{ "meta": { "run_time": "2026-03-31T17:52:48.945992", "elapsed_sec": 11863, "n_events": 484, "n_days": 242, "date_range": [ "2025-04-01", "2026-03-26" ] }, "backtest": { "win_15": { "n": 242, "signal1_spread_regime": { "Q1_tight": { "n": 49, "confirm_rate": 1.0, "mean_extension": 23.92, "mean_daily_range": 41.92, "mean_spread": 0.4528 }, "Q2": { "n": 48, "confirm_rate": 0.9792, "mean_extension": 30.82, "mean_daily_range": 55.58, "mean_spread": 0.5246 }, "Q3": { "n": 48, "confirm_rate": 0.9583, "mean_extension": 34.05, "mean_daily_range": 60.23, "mean_spread": 0.6176 }, "Q4": { "n": 48, "confirm_rate": 1.0, "mean_extension": 32.54, "mean_daily_range": 75.04, "mean_spread": 0.8078 }, "Q5_wide": { "n": 49, "confirm_rate": 0.898, "mean_extension": 62.23, "mean_daily_range": 674.71, "mean_spread": 4.2052 }, "rho_spread_vs_extension": 0.2904, "p_spread_vs_extension": 6e-06 }, "signal2_spread_at_touch": { "n_touched": 242, "tight_at_touch": { "n": 184, "confirm_rate": 0.9674, "mean_spread_ratio": 0.8126 }, "wide_at_touch": { "n": 58, "confirm_rate": 0.9655, "mean_spread_ratio": 3.3506 }, "spread_improvement": 0.0019, "rho": -0.0255, "p": 0.693349, "tight_binomial_p": 0.0, "tercile_tight": { "n": 81, "confirm_rate": 0.9753 }, "tercile_mid": { "n": 80, "confirm_rate": 0.9625 }, "tercile_wide": { "n": 81, "confirm_rate": 0.963 } }, "signal3_range_x_spread": { "tight_low": { "n": 33, "confirm_rate": 1.0, "mean_extension": 22.96 }, "tight_mid": { "n": 5, "confirm_rate": 1.0, "mean_extension": 16.05 }, "normal_low": { "n": 48, "confirm_rate": 1.0, "mean_extension": 26.41 }, "normal_mid": { "n": 62, "confirm_rate": 0.9839, "mean_extension": 35.06 }, "normal_high": { "n": 38, "confirm_rate": 1.0, "mean_extension": 30.24 }, "wide_mid": { "n": 13, "confirm_rate": 0.8462, "mean_extension": 46.14 }, "wide_high": { "n": 43, "confirm_rate": 0.8837, "mean_extension": 68.06 } }, "signal4_direction": { "up_mean_spread": 1.6295, "down_mean_spread": 0.864, "spread_diff": 0.7655, "wide_up_pct": 0.6239, "tight_up_pct": 0.6154 } }, "win_30": { "n": 242, "signal1_spread_regime": { "Q1_tight": { "n": 50, "confirm_rate": 0.9, "mean_extension": 19.03, "mean_daily_range": 39.59, "mean_spread": 0.4452 }, "Q2": { "n": 47, "confirm_rate": 0.9149, "mean_extension": 34.51, "mean_daily_range": 57.72, "mean_spread": 0.5303 }, "Q3": { "n": 48, "confirm_rate": 0.8542, "mean_extension": 30.36, "mean_daily_range": 60.35, "mean_spread": 0.645 }, "Q4": { "n": 48, "confirm_rate": 0.8542, "mean_extension": 42.49, "mean_daily_range": 81.4, "mean_spread": 0.8206 }, "Q5_wide": { "n": 49, "confirm_rate": 0.8163, "mean_extension": 61.77, "mean_daily_range": 668.96, "mean_spread": 3.2697 }, "rho_spread_vs_extension": 0.3919, "p_spread_vs_extension": 0.0 }, "signal2_spread_at_touch": { "n_touched": 242, "tight_at_touch": { "n": 181, "confirm_rate": 0.8674, "mean_spread_ratio": 0.8084 }, "wide_at_touch": { "n": 61, "confirm_rate": 0.8689, "mean_spread_ratio": 7.243 }, "spread_improvement": -0.0014, "rho": -0.0685, "p": 0.28888, "tight_binomial_p": 0.0, "tercile_tight": { "n": 81, "confirm_rate": 0.8765 }, "tercile_mid": { "n": 80, "confirm_rate": 0.8875 }, "tercile_wide": { "n": 81, "confirm_rate": 0.8395 } }, "signal3_range_x_spread": { "tight_low": { "n": 12, "confirm_rate": 1.0, "mean_extension": 20.25 }, "normal_low": { "n": 62, "confirm_rate": 0.8871, "mean_extension": 26.55 }, "normal_mid": { "n": 39, "confirm_rate": 1.0, "mean_extension": 27.26 }, "normal_high": { "n": 14, "confirm_rate": 0.9286, "mean_extension": 20.69 }, "wide_low": { "n": 7, "confirm_rate": 0.7143, "mean_extension": 32.95 }, "wide_mid": { "n": 41, "confirm_rate": 0.7561, "mean_extension": 43.97 }, "wide_high": { "n": 67, "confirm_rate": 0.8209, "mean_extension": 58.83 } }, "signal4_direction": { "up_mean_spread": 1.3829, "down_mean_spread": 0.9283, "spread_diff": 0.4546, "wide_up_pct": 0.619, "tight_up_pct": 0.581 } } }, "walk_forward": { "win_15": { "signal2_walkforward": { "threshold": 1.0, "train": { "tight_confirm": 0.9821, "wide_confirm": 0.9394, "n_tight": 112, "n_wide": 33 }, "test": { "tight_confirm": 0.9444, "wide_confirm": 1.0, "n_tight": 72, "n_wide": 25 } }, "signal1_walkforward": { "train_median_spread": 0.5571, "test_wide_ext": 37.58, "test_tight_ext": 29.75, "n_test_wide": 71, "n_test_tight": 22 } }, "win_30": { "signal2_walkforward": { "threshold": 0.9, "train": { "tight_confirm": 0.9359, "wide_confirm": 0.8507, "n_tight": 78, "n_wide": 67 }, "test": { "tight_confirm": 0.8364, "wide_confirm": 0.8095, "n_tight": 55, "n_wide": 42 } }, "signal1_walkforward": { "train_median_spread": 0.6009, "test_wide_ext": 43.17, "test_tight_ext": 27.86, "n_test_wide": 52, "n_test_tight": 28 } } }, "null_tests": { "win_15": { "null_spread_at_touch": { "actual_rho": -0.0255, "shuffled_mean": -0.0004, "p_value": 0.3574, "significant": false, "n": 242 }, "null_spread_vs_extension": { "actual_rho": 0.2904, "shuffled_mean": 0.0004, "p_value": 0.0, "significant": true, "n": 234 }, "null_direction_bias": { "actual_wide_minus_tight_up_pct": 0.0085, "shuffled_mean": 0.0007, "p_value": 0.499, "significant": false } }, "win_30": { "null_spread_at_touch": { "actual_rho": -0.0685, "shuffled_mean": -0.0006, "p_value": 0.1462, "significant": false, "n": 242 }, "null_spread_vs_extension": { "actual_rho": 0.3919, "shuffled_mean": -0.0021, "p_value": 0.0, "significant": true, "n": 210 }, "null_direction_bias": { "actual_wide_minus_tight_up_pct": 0.0381, "shuffled_mean": 0.0005, "p_value": 0.3362, "significant": false } } } }