{
  "metadata": {
    "date": "2026-03-08 12:17:56.617573",
    "signals": [
      "VIX_TS",
      "VIXDecomp",
      "DeltaDiv",
      "DOW"
    ],
    "total_obs": 504,
    "complete_obs": 485
  },
  "pairwise_correlations": {
    "VIX_TS_vs_VIXDecomp": {
      "rho": -0.0,
      "p": 0.9934,
      "n": 497
    },
    "VIX_TS_vs_DeltaDiv": {
      "rho": 0.09,
      "p": 0.0469,
      "n": 489
    },
    "VIX_TS_vs_DOW": {
      "rho": -0.259,
      "p": 0.0,
      "n": 501
    },
    "VIXDecomp_vs_DeltaDiv": {
      "rho": -0.032,
      "p": 0.4779,
      "n": 485
    },
    "VIXDecomp_vs_DOW": {
      "rho": 0.033,
      "p": 0.4693,
      "n": 498
    },
    "DeltaDiv_vs_DOW": {
      "rho": 0.046,
      "p": 0.3077,
      "n": 490
    }
  },
  "is_correlations": {
    "VIX_TS_vs_VIXDecomp": {
      "rho": 0.033,
      "p": 0.5752,
      "n": 297
    },
    "VIX_TS_vs_DeltaDiv": {
      "rho": 0.085,
      "p": 0.1441,
      "n": 296
    },
    "VIX_TS_vs_DOW": {
      "rho": -0.24,
      "p": 0.0,
      "n": 301
    },
    "VIXDecomp_vs_DeltaDiv": {
      "rho": -0.012,
      "p": 0.8352,
      "n": 292
    },
    "VIXDecomp_vs_DOW": {
      "rho": -0.0,
      "p": 0.999,
      "n": 297
    },
    "DeltaDiv_vs_DOW": {
      "rho": 0.022,
      "p": 0.7072,
      "n": 296
    }
  },
  "oos_correlations": {
    "VIX_TS_vs_VIXDecomp": {
      "rho": -0.09,
      "p": 0.2068,
      "n": 200
    },
    "VIX_TS_vs_DeltaDiv": {
      "rho": 0.21,
      "p": 0.0034,
      "n": 193
    },
    "VIX_TS_vs_DOW": {
      "rho": -0.318,
      "p": 0.0,
      "n": 200
    },
    "VIXDecomp_vs_DeltaDiv": {
      "rho": -0.03,
      "p": 0.6806,
      "n": 193
    },
    "VIXDecomp_vs_DOW": {
      "rho": 0.064,
      "p": 0.364,
      "n": 201
    },
    "DeltaDiv_vs_DOW": {
      "rho": 0.081,
      "p": 0.2612,
      "n": 194
    }
  },
  "incremental_ic": {
    "full_composite_ic": 0.138,
    "VIX_TS": {
      "individual_ic": 0.134,
      "individual_p": 0.0031,
      "composite_without_ic": 0.08,
      "marginal_ic_gain": 0.058,
      "partial_ic": 0.132,
      "partial_p": 0.0037
    },
    "VIXDecomp": {
      "individual_ic": 0.061,
      "individual_p": 0.1786,
      "composite_without_ic": 0.121,
      "marginal_ic_gain": 0.016,
      "partial_ic": 0.061,
      "partial_p": 0.1796
    },
    "DeltaDiv": {
      "individual_ic": 0.076,
      "individual_p": 0.096,
      "composite_without_ic": 0.136,
      "marginal_ic_gain": 0.002,
      "partial_ic": 0.071,
      "partial_p": 0.117
    },
    "DOW": {
      "individual_ic": 0.031,
      "individual_p": 0.491,
      "composite_without_ic": 0.153,
      "marginal_ic_gain": -0.015,
      "partial_ic": 0.057,
      "partial_p": 0.2071
    }
  },
  "incremental_ic_is": {
    "full_composite_ic": 0.125,
    "VIX_TS": {
      "individual_ic": 0.109,
      "individual_p": 0.0618,
      "composite_without_ic": 0.072,
      "marginal_ic_gain": 0.053,
      "partial_ic": 0.107,
      "partial_p": 0.0685
    },
    "VIXDecomp": {
      "individual_ic": 0.05,
      "individual_p": 0.3986,
      "composite_without_ic": 0.113,
      "marginal_ic_gain": 0.012,
      "partial_ic": 0.049,
      "partial_p": 0.401
    },
    "DeltaDiv": {
      "individual_ic": 0.066,
      "individual_p": 0.2574,
      "composite_without_ic": 0.134,
      "marginal_ic_gain": -0.009,
      "partial_ic": 0.059,
      "partial_p": 0.3125
    },
    "DOW": {
      "individual_ic": 0.03,
      "individual_p": 0.6063,
      "composite_without_ic": 0.119,
      "marginal_ic_gain": 0.006,
      "partial_ic": 0.054,
      "partial_p": 0.3541
    }
  },
  "incremental_ic_oos": {
    "full_composite_ic": 0.176,
    "VIX_TS": {
      "individual_ic": 0.164,
      "individual_p": 0.0227,
      "composite_without_ic": 0.09,
      "marginal_ic_gain": 0.086,
      "partial_ic": 0.173,
      "partial_p": 0.016
    },
    "VIXDecomp": {
      "individual_ic": 0.076,
      "individual_p": 0.2952,
      "composite_without_ic": 0.141,
      "marginal_ic_gain": 0.035,
      "partial_ic": 0.087,
      "partial_p": 0.2305
    },
    "DeltaDiv": {
      "individual_ic": 0.098,
      "individual_p": 0.1759,
      "composite_without_ic": 0.164,
      "marginal_ic_gain": 0.012,
      "partial_ic": 0.048,
      "partial_p": 0.5064
    },
    "DOW": {
      "individual_ic": 0.025,
      "individual_p": 0.7299,
      "composite_without_ic": 0.214,
      "marginal_ic_gain": -0.038,
      "partial_ic": 0.071,
      "partial_p": 0.3283
    }
  },
  "optimal_weights": {
    "ic_vector": {
      "VIX_TS": 0.134,
      "VIXDecomp": 0.061,
      "DeltaDiv": 0.076,
      "DOW": 0.031
    },
    "optimal_weights_raw": {
      "VIX_TS": 0.433,
      "VIXDecomp": 0.18,
      "DeltaDiv": 0.186,
      "DOW": 0.201
    },
    "optimal_weights_positive": {
      "VIX_TS": 0.433,
      "VIXDecomp": 0.18,
      "DeltaDiv": 0.186,
      "DOW": 0.201
    },
    "ir_optimal": 0.164,
    "ir_v4": 0.118,
    "ir_v6_proposed": 0.162,
    "ir_equal": 0.138
  },
  "regime_analysis": {
    "VIX": {
      "LOW_VIX": {
        "n": 255,
        "signal_ics": {
          "VIX_TS": {
            "ic": 0.158,
            "p": 0.012,
            "n": 253
          },
          "VIXDecomp": {
            "ic": 0.011,
            "p": 0.8632,
            "n": 249
          },
          "DeltaDiv": {
            "ic": 0.023,
            "p": 0.7225,
            "n": 248
          },
          "DOW": {
            "ic": 0.135,
            "p": 0.0306,
            "n": 255
          }
        },
        "pairwise_correlations": {
          "VIX_TS_vs_VIXDecomp": {
            "rho": -0.113,
            "p": 0.0752,
            "n": 249
          },
          "VIX_TS_vs_DeltaDiv": {
            "rho": 0.106,
            "p": 0.0974,
            "n": 247
          },
          "VIX_TS_vs_DOW": {
            "rho": -0.329,
            "p": 0.0,
            "n": 253
          },
          "VIXDecomp_vs_DeltaDiv": {
            "rho": -0.065,
            "p": 0.3125,
            "n": 243
          },
          "VIXDecomp_vs_DOW": {
            "rho": 0.027,
            "p": 0.6681,
            "n": 249
          },
          "DeltaDiv_vs_DOW": {
            "rho": 0.024,
            "p": 0.7079,
            "n": 248
          }
        }
      },
      "HIGH_VIX": {
        "n": 249,
        "signal_ics": {
          "VIX_TS": {
            "ic": 0.099,
            "p": 0.1193,
            "n": 248
          },
          "VIXDecomp": {
            "ic": 0.072,
            "p": 0.2564,
            "n": 248
          },
          "DeltaDiv": {
            "ic": 0.133,
            "p": 0.0393,
            "n": 242
          },
          "DOW": {
            "ic": 0.001,
            "p": 0.9844,
            "n": 248
          }
        },
        "pairwise_correlations": {
          "VIX_TS_vs_VIXDecomp": {
            "rho": 0.053,
            "p": 0.4101,
            "n": 248
          },
          "VIX_TS_vs_DeltaDiv": {
            "rho": 0.079,
            "p": 0.2236,
            "n": 242
          },
          "VIX_TS_vs_DOW": {
            "rho": -0.208,
            "p": 0.001,
            "n": 248
          },
          "VIXDecomp_vs_DeltaDiv": {
            "rho": -0.008,
            "p": 0.8982,
            "n": 242
          },
          "VIXDecomp_vs_DOW": {
            "rho": 0.039,
            "p": 0.5354,
            "n": 249
          },
          "DeltaDiv_vs_DOW": {
            "rho": 0.076,
            "p": 0.237,
            "n": 242
          }
        }
      }
    },
    "Trend": {
      "DOWNTREND": {
        "n": 131,
        "signal_ics": {
          "VIX_TS": {
            "ic": 0.151,
            "p": 0.0856,
            "n": 130
          },
          "VIXDecomp": {
            "ic": 0.08,
            "p": 0.3709,
            "n": 126
          },
          "DeltaDiv": {
            "ic": 0.082,
            "p": 0.3619,
            "n": 126
          },
          "DOW": {
            "ic": 0.024,
            "p": 0.7851,
            "n": 130
          }
        },
        "pairwise_correlations": {
          "VIX_TS_vs_VIXDecomp": {
            "rho": 0.025,
            "p": 0.7844,
            "n": 126
          },
          "VIX_TS_vs_DeltaDiv": {
            "rho": 0.115,
            "p": 0.1988,
            "n": 126
          },
          "VIX_TS_vs_DOW": {
            "rho": -0.177,
            "p": 0.0441,
            "n": 130
          },
          "VIXDecomp_vs_DeltaDiv": {
            "rho": 0.059,
            "p": 0.5193,
            "n": 122
          },
          "VIXDecomp_vs_DOW": {
            "rho": -0.014,
            "p": 0.876,
            "n": 127
          },
          "DeltaDiv_vs_DOW": {
            "rho": 0.024,
            "p": 0.7924,
            "n": 126
          }
        }
      },
      "UPTREND": {
        "n": 373,
        "signal_ics": {
          "VIX_TS": {
            "ic": 0.127,
            "p": 0.0142,
            "n": 371
          },
          "VIXDecomp": {
            "ic": 0.026,
            "p": 0.6134,
            "n": 371
          },
          "DeltaDiv": {
            "ic": 0.077,
            "p": 0.1438,
            "n": 364
          },
          "DOW": {
            "ic": 0.074,
            "p": 0.1537,
            "n": 373
          }
        },
        "pairwise_correlations": {
          "VIX_TS_vs_VIXDecomp": {
            "rho": -0.045,
            "p": 0.3848,
            "n": 371
          },
          "VIX_TS_vs_DeltaDiv": {
            "rho": 0.118,
            "p": 0.0242,
            "n": 363
          },
          "VIX_TS_vs_DOW": {
            "rho": -0.291,
            "p": 0.0,
            "n": 371
          },
          "VIXDecomp_vs_DeltaDiv": {
            "rho": -0.058,
            "p": 0.2712,
            "n": 363
          },
          "VIXDecomp_vs_DOW": {
            "rho": 0.049,
            "p": 0.3453,
            "n": 371
          },
          "DeltaDiv_vs_DOW": {
            "rho": 0.054,
            "p": 0.3074,
            "n": 364
          }
        }
      }
    }
  },
  "rolling_correlations": {
    "VIX_TS_vs_VIXDecomp": {
      "mean": -0.046,
      "std": 0.15,
      "min": -0.375,
      "max": 0.321,
      "range": 0.696,
      "n_windows": 444,
      "recent_60d": -0.198
    },
    "VIX_TS_vs_DeltaDiv": {
      "mean": 0.16,
      "std": 0.151,
      "min": -0.201,
      "max": 0.467,
      "range": 0.667,
      "n_windows": 444,
      "recent_60d": 0.248
    },
    "VIX_TS_vs_DOW": {
      "mean": -0.285,
      "std": 0.136,
      "min": -0.514,
      "max": 0.06,
      "range": 0.574,
      "n_windows": 444,
      "recent_60d": -0.342
    },
    "VIXDecomp_vs_DeltaDiv": {
      "mean": -0.043,
      "std": 0.088,
      "min": -0.252,
      "max": 0.221,
      "range": 0.473,
      "n_windows": 444,
      "recent_60d": -0.064
    },
    "VIXDecomp_vs_DOW": {
      "mean": 0.027,
      "std": 0.052,
      "min": -0.112,
      "max": 0.185,
      "range": 0.297,
      "n_windows": 444,
      "recent_60d": 0.093
    },
    "DeltaDiv_vs_DOW": {
      "mean": 0.049,
      "std": 0.079,
      "min": -0.132,
      "max": 0.311,
      "range": 0.443,
      "n_windows": 444,
      "recent_60d": 0.131
    }
  },
  "bootstrap_validation": {
    "v4": {
      "mean_oos_ic": 0.12,
      "std_oos_ic": 0.019,
      "median_oos_ic": 0.122,
      "pct_positive": 100.0,
      "p5": 0.08,
      "p95": 0.145
    },
    "v6": {
      "mean_oos_ic": 0.188,
      "std_oos_ic": 0.029,
      "median_oos_ic": 0.179,
      "pct_positive": 100.0,
      "p5": 0.155,
      "p95": 0.239
    },
    "equal": {
      "mean_oos_ic": 0.133,
      "std_oos_ic": 0.019,
      "median_oos_ic": 0.134,
      "pct_positive": 100.0,
      "p5": 0.102,
      "p95": 0.161
    }
  }
}