{
  "meta": {
    "run_date": "2026-03-22 15:55:55",
    "date_range": [
      "2024-01-02",
      "2026-02-26"
    ],
    "n_days_total": 531,
    "n_days_signal": 512,
    "fomc_excluded": 57,
    "roll_window": 20,
    "n_permutations": 1000
  },
  "full_signal": {
    "description": "z(gamma_imbalance) - z(cum_delta_10am) \u2014 all data",
    "1h": {
      "ic": 0.1888,
      "sharpe": 2.139,
      "n": 512
    },
    "2h": {
      "ic": 0.1918,
      "sharpe": 1.8282,
      "n": 512
    },
    "3h": {
      "ic": 0.2542,
      "sharpe": 2.5088,
      "n": 497
    },
    "eod": {
      "ic": 0.4987,
      "sharpe": 4.1802,
      "n": 491
    }
  },
  "permutation_gamma": {
    "description": "Shuffle gamma_imbalance across dates (1000x), IC vs observed",
    "1h": {
      "observed_ic": 0.1888,
      "null_mean": -0.045,
      "null_std": 0.0316,
      "null_p95": 0.0963,
      "p_value": 0.0,
      "significant": true
    },
    "2h": {
      "observed_ic": 0.1918,
      "null_mean": -0.0595,
      "null_std": 0.03,
      "null_p95": 0.1083,
      "p_value": 0.0,
      "significant": true
    },
    "3h": {
      "observed_ic": 0.2542,
      "null_mean": -0.0527,
      "null_std": 0.03,
      "null_p95": 0.102,
      "p_value": 0.0,
      "significant": true
    },
    "eod": {
      "observed_ic": 0.4987,
      "null_mean": -0.0272,
      "null_std": 0.031,
      "null_p95": 0.079,
      "p_value": 0.0,
      "significant": true
    }
  },
  "permutation_delta": {
    "description": "Shuffle cum_delta_10am across dates (1000x), IC vs observed",
    "1h": {
      "observed_ic": 0.1888,
      "null_mean": 0.1982,
      "null_std": 0.0298,
      "null_p95": 0.2458,
      "p_value": 0.621,
      "significant": false
    },
    "2h": {
      "observed_ic": 0.1918,
      "null_mean": 0.2275,
      "null_std": 0.0303,
      "null_p95": 0.2768,
      "p_value": 0.894,
      "significant": false
    },
    "3h": {
      "observed_ic": 0.2542,
      "null_mean": 0.2803,
      "null_std": 0.0298,
      "null_p95": 0.3287,
      "p_value": 0.816,
      "significant": false
    },
    "eod": {
      "observed_ic": 0.4987,
      "null_mean": 0.4781,
      "null_std": 0.0266,
      "null_p95": 0.5185,
      "p_value": 0.225,
      "significant": false
    }
  },
  "component_decomposition": {
    "gamma_imbalance_only": {
      "1h": {
        "ic": 0.2746,
        "sharpe": 3.5648,
        "n": 512
      },
      "2h": {
        "ic": 0.3172,
        "sharpe": 4.0433,
        "n": 512
      },
      "3h": {
        "ic": 0.3948,
        "sharpe": 5.5125,
        "n": 497
      },
      "eod": {
        "ic": 0.6774,
        "sharpe": 8.3349,
        "n": 491
      }
    },
    "neg_cum_delta_only": {
      "1h": {
        "ic": -0.0579,
        "sharpe": -0.13,
        "n": 512
      },
      "2h": {
        "ic": -0.0862,
        "sharpe": -0.8259,
        "n": 512
      },
      "3h": {
        "ic": -0.0743,
        "sharpe": -0.5948,
        "n": 497
      },
      "eod": {
        "ic": -0.0376,
        "sharpe": -0.3458,
        "n": 491
      }
    },
    "divergence_full": {
      "1h": {
        "ic": 0.1888,
        "sharpe": 2.139,
        "n": 512
      },
      "2h": {
        "ic": 0.1918,
        "sharpe": 1.8282,
        "n": 512
      },
      "3h": {
        "ic": 0.2542,
        "sharpe": 2.5088,
        "n": 497
      },
      "eod": {
        "ic": 0.4987,
        "sharpe": 4.1802,
        "n": 491
      }
    }
  },
  "is_oos": {
    "in_sample": {
      "1h": {
        "ic": 0.1677,
        "sharpe": 1.65,
        "n": 307
      },
      "2h": {
        "ic": 0.1481,
        "sharpe": 0.5667,
        "n": 307
      },
      "3h": {
        "ic": 0.2113,
        "sharpe": 1.5104,
        "n": 299
      },
      "eod": {
        "ic": 0.4631,
        "sharpe": 3.0122,
        "n": 296
      },
      "n_days": 307,
      "date_range": [
        "2024-01-29",
        "2025-04-29"
      ]
    },
    "out_of_sample": {
      "1h": {
        "ic": 0.2134,
        "sharpe": 3.0969,
        "n": 205
      },
      "2h": {
        "ic": 0.2558,
        "sharpe": 3.8379,
        "n": 205
      },
      "3h": {
        "ic": 0.3185,
        "sharpe": 4.2384,
        "n": 198
      },
      "eod": {
        "ic": 0.549,
        "sharpe": 7.3933,
        "n": 195
      },
      "n_days": 205,
      "date_range": [
        "2025-04-30",
        "2026-02-26"
      ]
    }
  },
  "year_by_year": {
    "2024": {
      "1h": {
        "ic": 0.15,
        "sharpe": 0.8375,
        "n": 228
      },
      "2h": {
        "ic": 0.1602,
        "sharpe": 0.9892,
        "n": 228
      },
      "3h": {
        "ic": 0.2209,
        "sharpe": 2.0096,
        "n": 222
      },
      "eod": {
        "ic": 0.5319,
        "sharpe": 5.9741,
        "n": 219
      },
      "n_days": 228
    },
    "2025": {
      "1h": {
        "ic": 0.2348,
        "sharpe": 3.0066,
        "n": 245
      },
      "2h": {
        "ic": 0.2338,
        "sharpe": 2.1993,
        "n": 245
      },
      "3h": {
        "ic": 0.2911,
        "sharpe": 2.8682,
        "n": 238
      },
      "eod": {
        "ic": 0.4681,
        "sharpe": 3.2709,
        "n": 235
      },
      "n_days": 245
    },
    "2026": {
      "1h": {
        "ic": 0.068,
        "sharpe": 3.0777,
        "n": 39
      },
      "2h": {
        "ic": 0.1589,
        "sharpe": 3.6635,
        "n": 39
      },
      "3h": {
        "ic": 0.2041,
        "sharpe": 2.7522,
        "n": 37
      },
      "eod": {
        "ic": 0.4884,
        "sharpe": 6.4689,
        "n": 37
      },
      "n_days": 39
    }
  },
  "verdict": [
    "PASS: OOS 3H IC = 0.3185 > 0.",
    "PASS: Gamma perm p=0.0000 (significant).",
    "FAIL: Delta permutation test not significant at 3H.",
    "WARN: Divergence does NOT add value over best single component (3H).",
    "\nRECOMMENDATION: DO NOT restore \u2014 requires investigation."
  ],
  "restore_recommended": false
}