{
  "meta": {
    "script": "trace_cluster_polygon_spx.py",
    "price_source": "data/spx_5min_polygon.csv (verified Polygon SPX)",
    "reach_dist_pts": 10,
    "min_gamma": 5000000.0,
    "large_gamma": 30000000.0,
    "cluster_window": 50,
    "cluster_gap": 15,
    "days_processed": 333,
    "skipped_no_spx": 29,
    "skipped_excluded": 93,
    "total_t1": 13852,
    "total_t23": 12825,
    "total_t4": 1790
  },
  "test1_eventual_reach": {
    "overall": {
      "N": 13852,
      "n_dates": 331,
      "reach_rate": 0.6079,
      "null_rate": 0.5892,
      "lift": 0.0186
    },
    "by_characteristic": {
      "size": [
        {
          "label": "5M\u201330M (single/small)",
          "N": 3863,
          "reach_rate": 0.3756,
          "null_rate": 0.3777,
          "lift": -0.0021,
          "median_time_min": 30.0,
          "p_value": 0.610583
        },
        {
          "label": "30M\u2013100M",
          "N": 3540,
          "reach_rate": 0.528,
          "null_rate": 0.5347,
          "lift": -0.0068,
          "median_time_min": 25.0,
          "p_value": 0.795505
        },
        {
          "label": "100M\u2013300M",
          "N": 4158,
          "reach_rate": 0.735,
          "null_rate": 0.7124,
          "lift": 0.0226,
          "median_time_min": 5.0,
          "p_value": 0.000626
        },
        {
          "label": ">300M",
          "N": 2291,
          "reach_rate": 0.8922,
          "null_rate": 0.8066,
          "lift": 0.0856,
          "median_time_min": 5.0,
          "p_value": 0.0
        }
      ],
      "distance": [
        {
          "label": "5\u201315pts",
          "N": 4812,
          "reach_rate": 0.9616,
          "null_rate": 0.8678,
          "lift": 0.0937,
          "median_time_min": 5.0,
          "p_value": 0.0
        },
        {
          "label": "15\u201330pts",
          "N": 4483,
          "reach_rate": 0.5748,
          "null_rate": 0.6123,
          "lift": -0.0375,
          "median_time_min": 35.0,
          "p_value": 1.0
        },
        {
          "label": "30\u201350pts",
          "N": 4557,
          "reach_rate": 0.2668,
          "null_rate": 0.2723,
          "lift": -0.0055,
          "median_time_min": 80.0,
          "p_value": 0.801742
        }
      ],
      "direction": [
        {
          "label": "Above spot (resistance zone)",
          "N": 7246,
          "reach_rate": 0.6072,
          "null_rate": 0.5839,
          "lift": 0.0233,
          "median_time_min": 5.0,
          "p_value": 2.8e-05
        },
        {
          "label": "Below spot (support zone)",
          "N": 6606,
          "reach_rate": 0.6085,
          "null_rate": 0.5951,
          "lift": 0.0135,
          "median_time_min": 10.0,
          "p_value": 0.013161
        }
      ],
      "persistence": [
        {
          "label": "Transient (1 snapshot)",
          "N": 5671,
          "reach_rate": 0.6468,
          "null_rate": 0.6256,
          "lift": 0.0212,
          "median_time_min": 5.0,
          "p_value": 0.0005
        },
        {
          "label": "Persistent (2+ consecutive)",
          "N": 8181,
          "reach_rate": 0.5809,
          "null_rate": 0.564,
          "lift": 0.0169,
          "median_time_min": 10.0,
          "p_value": 0.001071
        }
      ],
      "gex_regime": [
        {
          "label": "Positive GEX",
          "N": 9998,
          "reach_rate": 0.589,
          "null_rate": 0.5665,
          "lift": 0.0225,
          "median_time_min": 5.0,
          "p_value": 3e-06
        },
        {
          "label": "Negative GEX",
          "N": 3854,
          "reach_rate": 0.6567,
          "null_rate": 0.6482,
          "lift": 0.0086,
          "median_time_min": 15.0,
          "p_value": 0.136407
        }
      ],
      "dte0_ratio": [
        {
          "label": "<20% 0DTE",
          "N": 1636,
          "reach_rate": 0.2476,
          "null_rate": 0.2482,
          "lift": -0.0006,
          "median_time_min": 55.0,
          "p_value": 0.53231
        },
        {
          "label": "20\u201350% 0DTE",
          "N": 10342,
          "reach_rate": 0.6681,
          "null_rate": 0.6472,
          "lift": 0.021,
          "median_time_min": 5.0,
          "p_value": 4e-06
        },
        {
          "label": ">50% 0DTE",
          "N": 1874,
          "reach_rate": 0.5896,
          "null_rate": 0.5672,
          "lift": 0.0224,
          "median_time_min": 20.0,
          "p_value": 0.026311
        }
      ],
      "two_sided": [
        {
          "label": "One-sided only",
          "N": 3865,
          "reach_rate": 0.8843,
          "null_rate": 0.8186,
          "lift": 0.0657,
          "median_time_min": 5.0,
          "p_value": 0.0
        },
        {
          "label": "Both sides (pinning)",
          "N": 9987,
          "reach_rate": 0.5009,
          "null_rate": 0.5005,
          "lift": 0.0004,
          "median_time_min": 25.0,
          "p_value": 0.47208
        }
      ]
    },
    "cross_size_direction": [
      {
        "label": "5-30M above",
        "N": 1937,
        "reach_rate": 0.3345,
        "null_rate": 0.334,
        "lift": 0.0005,
        "median_time_min": 30.0,
        "p_value": 0.489329
      },
      {
        "label": "5-30M below",
        "N": 1926,
        "reach_rate": 0.4169,
        "null_rate": 0.4216,
        "lift": -0.0047,
        "median_time_min": 35.0,
        "p_value": 0.669079
      },
      {
        "label": "30-100M above",
        "N": 1786,
        "reach_rate": 0.4966,
        "null_rate": 0.5112,
        "lift": -0.0146,
        "median_time_min": 25.0,
        "p_value": 0.895144
      },
      {
        "label": "30-100M below",
        "N": 1754,
        "reach_rate": 0.5599,
        "null_rate": 0.5587,
        "lift": 0.0011,
        "median_time_min": 25.0,
        "p_value": 0.471623
      },
      {
        "label": "100M+ above",
        "N": 3523,
        "reach_rate": 0.8132,
        "null_rate": 0.7582,
        "lift": 0.0551,
        "median_time_min": 5.0,
        "p_value": 0.0
      },
      {
        "label": "100M+ below",
        "N": 2926,
        "reach_rate": 0.7638,
        "null_rate": 0.731,
        "lift": 0.0328,
        "median_time_min": 5.0,
        "p_value": 2.8e-05
      }
    ],
    "cross_dist_direction": [
      {
        "label": "5-15pts above",
        "N": 2721,
        "reach_rate": 0.9706,
        "null_rate": 0.8736,
        "lift": 0.097,
        "median_time_min": 5.0,
        "p_value": 0.0
      },
      {
        "label": "5-15pts below",
        "N": 2091,
        "reach_rate": 0.9498,
        "null_rate": 0.8604,
        "lift": 0.0894,
        "median_time_min": 5.0,
        "p_value": 0.0
      },
      {
        "label": "15-30pts above",
        "N": 2149,
        "reach_rate": 0.5728,
        "null_rate": 0.6082,
        "lift": -0.0354,
        "median_time_min": 35.0,
        "p_value": 0.999618
      },
      {
        "label": "15-30pts below",
        "N": 2334,
        "reach_rate": 0.5767,
        "null_rate": 0.6161,
        "lift": -0.0394,
        "median_time_min": 30.0,
        "p_value": 0.999955
      },
      {
        "label": "30-50pts above",
        "N": 2376,
        "reach_rate": 0.2222,
        "null_rate": 0.2302,
        "lift": -0.008,
        "median_time_min": 80.0,
        "p_value": 0.828915
      },
      {
        "label": "30-50pts below",
        "N": 2181,
        "reach_rate": 0.3155,
        "null_rate": 0.3182,
        "lift": -0.0028,
        "median_time_min": 82.5,
        "p_value": 0.616487
      }
    ],
    "time_distribution_min": {
      "p10": 5.0,
      "p25": 5.0,
      "p50": 10.0,
      "p75": 45.0,
      "p90": 115.0
    },
    "bounce_analysis": {
      "N_reached": 8056,
      "overall_bounce_rate": 0.4882,
      "by_direction": {
        "above": {
          "N": 4214,
          "bounce_rate": 0.4556
        },
        "below": {
          "N": 3842,
          "bounce_rate": 0.5239
        }
      }
    }
  },
  "test2_from_above": {
    "N": 5852,
    "toward_rate": 0.4954,
    "p_value": 0.763919,
    "mean_ret_60": -0.74,
    "median_ret_60": 0.17,
    "by_size": [
      {
        "label": "5-30M",
        "N": 1270,
        "toward_rate": 0.4772,
        "mean_ret_60": -0.96,
        "p_value": 0.951116
      },
      {
        "label": "30-100M",
        "N": 1730,
        "toward_rate": 0.496,
        "mean_ret_60": -0.76,
        "p_value": 0.640808
      },
      {
        "label": "100M+",
        "N": 2852,
        "toward_rate": 0.5032,
        "mean_ret_60": -0.62,
        "p_value": 0.375121
      }
    ]
  },
  "test3_from_below": {
    "N": 6973,
    "toward_rate": 0.5536,
    "p_value": 0.0,
    "mean_ret_60": 0.5,
    "median_ret_60": 1.37,
    "by_size": [
      {
        "label": "5-30M",
        "N": 1229,
        "toward_rate": 0.5216,
        "mean_ret_60": 0.21,
        "p_value": 0.068982
      },
      {
        "label": "30-100M",
        "N": 1703,
        "toward_rate": 0.5373,
        "mean_ret_60": 0.27,
        "p_value": 0.001127
      },
      {
        "label": "100M+",
        "N": 4041,
        "toward_rate": 0.5702,
        "mean_ret_60": 0.68,
        "p_value": 0.0
      }
    ]
  },
  "test4_cluster_trend": {
    "growing": {
      "N": 872,
      "reach_rate": 0.7133,
      "null_rate": 0.617,
      "lift": 0.0963,
      "p_value": 0.0
    },
    "stable": {
      "N": 431,
      "reach_rate": 0.5383,
      "null_rate": 0.4919,
      "lift": 0.0464,
      "p_value": 0.030117
    },
    "shrinking": {
      "N": 487,
      "reach_rate": 0.269,
      "null_rate": 0.2669,
      "lift": 0.0021,
      "p_value": 0.476415
    }
  },
  "test5_single_vs_cluster": {
    "Single strike (1 bar)": {
      "label": "Single strike (1 bar)",
      "N": 1197,
      "reach_rate": 0.33,
      "null_rate": 0.3225,
      "lift": 0.0075,
      "median_time_min": 35.0,
      "p_value": 0.29867
    },
    "Small cluster (2-3 bars)": {
      "label": "Small cluster (2-3 bars)",
      "N": 3039,
      "reach_rate": 0.3557,
      "null_rate": 0.3672,
      "lift": -0.0115,
      "median_time_min": 40.0,
      "p_value": 0.909428
    },
    "Large cluster (4+ bars)": {
      "label": "Large cluster (4+ bars)",
      "N": 9616,
      "reach_rate": 0.7221,
      "null_rate": 0.6926,
      "lift": 0.0295,
      "median_time_min": 5.0,
      "p_value": 0.0
    },
    "by_direction": {
      "Single above": {
        "label": "Single above",
        "N": 610,
        "reach_rate": 0.2721,
        "null_rate": 0.2754,
        "lift": -0.0033,
        "median_time_min": 25.0,
        "p_value": 0.587106
      },
      "Single below": {
        "label": "Single below",
        "N": 587,
        "reach_rate": 0.3901,
        "null_rate": 0.3714,
        "lift": 0.0187,
        "median_time_min": 50.0,
        "p_value": 0.184685
      },
      "Multi above": {
        "label": "Multi above",
        "N": 6636,
        "reach_rate": 0.638,
        "null_rate": 0.6123,
        "lift": 0.0258,
        "median_time_min": 5.0,
        "p_value": 8e-06
      },
      "Multi below": {
        "label": "Multi below",
        "N": 6019,
        "reach_rate": 0.6298,
        "null_rate": 0.6169,
        "lift": 0.013,
        "median_time_min": 10.0,
        "p_value": 0.019783
      }
    }
  }
}