{ "Uncorrupted": { "mm_shift": { "10:00\u219210:30": { "30m": { "ic_full": 0.0482, "pval_full": 0.4345, "n_full": 265, "ic_is": 0.1281, "n_is": 159, "ic_oos": -0.0602, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.4717, "n": 53, "mean_ret": -0.000168 }, "Q2": { "wr": 0.5283, "n": 53, "mean_ret": -0.000389 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": 0.00026 }, "Q4": { "wr": 0.5849, "n": 53, "mean_ret": 0.000122 }, "Q5": { "wr": 0.566, "n": 53, "mean_ret": -0.000133 } } }, "1h": { "ic_full": 0.0331, "pval_full": 0.5917, "n_full": 265, "ic_is": 0.1071, "n_is": 159, "ic_oos": -0.0862, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.4528, "n": 53, "mean_ret": -0.000157 }, "Q2": { "wr": 0.5094, "n": 53, "mean_ret": -0.000476 }, "Q3": { "wr": 0.5849, "n": 53, "mean_ret": 0.000102 }, "Q4": { "wr": 0.5094, "n": 53, "mean_ret": 0.00019 }, "Q5": { "wr": 0.5472, "n": 53, "mean_ret": -0.000121 } } }, "2h": { "ic_full": 0.0715, "pval_full": 0.2462, "n_full": 265, "ic_is": 0.0877, "n_is": 159, "ic_oos": 0.0697, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.4528, "n": 53, "mean_ret": -0.000381 }, "Q2": { "wr": 0.5094, "n": 53, "mean_ret": -0.000598 }, "Q3": { "wr": 0.5472, "n": 53, "mean_ret": 0.000391 }, "Q4": { "wr": 0.5283, "n": 53, "mean_ret": 0.000273 }, "Q5": { "wr": 0.6226, "n": 53, "mean_ret": 0.000296 } } } }, "10:30\u219211:00": { "30m": { "ic_full": -0.0187, "pval_full": 0.7614, "n_full": 265, "ic_is": 0.0032, "n_is": 159, "ic_oos": -0.054, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5849, "n": 53, "mean_ret": -6.7e-05 }, "Q2": { "wr": 0.5849, "n": 53, "mean_ret": 0.000123 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": 7.3e-05 }, "Q4": { "wr": 0.434, "n": 53, "mean_ret": -0.00015 }, "Q5": { "wr": 0.6604, "n": 53, "mean_ret": -0.000133 } } }, "1h": { "ic_full": 0.018, "pval_full": 0.7704, "n_full": 265, "ic_is": 0.0305, "n_is": 159, "ic_oos": 0.0165, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5849, "n": 53, "mean_ret": 0.00013 }, "Q2": { "wr": 0.5094, "n": 53, "mean_ret": -0.000353 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": -0.000218 }, "Q4": { "wr": 0.5472, "n": 53, "mean_ret": 0.000321 }, "Q5": { "wr": 0.5849, "n": 53, "mean_ret": 9.5e-05 } } }, "2h": { "ic_full": 0.0647, "pval_full": 0.294, "n_full": 265, "ic_is": 0.0995, "n_is": 159, "ic_oos": 0.0088, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6415, "n": 53, "mean_ret": -0.000198 }, "Q2": { "wr": 0.4151, "n": 53, "mean_ret": 0.000144 }, "Q3": { "wr": 0.4528, "n": 53, "mean_ret": -0.000193 }, "Q4": { "wr": 0.4906, "n": 53, "mean_ret": 0.000196 }, "Q5": { "wr": 0.7358, "n": 53, "mean_ret": 0.000388 } } } }, "11:00\u219211:30": { "30m": { "ic_full": 0.0595, "pval_full": 0.3335, "n_full": 266, "ic_is": 0.035, "n_is": 160, "ic_oos": 0.1093, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.4815, "n": 54, "mean_ret": -0.000143 }, "Q2": { "wr": 0.6038, "n": 53, "mean_ret": 0.000296 }, "Q3": { "wr": 0.3774, "n": 53, "mean_ret": -0.000692 }, "Q4": { "wr": 0.5849, "n": 53, "mean_ret": 0.000346 }, "Q5": { "wr": 0.6415, "n": 53, "mean_ret": 0.000306 } } }, "1h": { "ic_full": 0.091, "pval_full": 0.139, "n_full": 266, "ic_is": 0.1036, "n_is": 160, "ic_oos": 0.0959, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.4815, "n": 54, "mean_ret": -0.000144 }, "Q2": { "wr": 0.4528, "n": 53, "mean_ret": -0.000157 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": -2.7e-05 }, "Q4": { "wr": 0.6038, "n": 53, "mean_ret": 0.000285 }, "Q5": { "wr": 0.6415, "n": 53, "mean_ret": 0.000481 } } }, "2h": { "ic_full": 0.1088, "pval_full": 0.0787, "n_full": 262, "ic_is": 0.1469, "n_is": 157, "ic_oos": 0.0804, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.434, "n": 53, "mean_ret": -0.000527 }, "Q2": { "wr": 0.5769, "n": 52, "mean_ret": -0.00071 }, "Q3": { "wr": 0.4808, "n": 52, "mean_ret": 0.001046 }, "Q4": { "wr": 0.5192, "n": 52, "mean_ret": -4.5e-05 }, "Q5": { "wr": 0.6981, "n": 53, "mean_ret": 0.000863 } } } }, "14:00\u219214:30": { "30m": { "ic_full": 0.0369, "pval_full": 0.5513, "n_full": 263, "ic_is": 0.0591, "n_is": 157, "ic_oos": -0.0394, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.4906, "n": 53, "mean_ret": 5.3e-05 }, "Q2": { "wr": 0.4615, "n": 52, "mean_ret": 6.2e-05 }, "Q3": { "wr": 0.4151, "n": 53, "mean_ret": -0.000411 }, "Q4": { "wr": 0.4808, "n": 52, "mean_ret": -0.000274 }, "Q5": { "wr": 0.6415, "n": 53, "mean_ret": 0.000197 } } }, "1h": { "ic_full": 0.0564, "pval_full": 0.3633, "n_full": 262, "ic_is": 0.0953, "n_is": 157, "ic_oos": -0.0393, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.5094, "n": 53, "mean_ret": 2.4e-05 }, "Q2": { "wr": 0.4038, "n": 52, "mean_ret": -0.000346 }, "Q3": { "wr": 0.5, "n": 52, "mean_ret": -0.000104 }, "Q4": { "wr": 0.4615, "n": 52, "mean_ret": -2.3e-05 }, "Q5": { "wr": 0.6038, "n": 53, "mean_ret": 0.00026 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "cust_shift": { "10:00\u219210:30": { "30m": { "ic_full": -0.0439, "pval_full": 0.4766, "n_full": 265, "ic_is": -0.1638, "n_is": 159, "ic_oos": 0.1156, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5472, "n": 53, "mean_ret": -0.000222 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": 0.000402 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": 7.1e-05 }, "Q4": { "wr": 0.5094, "n": 53, "mean_ret": -0.000545 }, "Q5": { "wr": 0.5094, "n": 53, "mean_ret": -1.4e-05 } } }, "1h": { "ic_full": -0.0316, "pval_full": 0.608, "n_full": 265, "ic_is": -0.1356, "n_is": 159, "ic_oos": 0.1209, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5094, "n": 53, "mean_ret": -0.000281 }, "Q2": { "wr": 0.5849, "n": 53, "mean_ret": 0.000513 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": -0.000206 }, "Q4": { "wr": 0.5283, "n": 53, "mean_ret": -0.000275 }, "Q5": { "wr": 0.4906, "n": 53, "mean_ret": -0.000213 } } }, "2h": { "ic_full": -0.0313, "pval_full": 0.6124, "n_full": 265, "ic_is": -0.0575, "n_is": 159, "ic_oos": -0.021, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5472, "n": 53, "mean_ret": 9.3e-05 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": 0.000298 }, "Q3": { "wr": 0.4717, "n": 53, "mean_ret": -0.000157 }, "Q4": { "wr": 0.5849, "n": 53, "mean_ret": -6.5e-05 }, "Q5": { "wr": 0.4906, "n": 53, "mean_ret": -0.000186 } } } }, "10:30\u219211:00": { "30m": { "ic_full": -0.0011, "pval_full": 0.9856, "n_full": 265, "ic_is": -0.0259, "n_is": 159, "ic_oos": 0.0282, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6604, "n": 53, "mean_ret": -7.5e-05 }, "Q2": { "wr": 0.4717, "n": 53, "mean_ret": -4.8e-05 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": 4.4e-05 }, "Q4": { "wr": 0.5283, "n": 53, "mean_ret": -5.8e-05 }, "Q5": { "wr": 0.5849, "n": 53, "mean_ret": -1.6e-05 } } }, "1h": { "ic_full": 0.0001, "pval_full": 0.9991, "n_full": 265, "ic_is": 0.0285, "n_is": 159, "ic_oos": -0.0525, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6038, "n": 53, "mean_ret": 9.4e-05 }, "Q2": { "wr": 0.4528, "n": 53, "mean_ret": 0.000133 }, "Q3": { "wr": 0.5283, "n": 53, "mean_ret": -0.000451 }, "Q4": { "wr": 0.6226, "n": 53, "mean_ret": 0.000133 }, "Q5": { "wr": 0.5283, "n": 53, "mean_ret": 6.6e-05 } } }, "2h": { "ic_full": -0.0649, "pval_full": 0.2924, "n_full": 265, "ic_is": -0.0885, "n_is": 159, "ic_oos": -0.051, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.7358, "n": 53, "mean_ret": 0.000323 }, "Q2": { "wr": 0.4717, "n": 53, "mean_ret": 0.000313 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": -9.6e-05 }, "Q4": { "wr": 0.434, "n": 53, "mean_ret": -0.000251 }, "Q5": { "wr": 0.5849, "n": 53, "mean_ret": 4.7e-05 } } } }, "11:00\u219211:30": { "30m": { "ic_full": -0.0476, "pval_full": 0.4399, "n_full": 266, "ic_is": 0.0004, "n_is": 160, "ic_oos": -0.1411, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6296, "n": 54, "mean_ret": 0.000242 }, "Q2": { "wr": 0.5094, "n": 53, "mean_ret": 2e-06 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": -0.00022 }, "Q4": { "wr": 0.5094, "n": 53, "mean_ret": -1.1e-05 }, "Q5": { "wr": 0.5472, "n": 53, "mean_ret": 9.2e-05 } } }, "1h": { "ic_full": -0.0495, "pval_full": 0.4211, "n_full": 266, "ic_is": -0.0304, "n_is": 160, "ic_oos": -0.0941, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5926, "n": 54, "mean_ret": 0.000169 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": -4e-06 }, "Q3": { "wr": 0.566, "n": 53, "mean_ret": 0.00026 }, "Q4": { "wr": 0.4717, "n": 53, "mean_ret": 2.2e-05 }, "Q5": { "wr": 0.4906, "n": 53, "mean_ret": -1.5e-05 } } }, "2h": { "ic_full": -0.0704, "pval_full": 0.256, "n_full": 262, "ic_is": -0.0899, "n_is": 157, "ic_oos": -0.0626, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.5849, "n": 53, "mean_ret": 0.000119 }, "Q2": { "wr": 0.6154, "n": 52, "mean_ret": 0.000213 }, "Q3": { "wr": 0.5385, "n": 52, "mean_ret": 0.0015 }, "Q4": { "wr": 0.5, "n": 52, "mean_ret": -0.00107 }, "Q5": { "wr": 0.4717, "n": 53, "mean_ret": -0.000129 } } } }, "14:00\u219214:30": { "30m": { "ic_full": 0.0077, "pval_full": 0.9011, "n_full": 263, "ic_is": -0.0454, "n_is": 157, "ic_oos": 0.1044, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5283, "n": 53, "mean_ret": -1.4e-05 }, "Q2": { "wr": 0.4808, "n": 52, "mean_ret": -0.000151 }, "Q3": { "wr": 0.5849, "n": 53, "mean_ret": -0.000103 }, "Q4": { "wr": 0.4423, "n": 52, "mean_ret": -0.000115 }, "Q5": { "wr": 0.4528, "n": 53, "mean_ret": 9e-06 } } }, "1h": { "ic_full": -0.0467, "pval_full": 0.4516, "n_full": 262, "ic_is": -0.0814, "n_is": 157, "ic_oos": 0.0221, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.5283, "n": 53, "mean_ret": 0.000183 }, "Q2": { "wr": 0.5577, "n": 52, "mean_ret": 0.000299 }, "Q3": { "wr": 0.4615, "n": 52, "mean_ret": -0.00028 }, "Q4": { "wr": 0.4038, "n": 52, "mean_ret": -0.000336 }, "Q5": { "wr": 0.5283, "n": 53, "mean_ret": -5.2e-05 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "firm_shift": { "10:00\u219210:30": { "30m": { "ic_full": -0.0896, "pval_full": 0.1457, "n_full": 265, "ic_is": -0.0993, "n_is": 159, "ic_oos": -0.0932, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5283, "n": 53, "mean_ret": -4.3e-05 }, "Q2": { "wr": 0.5849, "n": 53, "mean_ret": 5.6e-05 }, "Q3": { "wr": 0.6226, "n": 53, "mean_ret": 3.8e-05 }, "Q4": { "wr": 0.5094, "n": 53, "mean_ret": -7.4e-05 }, "Q5": { "wr": 0.3962, "n": 53, "mean_ret": -0.000285 } } }, "1h": { "ic_full": -0.0367, "pval_full": 0.5514, "n_full": 265, "ic_is": -0.0636, "n_is": 159, "ic_oos": -0.0069, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5472, "n": 53, "mean_ret": -0.000103 }, "Q2": { "wr": 0.5472, "n": 53, "mean_ret": 6.9e-05 }, "Q3": { "wr": 0.5472, "n": 53, "mean_ret": -0.000291 }, "Q4": { "wr": 0.5472, "n": 53, "mean_ret": -5.2e-05 }, "Q5": { "wr": 0.4151, "n": 53, "mean_ret": -8.6e-05 } } }, "2h": { "ic_full": -0.1522, "pval_full": 0.0131, "n_full": 265, "ic_is": -0.1699, "n_is": 159, "ic_oos": -0.1582, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6038, "n": 53, "mean_ret": 0.000348 }, "Q2": { "wr": 0.6981, "n": 53, "mean_ret": 0.000771 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": -0.000148 }, "Q4": { "wr": 0.4906, "n": 53, "mean_ret": -0.000525 }, "Q5": { "wr": 0.3774, "n": 53, "mean_ret": -0.000465 } } } }, "10:30\u219211:00": { "30m": { "ic_full": 0.0466, "pval_full": 0.4501, "n_full": 265, "ic_is": 0.0244, "n_is": 159, "ic_oos": 0.0682, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5283, "n": 53, "mean_ret": -0.000225 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": -0.000143 }, "Q3": { "wr": 0.566, "n": 53, "mean_ret": -5.7e-05 }, "Q4": { "wr": 0.5849, "n": 53, "mean_ret": 0.00014 }, "Q5": { "wr": 0.5094, "n": 53, "mean_ret": 0.000132 } } }, "1h": { "ic_full": 0.0267, "pval_full": 0.6649, "n_full": 265, "ic_is": -0.0755, "n_is": 159, "ic_oos": 0.1806, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5472, "n": 53, "mean_ret": -0.000162 }, "Q2": { "wr": 0.6415, "n": 53, "mean_ret": 0.00021 }, "Q3": { "wr": 0.4528, "n": 53, "mean_ret": -0.000256 }, "Q4": { "wr": 0.5283, "n": 53, "mean_ret": -0.000125 }, "Q5": { "wr": 0.566, "n": 53, "mean_ret": 0.000308 } } }, "2h": { "ic_full": 0.0259, "pval_full": 0.6752, "n_full": 265, "ic_is": -0.0366, "n_is": 159, "ic_oos": 0.1469, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5283, "n": 53, "mean_ret": -0.000346 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": 0.000379 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": -0.000236 }, "Q4": { "wr": 0.6038, "n": 53, "mean_ret": 0.000487 }, "Q5": { "wr": 0.5283, "n": 53, "mean_ret": 5.1e-05 } } } }, "11:00\u219211:30": { "30m": { "ic_full": -0.0178, "pval_full": 0.7732, "n_full": 266, "ic_is": -0.0934, "n_is": 160, "ic_oos": 0.1042, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5926, "n": 54, "mean_ret": 7.7e-05 }, "Q2": { "wr": 0.6226, "n": 53, "mean_ret": 0.000706 }, "Q3": { "wr": 0.3585, "n": 53, "mean_ret": -0.000879 }, "Q4": { "wr": 0.566, "n": 53, "mean_ret": -1e-06 }, "Q5": { "wr": 0.5472, "n": 53, "mean_ret": 0.000205 } } }, "1h": { "ic_full": -0.0594, "pval_full": 0.3343, "n_full": 266, "ic_is": -0.0953, "n_is": 160, "ic_oos": -0.0161, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5741, "n": 54, "mean_ret": 0.000113 }, "Q2": { "wr": 0.6226, "n": 53, "mean_ret": 0.00114 }, "Q3": { "wr": 0.4151, "n": 53, "mean_ret": -0.001123 }, "Q4": { "wr": 0.6038, "n": 53, "mean_ret": 0.00029 }, "Q5": { "wr": 0.4717, "n": 53, "mean_ret": 1.3e-05 } } }, "2h": { "ic_full": -0.0798, "pval_full": 0.1981, "n_full": 262, "ic_is": -0.122, "n_is": 157, "ic_oos": -0.0284, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.566, "n": 53, "mean_ret": 0.000305 }, "Q2": { "wr": 0.5769, "n": 52, "mean_ret": 0.000792 }, "Q3": { "wr": 0.5192, "n": 52, "mean_ret": 0.000277 }, "Q4": { "wr": 0.5192, "n": 52, "mean_ret": -0.000375 }, "Q5": { "wr": 0.5283, "n": 53, "mean_ret": -0.000365 } } } }, "14:00\u219214:30": { "30m": { "ic_full": -0.0301, "pval_full": 0.6265, "n_full": 263, "ic_is": -0.0293, "n_is": 157, "ic_oos": -0.0113, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5283, "n": 53, "mean_ret": -5.2e-05 }, "Q2": { "wr": 0.5, "n": 52, "mean_ret": -0.000296 }, "Q3": { "wr": 0.6038, "n": 53, "mean_ret": 0.000147 }, "Q4": { "wr": 0.4615, "n": 52, "mean_ret": -0.000119 }, "Q5": { "wr": 0.3962, "n": 53, "mean_ret": -5.7e-05 } } }, "1h": { "ic_full": 0.0228, "pval_full": 0.7128, "n_full": 262, "ic_is": -0.0003, "n_is": 157, "ic_oos": 0.1149, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.4906, "n": 53, "mean_ret": -0.00016 }, "Q2": { "wr": 0.4808, "n": 52, "mean_ret": -0.000756 }, "Q3": { "wr": 0.5769, "n": 52, "mean_ret": 0.000708 }, "Q4": { "wr": 0.5385, "n": 52, "mean_ret": 4.8e-05 }, "Q5": { "wr": 0.3962, "n": 53, "mean_ret": -2.2e-05 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "procust_shift": { "10:00\u219210:30": { "30m": { "ic_full": -0.0402, "pval_full": 0.5146, "n_full": 265, "ic_is": -0.0624, "n_is": 159, "ic_oos": 0.0039, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.566, "n": 53, "mean_ret": 2.6e-05 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": 9e-06 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": -1.4e-05 }, "Q4": { "wr": 0.5283, "n": 53, "mean_ret": 0.000148 }, "Q5": { "wr": 0.4717, "n": 53, "mean_ret": -0.000477 } } }, "1h": { "ic_full": -0.0751, "pval_full": 0.223, "n_full": 265, "ic_is": -0.1359, "n_is": 159, "ic_oos": -0.0192, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5283, "n": 53, "mean_ret": -0.000144 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": 6e-05 }, "Q3": { "wr": 0.5472, "n": 53, "mean_ret": 0.000271 }, "Q4": { "wr": 0.566, "n": 53, "mean_ret": 0.000343 }, "Q5": { "wr": 0.3962, "n": 53, "mean_ret": -0.000993 } } }, "2h": { "ic_full": -0.038, "pval_full": 0.5384, "n_full": 265, "ic_is": -0.0313, "n_is": 159, "ic_oos": -0.0271, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.566, "n": 53, "mean_ret": 3e-06 }, "Q2": { "wr": 0.5472, "n": 53, "mean_ret": -0.00017 }, "Q3": { "wr": 0.5472, "n": 53, "mean_ret": 0.000459 }, "Q4": { "wr": 0.566, "n": 53, "mean_ret": 0.000431 }, "Q5": { "wr": 0.434, "n": 53, "mean_ret": -0.000741 } } } }, "10:30\u219211:00": { "30m": { "ic_full": 0.0286, "pval_full": 0.6426, "n_full": 265, "ic_is": 0.0415, "n_is": 159, "ic_oos": -0.0088, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6226, "n": 53, "mean_ret": 0.000101 }, "Q2": { "wr": 0.4151, "n": 53, "mean_ret": -0.000305 }, "Q3": { "wr": 0.6226, "n": 53, "mean_ret": 0.000377 }, "Q4": { "wr": 0.5094, "n": 53, "mean_ret": 2.9e-05 }, "Q5": { "wr": 0.5849, "n": 53, "mean_ret": -0.000355 } } }, "1h": { "ic_full": -0.0368, "pval_full": 0.5509, "n_full": 265, "ic_is": 0.0056, "n_is": 159, "ic_oos": -0.0991, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6981, "n": 53, "mean_ret": 0.000594 }, "Q2": { "wr": 0.434, "n": 53, "mean_ret": -0.000468 }, "Q3": { "wr": 0.5283, "n": 53, "mean_ret": 0.000175 }, "Q4": { "wr": 0.566, "n": 53, "mean_ret": 0.000104 }, "Q5": { "wr": 0.5094, "n": 53, "mean_ret": -0.00043 } } }, "2h": { "ic_full": -0.0146, "pval_full": 0.8131, "n_full": 265, "ic_is": 0.0479, "n_is": 159, "ic_oos": -0.0949, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6792, "n": 53, "mean_ret": 0.000608 }, "Q2": { "wr": 0.5094, "n": 53, "mean_ret": -0.000412 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": 8.6e-05 }, "Q4": { "wr": 0.4906, "n": 53, "mean_ret": -7.8e-05 }, "Q5": { "wr": 0.5472, "n": 53, "mean_ret": 0.00013 } } } }, "11:00\u219211:30": { "30m": { "ic_full": 0.0144, "pval_full": 0.8151, "n_full": 266, "ic_is": -0.0025, "n_is": 160, "ic_oos": 0.0766, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5, "n": 54, "mean_ret": 5.3e-05 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": 4.9e-05 }, "Q3": { "wr": 0.5472, "n": 53, "mean_ret": 6e-06 }, "Q4": { "wr": 0.4717, "n": 53, "mean_ret": -0.000224 }, "Q5": { "wr": 0.6038, "n": 53, "mean_ret": 0.000225 } } }, "1h": { "ic_full": 0.0249, "pval_full": 0.6855, "n_full": 266, "ic_is": 0.0237, "n_is": 160, "ic_oos": 0.0397, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5, "n": 54, "mean_ret": 6e-06 }, "Q2": { "wr": 0.4906, "n": 53, "mean_ret": -3.4e-05 }, "Q3": { "wr": 0.566, "n": 53, "mean_ret": -2.9e-05 }, "Q4": { "wr": 0.5849, "n": 53, "mean_ret": 0.000331 }, "Q5": { "wr": 0.5472, "n": 53, "mean_ret": 0.000161 } } }, "2h": { "ic_full": 0.0141, "pval_full": 0.8197, "n_full": 262, "ic_is": 0.0333, "n_is": 157, "ic_oos": 0.0051, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.566, "n": 53, "mean_ret": -9.3e-05 }, "Q2": { "wr": 0.5, "n": 52, "mean_ret": 0.000268 }, "Q3": { "wr": 0.5385, "n": 52, "mean_ret": -0.000983 }, "Q4": { "wr": 0.5385, "n": 52, "mean_ret": 0.001447 }, "Q5": { "wr": 0.566, "n": 53, "mean_ret": -5e-06 } } } }, "14:00\u219214:30": { "30m": { "ic_full": -0.038, "pval_full": 0.5395, "n_full": 263, "ic_is": -0.0513, "n_is": 157, "ic_oos": 0.0012, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5094, "n": 53, "mean_ret": 3.5e-05 }, "Q2": { "wr": 0.5, "n": 52, "mean_ret": -0.000118 }, "Q3": { "wr": 0.5472, "n": 53, "mean_ret": -7.8e-05 }, "Q4": { "wr": 0.5192, "n": 52, "mean_ret": -0.000159 }, "Q5": { "wr": 0.4151, "n": 53, "mean_ret": -5.5e-05 } } }, "1h": { "ic_full": -0.005, "pval_full": 0.9362, "n_full": 262, "ic_is": -0.0273, "n_is": 157, "ic_oos": 0.0523, "n_oos": 105, "quintile_wr": { "Q1": { "wr": 0.5472, "n": 53, "mean_ret": 0.000156 }, "Q2": { "wr": 0.4808, "n": 52, "mean_ret": -0.00015 }, "Q3": { "wr": 0.4038, "n": 52, "mean_ret": -0.0003 }, "Q4": { "wr": 0.5192, "n": 52, "mean_ret": -0.000603 }, "Q5": { "wr": 0.5283, "n": 53, "mean_ret": 0.000697 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "0dte_magnet": { "30m": { "ic_full": 0.0323, "n_full": 265, "ic_is": 0.0848, "ic_oos": -0.0516, "quintile_wr": { "Q1": { "wr": 0.6038, "n": 53, "mean_ret": -1.1e-05 }, "Q2": { "wr": 0.5094, "n": 53, "mean_ret": -8.4e-05 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": -6.6e-05 }, "Q4": { "wr": 0.5283, "n": 53, "mean_ret": 2e-05 }, "Q5": { "wr": 0.6226, "n": 53, "mean_ret": -1.3e-05 } } }, "1h": { "ic_full": -0.0206, "n_full": 265, "ic_is": 0.0308, "ic_oos": -0.0903, "quintile_wr": { "Q1": { "wr": 0.6792, "n": 53, "mean_ret": 0.000446 }, "Q2": { "wr": 0.434, "n": 53, "mean_ret": -0.000334 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": -3.8e-05 }, "Q4": { "wr": 0.566, "n": 53, "mean_ret": 1.3e-05 }, "Q5": { "wr": 0.566, "n": 53, "mean_ret": -0.000112 } } }, "2h": { "ic_full": -0.0169, "n_full": 265, "ic_is": 0.0734, "ic_oos": -0.1306, "quintile_wr": { "Q1": { "wr": 0.6981, "n": 53, "mean_ret": 0.00066 }, "Q2": { "wr": 0.4717, "n": 53, "mean_ret": -0.000685 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": -0.000185 }, "Q4": { "wr": 0.5472, "n": 53, "mean_ret": 8.5e-05 }, "Q5": { "wr": 0.5283, "n": 53, "mean_ret": 0.00046 } } }, "corr_with_mm": -0.181 }, "correlations": { "mm vs procust": -0.205, "cust vs mm": -0.846, "cust vs firm": 0.168, "cust vs procust": -0.102, "firm vs mm": -0.459, "firm vs procust": 0.127 }, "corr_n": 281, "composite_4sig": { "30m": { "ic_full": -0.0127, "n_full": 265, "ic_is": 0.0044, "n_is": 159, "ic_oos": -0.0373, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5849, "n": 53, "mean_ret": 6.1e-05 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": 0.000105 }, "Q3": { "wr": 0.4906, "n": 53, "mean_ret": -3.8e-05 }, "Q4": { "wr": 0.4906, "n": 53, "mean_ret": -8.6e-05 }, "Q5": { "wr": 0.6226, "n": 53, "mean_ret": -0.000196 } } }, "1h": { "ic_full": 0.0138, "n_full": 265, "ic_is": 0.0102, "n_is": 159, "ic_oos": 0.0277, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.566, "n": 53, "mean_ret": 0.000232 }, "Q2": { "wr": 0.5849, "n": 53, "mean_ret": 4.7e-05 }, "Q3": { "wr": 0.434, "n": 53, "mean_ret": -0.000772 }, "Q4": { "wr": 0.5849, "n": 53, "mean_ret": 0.000433 }, "Q5": { "wr": 0.566, "n": 53, "mean_ret": 3.5e-05 } } }, "2h": { "ic_full": 0.0635, "n_full": 265, "ic_is": 0.0989, "n_is": 159, "ic_oos": 0.0111, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.5849, "n": 53, "mean_ret": 3.9e-05 }, "Q2": { "wr": 0.4906, "n": 53, "mean_ret": 0.000564 }, "Q3": { "wr": 0.434, "n": 53, "mean_ret": -0.000802 }, "Q4": { "wr": 0.4906, "n": 53, "mean_ret": 0.000204 }, "Q5": { "wr": 0.7358, "n": 53, "mean_ret": 0.000331 } } } }, "composite_mm_cust": { "30m": { "ic_full": -0.0084, "n_full": 265, "ic_is": 0.0109, "n_is": 159, "ic_oos": -0.0304, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.566, "n": 53, "mean_ret": -0.000106 }, "Q2": { "wr": 0.5283, "n": 53, "mean_ret": -7.3e-05 }, "Q3": { "wr": 0.6038, "n": 53, "mean_ret": 0.00029 }, "Q4": { "wr": 0.3962, "n": 53, "mean_ret": -0.000125 }, "Q5": { "wr": 0.6604, "n": 53, "mean_ret": -0.00014 } } }, "1h": { "ic_full": 0.0098, "n_full": 265, "ic_is": -0.0021, "n_is": 159, "ic_oos": 0.0395, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.566, "n": 53, "mean_ret": 6.3e-05 }, "Q2": { "wr": 0.566, "n": 53, "mean_ret": -0.000341 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": -8.1e-05 }, "Q4": { "wr": 0.4906, "n": 53, "mean_ret": 0.000192 }, "Q5": { "wr": 0.6038, "n": 53, "mean_ret": 0.000142 } } }, "2h": { "ic_full": 0.0625, "n_full": 265, "ic_is": 0.091, "n_is": 159, "ic_oos": 0.0291, "n_oos": 106, "quintile_wr": { "Q1": { "wr": 0.6038, "n": 53, "mean_ret": -1.8e-05 }, "Q2": { "wr": 0.4151, "n": 53, "mean_ret": -0.00022 }, "Q3": { "wr": 0.5094, "n": 53, "mean_ret": 5.7e-05 }, "Q4": { "wr": 0.4717, "n": 53, "mean_ret": 0.000129 }, "Q5": { "wr": 0.7358, "n": 53, "mean_ret": 0.000388 } } } }, "gex_cross": { "DEEP_NEG": { "n": 27, "ic": -0.0165, "q5_wr": null, "q5_n": 0, "q1_wr": 0.5, "q1_n": 2 }, "NEG": { "n": 53, "ic": 0.1652, "q5_wr": 0.875, "q5_n": 8, "q1_wr": 0.4286, "q1_n": 14 }, "LOW_POS": { "n": 52, "ic": -0.0095, "q5_wr": 0.5, "q5_n": 10, "q1_wr": 0.5714, "q1_n": 7 }, "MID_POS": { "n": 53, "ic": -0.0569, "q5_wr": 0.6364, "q5_n": 11, "q1_wr": 0.7143, "q1_n": 14 }, "HIGH_POS": { "n": 53, "ic": -0.0827, "q5_wr": 0.5556, "q5_n": 18, "q1_wr": 0.6364, "q1_n": 11 }, "EXTREME_POS": { "n": 27, "ic": 0.0708, "q5_wr": 0.3333, "q5_n": 6, "q1_wr": 0.6, "q1_n": 5 } }, "rvol_cross": { "RVOL_Q1_MM_Q1": { "wr": 0.8333, "n": 6 }, "RVOL_Q1_MM_Q2": { "wr": 0.6667, "n": 9 }, "RVOL_Q1_MM_Q3": { "wr": 0.4545, "n": 11 }, "RVOL_Q1_MM_Q4": { "wr": 0.3333, "n": 9 }, "RVOL_Q1_MM_Q5": { "wr": 0.6111, "n": 18 }, "RVOL_Q2_MM_Q1": { "wr": 0.8333, "n": 12 }, "RVOL_Q2_MM_Q2": { "wr": 0.375, "n": 8 }, "RVOL_Q2_MM_Q3": { "wr": 0.5714, "n": 7 }, "RVOL_Q2_MM_Q4": { "wr": 0.6667, "n": 12 }, "RVOL_Q2_MM_Q5": { "wr": 0.5, "n": 14 }, "RVOL_Q3_MM_Q1": { "wr": 0.4444, "n": 18 }, "RVOL_Q3_MM_Q2": { "wr": 0.2857, "n": 7 }, "RVOL_Q3_MM_Q3": { "wr": 0.5, "n": 10 }, "RVOL_Q3_MM_Q4": { "wr": 0.3333, "n": 9 }, "RVOL_Q3_MM_Q5": { "wr": 0.6667, "n": 9 }, "RVOL_Q4_MM_Q1": { "wr": 0.4545, "n": 11 }, "RVOL_Q4_MM_Q2": { "wr": 0.6, "n": 10 }, "RVOL_Q4_MM_Q3": { "wr": 0.4615, "n": 13 }, "RVOL_Q4_MM_Q4": { "wr": 0.7, "n": 10 }, "RVOL_Q4_MM_Q5": { "wr": 0.7778, "n": 9 }, "RVOL_Q5_MM_Q1": { "wr": 0.5, "n": 6 }, "RVOL_Q5_MM_Q2": { "wr": 0.5263, "n": 19 }, "RVOL_Q5_MM_Q3": { "wr": 0.5833, "n": 12 }, "RVOL_Q5_MM_Q4": { "wr": 0.6154, "n": 13 }, "RVOL_Q5_MM_Q5": { "wr": 0.0, "n": 3 } }, "specific_setups": { "setup_a_1130_composite_posgex": { "ic": 0.0606, "q5_wr": 0.6667, "q5_n": 27, "total_n": 133 }, "setup_b_1430_mm_30m": { "ic": 0.0369, "n": 263 }, "setup_d_retail_panic": { "wr": 0.6279, "n": 43 }, "dead_zone": { "12:00-12:30": { "ic": -0.1001, "n": 266 }, "12:30-13:00": { "ic": 0.0791, "n": 263 }, "13:00-13:30": { "ic": 0.0604, "n": 263 }, "13:30-14:00": { "ic": 0.0725, "n": 263 } } }, "cum_mm": { "30m": { "ic_full": 0.044, "n_full": 266, "ic_is": 0.0375, "ic_oos": 0.0738, "quintile_wr": { "Q1": { "wr": 0.4815, "n": 54, "mean_ret": -0.000103 }, "Q2": { "wr": 0.3208, "n": 53, "mean_ret": -0.000966 }, "Q3": { "wr": 0.6226, "n": 53, "mean_ret": 0.000285 }, "Q4": { "wr": 0.566, "n": 53, "mean_ret": 0.000276 }, "Q5": { "wr": 0.5094, "n": 53, "mean_ret": -0.000158 } } }, "1h": { "ic_full": -0.0075, "n_full": 266, "ic_is": 0.0098, "ic_oos": -0.0057, "quintile_wr": { "Q1": { "wr": 0.5185, "n": 54, "mean_ret": -0.000218 }, "Q2": { "wr": 0.3962, "n": 53, "mean_ret": -0.000729 }, "Q3": { "wr": 0.5849, "n": 53, "mean_ret": 0.000183 }, "Q4": { "wr": 0.5472, "n": 53, "mean_ret": 0.000138 }, "Q5": { "wr": 0.5094, "n": 53, "mean_ret": -0.000314 } } }, "2h": { "ic_full": 0.0044, "n_full": 266, "ic_is": 0.0246, "ic_oos": -0.0392, "quintile_wr": { "Q1": { "wr": 0.5926, "n": 54, "mean_ret": -0.000326 }, "Q2": { "wr": 0.4151, "n": 53, "mean_ret": -0.000937 }, "Q3": { "wr": 0.5849, "n": 53, "mean_ret": -2.9e-05 }, "Q4": { "wr": 0.6226, "n": 53, "mean_ret": 0.000565 }, "Q5": { "wr": 0.5283, "n": 53, "mean_ret": -0.000312 } } } }, "tod_profile": { "09:30\u219210:00": { "ic_30m": 0.0405, "n_30m": 264, "ic_1h": 0.0102, "n_1h": 264 }, "10:00\u219210:30": { "ic_30m": 0.0482, "n_30m": 265, "ic_1h": 0.0331, "n_1h": 265 }, "10:30\u219211:00": { "ic_30m": -0.0187, "n_30m": 265, "ic_1h": 0.018, "n_1h": 265 }, "11:00\u219211:30": { "ic_30m": 0.0595, "n_30m": 266, "ic_1h": 0.091, "n_1h": 266 }, "11:30\u219212:00": { "ic_30m": -0.006, "n_30m": 266, "ic_1h": 0.0019, "n_1h": 266 }, "12:00\u219212:30": { "ic_30m": -0.1001, "n_30m": 266, "ic_1h": -0.0816, "n_1h": 262 }, "12:30\u219213:00": { "ic_30m": 0.0791, "n_30m": 263, "ic_1h": 0.0275, "n_1h": 263 }, "13:00\u219213:30": { "ic_30m": 0.0604, "n_30m": 263, "ic_1h": 0.0225, "n_1h": 263 }, "13:30\u219214:00": { "ic_30m": 0.0725, "n_30m": 263, "ic_1h": 0.0708, "n_1h": 263 }, "14:00\u219214:30": { "ic_30m": 0.0369, "n_30m": 263, "ic_1h": 0.0564, "n_1h": 262 }, "14:30\u219215:00": { "ic_30m": -0.0357, "n_30m": 262, "ic_1h": 0.0416, "n_1h": 262 }, "15:00\u219215:30": { "ic_30m": 0.0195, "n_30m": 261, "ic_1h": null, "n_1h": 0 } } }, "Normalized": { "mm_shift": { "10:00\u219210:30": { "30m": { "ic_full": 0.0636, "pval_full": 0.2566, "n_full": 320, "ic_is": 0.1001, "n_is": 193, "ic_oos": -0.0037, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.4844, "n": 64, "mean_ret": -0.000361 }, "Q2": { "wr": 0.5, "n": 64, "mean_ret": -0.000521 }, "Q3": { "wr": 0.5625, "n": 64, "mean_ret": 0.000414 }, "Q4": { "wr": 0.5469, "n": 64, "mean_ret": 5.8e-05 }, "Q5": { "wr": 0.5469, "n": 64, "mean_ret": -0.000134 } } }, "1h": { "ic_full": 0.0565, "pval_full": 0.3141, "n_full": 320, "ic_is": 0.0606, "n_is": 193, "ic_oos": -0.0261, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.4688, "n": 64, "mean_ret": -0.000608 }, "Q2": { "wr": 0.4844, "n": 64, "mean_ret": -0.000434 }, "Q3": { "wr": 0.625, "n": 64, "mean_ret": 0.00051 }, "Q4": { "wr": 0.5, "n": 64, "mean_ret": 0.000105 }, "Q5": { "wr": 0.5312, "n": 64, "mean_ret": -0.000178 } } }, "2h": { "ic_full": 0.0852, "pval_full": 0.1282, "n_full": 320, "ic_is": 0.0985, "n_is": 193, "ic_oos": 0.0559, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5, "n": 64, "mean_ret": -0.001046 }, "Q2": { "wr": 0.5156, "n": 64, "mean_ret": -0.000364 }, "Q3": { "wr": 0.5781, "n": 64, "mean_ret": 0.000689 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": 0.00021 }, "Q5": { "wr": 0.5781, "n": 64, "mean_ret": 0.000149 } } } }, "10:30\u219211:00": { "30m": { "ic_full": -0.0349, "pval_full": 0.534, "n_full": 320, "ic_is": 0.0082, "n_is": 193, "ic_oos": -0.0893, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6094, "n": 64, "mean_ret": 4.5e-05 }, "Q2": { "wr": 0.5469, "n": 64, "mean_ret": -2.7e-05 }, "Q3": { "wr": 0.5312, "n": 64, "mean_ret": 0.000166 }, "Q4": { "wr": 0.4688, "n": 64, "mean_ret": -1.7e-05 }, "Q5": { "wr": 0.5781, "n": 64, "mean_ret": -0.00023 } } }, "1h": { "ic_full": 0.0053, "pval_full": 0.9251, "n_full": 320, "ic_is": 0.0595, "n_is": 193, "ic_oos": -0.0425, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5781, "n": 64, "mean_ret": 4e-06 }, "Q2": { "wr": 0.5, "n": 64, "mean_ret": -0.000391 }, "Q3": { "wr": 0.5, "n": 64, "mean_ret": -3e-06 }, "Q4": { "wr": 0.5469, "n": 64, "mean_ret": 0.000368 }, "Q5": { "wr": 0.5469, "n": 64, "mean_ret": -2e-05 } } }, "2h": { "ic_full": 0.0368, "pval_full": 0.5114, "n_full": 320, "ic_is": 0.1275, "n_is": 193, "ic_oos": -0.0879, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.625, "n": 64, "mean_ret": 3.9e-05 }, "Q2": { "wr": 0.4375, "n": 64, "mean_ret": -0.000385 }, "Q3": { "wr": 0.4531, "n": 64, "mean_ret": -9.8e-05 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": 0.000235 }, "Q5": { "wr": 0.6719, "n": 64, "mean_ret": 0.000271 } } } }, "11:00\u219211:30": { "30m": { "ic_full": 0.072, "pval_full": 0.1984, "n_full": 321, "ic_is": 0.0251, "n_is": 194, "ic_oos": 0.1696, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.4769, "n": 65, "mean_ret": -4.4e-05 }, "Q2": { "wr": 0.5312, "n": 64, "mean_ret": 5e-05 }, "Q3": { "wr": 0.4688, "n": 64, "mean_ret": -0.000451 }, "Q4": { "wr": 0.5, "n": 64, "mean_ret": 8.1e-05 }, "Q5": { "wr": 0.6719, "n": 64, "mean_ret": 0.000368 } } }, "1h": { "ic_full": 0.094, "pval_full": 0.0928, "n_full": 321, "ic_is": 0.0986, "n_is": 194, "ic_oos": 0.1172, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5231, "n": 65, "mean_ret": -7.2e-05 }, "Q2": { "wr": 0.4375, "n": 64, "mean_ret": -0.000269 }, "Q3": { "wr": 0.5156, "n": 64, "mean_ret": -0.000169 }, "Q4": { "wr": 0.5625, "n": 64, "mean_ret": 0.000159 }, "Q5": { "wr": 0.6875, "n": 64, "mean_ret": 0.000584 } } }, "2h": { "ic_full": 0.1185, "pval_full": 0.0355, "n_full": 315, "ic_is": 0.1175, "n_is": 191, "ic_oos": 0.1505, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.4603, "n": 63, "mean_ret": -0.000333 }, "Q2": { "wr": 0.5238, "n": 63, "mean_ret": -0.000787 }, "Q3": { "wr": 0.4921, "n": 63, "mean_ret": 0.000611 }, "Q4": { "wr": 0.4921, "n": 63, "mean_ret": -0.00011 }, "Q5": { "wr": 0.7143, "n": 63, "mean_ret": 0.000911 } } } }, "14:00\u219214:30": { "30m": { "ic_full": 0.0476, "pval_full": 0.3995, "n_full": 316, "ic_is": 0.0751, "n_is": 191, "ic_oos": 0.0043, "n_oos": 125, "quintile_wr": { "Q1": { "wr": 0.5, "n": 64, "mean_ret": 4.6e-05 }, "Q2": { "wr": 0.5079, "n": 63, "mean_ret": 0.000137 }, "Q3": { "wr": 0.4444, "n": 63, "mean_ret": -0.000447 }, "Q4": { "wr": 0.5079, "n": 63, "mean_ret": 6.2e-05 }, "Q5": { "wr": 0.5873, "n": 63, "mean_ret": 4.6e-05 } } }, "1h": { "ic_full": 0.0842, "pval_full": 0.1362, "n_full": 315, "ic_is": 0.1145, "n_is": 191, "ic_oos": 0.0257, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.4603, "n": 63, "mean_ret": -0.000105 }, "Q2": { "wr": 0.4444, "n": 63, "mean_ret": -0.000279 }, "Q3": { "wr": 0.4603, "n": 63, "mean_ret": -0.000215 }, "Q4": { "wr": 0.4921, "n": 63, "mean_ret": 0.000175 }, "Q5": { "wr": 0.5556, "n": 63, "mean_ret": 0.000128 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "cust_shift": { "10:00\u219210:30": { "30m": { "ic_full": -0.0621, "pval_full": 0.2677, "n_full": 320, "ic_is": -0.1467, "n_is": 193, "ic_oos": 0.063, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5469, "n": 64, "mean_ret": -0.000215 }, "Q2": { "wr": 0.5781, "n": 64, "mean_ret": 0.000472 }, "Q3": { "wr": 0.4688, "n": 64, "mean_ret": -0.000131 }, "Q4": { "wr": 0.5469, "n": 64, "mean_ret": -0.000464 }, "Q5": { "wr": 0.5, "n": 64, "mean_ret": -0.000207 } } }, "1h": { "ic_full": -0.0368, "pval_full": 0.5116, "n_full": 320, "ic_is": -0.0828, "n_is": 193, "ic_oos": 0.1047, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5, "n": 64, "mean_ret": -0.000318 }, "Q2": { "wr": 0.5781, "n": 64, "mean_ret": 0.000472 }, "Q3": { "wr": 0.5, "n": 64, "mean_ret": -0.000194 }, "Q4": { "wr": 0.5156, "n": 64, "mean_ret": -0.000411 }, "Q5": { "wr": 0.5156, "n": 64, "mean_ret": -0.000154 } } }, "2h": { "ic_full": -0.04, "pval_full": 0.4762, "n_full": 320, "ic_is": -0.0671, "n_is": 193, "ic_oos": 0.0202, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5625, "n": 64, "mean_ret": 0.000141 }, "Q2": { "wr": 0.5312, "n": 64, "mean_ret": 0.000214 }, "Q3": { "wr": 0.5, "n": 64, "mean_ret": 0.000186 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": -0.000594 }, "Q5": { "wr": 0.5781, "n": 64, "mean_ret": -0.00031 } } } }, "10:30\u219211:00": { "30m": { "ic_full": 0.0242, "pval_full": 0.6659, "n_full": 320, "ic_is": -0.0363, "n_is": 193, "ic_oos": 0.1048, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5938, "n": 64, "mean_ret": -8e-06 }, "Q2": { "wr": 0.4531, "n": 64, "mean_ret": -0.000192 }, "Q3": { "wr": 0.5625, "n": 64, "mean_ret": 0.000184 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": -2e-06 }, "Q5": { "wr": 0.5938, "n": 64, "mean_ret": -4.5e-05 } } }, "1h": { "ic_full": 0.0223, "pval_full": 0.6911, "n_full": 320, "ic_is": -0.0037, "n_is": 193, "ic_oos": 0.0506, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5781, "n": 64, "mean_ret": 0.000107 }, "Q2": { "wr": 0.4219, "n": 64, "mean_ret": -4.8e-05 }, "Q3": { "wr": 0.5625, "n": 64, "mean_ret": -0.000188 }, "Q4": { "wr": 0.5781, "n": 64, "mean_ret": 0.000395 }, "Q5": { "wr": 0.5312, "n": 64, "mean_ret": -0.000307 } } }, "2h": { "ic_full": -0.0252, "pval_full": 0.6536, "n_full": 320, "ic_is": -0.1148, "n_is": 193, "ic_oos": 0.0823, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6719, "n": 64, "mean_ret": 0.000315 }, "Q2": { "wr": 0.4531, "n": 64, "mean_ret": -2e-06 }, "Q3": { "wr": 0.5312, "n": 64, "mean_ret": -0.000195 }, "Q4": { "wr": 0.5, "n": 64, "mean_ret": 0.000288 }, "Q5": { "wr": 0.5625, "n": 64, "mean_ret": -0.000343 } } } }, "11:00\u219211:30": { "30m": { "ic_full": -0.052, "pval_full": 0.3529, "n_full": 321, "ic_is": 0.0074, "n_is": 194, "ic_oos": -0.1627, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6308, "n": 65, "mean_ret": 9.7e-05 }, "Q2": { "wr": 0.5156, "n": 64, "mean_ret": 1.5e-05 }, "Q3": { "wr": 0.5156, "n": 64, "mean_ret": -9.3e-05 }, "Q4": { "wr": 0.5156, "n": 64, "mean_ret": -7.3e-05 }, "Q5": { "wr": 0.4688, "n": 64, "mean_ret": 5.7e-05 } } }, "1h": { "ic_full": -0.0379, "pval_full": 0.4991, "n_full": 321, "ic_is": -0.0297, "n_is": 194, "ic_oos": -0.0725, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5846, "n": 65, "mean_ret": -6.9e-05 }, "Q2": { "wr": 0.5781, "n": 64, "mean_ret": -9e-06 }, "Q3": { "wr": 0.5469, "n": 64, "mean_ret": 0.00044 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": -0.000115 }, "Q5": { "wr": 0.4844, "n": 64, "mean_ret": -1.4e-05 } } }, "2h": { "ic_full": -0.0581, "pval_full": 0.3041, "n_full": 315, "ic_is": -0.0648, "n_is": 191, "ic_oos": -0.0588, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.5873, "n": 63, "mean_ret": -0.000132 }, "Q2": { "wr": 0.6349, "n": 63, "mean_ret": 0.000386 }, "Q3": { "wr": 0.5079, "n": 63, "mean_ret": 0.000703 }, "Q4": { "wr": 0.4444, "n": 63, "mean_ret": -0.000848 }, "Q5": { "wr": 0.5079, "n": 63, "mean_ret": 0.000182 } } } }, "14:00\u219214:30": { "30m": { "ic_full": -0.0107, "pval_full": 0.8501, "n_full": 316, "ic_is": -0.0157, "n_is": 191, "ic_oos": 0.002, "n_oos": 125, "quintile_wr": { "Q1": { "wr": 0.5156, "n": 64, "mean_ret": 6.9e-05 }, "Q2": { "wr": 0.5238, "n": 63, "mean_ret": -2.4e-05 }, "Q3": { "wr": 0.5397, "n": 63, "mean_ret": -0.000109 }, "Q4": { "wr": 0.4603, "n": 63, "mean_ret": -0.000144 }, "Q5": { "wr": 0.5079, "n": 63, "mean_ret": 5.2e-05 } } }, "1h": { "ic_full": -0.0629, "pval_full": 0.2657, "n_full": 315, "ic_is": -0.0989, "n_is": 191, "ic_oos": -0.0, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.5079, "n": 63, "mean_ret": 0.000158 }, "Q2": { "wr": 0.5714, "n": 63, "mean_ret": 0.000433 }, "Q3": { "wr": 0.381, "n": 63, "mean_ret": -0.000564 }, "Q4": { "wr": 0.4286, "n": 63, "mean_ret": -0.000258 }, "Q5": { "wr": 0.5238, "n": 63, "mean_ret": -6.4e-05 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "firm_shift": { "10:00\u219210:30": { "30m": { "ic_full": -0.0582, "pval_full": 0.2994, "n_full": 320, "ic_is": -0.0691, "n_is": 193, "ic_oos": -0.0231, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5, "n": 64, "mean_ret": -0.00019 }, "Q2": { "wr": 0.5938, "n": 64, "mean_ret": 0.000168 }, "Q3": { "wr": 0.5781, "n": 64, "mean_ret": -0.000172 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": -0.000145 }, "Q5": { "wr": 0.4375, "n": 64, "mean_ret": -0.000206 } } }, "1h": { "ic_full": -0.0479, "pval_full": 0.3936, "n_full": 320, "ic_is": -0.0445, "n_is": 193, "ic_oos": -0.018, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5312, "n": 64, "mean_ret": -4.5e-05 }, "Q2": { "wr": 0.5469, "n": 64, "mean_ret": 0.000341 }, "Q3": { "wr": 0.5312, "n": 64, "mean_ret": -0.000498 }, "Q4": { "wr": 0.5469, "n": 64, "mean_ret": -4e-05 }, "Q5": { "wr": 0.4531, "n": 64, "mean_ret": -0.000365 } } }, "2h": { "ic_full": -0.1368, "pval_full": 0.0143, "n_full": 320, "ic_is": -0.1577, "n_is": 193, "ic_oos": -0.0927, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6094, "n": 64, "mean_ret": 0.000247 }, "Q2": { "wr": 0.6875, "n": 64, "mean_ret": 0.000942 }, "Q3": { "wr": 0.5312, "n": 64, "mean_ret": -0.000187 }, "Q4": { "wr": 0.4688, "n": 64, "mean_ret": -0.000647 }, "Q5": { "wr": 0.4062, "n": 64, "mean_ret": -0.000717 } } } }, "10:30\u219211:00": { "30m": { "ic_full": 0.0043, "pval_full": 0.9383, "n_full": 320, "ic_is": 0.0601, "n_is": 193, "ic_oos": -0.0745, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5625, "n": 64, "mean_ret": -0.000154 }, "Q2": { "wr": 0.5781, "n": 64, "mean_ret": 9e-06 }, "Q3": { "wr": 0.5312, "n": 64, "mean_ret": -3.8e-05 }, "Q4": { "wr": 0.5781, "n": 64, "mean_ret": 0.000327 }, "Q5": { "wr": 0.4844, "n": 64, "mean_ret": -0.000207 } } }, "1h": { "ic_full": -0.033, "pval_full": 0.5562, "n_full": 320, "ic_is": -0.0474, "n_is": 193, "ic_oos": -0.0276, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5625, "n": 64, "mean_ret": -1.7e-05 }, "Q2": { "wr": 0.6406, "n": 64, "mean_ret": 0.000355 }, "Q3": { "wr": 0.4375, "n": 64, "mean_ret": -0.000231 }, "Q4": { "wr": 0.5781, "n": 64, "mean_ret": 0.000234 }, "Q5": { "wr": 0.4531, "n": 64, "mean_ret": -0.000381 } } }, "2h": { "ic_full": 0.0106, "pval_full": 0.8497, "n_full": 320, "ic_is": -0.011, "n_is": 193, "ic_oos": 0.0467, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5781, "n": 64, "mean_ret": -0.000164 }, "Q2": { "wr": 0.5469, "n": 64, "mean_ret": 0.000302 }, "Q3": { "wr": 0.5156, "n": 64, "mean_ret": -8.2e-05 }, "Q4": { "wr": 0.5938, "n": 64, "mean_ret": 0.000425 }, "Q5": { "wr": 0.4844, "n": 64, "mean_ret": -0.000418 } } } }, "11:00\u219211:30": { "30m": { "ic_full": -0.0533, "pval_full": 0.3409, "n_full": 321, "ic_is": -0.0722, "n_is": 194, "ic_oos": -0.0304, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6, "n": 65, "mean_ret": 0.000219 }, "Q2": { "wr": 0.6094, "n": 64, "mean_ret": 0.000612 }, "Q3": { "wr": 0.3438, "n": 64, "mean_ret": -0.000776 }, "Q4": { "wr": 0.5938, "n": 64, "mean_ret": 6.4e-05 }, "Q5": { "wr": 0.5, "n": 64, "mean_ret": -0.000118 } } }, "1h": { "ic_full": -0.0909, "pval_full": 0.1042, "n_full": 321, "ic_is": -0.0845, "n_is": 194, "ic_oos": -0.1207, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6308, "n": 65, "mean_ret": 0.000296 }, "Q2": { "wr": 0.5938, "n": 64, "mean_ret": 0.000951 }, "Q3": { "wr": 0.4531, "n": 64, "mean_ret": -0.000849 }, "Q4": { "wr": 0.5625, "n": 64, "mean_ret": 0.000171 }, "Q5": { "wr": 0.4844, "n": 64, "mean_ret": -0.000341 } } }, "2h": { "ic_full": -0.1195, "pval_full": 0.034, "n_full": 315, "ic_is": -0.0927, "n_is": 191, "ic_oos": -0.18, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.5714, "n": 63, "mean_ret": 0.000454 }, "Q2": { "wr": 0.619, "n": 63, "mean_ret": 0.000772 }, "Q3": { "wr": 0.4762, "n": 63, "mean_ret": -0.000319 }, "Q4": { "wr": 0.5238, "n": 63, "mean_ret": 0.000111 }, "Q5": { "wr": 0.4921, "n": 63, "mean_ret": -0.000727 } } } }, "14:00\u219214:30": { "30m": { "ic_full": -0.0369, "pval_full": 0.5138, "n_full": 316, "ic_is": -0.0683, "n_is": 191, "ic_oos": -0.0043, "n_oos": 125, "quintile_wr": { "Q1": { "wr": 0.5156, "n": 64, "mean_ret": -9.3e-05 }, "Q2": { "wr": 0.5238, "n": 63, "mean_ret": -0.000151 }, "Q3": { "wr": 0.6349, "n": 63, "mean_ret": 0.000279 }, "Q4": { "wr": 0.4603, "n": 63, "mean_ret": -0.000194 }, "Q5": { "wr": 0.4127, "n": 63, "mean_ret": 6e-06 } } }, "1h": { "ic_full": 0.0013, "pval_full": 0.9814, "n_full": 315, "ic_is": -0.0137, "n_is": 191, "ic_oos": 0.0792, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.4603, "n": 63, "mean_ret": -0.00014 }, "Q2": { "wr": 0.4603, "n": 63, "mean_ret": -0.00061 }, "Q3": { "wr": 0.6032, "n": 63, "mean_ret": 0.000656 }, "Q4": { "wr": 0.4127, "n": 63, "mean_ret": -0.00011 }, "Q5": { "wr": 0.4762, "n": 63, "mean_ret": -9e-05 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "procust_shift": { "10:00\u219210:30": { "30m": { "ic_full": -0.057, "pval_full": 0.309, "n_full": 320, "ic_is": -0.027, "n_is": 193, "ic_oos": -0.1223, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5938, "n": 64, "mean_ret": 0.000117 }, "Q2": { "wr": 0.5938, "n": 64, "mean_ret": 4.2e-05 }, "Q3": { "wr": 0.4688, "n": 64, "mean_ret": -0.000254 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": 8.3e-05 }, "Q5": { "wr": 0.4531, "n": 64, "mean_ret": -0.000532 } } }, "1h": { "ic_full": -0.0876, "pval_full": 0.118, "n_full": 320, "ic_is": -0.1063, "n_is": 193, "ic_oos": -0.1342, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5312, "n": 64, "mean_ret": 1.5e-05 }, "Q2": { "wr": 0.5781, "n": 64, "mean_ret": 0.000137 }, "Q3": { "wr": 0.5625, "n": 64, "mean_ret": -0.000106 }, "Q4": { "wr": 0.5469, "n": 64, "mean_ret": 0.000138 }, "Q5": { "wr": 0.3906, "n": 64, "mean_ret": -0.00079 } } }, "2h": { "ic_full": -0.0617, "pval_full": 0.2709, "n_full": 320, "ic_is": -0.0357, "n_is": 193, "ic_oos": -0.1252, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6094, "n": 64, "mean_ret": 0.000259 }, "Q2": { "wr": 0.5625, "n": 64, "mean_ret": 2.6e-05 }, "Q3": { "wr": 0.5469, "n": 64, "mean_ret": -0.000155 }, "Q4": { "wr": 0.5625, "n": 64, "mean_ret": 0.000578 }, "Q5": { "wr": 0.4219, "n": 64, "mean_ret": -0.00107 } } } }, "10:30\u219211:00": { "30m": { "ic_full": 0.029, "pval_full": 0.6047, "n_full": 320, "ic_is": 0.0279, "n_is": 193, "ic_oos": 0.0181, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6094, "n": 64, "mean_ret": -1.1e-05 }, "Q2": { "wr": 0.4844, "n": 64, "mean_ret": -3.5e-05 }, "Q3": { "wr": 0.5156, "n": 64, "mean_ret": 0.000161 }, "Q4": { "wr": 0.5469, "n": 64, "mean_ret": 9.2e-05 }, "Q5": { "wr": 0.5781, "n": 64, "mean_ret": -0.000269 } } }, "1h": { "ic_full": -0.0147, "pval_full": 0.7933, "n_full": 320, "ic_is": -0.0199, "n_is": 193, "ic_oos": -0.01, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.6094, "n": 64, "mean_ret": 0.000243 }, "Q2": { "wr": 0.4844, "n": 64, "mean_ret": 0.000126 }, "Q3": { "wr": 0.5, "n": 64, "mean_ret": -8.9e-05 }, "Q4": { "wr": 0.5625, "n": 64, "mean_ret": -1.4e-05 }, "Q5": { "wr": 0.5156, "n": 64, "mean_ret": -0.000308 } } }, "2h": { "ic_full": -0.0148, "pval_full": 0.7916, "n_full": 320, "ic_is": 0.0112, "n_is": 193, "ic_oos": -0.0314, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.625, "n": 64, "mean_ret": 0.000339 }, "Q2": { "wr": 0.5625, "n": 64, "mean_ret": 0.000126 }, "Q3": { "wr": 0.4688, "n": 64, "mean_ret": -0.000449 }, "Q4": { "wr": 0.5156, "n": 64, "mean_ret": -9e-06 }, "Q5": { "wr": 0.5469, "n": 64, "mean_ret": 5.7e-05 } } } }, "11:00\u219211:30": { "30m": { "ic_full": 0.0309, "pval_full": 0.581, "n_full": 321, "ic_is": -0.0155, "n_is": 194, "ic_oos": 0.0827, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.4923, "n": 65, "mean_ret": -2.3e-05 }, "Q2": { "wr": 0.5312, "n": 64, "mean_ret": -0.000159 }, "Q3": { "wr": 0.5625, "n": 64, "mean_ret": 0.000149 }, "Q4": { "wr": 0.4688, "n": 64, "mean_ret": -0.000171 }, "Q5": { "wr": 0.5938, "n": 64, "mean_ret": 0.000209 } } }, "1h": { "ic_full": 0.0153, "pval_full": 0.7854, "n_full": 321, "ic_is": -0.0084, "n_is": 194, "ic_oos": 0.0473, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5538, "n": 65, "mean_ret": 5.9e-05 }, "Q2": { "wr": 0.4688, "n": 64, "mean_ret": -0.000322 }, "Q3": { "wr": 0.5938, "n": 64, "mean_ret": 0.000168 }, "Q4": { "wr": 0.5625, "n": 64, "mean_ret": 0.000164 }, "Q5": { "wr": 0.5469, "n": 64, "mean_ret": 0.000161 } } }, "2h": { "ic_full": 0.0176, "pval_full": 0.755, "n_full": 315, "ic_is": 0.0216, "n_is": 191, "ic_oos": -0.0025, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.5556, "n": 63, "mean_ret": -8.3e-05 }, "Q2": { "wr": 0.5397, "n": 63, "mean_ret": -0.000103 }, "Q3": { "wr": 0.5079, "n": 63, "mean_ret": -0.000625 }, "Q4": { "wr": 0.5079, "n": 63, "mean_ret": 0.000968 }, "Q5": { "wr": 0.5714, "n": 63, "mean_ret": 0.000135 } } } }, "14:00\u219214:30": { "30m": { "ic_full": -0.0173, "pval_full": 0.7592, "n_full": 316, "ic_is": -0.0766, "n_is": 191, "ic_oos": 0.1125, "n_oos": 125, "quintile_wr": { "Q1": { "wr": 0.4844, "n": 64, "mean_ret": -2.5e-05 }, "Q2": { "wr": 0.4762, "n": 63, "mean_ret": -0.000102 }, "Q3": { "wr": 0.6032, "n": 63, "mean_ret": 5.3e-05 }, "Q4": { "wr": 0.5238, "n": 63, "mean_ret": -0.000114 }, "Q5": { "wr": 0.4603, "n": 63, "mean_ret": 3.2e-05 } } }, "1h": { "ic_full": -0.0125, "pval_full": 0.8249, "n_full": 315, "ic_is": -0.0335, "n_is": 191, "ic_oos": 0.0361, "n_oos": 124, "quintile_wr": { "Q1": { "wr": 0.4762, "n": 63, "mean_ret": -4.3e-05 }, "Q2": { "wr": 0.5238, "n": 63, "mean_ret": 6.2e-05 }, "Q3": { "wr": 0.4127, "n": 63, "mean_ret": -0.000251 }, "Q4": { "wr": 0.4603, "n": 63, "mean_ret": -0.000669 }, "Q5": { "wr": 0.5397, "n": 63, "mean_ret": 0.000607 } } }, "2h": { "ic_full": null, "pval_full": null, "n_full": 0, "ic_is": null, "n_is": 0, "ic_oos": null, "n_oos": 0, "quintile_wr": {} } } }, "0dte_magnet": { "30m": { "ic_full": 0.0343, "n_full": 320, "ic_is": 0.0656, "ic_oos": -0.0328, "quintile_wr": { "Q1": { "wr": 0.5781, "n": 64, "mean_ret": -8.2e-05 }, "Q2": { "wr": 0.5469, "n": 64, "mean_ret": -7.1e-05 }, "Q3": { "wr": 0.4844, "n": 64, "mean_ret": 3.4e-05 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": 2.5e-05 }, "Q5": { "wr": 0.5938, "n": 64, "mean_ret": 3.3e-05 } } }, "1h": { "ic_full": -0.0151, "n_full": 320, "ic_is": 0.0064, "ic_oos": -0.0633, "quintile_wr": { "Q1": { "wr": 0.6094, "n": 64, "mean_ret": 0.000264 }, "Q2": { "wr": 0.4844, "n": 64, "mean_ret": -4.6e-05 }, "Q3": { "wr": 0.4688, "n": 64, "mean_ret": -0.000163 }, "Q4": { "wr": 0.5469, "n": 64, "mean_ret": -0.000184 }, "Q5": { "wr": 0.5625, "n": 64, "mean_ret": 8.8e-05 } } }, "2h": { "ic_full": -0.0157, "n_full": 320, "ic_is": 0.0339, "ic_oos": -0.0669, "quintile_wr": { "Q1": { "wr": 0.6406, "n": 64, "mean_ret": 0.000314 }, "Q2": { "wr": 0.5469, "n": 64, "mean_ret": -0.000245 }, "Q3": { "wr": 0.4844, "n": 64, "mean_ret": -0.000158 }, "Q4": { "wr": 0.5156, "n": 64, "mean_ret": -0.000397 }, "Q5": { "wr": 0.5312, "n": 64, "mean_ret": 0.00055 } } }, "corr_with_mm": -0.134 }, "correlations": { "mm vs procust": -0.193, "cust vs mm": -0.845, "cust vs firm": 0.167, "cust vs procust": -0.135, "firm vs mm": -0.459, "firm vs procust": 0.111 }, "corr_n": 339, "composite_4sig": { "30m": { "ic_full": -0.0323, "n_full": 320, "ic_is": 0.008, "n_is": 193, "ic_oos": -0.0826, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5938, "n": 64, "mean_ret": 6.5e-05 }, "Q2": { "wr": 0.5938, "n": 64, "mean_ret": 9e-06 }, "Q3": { "wr": 0.5, "n": 64, "mean_ret": 0.000152 }, "Q4": { "wr": 0.4844, "n": 64, "mean_ret": -0.000158 }, "Q5": { "wr": 0.5625, "n": 64, "mean_ret": -0.000131 } } }, "1h": { "ic_full": 0.0009, "n_full": 320, "ic_is": 0.04, "n_is": 193, "ic_oos": -0.0349, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5469, "n": 64, "mean_ret": 5e-05 }, "Q2": { "wr": 0.5781, "n": 64, "mean_ret": -3.6e-05 }, "Q3": { "wr": 0.4375, "n": 64, "mean_ret": -0.000392 }, "Q4": { "wr": 0.5625, "n": 64, "mean_ret": 0.000329 }, "Q5": { "wr": 0.5469, "n": 64, "mean_ret": 7e-06 } } }, "2h": { "ic_full": 0.0337, "n_full": 320, "ic_is": 0.1188, "n_is": 193, "ic_oos": -0.0803, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5781, "n": 64, "mean_ret": 4e-06 }, "Q2": { "wr": 0.5312, "n": 64, "mean_ret": 0.000314 }, "Q3": { "wr": 0.4062, "n": 64, "mean_ret": -0.000735 }, "Q4": { "wr": 0.5312, "n": 64, "mean_ret": 0.000199 }, "Q5": { "wr": 0.6719, "n": 64, "mean_ret": 0.000281 } } } }, "composite_mm_cust": { "30m": { "ic_full": -0.0298, "n_full": 320, "ic_is": 0.0186, "n_is": 193, "ic_oos": -0.0891, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5625, "n": 64, "mean_ret": -6.3e-05 }, "Q2": { "wr": 0.5469, "n": 64, "mean_ret": -8.5e-05 }, "Q3": { "wr": 0.625, "n": 64, "mean_ret": 0.000377 }, "Q4": { "wr": 0.4062, "n": 64, "mean_ret": -0.000179 }, "Q5": { "wr": 0.5938, "n": 64, "mean_ret": -0.000112 } } }, "1h": { "ic_full": -0.0079, "n_full": 320, "ic_is": 0.0281, "n_is": 193, "ic_oos": -0.0423, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5625, "n": 64, "mean_ret": -2e-05 }, "Q2": { "wr": 0.5625, "n": 64, "mean_ret": -5.4e-05 }, "Q3": { "wr": 0.4844, "n": 64, "mean_ret": -0.000214 }, "Q4": { "wr": 0.5, "n": 64, "mean_ret": 0.000177 }, "Q5": { "wr": 0.5625, "n": 64, "mean_ret": 7e-05 } } }, "2h": { "ic_full": 0.029, "n_full": 320, "ic_is": 0.1158, "n_is": 193, "ic_oos": -0.0872, "n_oos": 127, "quintile_wr": { "Q1": { "wr": 0.5938, "n": 64, "mean_ret": -4.4e-05 }, "Q2": { "wr": 0.4688, "n": 64, "mean_ret": -0.000138 }, "Q3": { "wr": 0.4844, "n": 64, "mean_ret": -0.000144 }, "Q4": { "wr": 0.5, "n": 64, "mean_ret": 3.1e-05 }, "Q5": { "wr": 0.6719, "n": 64, "mean_ret": 0.000358 } } } }, "gex_cross": { "DEEP_NEG": { "n": 32, "ic": -0.0733, "q5_wr": 0.0, "q5_n": 2, "q1_wr": 0.6667, "q1_n": 3 }, "NEG": { "n": 64, "ic": 0.0908, "q5_wr": 0.6667, "q5_n": 9, "q1_wr": 0.5294, "q1_n": 17 }, "LOW_POS": { "n": 64, "ic": 0.0947, "q5_wr": 0.5714, "q5_n": 14, "q1_wr": 0.5, "q1_n": 10 }, "MID_POS": { "n": 64, "ic": -0.0466, "q5_wr": 0.625, "q5_n": 16, "q1_wr": 0.6, "q1_n": 15 }, "HIGH_POS": { "n": 64, "ic": -0.0259, "q5_wr": 0.5625, "q5_n": 16, "q1_wr": 0.5833, "q1_n": 12 }, "EXTREME_POS": { "n": 32, "ic": 0.0246, "q5_wr": 0.2857, "q5_n": 7, "q1_wr": 0.7143, "q1_n": 7 } }, "rvol_cross": { "RVOL_Q1_MM_Q1": { "wr": 0.875, "n": 8 }, "RVOL_Q1_MM_Q2": { "wr": 0.7778, "n": 9 }, "RVOL_Q1_MM_Q3": { "wr": 0.4667, "n": 15 }, "RVOL_Q1_MM_Q4": { "wr": 0.3846, "n": 13 }, "RVOL_Q1_MM_Q5": { "wr": 0.6842, "n": 19 }, "RVOL_Q2_MM_Q1": { "wr": 0.6667, "n": 15 }, "RVOL_Q2_MM_Q2": { "wr": 0.5, "n": 10 }, "RVOL_Q2_MM_Q3": { "wr": 0.625, "n": 8 }, "RVOL_Q2_MM_Q4": { "wr": 0.6, "n": 15 }, "RVOL_Q2_MM_Q5": { "wr": 0.5, "n": 16 }, "RVOL_Q3_MM_Q1": { "wr": 0.3684, "n": 19 }, "RVOL_Q3_MM_Q2": { "wr": 0.3077, "n": 13 }, "RVOL_Q3_MM_Q3": { "wr": 0.4545, "n": 11 }, "RVOL_Q3_MM_Q4": { "wr": 0.375, "n": 8 }, "RVOL_Q3_MM_Q5": { "wr": 0.4615, "n": 13 }, "RVOL_Q4_MM_Q1": { "wr": 0.5, "n": 14 }, "RVOL_Q4_MM_Q2": { "wr": 0.5455, "n": 11 }, "RVOL_Q4_MM_Q3": { "wr": 0.375, "n": 16 }, "RVOL_Q4_MM_Q4": { "wr": 0.6429, "n": 14 }, "RVOL_Q4_MM_Q5": { "wr": 0.7778, "n": 9 }, "RVOL_Q5_MM_Q1": { "wr": 0.75, "n": 8 }, "RVOL_Q5_MM_Q2": { "wr": 0.4762, "n": 21 }, "RVOL_Q5_MM_Q3": { "wr": 0.6429, "n": 14 }, "RVOL_Q5_MM_Q4": { "wr": 0.6429, "n": 14 }, "RVOL_Q5_MM_Q5": { "wr": 0.1429, "n": 7 } }, "specific_setups": { "setup_a_1130_composite_posgex": { "ic": 0.1519, "q5_wr": 0.7188, "q5_n": 32, "total_n": 160 }, "setup_b_1430_mm_30m": { "ic": 0.0476, "n": 316 }, "setup_d_retail_panic": { "wr": 0.566, "n": 53 }, "dead_zone": { "12:00-12:30": { "ic": -0.0836, "n": 321 }, "12:30-13:00": { "ic": 0.0569, "n": 316 }, "13:00-13:30": { "ic": 0.0421, "n": 316 }, "13:30-14:00": { "ic": 0.0406, "n": 316 } } }, "cum_mm": { "30m": { "ic_full": 0.056, "n_full": 321, "ic_is": 0.0295, "ic_oos": 0.1131, "quintile_wr": { "Q1": { "wr": 0.4769, "n": 65, "mean_ret": -2.1e-05 }, "Q2": { "wr": 0.4219, "n": 64, "mean_ret": -0.000784 }, "Q3": { "wr": 0.5156, "n": 64, "mean_ret": 0.000167 }, "Q4": { "wr": 0.6094, "n": 64, "mean_ret": 0.000306 }, "Q5": { "wr": 0.5312, "n": 64, "mean_ret": -9e-06 } } }, "1h": { "ic_full": -0.0089, "n_full": 321, "ic_is": -0.0189, "ic_oos": 0.017, "quintile_wr": { "Q1": { "wr": 0.5385, "n": 65, "mean_ret": -6.9e-05 }, "Q2": { "wr": 0.4062, "n": 64, "mean_ret": -0.000616 }, "Q3": { "wr": 0.5312, "n": 64, "mean_ret": -3e-06 }, "Q4": { "wr": 0.5781, "n": 64, "mean_ret": 0.000115 }, "Q5": { "wr": 0.4844, "n": 64, "mean_ret": -0.000286 } } }, "2h": { "ic_full": -0.0049, "n_full": 321, "ic_is": -0.018, "ic_oos": 0.0185, "quintile_wr": { "Q1": { "wr": 0.6, "n": 65, "mean_ret": 1.5e-05 }, "Q2": { "wr": 0.5, "n": 64, "mean_ret": -0.000417 }, "Q3": { "wr": 0.5, "n": 64, "mean_ret": -0.000799 }, "Q4": { "wr": 0.625, "n": 64, "mean_ret": 0.00051 }, "Q5": { "wr": 0.5156, "n": 64, "mean_ret": -0.000271 } } } }, "tod_profile": { "09:30\u219210:00": { "ic_30m": 0.0761, "n_30m": 318, "ic_1h": 0.0059, "n_1h": 318 }, "10:00\u219210:30": { "ic_30m": 0.0636, "n_30m": 320, "ic_1h": 0.0565, "n_1h": 320 }, "10:30\u219211:00": { "ic_30m": -0.0349, "n_30m": 320, "ic_1h": 0.0053, "n_1h": 320 }, "11:00\u219211:30": { "ic_30m": 0.072, "n_30m": 321, "ic_1h": 0.094, "n_1h": 321 }, "11:30\u219212:00": { "ic_30m": 0.0241, "n_30m": 321, "ic_1h": 0.0252, "n_1h": 321 }, "12:00\u219212:30": { "ic_30m": -0.0836, "n_30m": 321, "ic_1h": -0.0569, "n_1h": 315 }, "12:30\u219213:00": { "ic_30m": 0.0569, "n_30m": 316, "ic_1h": 0.0071, "n_1h": 316 }, "13:00\u219213:30": { "ic_30m": 0.0421, "n_30m": 316, "ic_1h": 0.0197, "n_1h": 316 }, "13:30\u219214:00": { "ic_30m": 0.0406, "n_30m": 316, "ic_1h": 0.0564, "n_1h": 316 }, "14:00\u219214:30": { "ic_30m": 0.0476, "n_30m": 316, "ic_1h": 0.0842, "n_1h": 315 }, "14:30\u219215:00": { "ic_30m": -0.0147, "n_30m": 315, "ic_1h": 0.0726, "n_1h": 315 }, "15:00\u219215:30": { "ic_30m": 0.0325, "n_30m": 314, "ic_1h": null, "n_1h": 0 } } } }