{ "test1_heatmap": { "IS": { "Q1(low)": { "Q1(low)": { "wr_short": 44.1, "n": 34 }, "Q2": { "wr_short": 43.5, "n": 23 }, "Q3": { "wr_short": 52.4, "n": 21 }, "Q4(high)": { "wr_short": 44.8, "n": 29 } }, "Q2": { "Q1(low)": { "wr_short": 54.5, "n": 22 }, "Q2": { "wr_short": 38.9, "n": 36 }, "Q3": { "wr_short": 53.8, "n": 26 }, "Q4(high)": { "wr_short": 40.9, "n": 22 } }, "Q3": { "Q1(low)": { "wr_short": 43.3, "n": 30 }, "Q2": { "wr_short": 40.7, "n": 27 }, "Q3": { "wr_short": 45.2, "n": 31 }, "Q4(high)": { "wr_short": 61.1, "n": 18 } }, "Q4(high)": { "Q1(low)": { "wr_short": 23.8, "n": 21 }, "Q2": { "wr_short": 35.0, "n": 20 }, "Q3": { "wr_short": 71.4, "n": 28 }, "Q4(high)": { "wr_short": 47.4, "n": 38 } } }, "OOS": { "Q1(low)": { "Q1(low)": { "wr_short": 54.5, "n": 22 }, "Q2": { "wr_short": 55.6, "n": 18 }, "Q3": { "wr_short": 46.7, "n": 15 }, "Q4(high)": { "wr_short": 52.9, "n": 17 } }, "Q2": { "Q1(low)": { "wr_short": 31.6, "n": 19 }, "Q2": { "wr_short": 43.8, "n": 16 }, "Q3": { "wr_short": 55.6, "n": 18 }, "Q4(high)": { "wr_short": 38.9, "n": 18 } }, "Q3": { "Q1(low)": { "wr_short": 33.3, "n": 21 }, "Q2": { "wr_short": 38.5, "n": 13 }, "Q3": { "wr_short": 25.0, "n": 20 }, "Q4(high)": { "wr_short": 52.9, "n": 17 } }, "Q4(high)": { "Q1(low)": { "wr_short": 50.0, "n": 10 }, "Q2": { "wr_short": 37.5, "n": 24 }, "Q3": { "wr_short": 55.6, "n": 18 }, "Q4(high)": { "wr_short": 57.9, "n": 19 } } } }, "test2_persistence": { "IS": { "heavy_sell_n": 86, "persistent_n": 53, "persistent_wr_short": 54.7, "persistent_avg_ret": -0.0256, "faded_n": 14, "faded_wr_long": 92.9, "faded_avg_ret": 0.2209 }, "OOS": { "heavy_sell_n": 57, "persistent_n": 35, "persistent_wr_short": 54.3, "persistent_avg_ret": -0.1207, "faded_n": 8, "faded_wr_long": 75.0, "faded_avg_ret": 0.1395 } }, "test3_sweep": { "top5_wr": [ { "rvol_range": "40-100pct", "sell_pct_range": "80-100pct", "is_n": 51, "is_wr_short": 51.0, "oos_n": 15, "oos_wr_short": 73.3, "oos_avg_ret": -0.2449, "oos_t": -1.92, "oos_p": 0.0752 }, { "rvol_range": "0-30pct", "sell_pct_range": "50-80pct", "is_n": 34, "is_wr_short": 55.9, "oos_n": 18, "oos_wr_short": 72.2, "oos_avg_ret": -0.1522, "oos_t": -1.45, "oos_p": 0.1662 }, { "rvol_range": "0-40pct", "sell_pct_range": "60-80pct", "is_n": 31, "is_wr_short": 61.3, "oos_n": 16, "oos_wr_short": 68.8, "oos_avg_ret": -0.2424, "oos_t": -2.09, "oos_p": 0.0545 }, { "rvol_range": "10-30pct", "sell_pct_range": "50-80pct", "is_n": 23, "is_wr_short": 56.5, "oos_n": 15, "oos_wr_short": 66.7, "oos_avg_ret": -0.046, "oos_t": -0.48, "oos_p": 0.6391 }, { "rvol_range": "30-100pct", "sell_pct_range": "80-100pct", "is_n": 58, "is_wr_short": 48.3, "oos_n": 17, "oos_wr_short": 64.7, "oos_avg_ret": -0.2045, "oos_t": -1.77, "oos_p": 0.0953 } ], "top5_tstat": [ { "rvol_range": "0-30pct", "sell_pct_range": "20-40pct", "is_n": 20, "is_wr_short": 45.0, "oos_n": 23, "oos_wr_short": 60.9, "oos_avg_ret": -0.1282, "oos_t": -2.13, "oos_p": 0.0446 }, { "rvol_range": "0-30pct", "sell_pct_range": "0-40pct", "is_n": 53, "is_wr_short": 39.6, "oos_n": 43, "oos_wr_short": 58.1, "oos_avg_ret": -0.087, "oos_t": -2.11, "oos_p": 0.0408 }, { "rvol_range": "0-30pct", "sell_pct_range": "0-30pct", "is_n": 44, "is_wr_short": 36.4, "oos_n": 33, "oos_wr_short": 57.6, "oos_avg_ret": -0.1066, "oos_t": -2.09, "oos_p": 0.0443 }, { "rvol_range": "0-40pct", "sell_pct_range": "0-30pct", "is_n": 54, "is_wr_short": 40.7, "oos_n": 40, "oos_wr_short": 55.0, "oos_avg_ret": -0.0978, "oos_t": -2.09, "oos_p": 0.0432 }, { "rvol_range": "0-40pct", "sell_pct_range": "60-80pct", "is_n": 31, "is_wr_short": 61.3, "oos_n": 16, "oos_wr_short": 68.8, "oos_avg_ret": -0.2424, "oos_t": -2.09, "oos_p": 0.0545 } ], "total_combos_tested": 1900 }, "test4_fade": { "IS": { "n_heavy": 86, "n_faded": 6, "wr_long": 83.3, "avg_ret": 0.2234, "t_stat": 3.01 }, "OOS": { "n_heavy": 57, "n_faded": 5, "wr_long": 60.0, "avg_ret": 0.0749, "t_stat": 0.25 } }, "test5_persistence_rvol": { "IS_n": 53, "OOS_n": 35 }, "test6_combined": { "IS": { "Buy Absorption + Persist \u2192 LONG": { "n": 58, "wr": 69.0, "direction": "long", "avg_ret": 0.1004, "t_stat": 3.61, "actionable": true, "status": "\u2705 ACTIONABLE" }, "Buy Exhaustion (fade) \u2192 SHORT": { "n": 6, "wr": 66.7, "direction": "short", "avg_ret": -0.1069, "t_stat": -1.7, "actionable": false, "status": "\u26a0\ufe0f MARGINAL" }, "Sell Absorption + Persist \u2192 SHORT": { "n": 53, "wr": 54.7, "direction": "short", "avg_ret": -0.0256, "t_stat": -0.92, "actionable": "False", "status": "\u274c DEAD" }, "Sell Exhaustion (fade) \u2192 LONG": { "n": 4, "actionable": false } }, "OOS": { "Buy Absorption + Persist \u2192 LONG": { "n": 32, "wr": 65.6, "direction": "long", "avg_ret": 0.0876, "t_stat": 2.27, "actionable": true, "status": "\u2705 ACTIONABLE" }, "Buy Exhaustion (fade) \u2192 SHORT": { "n": 2, "actionable": false }, "Sell Absorption + Persist \u2192 SHORT": { "n": 35, "wr": 54.3, "direction": "short", "avg_ret": -0.1207, "t_stat": -1.67, "actionable": "False", "status": "\u274c DEAD" }, "Sell Exhaustion (fade) \u2192 LONG": { "n": 4, "actionable": false } } }, "test7_gap": { "IS": { "Gap UP + Heavy Selling ('smart money fading gap')": { "n": 52, "wr_short": 50.0, "wr_long": 48.1, "avg_ret": 0.0017, "t_stat": 0.05 }, "Gap DOWN + Heavy Selling ('panic/continuation')": { "n": 27, "wr_short": 40.7, "wr_long": 59.3, "avg_ret": 0.035, "t_stat": 0.89 } }, "OOS": { "Gap UP + Heavy Selling ('smart money fading gap')": { "n": 36, "wr_short": 47.2, "wr_long": 52.8, "avg_ret": -0.0408, "t_stat": -0.58 }, "Gap DOWN + Heavy Selling ('panic/continuation')": { "n": 17, "wr_short": 47.1, "wr_long": 52.9, "avg_ret": -0.0344, "t_stat": -0.28 } } } }