{
  "meta": {
    "generated": "2026-03-21T11:48:40.286393",
    "n_days": 739,
    "is_days": 443,
    "oos_days": 296,
    "date_range": [
      "2023-03-15",
      "2026-03-20"
    ]
  },
  "baseline": {
    "n": 297,
    "wr": 0.542,
    "avg_ret": 1.403,
    "sharpe": 1.653,
    "is_wr": 0.556,
    "oos_wr": 0.521,
    "is_sharpe": 2.156,
    "oos_sharpe": 1.173
  },
  "location_summary": {
    "ABOVE_VAH": {
      "n": 296,
      "pct": 0.401
    },
    "BELOW_VAL": {
      "n": 201,
      "pct": 0.272
    },
    "INSIDE_VA_LOWER": {
      "n": 134,
      "pct": 0.181
    },
    "INSIDE_VA_UPPER": {
      "n": 66,
      "pct": 0.089
    },
    "AT_VPOC": {
      "n": 42,
      "pct": 0.057
    }
  },
  "test1": {
    "base_sweet": {
      "label": "Base VPOC MR sweet spot",
      "n": 297,
      "wr": 0.542,
      "avg_ret": 1.403,
      "sharpe": 1.653,
      "is_wr": 0.556,
      "oos_wr": 0.521,
      "is_sharpe": 2.156,
      "oos_sharpe": 1.173
    },
    "buypct_confirms": {
      "label": "buy_pct CONFIRMS MR",
      "n": 13,
      "wr": 0.692,
      "avg_ret": 3.923,
      "sharpe": 5.804,
      "is_wr": 0.571,
      "oos_wr": 0.833,
      "is_sharpe": -4.556,
      "oos_sharpe": 13.425
    },
    "buypct_opposes": {
      "label": "buy_pct OPPOSES MR",
      "n": 21,
      "wr": 0.524,
      "avg_ret": -1.369,
      "sharpe": -1.662,
      "is_wr": 0.583,
      "oos_wr": 0.444,
      "is_sharpe": 0.97,
      "oos_sharpe": -5.098
    },
    "buypct_neutral": {
      "label": "buy_pct NEUTRAL",
      "n": 263,
      "wr": 0.536,
      "avg_ret": 1.5,
      "sharpe": 1.752,
      "is_wr": 0.551,
      "oos_wr": 0.514,
      "is_sharpe": 2.639,
      "oos_sharpe": 0.93
    },
    "q_Q2_buypct(0.47-0.50)": {
      "label": "buy_pct Q2_buypct(0.47-0.50)",
      "n": 147,
      "wr": 0.578,
      "avg_ret": 2.104,
      "sharpe": 2.588,
      "is_wr": 0.58,
      "oos_wr": 0.576,
      "is_sharpe": 2.369,
      "oos_sharpe": 2.887
    },
    "q_Q3_buypct(0.50-0.53)": {
      "label": "buy_pct Q3_buypct(0.50-0.53)",
      "n": 137,
      "wr": 0.511,
      "avg_ret": 0.838,
      "sharpe": 0.936,
      "is_wr": 0.524,
      "oos_wr": 0.491,
      "is_sharpe": 1.966,
      "oos_sharpe": 0.141
    }
  },
  "test2": {
    "RVOL_Q1_low_dist_near": {
      "label": "RVOL_Q1_low \u00d7 dist_near",
      "n": 30,
      "wr": 0.433,
      "avg_ret": -1.9,
      "sharpe": -3.225,
      "is_wr": 0.5,
      "oos_wr": 0.333,
      "rvol_range": "0.00-0.75",
      "dist_range": "0.0-6.2"
    },
    "RVOL_Q1_low_dist_mid": {
      "label": "RVOL_Q1_low \u00d7 dist_mid",
      "n": 27,
      "wr": 0.593,
      "avg_ret": 2.435,
      "sharpe": 2.302,
      "is_wr": 0.625,
      "oos_wr": 0.545,
      "rvol_range": "0.00-0.75",
      "dist_range": "6.2-10.5"
    },
    "RVOL_Q1_low_dist_far": {
      "label": "RVOL_Q1_low \u00d7 dist_far",
      "n": 18,
      "wr": 0.444,
      "avg_ret": -0.208,
      "sharpe": -0.371,
      "is_wr": 0.4,
      "oos_wr": 0.5,
      "rvol_range": "0.00-0.75",
      "dist_range": "10.5-999.0"
    },
    "RVOL_Q2_mod_dist_near": {
      "label": "RVOL_Q2_mod \u00d7 dist_near",
      "n": 25,
      "wr": 0.52,
      "avg_ret": -0.72,
      "sharpe": -0.845,
      "is_wr": 0.467,
      "oos_wr": 0.6,
      "rvol_range": "0.75-0.93",
      "dist_range": "0.0-6.2"
    },
    "RVOL_Q2_mod_dist_mid": {
      "label": "RVOL_Q2_mod \u00d7 dist_mid",
      "n": 25,
      "wr": 0.64,
      "avg_ret": 2.27,
      "sharpe": 3.527,
      "is_wr": 0.667,
      "oos_wr": 0.6,
      "rvol_range": "0.75-0.93",
      "dist_range": "6.2-10.5"
    },
    "RVOL_Q2_mod_dist_far": {
      "label": "RVOL_Q2_mod \u00d7 dist_far",
      "n": 28,
      "wr": 0.5,
      "avg_ret": 0.902,
      "sharpe": 1.177,
      "is_wr": 0.438,
      "oos_wr": 0.583,
      "rvol_range": "0.75-0.93",
      "dist_range": "10.5-999.0"
    },
    "RVOL_Q3_high_dist_near": {
      "label": "RVOL_Q3_high \u00d7 dist_near",
      "n": 23,
      "wr": 0.522,
      "avg_ret": -0.88,
      "sharpe": -1.113,
      "is_wr": 0.462,
      "oos_wr": 0.6,
      "rvol_range": "0.93-1.11",
      "dist_range": "0.0-6.2"
    },
    "RVOL_Q3_high_dist_mid": {
      "label": "RVOL_Q3_high \u00d7 dist_mid",
      "n": 25,
      "wr": 0.6,
      "avg_ret": 1.53,
      "sharpe": 1.677,
      "is_wr": 0.667,
      "oos_wr": 0.5,
      "rvol_range": "0.93-1.11",
      "dist_range": "6.2-10.5"
    },
    "RVOL_Q3_high_dist_far": {
      "label": "RVOL_Q3_high \u00d7 dist_far",
      "n": 27,
      "wr": 0.704,
      "avg_ret": 3.278,
      "sharpe": 4.01,
      "is_wr": 0.75,
      "oos_wr": 0.636,
      "rvol_range": "0.93-1.11",
      "dist_range": "10.5-999.0"
    },
    "RVOL_Q4_vhigh_dist_near": {
      "label": "RVOL_Q4_vhigh \u00d7 dist_near",
      "n": 24,
      "wr": 0.625,
      "avg_ret": 4.115,
      "sharpe": 3.993,
      "is_wr": 0.714,
      "oos_wr": 0.5,
      "rvol_range": "1.11-999.00",
      "dist_range": "0.0-6.2"
    },
    "RVOL_Q4_vhigh_dist_mid": {
      "label": "RVOL_Q4_vhigh \u00d7 dist_mid",
      "n": 26,
      "wr": 0.462,
      "avg_ret": 2.606,
      "sharpe": 3.169,
      "is_wr": 0.4,
      "oos_wr": 0.545,
      "rvol_range": "1.11-999.00",
      "dist_range": "6.2-10.5"
    },
    "RVOL_Q4_vhigh_dist_far": {
      "label": "RVOL_Q4_vhigh \u00d7 dist_far",
      "n": 25,
      "wr": 0.48,
      "avg_ret": 2.96,
      "sharpe": 2.927,
      "is_wr": 0.467,
      "oos_wr": 0.5,
      "rvol_range": "1.11-999.00",
      "dist_range": "10.5-999.0"
    }
  },
  "test3": {
    "regime_POS": {
      "label": "GEX=POS \u00d7 VPOC MR",
      "n": 239,
      "wr": 0.536,
      "avg_ret": 0.349,
      "sharpe": 0.455,
      "is_wr": 0.545,
      "oos_wr": 0.521,
      "is_sharpe": 0.294,
      "oos_sharpe": 0.634
    },
    "regime_NEG": {
      "label": "GEX=NEG \u00d7 VPOC MR",
      "n": 52,
      "wr": 0.577,
      "avg_ret": 5.952,
      "sharpe": 5.286,
      "is_wr": 0.613,
      "oos_wr": 0.524,
      "is_sharpe": 9.893,
      "oos_sharpe": 1.454
    },
    "far_POS": {
      "label": "GEX=POS \u00d7 FAR from VPOC",
      "n": 273,
      "wr": 0.465,
      "avg_ret": -0.099,
      "sharpe": -0.095,
      "is_wr": 0.466,
      "oos_wr": 0.464,
      "is_sharpe": -0.962,
      "oos_sharpe": 0.751
    },
    "far_NEG": {
      "label": "GEX=NEG \u00d7 FAR from VPOC",
      "n": 114,
      "wr": 0.5,
      "avg_ret": -0.169,
      "sharpe": -0.102,
      "is_wr": 0.559,
      "oos_wr": 0.413,
      "is_sharpe": 2.17,
      "oos_sharpe": -2.533
    }
  },
  "test4": {
    "low_buypct_break_30m": {
      "label": "VAL support \u00d7 low_buypct_break @ 30m",
      "n": 27,
      "wr": 0.519,
      "avg_ret": -1.12,
      "sharpe": -1.22,
      "is_wr": 0.5,
      "oos_wr": 0.545
    },
    "low_buypct_break_60m": {
      "label": "VAL support \u00d7 low_buypct_break @ 60m",
      "n": 27,
      "wr": 0.519,
      "avg_ret": 1.63,
      "sharpe": 1.849,
      "is_wr": 0.625,
      "oos_wr": 0.364
    },
    "low_buypct_break_120m": {
      "label": "VAL support \u00d7 low_buypct_break @ 120m",
      "n": 27,
      "wr": 0.593,
      "avg_ret": 8.222,
      "sharpe": 6.076,
      "is_wr": 0.562,
      "oos_wr": 0.636
    },
    "low_buypct_break_EOD": {
      "label": "VAL support \u00d7 low_buypct_break @ EOD",
      "n": 27,
      "wr": 0.481,
      "avg_ret": 5.481,
      "sharpe": 2.652,
      "is_wr": 0.438,
      "oos_wr": 0.545
    },
    "neutral_30m": {
      "label": "VAL support \u00d7 neutral @ 30m",
      "n": 170,
      "wr": 0.541,
      "avg_ret": -1.125,
      "sharpe": -1.108,
      "is_wr": 0.529,
      "oos_wr": 0.559
    },
    "neutral_60m": {
      "label": "VAL support \u00d7 neutral @ 60m",
      "n": 169,
      "wr": 0.55,
      "avg_ret": 0.778,
      "sharpe": 0.581,
      "is_wr": 0.549,
      "oos_wr": 0.552
    },
    "neutral_120m": {
      "label": "VAL support \u00d7 neutral @ 120m",
      "n": 169,
      "wr": 0.586,
      "avg_ret": 2.88,
      "sharpe": 1.932,
      "is_wr": 0.588,
      "oos_wr": 0.582
    },
    "neutral_EOD": {
      "label": "VAL support \u00d7 neutral @ EOD",
      "n": 170,
      "wr": 0.518,
      "avg_ret": 3.326,
      "sharpe": 1.096,
      "is_wr": 0.52,
      "oos_wr": 0.515
    }
  },
  "test5": {
    "low_buypct_fade_30m": {
      "label": "VAH resistance \u00d7 low_buypct_fade @ 30m",
      "n": 13,
      "wr": 0.308,
      "avg_ret": -5.865,
      "sharpe": -11.751,
      "is_wr": 0.286,
      "oos_wr": 0.333
    },
    "low_buypct_fade_60m": {
      "label": "VAH resistance \u00d7 low_buypct_fade @ 60m",
      "n": 13,
      "wr": 0.538,
      "avg_ret": -3.365,
      "sharpe": -4.704,
      "is_wr": 0.571,
      "oos_wr": 0.5
    },
    "low_buypct_fade_120m": {
      "label": "VAH resistance \u00d7 low_buypct_fade @ 120m",
      "n": 13,
      "wr": 0.231,
      "avg_ret": -9.019,
      "sharpe": -12.266,
      "is_wr": 0.286,
      "oos_wr": 0.167
    },
    "low_buypct_fade_EOD": {
      "label": "VAH resistance \u00d7 low_buypct_fade @ EOD",
      "n": 13,
      "wr": 0.385,
      "avg_ret": -0.5,
      "sharpe": -0.217,
      "is_wr": 0.429,
      "oos_wr": 0.333
    },
    "high_buypct_breakout_30m": {
      "label": "VAH resistance \u00d7 high_buypct_breakout @ 30m",
      "n": 48,
      "wr": 0.729,
      "avg_ret": 3.995,
      "sharpe": 6.574,
      "is_wr": 0.607,
      "oos_wr": 0.9
    },
    "high_buypct_breakout_60m": {
      "label": "VAH resistance \u00d7 high_buypct_breakout @ 60m",
      "n": 48,
      "wr": 0.646,
      "avg_ret": 2.312,
      "sharpe": 2.671,
      "is_wr": 0.464,
      "oos_wr": 0.9
    },
    "high_buypct_breakout_120m": {
      "label": "VAH resistance \u00d7 high_buypct_breakout @ 120m",
      "n": 48,
      "wr": 0.729,
      "avg_ret": 1.661,
      "sharpe": 1.608,
      "is_wr": 0.643,
      "oos_wr": 0.85
    },
    "high_buypct_breakout_EOD": {
      "label": "VAH resistance \u00d7 high_buypct_breakout @ EOD",
      "n": 48,
      "wr": 0.542,
      "avg_ret": 0.87,
      "sharpe": 0.48,
      "is_wr": 0.571,
      "oos_wr": 0.5
    },
    "neutral_30m": {
      "label": "VAH resistance \u00d7 neutral @ 30m",
      "n": 235,
      "wr": 0.494,
      "avg_ret": 0.839,
      "sharpe": 1.172,
      "is_wr": 0.539,
      "oos_wr": 0.426
    },
    "neutral_60m": {
      "label": "VAH resistance \u00d7 neutral @ 60m",
      "n": 234,
      "wr": 0.504,
      "avg_ret": 1.288,
      "sharpe": 1.23,
      "is_wr": 0.518,
      "oos_wr": 0.484
    },
    "neutral_120m": {
      "label": "VAH resistance \u00d7 neutral @ 120m",
      "n": 234,
      "wr": 0.466,
      "avg_ret": 3.19,
      "sharpe": 2.036,
      "is_wr": 0.482,
      "oos_wr": 0.441
    },
    "neutral_EOD": {
      "label": "VAH resistance \u00d7 neutral @ EOD",
      "n": 235,
      "wr": 0.481,
      "avg_ret": 3.04,
      "sharpe": 1.235,
      "is_wr": 0.482,
      "oos_wr": 0.479
    }
  },
  "test6": {
    "5d_base": {
      "label": "5d_base",
      "n": 156,
      "wr": 0.506,
      "avg_ret": 0.421,
      "sharpe": 0.419,
      "is_wr": 0.596,
      "oos_wr": 0.371,
      "is_sharpe": 3.389,
      "oos_sharpe": -2.647
    },
    "5d_opposes": {
      "label": "5d_opposes",
      "n": 16,
      "wr": 0.562,
      "avg_ret": 2.484,
      "sharpe": 3.436,
      "is_wr": 0.778,
      "oos_wr": 0.286,
      "is_sharpe": 9.326,
      "oos_sharpe": -4.131
    }
  },
  "test7": {
    "wide_va_high_rvol": {
      "label": "wide_va_high_rvol",
      "n": 216,
      "mean_range": 74.89,
      "median_range": 62.75,
      "std_range": 58.18,
      "va_width_median": 22.75,
      "rvol_median": 1.022
    },
    "wide_va_low_rvol": {
      "label": "wide_va_low_rvol",
      "n": 151,
      "mean_range": 143.63,
      "median_range": 49.0,
      "std_range": 783.55,
      "va_width_median": 22.75,
      "rvol_median": 1.022
    },
    "narrow_va_high_rvol": {
      "label": "narrow_va_high_rvol",
      "n": 153,
      "mean_range": 49.85,
      "median_range": 44.25,
      "std_range": 23.55,
      "va_width_median": 22.75,
      "rvol_median": 1.022
    },
    "narrow_va_low_rvol": {
      "label": "narrow_va_low_rvol",
      "n": 219,
      "mean_range": 99.82,
      "median_range": 34.25,
      "std_range": 649.82,
      "va_width_median": 22.75,
      "rvol_median": 1.022
    }
  },
  "test8": {
    "VAL+high_buypct+low_rvol (strong bounce)": {
      "label": "VAL+high_buypct+low_rvol (strong bounce)",
      "n": 4,
      "note": "too few"
    },
    "VAH+low_buypct+high_rvol (breakdown)": {
      "label": "VAH+low_buypct+high_rvol (breakdown)",
      "n": 4,
      "note": "too few"
    },
    "AT_VPOC+neutral+low_rvol (chop)": {
      "label": "AT_VPOC+neutral+low_rvol (chop)",
      "n": 23,
      "avg_abs_ret": 7.304,
      "note": "chop_metric_abs_return"
    },
    "VAL+high_buypct+high_rvol": {
      "label": "VAL+high_buypct+high_rvol",
      "n": 0,
      "note": "too few"
    },
    "VAH+low_buypct+low_rvol": {
      "label": "VAH+low_buypct+low_rvol",
      "n": 9,
      "wr": 0.556,
      "avg_ret": -3.778,
      "sharpe": -6.86,
      "is_wr": 0.6,
      "oos_wr": 0.5,
      "is_sharpe": -6.802,
      "oos_sharpe": -7.891
    },
    "VPOC_sweet+confirms+low_rvol (ideal MR)": {
      "label": "VPOC_sweet+confirms+low_rvol (ideal MR)",
      "n": 10,
      "wr": 0.6,
      "avg_ret": 1.1,
      "sharpe": 1.766,
      "is_wr": 0.5,
      "oos_wr": 0.75,
      "is_sharpe": -9.362,
      "oos_sharpe": 20.206
    },
    "VPOC_sweet+confirms+high_rvol": {
      "label": "VPOC_sweet+confirms+high_rvol",
      "n": 3,
      "note": "too few"
    }
  },
  "test9": {
    "orb_above_vah_trend_up_60m": {
      "label": "orb_above_vah_trend_up@60m",
      "n": 397,
      "wr": 0.499,
      "avg_ret": -0.702,
      "sharpe": -0.691,
      "is_wr": 0.469,
      "oos_wr": 0.544
    },
    "orb_above_vah_trend_up_EOD": {
      "label": "orb_above_vah_trend_up@EOD",
      "n": 399,
      "wr": 0.526,
      "avg_ret": -1.529,
      "sharpe": -0.673,
      "is_wr": 0.536,
      "oos_wr": 0.512
    },
    "orb_above_vah_fade_60m": {
      "label": "orb_above_vah_fade@60m",
      "n": 397,
      "wr": 0.486,
      "avg_ret": 0.702,
      "sharpe": 0.691,
      "is_wr": 0.515,
      "oos_wr": 0.443
    },
    "orb_above_vah_fade_EOD": {
      "label": "orb_above_vah_fade@EOD",
      "n": 399,
      "wr": 0.464,
      "avg_ret": 1.529,
      "sharpe": 0.673,
      "is_wr": 0.456,
      "oos_wr": 0.475
    },
    "orb_below_val_continuation_60m": {
      "label": "orb_below_val_continuation@60m",
      "n": 279,
      "wr": 0.423,
      "avg_ret": -0.786,
      "sharpe": -0.654,
      "is_wr": 0.456,
      "oos_wr": 0.373
    },
    "orb_below_val_continuation_EOD": {
      "label": "orb_below_val_continuation@EOD",
      "n": 283,
      "wr": 0.459,
      "avg_ret": -2.379,
      "sharpe": -0.913,
      "is_wr": 0.462,
      "oos_wr": 0.456
    },
    "orb_below_val_bounce_60m": {
      "label": "orb_below_val_bounce@60m",
      "n": 279,
      "wr": 0.566,
      "avg_ret": 0.786,
      "sharpe": 0.654,
      "is_wr": 0.538,
      "oos_wr": 0.609
    },
    "orb_below_val_bounce_EOD": {
      "label": "orb_below_val_bounce@EOD",
      "n": 283,
      "wr": 0.541,
      "avg_ret": 2.379,
      "sharpe": 0.913,
      "is_wr": 0.538,
      "oos_wr": 0.544
    },
    "orb_inside_va_MR_60m": {
      "label": "orb_inside_va_MR@60m",
      "n": 88,
      "wr": 0.5,
      "avg_ret": 0.244,
      "sharpe": 0.246,
      "is_wr": 0.528,
      "oos_wr": 0.457
    },
    "orb_inside_va_MR_EOD": {
      "label": "orb_inside_va_MR@EOD",
      "n": 89,
      "wr": 0.483,
      "avg_ret": 2.298,
      "sharpe": 1.14,
      "is_wr": 0.547,
      "oos_wr": 0.389
    }
  },
  "test10": {
    "neutral_below_val_long_60m": {
      "label": "neutral_below_val_long@60m",
      "n": 169,
      "wr": 0.55,
      "avg_ret": 0.778,
      "sharpe": 0.581,
      "is_wr": 0.549,
      "oos_wr": 0.552
    },
    "neutral_below_val_long_120m": {
      "label": "neutral_below_val_long@120m",
      "n": 169,
      "wr": 0.586,
      "avg_ret": 2.88,
      "sharpe": 1.932,
      "is_wr": 0.588,
      "oos_wr": 0.582
    },
    "neutral_below_val_long_EOD": {
      "label": "neutral_below_val_long@EOD",
      "n": 170,
      "wr": 0.518,
      "avg_ret": 3.326,
      "sharpe": 1.096,
      "is_wr": 0.52,
      "oos_wr": 0.515
    },
    "neutral_above_vah_short_60m": {
      "label": "neutral_above_vah_short@60m",
      "n": 234,
      "wr": 0.504,
      "avg_ret": 1.288,
      "sharpe": 1.23,
      "is_wr": 0.518,
      "oos_wr": 0.484
    },
    "neutral_above_vah_short_120m": {
      "label": "neutral_above_vah_short@120m",
      "n": 234,
      "wr": 0.466,
      "avg_ret": 3.19,
      "sharpe": 2.036,
      "is_wr": 0.482,
      "oos_wr": 0.441
    },
    "neutral_above_vah_short_EOD": {
      "label": "neutral_above_vah_short@EOD",
      "n": 235,
      "wr": 0.481,
      "avg_ret": 3.04,
      "sharpe": 1.235,
      "is_wr": 0.482,
      "oos_wr": 0.479
    },
    "neutral_inside_va_mr_60m": {
      "label": "neutral_inside_va_mr@60m",
      "n": 181,
      "wr": 0.514,
      "avg_ret": 1.026,
      "sharpe": 1.008,
      "is_wr": 0.545,
      "oos_wr": 0.465
    },
    "neutral_inside_va_mr_120m": {
      "label": "neutral_inside_va_mr@120m",
      "n": 181,
      "wr": 0.492,
      "avg_ret": 1.691,
      "sharpe": 1.231,
      "is_wr": 0.518,
      "oos_wr": 0.451
    },
    "neutral_inside_va_mr_EOD": {
      "label": "neutral_inside_va_mr@EOD",
      "n": 184,
      "wr": 0.484,
      "avg_ret": 1.48,
      "sharpe": 0.81,
      "is_wr": 0.509,
      "oos_wr": 0.446
    },
    "neutral_5d_vpoc_mr": {
      "label": "neutral_buypct \u00d7 5d_VPOC_MR",
      "n": 134,
      "wr": 0.485,
      "avg_ret": -0.203,
      "sharpe": -0.196,
      "oos_wr": 0.34,
      "oos_sharpe": -3.826
    }
  }
}