles": { "Q1": { "wr": 0.6, "n": 80, "mean_ret": 0.0064, "median_ret": 0.0566 }, "Q2": { "wr": 0.5, "n": 80, "mean_ret": 0.0792, "median_ret": -0.0031 }, "Q3": { "wr": 0.532, "n": 79, "mean_ret": 0.0013, "median_ret": 0.0098 }, "Q4": { "wr": 0.525, "n": 80, "mean_ret": 0.0138, "median_ret": 0.0063 }, "Q5": { "wr": 0.475, "n": 80, "mean_ret": 0.0114, "median_ret": -0.0028 } } }, "ret_eod": { "ic": -0.0388, "pval": 0.4398, "n": 398, "quintiles": { "Q1": { "wr": 0.537, "n": 80, "mean_ret": 0.0052, "median_ret": 0.04 }, "Q2": { "wr": 0.57, "n": 79, "mean_ret": 0.1231, "median_ret": 0.0347 }, "Q3": { "wr": 0.537, "n": 80, "mean_ret": -0.0398, "median_ret": 0.033 }, "Q4": { "wr": 0.57, "n": 79, "mean_ret": 0.0117, "median_ret": 0.0328 }, "Q5": { "wr": 0.512, "n": 80, "mean_ret": -0.0065, "median_ret": 0.0047 } } } } } } } }