{
  "meta": {
    "script": "trace_clean_spx_rerun.py",
    "description": "Re-run TRACE backtests with clean Polygon SPX data (no ES offset)",
    "spx_source": "data/spx_5min_full.csv (Polygon, 777 days, Feb 2023-Mar 2026)",
    "n_days_processed": 344,
    "corruption_excluded": "2025-10-27 to 2026-02-17",
    "oos_split": "2025-05-01",
    "n_t1_records": 5948,
    "n_t2_records": 9276,
    "n_t5_records": 344,
    "notes": "Verdict methodology: all reach-rate signals compared to null (jittered baseline). INVALIDATED = new reach near null (lift ~0, p>>0.05), regardless of raw reach value. MM IC increased due to intraday vs daily comparison \u2014 different test setup, but OOS p=0.000 is real. Gamma->Range confirmed with clean SPX."
  },
  "old_results": {
    "cluster_growing_3x": 0.889,
    "cluster_persistent_growing": 0.912,
    "cluster_new": 0.432,
    "path_empty": 0.863,
    "path_pos_only": 0.605,
    "path_neg_only": 0.607,
    "path_mixed": 0.292,
    "osoim_q5": 0.537,
    "osoim_q1": 0.207,
    "mm_ic_1h": 0.086,
    "mm_ic_oos": 0.074,
    "gamma_range_ic": -0.485
  },
  "new_results": {
    "test1": {
      "all": {
        "label": "ALL clusters",
        "N": 5948,
        "reach_rate": 0.4919,
        "null_rate": 0.4911,
        "lift": 0.0008,
        "p_value": 0.453514,
        "sig": "ns"
      },
      "growing_3x": {
        "label": "Growing 3x+",
        "N": 231,
        "reach_rate": 0.6277,
        "null_rate": 0.5498,
        "lift": 0.0779,
        "p_value": 0.009961,
        "sig": "**"
      },
      "persistent_7plus": {
        "label": "Persistent (7+ snapshots)",
        "N": 1438,
        "reach_rate": 0.4033,
        "null_rate": 0.4124,
        "lift": -0.009,
        "p_value": 0.764986,
        "sig": "ns"
      },
      "persistent_and_growing": {
        "label": "Persistent+Growing",
        "N": 125,
        "reach_rate": 0.688,
        "null_rate": 0.608,
        "lift": 0.08,
        "p_value": 0.039462,
        "sig": "*"
      },
      "new_clusters": {
        "label": "New clusters (1 snapshot)",
        "N": 1374,
        "reach_rate": 0.5386,
        "null_rate": 0.5393,
        "lift": -0.0007,
        "p_value": 0.532631,
        "sig": "ns"
      },
      "by_distance": {
        "0-10": {
          "label": "  0-10pt",
          "N": 593,
          "reach_rate": 0.5801,
          "null_rate": 0.5835,
          "lift": -0.0034,
          "p_value": 0.583337,
          "sig": "ns"
        },
        "10-20": {
          "label": "  10-20pt",
          "N": 1281,
          "reach_rate": 0.6128,
          "null_rate": 0.6128,
          "lift": 0.0,
          "p_value": 0.512299,
          "sig": "ns"
        },
        "20-30": {
          "label": "  20-30pt",
          "N": 1662,
          "reach_rate": 0.5656,
          "null_rate": 0.5662,
          "lift": -0.0006,
          "p_value": 0.530021,
          "sig": "ns"
        },
        "30-50": {
          "label": "  30-50pt",
          "N": 2412,
          "reach_rate": 0.3553,
          "null_rate": 0.352,
          "lift": 0.0033,
          "p_value": 0.373866,
          "sig": "ns"
        }
      },
      "growing_3x_is": {
        "label": "Growing 3x+ (IS)",
        "N": 98,
        "reach_rate": 0.6429,
        "null_rate": 0.6837,
        "lift": -0.0408,
        "p_value": 0.836034,
        "sig": "ns"
      },
      "growing_3x_oos": {
        "label": "Growing 3x+ (OOS)",
        "N": 133,
        "reach_rate": 0.6165,
        "null_rate": 0.4511,
        "lift": 0.1654,
        "p_value": 9.2e-05,
        "sig": "***"
      }
    },
    "test2": {
      "1h": {
        "N": 5154,
        "IC": 0.3129,
        "p": 0.0,
        "IS_IC": 0.371,
        "IS_p": 0.0,
        "OOS_IC": 0.2897,
        "OOS_p": 0.0,
        "perm_p": 0.0,
        "N_IS": 3059,
        "N_OOS": 2095
      },
      "2h": {
        "N": 3092,
        "IC": 0.2418,
        "p": 0.0,
        "IS_IC": 0.3043,
        "IS_p": 0.0,
        "OOS_IC": 0.2139,
        "OOS_p": 0.0,
        "perm_p": 0.0,
        "N_IS": 1835,
        "N_OOS": 1257
      },
      "3h": {
        "N": 1030,
        "IC": 0.1438,
        "p": 4e-06,
        "IS_IC": 0.1993,
        "IS_p": 1e-06,
        "OOS_IC": 0.1414,
        "OOS_p": 0.003769,
        "perm_p": 0.0,
        "N_IS": 612,
        "N_OOS": 418
      }
    },
    "test3": {
      "quintiles": {
        "Q1": {
          "label": "Q1",
          "N": 1076,
          "reach_rate": 0.3736,
          "null_rate": 0.381,
          "lift": -0.0074,
          "p_value": 0.702555,
          "sig": "ns"
        },
        "Q2": {
          "label": "Q2",
          "N": 1075,
          "reach_rate": 0.3033,
          "null_rate": 0.2958,
          "lift": 0.0074,
          "p_value": 0.306931,
          "sig": "ns"
        },
        "Q3": {
          "label": "Q3",
          "N": 1076,
          "reach_rate": 0.5028,
          "null_rate": 0.5214,
          "lift": -0.0186,
          "p_value": 0.894507,
          "sig": "ns"
        },
        "Q4": {
          "label": "Q4",
          "N": 1075,
          "reach_rate": 0.6502,
          "null_rate": 0.6326,
          "lift": 0.0177,
          "p_value": 0.120707,
          "sig": "ns"
        },
        "Q5": {
          "label": "Q5",
          "N": 1076,
          "reach_rate": 0.6701,
          "null_rate": 0.658,
          "lift": 0.0121,
          "p_value": 0.211254,
          "sig": "ns"
        }
      }
    },
    "test4": {
      "EMPTY": {
        "label": "EMPTY",
        "N": 237,
        "reach_rate": 0.5485,
        "null_rate": 0.5485,
        "lift": 0.0,
        "p_value": 0.526848,
        "sig": "ns"
      },
      "POS_ONLY": {
        "label": "POS_ONLY",
        "N": 1401,
        "reach_rate": 0.5503,
        "null_rate": 0.5489,
        "lift": 0.0014,
        "p_value": 0.468253,
        "sig": "ns"
      },
      "NEG_ONLY": {
        "label": "NEG_ONLY",
        "N": 460,
        "reach_rate": 0.5152,
        "null_rate": 0.5087,
        "lift": 0.0065,
        "p_value": 0.407933,
        "sig": "ns"
      },
      "MIXED": {
        "label": "MIXED",
        "N": 3850,
        "reach_rate": 0.4644,
        "null_rate": 0.4644,
        "lift": 0.0,
        "p_value": 0.506293,
        "sig": "ns"
      },
      "perm_empty_vs_pos": {
        "observed_diff": -0.0018,
        "perm_p": 0.531
      },
      "time_to_reach": {
        "EMPTY": {
          "median_mins": 5.0,
          "N": 130
        },
        "POS_ONLY": {
          "median_mins": 5.0,
          "N": 771
        },
        "NEG_ONLY": {
          "median_mins": 5.0,
          "N": 237
        },
        "MIXED": {
          "median_mins": 5.0,
          "N": 1788
        }
      }
    },
    "test5": {
      "gamma_vs_range": {
        "N": 344,
        "IC": -0.4974,
        "p": 0.0,
        "IS_IC": -0.6289,
        "OOS_IC": -0.353
      }
    }
  },
  "verdicts": {
    "cluster_growing_3x": "INVALIDATED",
    "cluster_persistent_growing": "INVALIDATED",
    "cluster_new": "INVALIDATED",
    "path_empty": "INVALIDATED",
    "path_pos_only": "INVALIDATED",
    "path_neg_only": "WEAKENED",
    "path_mixed": "INVALIDATED",
    "osoim_q5": "INVALIDATED",
    "osoim_q1": "INVALIDATED",
    "mm_ic_1h": "STRENGTHENED",
    "mm_ic_oos": "STRENGTHENED",
    "gamma_range_ic": "CONFIRMED"
  }
}