{
  "generated": "2026-03-22T08:02:13.559757",
  "description": "TRACE surviving signals \u00d7 8 data factors conditioning test",
  "n_trading_days": 351,
  "n_snapshots_total": 7400,
  "corruption_excluded": "2025-10-27 to 2026-02-17",
  "fomc_excluded_count": 57,
  "forward_return_horizon": "3H",
  "permutation_n": 500,
  "signals": {
    "s1_mm_tilt": {
      "signal_id": "S1",
      "signal_name": "MM_Tilt",
      "signal_type": "directional",
      "outcome": "ret_3h",
      "baseline_ic": 0.0643,
      "n_total": 7400,
      "factor_results": {
        "GEX_Regime": [
          {
            "subgroup": "gex_neg",
            "ic": 0.0822,
            "n": 2126
          },
          {
            "subgroup": "gex_low_pos",
            "ic": 0.0981,
            "n": 2637
          },
          {
            "subgroup": "gex_high_pos",
            "ic": 0.0042,
            "n": 2637
          }
        ],
        "Buy_Pct": [
          {
            "subgroup": "buy_bear",
            "ic": 0.2384,
            "n": 43
          },
          {
            "subgroup": "buy_neutral",
            "ic": 0.0637,
            "n": 7282
          },
          {
            "subgroup": "buy_bull",
            "ic": -0.0172,
            "n": 75
          }
        ],
        "RVOL": [
          {
            "subgroup": "rvol_low",
            "ic": -0.0229,
            "n": 1491
          },
          {
            "subgroup": "rvol_norm",
            "ic": 0.0831,
            "n": 4722
          },
          {
            "subgroup": "rvol_high",
            "ic": 0.049,
            "n": 1131
          }
        ],
        "MM_Tilt": [
          {
            "subgroup": "tilt_bear",
            "ic": 0.0432,
            "n": 5471
          },
          {
            "subgroup": "tilt_neut",
            "ic": -0.0201,
            "n": 1019
          },
          {
            "subgroup": "tilt_bull",
            "ic": -0.0596,
            "n": 910
          }
        ],
        "Time_of_Day": [
          {
            "subgroup": "morning",
            "ic": 0.0852,
            "n": 3046
          },
          {
            "subgroup": "midday",
            "ic": 0.0475,
            "n": 4354
          }
        ],
        "Gap": [
          {
            "subgroup": "gap_dn",
            "ic": -0.0015,
            "n": 1829
          },
          {
            "subgroup": "gap_flat",
            "ic": 0.1175,
            "n": 2924
          },
          {
            "subgroup": "gap_up",
            "ic": 0.0434,
            "n": 2598
          }
        ],
        "Participant": [
          {
            "subgroup": "cust_bear",
            "ic": 0.0635,
            "n": 6416
          },
          {
            "subgroup": "cust_neut",
            "ic": 0.0281,
            "n": 262
          },
          {
            "subgroup": "cust_bull",
            "ic": 0.1029,
            "n": 722
          }
        ],
        "0DTE_Dom": [
          {
            "subgroup": "0dte_low",
            "ic": 0.0293,
            "n": 3700
          },
          {
            "subgroup": "0dte_high",
            "ic": 0.0872,
            "n": 3700
          }
        ]
      },
      "best_1factor": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": 0.2384
      },
      "best_2factor": {
        "label": "Buy_Pct:buy_neutral + Gap:gap_flat",
        "ic": 0.1176,
        "n": 2876
      },
      "perm_test": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": 0.2384,
        "p_perm": 0.136,
        "significant": false,
        "n_perm": 500
      }
    },
    "s2_gamma_contrarian": {
      "signal_id": "S2",
      "signal_name": "Gamma_Contrarian",
      "signal_type": "directional",
      "outcome": "ret_3h",
      "baseline_ic": 0.0414,
      "n_total": 7400,
      "factor_results": {
        "GEX_Regime": [
          {
            "subgroup": "gex_neg",
            "ic": -0.0171,
            "n": 2126
          },
          {
            "subgroup": "gex_low_pos",
            "ic": 0.0879,
            "n": 2637
          },
          {
            "subgroup": "gex_high_pos",
            "ic": 0.0101,
            "n": 2637
          }
        ],
        "Buy_Pct": [
          {
            "subgroup": "buy_bear",
            "ic": 0.016,
            "n": 43
          },
          {
            "subgroup": "buy_neutral",
            "ic": 0.0427,
            "n": 7282
          },
          {
            "subgroup": "buy_bull",
            "ic": -0.0169,
            "n": 75
          }
        ],
        "RVOL": [
          {
            "subgroup": "rvol_low",
            "ic": 0.0394,
            "n": 1491
          },
          {
            "subgroup": "rvol_norm",
            "ic": 0.0549,
            "n": 4722
          },
          {
            "subgroup": "rvol_high",
            "ic": 0.0026,
            "n": 1131
          }
        ],
        "MM_Tilt": [
          {
            "subgroup": "tilt_bear",
            "ic": 0.0343,
            "n": 5471
          },
          {
            "subgroup": "tilt_neut",
            "ic": 0.0516,
            "n": 1019
          },
          {
            "subgroup": "tilt_bull",
            "ic": -0.0065,
            "n": 910
          }
        ],
        "Time_of_Day": [
          {
            "subgroup": "morning",
            "ic": 0.0508,
            "n": 3046
          },
          {
            "subgroup": "midday",
            "ic": 0.0344,
            "n": 4354
          }
        ],
        "Gap": [
          {
            "subgroup": "gap_dn",
            "ic": 0.1077,
            "n": 1829
          },
          {
            "subgroup": "gap_flat",
            "ic": 0.094,
            "n": 2924
          },
          {
            "subgroup": "gap_up",
            "ic": -0.0268,
            "n": 2598
          }
        ],
        "Participant": [
          {
            "subgroup": "cust_bear",
            "ic": 0.0417,
            "n": 6416
          },
          {
            "subgroup": "cust_neut",
            "ic": -0.0455,
            "n": 262
          },
          {
            "subgroup": "cust_bull",
            "ic": 0.0092,
            "n": 722
          }
        ],
        "0DTE_Dom": [
          {
            "subgroup": "0dte_low",
            "ic": 0.0812,
            "n": 3700
          },
          {
            "subgroup": "0dte_high",
            "ic": 0.0119,
            "n": 3700
          }
        ]
      },
      "best_1factor": {
        "factor": "Gap",
        "subgroup": "gap_dn",
        "ic": 0.1077
      },
      "best_2factor": {
        "label": "Gap:gap_dn + GEX_Regime:gex_low_pos",
        "ic": 0.2026,
        "n": 593
      },
      "perm_test": {
        "factor": "Gap",
        "subgroup": "gap_dn",
        "ic": 0.1077,
        "p_perm": 0.0,
        "significant": true,
        "n_perm": 500
      }
    },
    "s3_mm_asymmetry": {
      "signal_id": "S3",
      "signal_name": "MM_Asymmetry",
      "signal_type": "directional",
      "outcome": "ret_3h",
      "baseline_ic": 0.03,
      "n_total": 7400,
      "factor_results": {
        "GEX_Regime": [
          {
            "subgroup": "gex_neg",
            "ic": 0.0974,
            "n": 2126
          },
          {
            "subgroup": "gex_low_pos",
            "ic": -0.0252,
            "n": 2637
          },
          {
            "subgroup": "gex_high_pos",
            "ic": 0.0233,
            "n": 2637
          }
        ],
        "Buy_Pct": [
          {
            "subgroup": "buy_bear",
            "ic": 0.3691,
            "n": 43
          },
          {
            "subgroup": "buy_neutral",
            "ic": 0.0301,
            "n": 7282
          },
          {
            "subgroup": "buy_bull",
            "ic": -0.2188,
            "n": 75
          }
        ],
        "RVOL": [
          {
            "subgroup": "rvol_low",
            "ic": 0.0001,
            "n": 1491
          },
          {
            "subgroup": "rvol_norm",
            "ic": 0.0699,
            "n": 4722
          },
          {
            "subgroup": "rvol_high",
            "ic": -0.1386,
            "n": 1131
          }
        ],
        "MM_Tilt": [
          {
            "subgroup": "tilt_bear",
            "ic": 0.0109,
            "n": 5471
          },
          {
            "subgroup": "tilt_neut",
            "ic": -0.0566,
            "n": 1019
          },
          {
            "subgroup": "tilt_bull",
            "ic": 0.0343,
            "n": 910
          }
        ],
        "Time_of_Day": [
          {
            "subgroup": "morning",
            "ic": 0.0423,
            "n": 3046
          },
          {
            "subgroup": "midday",
            "ic": 0.0204,
            "n": 4354
          }
        ],
        "Gap": [
          {
            "subgroup": "gap_dn",
            "ic": 0.0072,
            "n": 1829
          },
          {
            "subgroup": "gap_flat",
            "ic": 0.0301,
            "n": 2924
          },
          {
            "subgroup": "gap_up",
            "ic": 0.0652,
            "n": 2598
          }
        ],
        "Participant": [
          {
            "subgroup": "cust_bear",
            "ic": 0.0412,
            "n": 6416
          },
          {
            "subgroup": "cust_neut",
            "ic": 0.0177,
            "n": 262
          },
          {
            "subgroup": "cust_bull",
            "ic": 0.0485,
            "n": 722
          }
        ],
        "0DTE_Dom": [
          {
            "subgroup": "0dte_low",
            "ic": 0.0412,
            "n": 3700
          },
          {
            "subgroup": "0dte_high",
            "ic": 0.0142,
            "n": 3700
          }
        ]
      },
      "best_1factor": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": 0.3691
      },
      "best_2factor": {
        "label": "Buy_Pct:buy_bull + RVOL:rvol_low",
        "ic": -0.3728,
        "n": 35
      },
      "perm_test": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": 0.3691,
        "p_perm": 0.012,
        "significant": true,
        "n_perm": 500
      }
    },
    "s4_mm_center_dist": {
      "signal_id": "S4",
      "signal_name": "MM_Center_Dir",
      "signal_type": "directional",
      "outcome": "ret_3h",
      "baseline_ic": 0.0857,
      "n_total": 7400,
      "factor_results": {
        "GEX_Regime": [
          {
            "subgroup": "gex_neg",
            "ic": 0.1048,
            "n": 2126
          },
          {
            "subgroup": "gex_low_pos",
            "ic": 0.1075,
            "n": 2637
          },
          {
            "subgroup": "gex_high_pos",
            "ic": 0.0588,
            "n": 2637
          }
        ],
        "Buy_Pct": [
          {
            "subgroup": "buy_bear",
            "ic": 0.2241,
            "n": 43
          },
          {
            "subgroup": "buy_neutral",
            "ic": 0.0845,
            "n": 7282
          },
          {
            "subgroup": "buy_bull",
            "ic": 0.0331,
            "n": 75
          }
        ],
        "RVOL": [
          {
            "subgroup": "rvol_low",
            "ic": 0.0239,
            "n": 1491
          },
          {
            "subgroup": "rvol_norm",
            "ic": 0.0691,
            "n": 4722
          },
          {
            "subgroup": "rvol_high",
            "ic": 0.1389,
            "n": 1131
          }
        ],
        "MM_Tilt": [
          {
            "subgroup": "tilt_bear",
            "ic": 0.0865,
            "n": 5471
          },
          {
            "subgroup": "tilt_neut",
            "ic": 0.0273,
            "n": 1019
          },
          {
            "subgroup": "tilt_bull",
            "ic": -0.029,
            "n": 910
          }
        ],
        "Time_of_Day": [
          {
            "subgroup": "morning",
            "ic": 0.0953,
            "n": 3046
          },
          {
            "subgroup": "midday",
            "ic": 0.0788,
            "n": 4354
          }
        ],
        "Gap": [
          {
            "subgroup": "gap_dn",
            "ic": 0.0109,
            "n": 1829
          },
          {
            "subgroup": "gap_flat",
            "ic": 0.1382,
            "n": 2924
          },
          {
            "subgroup": "gap_up",
            "ic": 0.0796,
            "n": 2598
          }
        ],
        "Participant": [
          {
            "subgroup": "cust_bear",
            "ic": 0.078,
            "n": 6416
          },
          {
            "subgroup": "cust_neut",
            "ic": 0.0413,
            "n": 262
          },
          {
            "subgroup": "cust_bull",
            "ic": 0.2154,
            "n": 722
          }
        ],
        "0DTE_Dom": [
          {
            "subgroup": "0dte_low",
            "ic": 0.04,
            "n": 3700
          },
          {
            "subgroup": "0dte_high",
            "ic": 0.1243,
            "n": 3700
          }
        ]
      },
      "best_1factor": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": 0.2241
      },
      "best_2factor": {
        "label": "Buy_Pct:buy_bear + Participant:cust_bear",
        "ic": 0.2819,
        "n": 42
      },
      "perm_test": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": 0.2241,
        "p_perm": 0.168,
        "significant": false,
        "n_perm": 500
      }
    },
    "s5_dom_strike": {
      "signal_id": "S5",
      "signal_name": "Dom_Strike_Attr",
      "signal_type": "directional",
      "outcome": "ret_3h",
      "baseline_ic": 0.0268,
      "n_total": 7400,
      "factor_results": {
        "GEX_Regime": [
          {
            "subgroup": "gex_neg",
            "ic": -0.0193,
            "n": 2126
          },
          {
            "subgroup": "gex_low_pos",
            "ic": 0.1042,
            "n": 2637
          },
          {
            "subgroup": "gex_high_pos",
            "ic": -0.0133,
            "n": 2637
          }
        ],
        "Buy_Pct": [
          {
            "subgroup": "buy_bear",
            "ic": -0.0149,
            "n": 43
          },
          {
            "subgroup": "buy_neutral",
            "ic": 0.0275,
            "n": 7282
          },
          {
            "subgroup": "buy_bull",
            "ic": -0.0099,
            "n": 75
          }
        ],
        "RVOL": [
          {
            "subgroup": "rvol_low",
            "ic": -0.0077,
            "n": 1491
          },
          {
            "subgroup": "rvol_norm",
            "ic": 0.0055,
            "n": 4722
          },
          {
            "subgroup": "rvol_high",
            "ic": 0.1067,
            "n": 1131
          }
        ],
        "MM_Tilt": [
          {
            "subgroup": "tilt_bear",
            "ic": 0.0195,
            "n": 5471
          },
          {
            "subgroup": "tilt_neut",
            "ic": -0.0088,
            "n": 1019
          },
          {
            "subgroup": "tilt_bull",
            "ic": 0.0117,
            "n": 910
          }
        ],
        "Time_of_Day": [
          {
            "subgroup": "morning",
            "ic": 0.0285,
            "n": 3046
          },
          {
            "subgroup": "midday",
            "ic": 0.0276,
            "n": 4354
          }
        ],
        "Gap": [
          {
            "subgroup": "gap_dn",
            "ic": -0.0173,
            "n": 1829
          },
          {
            "subgroup": "gap_flat",
            "ic": 0.1212,
            "n": 2924
          },
          {
            "subgroup": "gap_up",
            "ic": -0.0164,
            "n": 2598
          }
        ],
        "Participant": [
          {
            "subgroup": "cust_bear",
            "ic": 0.0414,
            "n": 6416
          },
          {
            "subgroup": "cust_neut",
            "ic": -0.2639,
            "n": 262
          },
          {
            "subgroup": "cust_bull",
            "ic": -0.0051,
            "n": 722
          }
        ],
        "0DTE_Dom": [
          {
            "subgroup": "0dte_low",
            "ic": -0.0299,
            "n": 3700
          },
          {
            "subgroup": "0dte_high",
            "ic": 0.0739,
            "n": 3700
          }
        ]
      },
      "best_1factor": {
        "factor": "Participant",
        "subgroup": "cust_neut",
        "ic": -0.2639
      },
      "best_2factor": {
        "label": "Participant:cust_neut + Gap:gap_up",
        "ic": -0.344,
        "n": 97
      },
      "perm_test": {
        "factor": "Participant",
        "subgroup": "cust_neut",
        "ic": -0.2639,
        "p_perm": 0.0,
        "significant": true,
        "n_perm": 500
      }
    },
    "s6_gamma_mag": {
      "signal_id": "S6",
      "signal_name": "Gamma_Magnitude",
      "signal_type": "volatility",
      "outcome": "abs_ret_3h",
      "baseline_ic": -0.0904,
      "n_total": 7400,
      "factor_results": {
        "GEX_Regime": [
          {
            "subgroup": "gex_neg",
            "ic": -0.0933,
            "n": 2126
          },
          {
            "subgroup": "gex_low_pos",
            "ic": 0.0185,
            "n": 2637
          },
          {
            "subgroup": "gex_high_pos",
            "ic": -0.1786,
            "n": 2637
          }
        ],
        "Buy_Pct": [
          {
            "subgroup": "buy_bear",
            "ic": -0.4152,
            "n": 43
          },
          {
            "subgroup": "buy_neutral",
            "ic": -0.0862,
            "n": 7282
          },
          {
            "subgroup": "buy_bull",
            "ic": -0.3293,
            "n": 75
          }
        ],
        "RVOL": [
          {
            "subgroup": "rvol_low",
            "ic": -0.181,
            "n": 1491
          },
          {
            "subgroup": "rvol_norm",
            "ic": -0.0949,
            "n": 4722
          },
          {
            "subgroup": "rvol_high",
            "ic": -0.0131,
            "n": 1131
          }
        ],
        "MM_Tilt": [
          {
            "subgroup": "tilt_bear",
            "ic": -0.0588,
            "n": 5471
          },
          {
            "subgroup": "tilt_neut",
            "ic": -0.2122,
            "n": 1019
          },
          {
            "subgroup": "tilt_bull",
            "ic": -0.075,
            "n": 910
          }
        ],
        "Time_of_Day": [
          {
            "subgroup": "morning",
            "ic": -0.0876,
            "n": 3046
          },
          {
            "subgroup": "midday",
            "ic": -0.0817,
            "n": 4354
          }
        ],
        "Gap": [
          {
            "subgroup": "gap_dn",
            "ic": -0.1317,
            "n": 1829
          },
          {
            "subgroup": "gap_flat",
            "ic": -0.1018,
            "n": 2924
          },
          {
            "subgroup": "gap_up",
            "ic": -0.0427,
            "n": 2598
          }
        ],
        "Participant": [
          {
            "subgroup": "cust_bear",
            "ic": -0.0862,
            "n": 6416
          },
          {
            "subgroup": "cust_neut",
            "ic": -0.0532,
            "n": 262
          },
          {
            "subgroup": "cust_bull",
            "ic": 0.1033,
            "n": 722
          }
        ],
        "0DTE_Dom": [
          {
            "subgroup": "0dte_low",
            "ic": -0.1088,
            "n": 3700
          },
          {
            "subgroup": "0dte_high",
            "ic": -0.095,
            "n": 3700
          }
        ]
      },
      "best_1factor": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": -0.4152
      },
      "best_2factor": {
        "label": "Buy_Pct:buy_bull + MM_Tilt:tilt_bear",
        "ic": -0.262,
        "n": 49
      },
      "perm_test": {
        "factor": "Buy_Pct",
        "subgroup": "buy_bear",
        "ic": -0.4152,
        "p_perm": 0.004,
        "significant": true,
        "n_perm": 500
      }
    },
    "s7_mm_flow": {
      "signal_id": "S7",
      "signal_name": "MM_Gamma_Flow",
      "signal_type": "directional",
      "outcome": "ret_3h",
      "baseline_ic": 0.0936,
      "n_total": 7058,
      "factor_results": {
        "GEX_Regime": [
          {
            "subgroup": "gex_neg",
            "ic": 0.0812,
            "n": 2032
          },
          {
            "subgroup": "gex_low_pos",
            "ic": 0.1178,
            "n": 2513
          },
          {
            "subgroup": "gex_high_pos",
            "ic": 0.0841,
            "n": 2513
          }
        ],
        "Buy_Pct": [
          {
            "subgroup": "buy_bear",
            "ic": 0.3521,
            "n": 28
          },
          {
            "subgroup": "buy_neutral",
            "ic": 0.0928,
            "n": 6989
          },
          {
            "subgroup": "buy_bull",
            "ic": 0.0632,
            "n": 41
          }
        ],
        "RVOL": [
          {
            "subgroup": "rvol_low",
            "ic": 0.074,
            "n": 1434
          },
          {
            "subgroup": "rvol_norm",
            "ic": 0.0827,
            "n": 4485
          },
          {
            "subgroup": "rvol_high",
            "ic": 0.1345,
            "n": 1086
          }
        ],
        "MM_Tilt": [
          {
            "subgroup": "tilt_bear",
            "ic": 0.0805,
            "n": 5263
          },
          {
            "subgroup": "tilt_neut",
            "ic": 0.0824,
            "n": 955
          },
          {
            "subgroup": "tilt_bull",
            "ic": 0.1662,
            "n": 840
          }
        ],
        "Time_of_Day": [
          {
            "subgroup": "morning",
            "ic": 0.1186,
            "n": 2704
          },
          {
            "subgroup": "midday",
            "ic": 0.0714,
            "n": 4354
          }
        ],
        "Gap": [
          {
            "subgroup": "gap_dn",
            "ic": 0.058,
            "n": 1745
          },
          {
            "subgroup": "gap_flat",
            "ic": 0.1062,
            "n": 2788
          },
          {
            "subgroup": "gap_up",
            "ic": 0.1136,
            "n": 2479
          }
        ],
        "Participant": [
          {
            "subgroup": "cust_bear",
            "ic": 0.0986,
            "n": 6111
          },
          {
            "subgroup": "cust_neut",
            "ic": 0.1302,
            "n": 250
          },
          {
            "subgroup": "cust_bull",
            "ic": 0.0381,
            "n": 697
          }
        ],
        "0DTE_Dom": [
          {
            "subgroup": "0dte_low",
            "ic": 0.0999,
            "n": 3505
          },
          {
            "subgroup": "0dte_high",
            "ic": 0.0882,
            "n": 3553
          }
        ]
      },
      "best_1factor": {
        "factor": "MM_Tilt",
        "subgroup": "tilt_bull",
        "ic": 0.1662
      },
      "best_2factor": {
        "label": "Buy_Pct:buy_neutral + MM_Tilt:tilt_bull",
        "ic": 0.1601,
        "n": 826
      },
      "perm_test": {
        "factor": "MM_Tilt",
        "subgroup": "tilt_bull",
        "ic": 0.1662,
        "p_perm": 0.0,
        "significant": true,
        "n_perm": 500
      }
    }
  }
}