{
  "meta": {
    "script": "orb_rvol_q2_deep_dive.py",
    "date_range": "2023-03-01 \u2192 2026-03-19",
    "total_days": 749,
    "IS_days": 449,
    "OOS_days": 300,
    "IS_range": "2023-03-01 \u2192 2024-12-26",
    "OOS_range": "2024-12-27 \u2192 2026-03-19",
    "fomc_excluded": 57,
    "orb": "OR15",
    "threshold": 0.52,
    "rvol_cuts": {
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      "q50": 0.9973,
      "q75": 1.2038
    },
    "range_cuts": {
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      "q50": 12.25,
      "q75": 17.75
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  },
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      "rvol_min": 0.009,
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      "rvol_median": 0.666,
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      "or_range_median": 10.0,
      "n_inside_bars_mean": 13.4,
      "n_inside_bars_median": 6.0,
      "inside_buy_pct_mean": 0.5028,
      "inside_buy_pct_deviation_mean": 0.0253,
      "inside_buypct_std_mean": 0.0604,
      "double_break_pct": 55.1,
      "has_break_pct": 97.3,
      "pct_no_break": 2.7
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      "rvol_max": 0.997,
      "rvol_median": 0.913,
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      "or_range_median": 10.5,
      "n_inside_bars_mean": 13.0,
      "n_inside_bars_median": 6.0,
      "inside_buy_pct_mean": 0.5004,
      "inside_buy_pct_deviation_mean": 0.0221,
      "inside_buypct_std_mean": 0.0464,
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      "has_break_pct": 100.0,
      "pct_no_break": 0.0
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      "rvol_max": 1.203,
      "rvol_median": 1.09,
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      "or_range_median": 12.62,
      "n_inside_bars_mean": 12.5,
      "n_inside_bars_median": 7.0,
      "inside_buy_pct_mean": 0.5015,
      "inside_buy_pct_deviation_mean": 0.0189,
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      "has_break_pct": 100.0,
      "pct_no_break": 0.0
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      "rvol_max": 2.971,
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      "n_inside_bars_mean": 11.9,
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      "inside_buy_pct_deviation_mean": 0.0178,
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      "has_break_pct": 100.0,
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          "Q4_HIGH": 11
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          "Q4_HIGH": 35
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        "or_range_min": 18.0,
        "or_range_max": 6910.5,
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    },
    "cross_rvol_range": {
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              87.3
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              57.9,
              89.0
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          },
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              91.9
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          },
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              90.3
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          },
          "coverage": 18.6
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    }
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      "Q3": {
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        "inside_buypct_mean": 0.4997
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        "inside_buypct_mean": 0.4994
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    "by_std_quartile": {
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              98.7
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          },
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              100.0
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          },
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              72.2,
              97.5
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          },
          "coverage": 32.0
        }
      },
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              93.6
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          },
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              68.6,
              97.1
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          },
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              93.0
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          },
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      },
      "Q3": {
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        "std_range": "0.0462\u20130.0554",
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              97.9
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          },
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              97.5
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          },
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              100.0
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          },
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      },
      "Q4_HIGH_NOISE": {
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              74.3,
              93.2
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          },
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              92.6
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          },
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              98.6
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          },
          "coverage": 40.8
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      }
    }
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      "double_break_pct": 55.1,
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      "n_no_break": 5,
      "no_break_pct": 2.7
    },
    "Q2": {
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      "clean_break_pct": 46.7,
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      "no_break_pct": 0.0
    },
    "Q3": {
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      "n_no_break": 0,
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    },
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      "clean_break_pct": 48.1,
      "n_no_break": 0,
      "no_break_pct": 0.0
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  },
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      "Q1_max": 0.8222,
      "Q2_min": 0.8222,
      "Q2_max": 0.9973,
      "Q3_min": 0.9973,
      "Q3_max": 1.2038,
      "Q4_min": 1.2038
    },
    "Q2_stats": {
      "rvol_min": 0.8225,
      "rvol_max": 0.9967,
      "rvol_mean": 0.9135,
      "rvol_median": 0.913,
      "plain_english": "RVOL between 0.82x and 1.00x of 20-day median volume"
    },
    "Q4_stats": {
      "rvol_min": 1.2042,
      "rvol_max": 2.9712,
      "rvol_mean": 1.4697
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    "all_quartile_means": {
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      "Q4_HIGH": 1.4697
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      },
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      },
      "8": {
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      },
      "10": {
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      },
      "15": {
        "n_days_eligible": 52,
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      },
      "20": {
        "n_days_eligible": 40,
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    },
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      },
      "5": {
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      },
      "8": {
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      },
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      },
      "15": {
        "n_days_eligible": 52,
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      },
      "20": {
        "n_days_eligible": 27,
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        "OOS_WR": null
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    },
    "Q3": {
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      },
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      },
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      },
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        "n_days_eligible": 40,
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    },
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      },
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      },
      "20": {
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    },
    "ALL": {
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      },
      "5": {
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      },
      "8": {
        "n_days_eligible": 331,
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      },
      "10": {
        "n_days_eligible": 295,
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      },
      "15": {
        "n_days_eligible": 230,
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      },
      "20": {
        "n_days_eligible": 145,
        "IS_N": 20,
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        "OOS_N": 6,
        "OOS_WR": 66.7
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    }
  },
  "analysis_9_q2_range_interaction": {
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            95.8
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          "p": 0.0001,
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        },
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            93.8
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          "p": 0.0064,
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        },
        "OOS": {
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          "CI": [
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            100.0
          ],
          "p": 0.0039,
          "sig": true
        },
        "coverage": 41.7
      }
    },
    "Q2": {
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            100.0
          ],
          "p": 0.0,
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        },
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          ],
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        },
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          "CI": [
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            100.0
          ],
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        },
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      }
    },
    "Q3": {
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          "CI": [
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            98.6
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        },
        "IS": {
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          "CI": [
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            90.5
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          "p": 1.0,
          "sig": false
        },
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          "CI": [
            74.1,
            100.0
          ],
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        },
        "coverage": 32.5
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    },
    "Q4_WIDE": {
      "n": 19,
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          "N": 6,
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            100.0
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          "p": 0.0156,
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        },
        "IS": {
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            100.0
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        },
        "OOS": {
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            100.0
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        },
        "coverage": 46.2
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    }
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    "n_total": 185,
    "n_triggered": 50,
    "n_correct": 40,
    "n_reversals": 10,
    "reversal_pct": 20.0,
    "avg_rvol_on_reversals": 1.364,
    "avg_range_on_reversals": 17.15,
    "avg_inside_bars_reversals": 6.7,
    "double_break_pct_reversals": 60.0,
    "double_break_pct_correct": 50.0,
    "std_mean_reversals": 0.0414,
    "std_mean_correct": 0.0401
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}