{
  "generated": "2026-03-22T01:20:12.890313",
  "description": "TRACE null test v2 \u2014 exact signal definitions from original backtests",
  "n_trading_days": 351,
  "n_snapshots_total": 7400,
  "n_snapshots_is": 4424,
  "n_snapshots_oos": 2976,
  "n_snapshots_morning": 3046,
  "corruption_window_excluded": "2025-10-27 to 2026-02-17",
  "fomc_dates_excluded": 57,
  "permutation_n": 1000,
  "results": [
    {
      "group": "A1",
      "signal": "MM_SKEW_skew",
      "column": "a1_skew",
      "description": "Statistical skewness (3rd moment) of MM gamma distribution across strikes",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": -0.0335,
      "ic_is": -0.0317,
      "ic_oos": -0.0384,
      "p_spearman": 0.0039,
      "p_permutation": 0.006,
      "ic_morning": -0.0338,
      "n_morning": 3046,
      "ic_afternoon": -0.0353,
      "n_afternoon": 4354,
      "ic_morning_1H": -0.0329,
      "ic_volatility": 0.1102,
      "consistent_is_oos": "True",
      "verdict": "MARGINAL: permutation sig but OOS inconsistent"
    },
    {
      "group": "A1",
      "signal": "MM_SKEW_tilt",
      "column": "a1_tilt",
      "description": "Fraction of positive MM gamma positioned above spot",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": 0.0643,
      "ic_is": 0.0576,
      "ic_oos": 0.0727,
      "p_spearman": 0.0,
      "p_permutation": 0.0,
      "ic_morning": 0.0852,
      "n_morning": 3046,
      "ic_afternoon": 0.0475,
      "n_afternoon": 4354,
      "ic_morning_1H": 0.0695,
      "ic_volatility": 0.1272,
      "consistent_is_oos": "True",
      "verdict": "SIGNAL: p<0.05 + OOS consistent"
    },
    {
      "group": "A1",
      "signal": "MM_SKEW_tilt25",
      "column": "a1_tilt_25pt",
      "description": "MM gamma tilt within \u00b125 pts of spot",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": -0.0228,
      "ic_is": -0.0436,
      "ic_oos": 0.0008,
      "p_spearman": 0.0494,
      "p_permutation": 0.059,
      "ic_morning": -0.0119,
      "n_morning": 3046,
      "ic_afternoon": -0.0355,
      "n_afternoon": 4354,
      "ic_morning_1H": 0.0264,
      "ic_volatility": 0.0614,
      "consistent_is_oos": "False",
      "verdict": "NULL: no significant predictive power"
    },
    {
      "group": "A2",
      "signal": "GAMMA_CONTRARIAN",
      "column": "a2_gamma_contrarian",
      "description": "Negated total gamma across all participants (higher gamma \u2192 down)",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": 0.0414,
      "ic_is": 0.0167,
      "ic_oos": 0.0505,
      "p_spearman": 0.0004,
      "p_permutation": 0.001,
      "ic_morning": 0.0508,
      "n_morning": 3046,
      "ic_afternoon": 0.0344,
      "n_afternoon": 4354,
      "ic_morning_1H": 0.0499,
      "ic_volatility": 0.1487,
      "consistent_is_oos": "True",
      "verdict": "SIGNAL: p<0.05 + OOS consistent"
    },
    {
      "group": "A3",
      "signal": "MM_TILT",
      "column": "a3_mm_tilt",
      "description": "MM gamma tilt: fraction of positive MM gamma above spot",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": 0.0643,
      "ic_is": 0.0576,
      "ic_oos": 0.0727,
      "p_spearman": 0.0,
      "p_permutation": 0.0,
      "ic_morning": 0.0852,
      "n_morning": 3046,
      "ic_afternoon": 0.0475,
      "n_afternoon": 4354,
      "ic_morning_1H": 0.0695,
      "ic_volatility": 0.1272,
      "consistent_is_oos": "True",
      "verdict": "SIGNAL: p<0.05 + OOS consistent"
    },
    {
      "group": "A4",
      "signal": "FADE_RETAIL",
      "column": "a4_fade_retail",
      "description": "Negated customer gamma skew: fade customer positioning direction",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": 0.0283,
      "ic_is": 0.0218,
      "ic_oos": 0.0408,
      "p_spearman": 0.0149,
      "p_permutation": 0.012,
      "ic_morning": 0.0207,
      "n_morning": 3046,
      "ic_afternoon": 0.0353,
      "n_afternoon": 4354,
      "ic_morning_1H": 0.0,
      "ic_volatility": 0.078,
      "consistent_is_oos": "True",
      "verdict": "SIGNAL: p<0.05 + OOS consistent"
    },
    {
      "group": "A5",
      "signal": "CUM_MM",
      "column": "a5_cum_mm",
      "description": "Total MM gamma sum: positive \u2192 predict up",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": -0.0459,
      "ic_is": -0.0414,
      "ic_oos": -0.0216,
      "p_spearman": 0.0001,
      "p_permutation": 0.0,
      "ic_morning": -0.0406,
      "n_morning": 3046,
      "ic_afternoon": -0.0462,
      "n_afternoon": 4354,
      "ic_morning_1H": -0.0192,
      "ic_volatility": -0.3336,
      "consistent_is_oos": "True",
      "verdict": "MARGINAL: permutation sig but OOS inconsistent"
    },
    {
      "group": "A6",
      "signal": "INST_DOMINANCE",
      "column": "a6_inst_dominance",
      "description": "Institutional gamma / retail gamma ratio",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": -0.0086,
      "ic_is": 0.0443,
      "ic_oos": -0.0501,
      "p_spearman": 0.4582,
      "p_permutation": 0.454,
      "ic_morning": 0.0006,
      "n_morning": 3046,
      "ic_afternoon": -0.0154,
      "n_afternoon": 4354,
      "ic_morning_1H": -0.0227,
      "ic_volatility": -0.1335,
      "consistent_is_oos": "False",
      "verdict": "NULL: no significant predictive power"
    },
    {
      "group": "A7",
      "signal": "MM_ASYMMETRY",
      "column": "a7_mm_asymmetry",
      "description": "MM gamma above spot / (|above| + |below|)",
      "n_full": 7400,
      "n_is": 4424,
      "n_oos": 2976,
      "ic_full": 0.03,
      "ic_is": 0.0279,
      "ic_oos": 0.052,
      "p_spearman": 0.0099,
      "p_permutation": 0.009,
      "ic_morning": 0.0423,
      "n_morning": 3046,
      "ic_afternoon": 0.0204,
      "n_afternoon": 4354,
      "ic_morning_1H": 0.0374,
      "ic_volatility": -0.0355,
      "consistent_is_oos": "True",
      "verdict": "SIGNAL: p<0.05 + OOS consistent"
    }
  ],
  "signals_passing": [
    "MM_SKEW_tilt",
    "GAMMA_CONTRARIAN",
    "MM_TILT",
    "FADE_RETAIL",
    "MM_ASYMMETRY"
  ],
  "signals_marginal": [
    "MM_SKEW_skew",
    "CUM_MM"
  ],
  "signals_null": [
    "MM_SKEW_tilt25",
    "INST_DOMINANCE"
  ]
}