{
  "fomc_day_returns": {
    "fomc_day": {
      "n": 40,
      "mean_ret_pct": 0.1349,
      "median_ret_pct": -0.0175,
      "std_pct": 1.2555,
      "win_rate": 45.0,
      "sharpe_ann": 1.71
    },
    "non_fomc_day": {
      "n": 1221,
      "mean_ret_pct": 0.0494,
      "std_pct": 1.0628,
      "win_rate": 53.5
    }
  },
  "fomc_week_pattern": {
    "T-5": {
      "n": 40,
      "mean_ret_pct": 0.0607,
      "win_rate": 57.5,
      "cum_ret_pct": 2.43
    },
    "T-4": {
      "n": 40,
      "mean_ret_pct": 0.1603,
      "win_rate": 60.0,
      "cum_ret_pct": 6.41
    },
    "T-3": {
      "n": 40,
      "mean_ret_pct": -0.0708,
      "win_rate": 47.5,
      "cum_ret_pct": -2.83
    },
    "T-2": {
      "n": 40,
      "mean_ret_pct": 0.1459,
      "win_rate": 72.5,
      "cum_ret_pct": 5.84
    },
    "T-1": {
      "n": 40,
      "mean_ret_pct": -0.0054,
      "win_rate": 42.5,
      "cum_ret_pct": -0.22
    },
    "T+0": {
      "n": 40,
      "mean_ret_pct": 0.1349,
      "win_rate": 45.0,
      "cum_ret_pct": 5.39
    },
    "T+1": {
      "n": 40,
      "mean_ret_pct": -0.0714,
      "win_rate": 55.0,
      "cum_ret_pct": -2.85
    },
    "T+2": {
      "n": 40,
      "mean_ret_pct": 0.0241,
      "win_rate": 42.5,
      "cum_ret_pct": 0.97
    },
    "T+3": {
      "n": 40,
      "mean_ret_pct": 0.4478,
      "win_rate": 65.0,
      "cum_ret_pct": 17.91
    },
    "T+4": {
      "n": 40,
      "mean_ret_pct": 0.0452,
      "win_rate": 57.5,
      "cum_ret_pct": 1.81
    },
    "T+5": {
      "n": 40,
      "mean_ret_pct": -0.0058,
      "win_rate": 50.0,
      "cum_ret_pct": -0.23
    }
  },
  "fomc_drift": {
    "n_trades": 40,
    "pre_drift": {
      "mean_pct": 0.132,
      "win_rate": 52.5,
      "total_pct": 5.26,
      "sharpe": 0.22
    },
    "post_drift": {
      "mean_pct": -0.071,
      "win_rate": 55.0,
      "total_pct": -2.86
    },
    "full_trade": {
      "mean_pct": 0.061,
      "win_rate": 42.5,
      "total_pct": 2.45,
      "sharpe": 0.08
    },
    "trades": [
      {
        "date": "2024-12-18",
        "pre_drift_pct": -3.425,
        "post_drift_pct": -0.06,
        "full_trade_pct": -3.482,
        "es_close": 5872.25
      },
      {
        "date": "2025-01-29",
        "pre_drift_pct": 0.343,
        "post_drift_pct": 0.523,
        "full_trade_pct": 0.868,
        "es_close": 6067.5
      },
      {
        "date": "2025-03-19",
        "pre_drift_pct": -0.031,
        "post_drift_pct": -0.282,
        "full_trade_pct": -0.312,
        "es_close": 5678.5
      },
      {
        "date": "2025-05-07",
        "pre_drift_pct": -0.348,
        "post_drift_pct": 0.575,
        "full_trade_pct": 0.225,
        "es_close": 5652.0
      },
      {
        "date": "2025-06-18",
        "pre_drift_pct": -0.899,
        "post_drift_pct": 0.48,
        "full_trade_pct": -0.423,
        "es_close": 5981.5
      },
      {
        "date": "2025-07-30",
        "pre_drift_pct": -0.413,
        "post_drift_pct": -0.344,
        "full_trade_pct": -0.755,
        "es_close": 6396.25
      },
      {
        "date": "2025-09-17",
        "pre_drift_pct": -0.306,
        "post_drift_pct": 0.511,
        "full_trade_pct": 0.204,
        "es_close": 6601.25
      },
      {
        "date": "2025-10-29",
        "pre_drift_pct": 0.21,
        "post_drift_pct": -0.971,
        "full_trade_pct": -0.764,
        "es_close": 6922.75
      },
      {
        "date": "2025-12-17",
        "pre_drift_pct": -1.414,
        "post_drift_pct": 0.769,
        "full_trade_pct": -0.656,
        "es_close": 6726.5
      },
      {
        "date": "2026-01-28",
        "pre_drift_pct": 0.372,
        "post_drift_pct": -0.207,
        "full_trade_pct": 0.165,
        "es_close": 7007.25
      }
    ]
  },
  "inter_meeting": {
    "FOMC_week": {
      "n": 118,
      "mean_ret_pct": 0.0194,
      "win_rate": 46.6,
      "std_pct": 1.1586,
      "sharpe_ann": 0.27
    },
    "Week_1": {
      "n": 193,
      "mean_ret_pct": 0.19,
      "win_rate": 59.1,
      "std_pct": 1.1285,
      "sharpe_ann": 2.67
    },
    "Week_2": {
      "n": 194,
      "mean_ret_pct": 0.0153,
      "win_rate": 51.5,
      "std_pct": 1.0509,
      "sharpe_ann": 0.23
    },
    "Week_3": {
      "n": 186,
      "mean_ret_pct": 0.042,
      "win_rate": 50.5,
      "std_pct": 1.1501,
      "sharpe_ann": 0.58
    },
    "Week_4": {
      "n": 191,
      "mean_ret_pct": 0.094,
      "win_rate": 57.1,
      "std_pct": 0.8989,
      "sharpe_ann": 1.66
    },
    "Week_5+": {
      "n": 313,
      "mean_ret_pct": -0.0221,
      "win_rate": 52.4,
      "std_pct": 1.0263,
      "sharpe_ann": -0.34
    },
    "Week_6+": {
      "n": 50,
      "mean_ret_pct": 0.0511,
      "win_rate": 52.0,
      "std_pct": 1.124,
      "sharpe_ann": 0.72
    },
    "pre_FOMC_week": {
      "n": 195,
      "mean_ret_pct": 0.0479,
      "win_rate": 55.4,
      "std_pct": 0.9981,
      "sharpe_ann": 0.76
    }
  },
  "rate_change_vs_hold": {
    "rate_change": {
      "n": 16,
      "mean_ret_pct": 0.0986,
      "win_rate": 43.8,
      "median_ret_pct": -0.0374
    },
    "rate_hold": {
      "n": 24,
      "mean_ret_pct": 0.159,
      "win_rate": 45.8,
      "median_ret_pct": -0.0175
    },
    "hike": {
      "n": 10,
      "mean_ret_pct": 0.0865,
      "win_rate": 40.0,
      "median_ret_pct": -0.3096
    },
    "cut": {
      "n": 5,
      "mean_ret_pct": -0.3079,
      "win_rate": 40.0,
      "median_ret_pct": -0.0585
    }
  },
  "vol_crush": {
    "n": 40,
    "avg_pre_range_pct": 1.412,
    "avg_fomc_range_pct": 1.872,
    "avg_post_range_pct": 1.545,
    "avg_crush_ratio": 1.179,
    "crush_pct": 45.0,
    "interpretation": "Vol expansion post-FOMC"
  },
  "blackout": {
    "blackout": {
      "n": 397,
      "mean_ret_pct": 0.036,
      "win_rate": 53.7,
      "sharpe_ann": 0.55
    },
    "normal": {
      "n": 864,
      "mean_ret_pct": 0.0596,
      "win_rate": 53.0,
      "sharpe_ann": 0.87
    }
  },
  "overlay_strategy": {
    "IS": {
      "n_trades": 84,
      "n_days": 882,
      "pct_invested": 9.5,
      "strategy_total_pct": 10.54,
      "buy_hold_total_pct": 41.75,
      "strategy_mean_pct": 0.1254,
      "buy_hold_mean_pct": 0.0473,
      "strategy_win_rate": 57.1,
      "strategy_sharpe": 1.76
    },
    "OOS": {
      "n_trades": 36,
      "n_days": 379,
      "pct_invested": 9.5,
      "strategy_total_pct": 0.48,
      "buy_hold_total_pct": 23.99,
      "strategy_mean_pct": 0.0132,
      "buy_hold_mean_pct": 0.0633,
      "strategy_win_rate": 44.4,
      "strategy_sharpe": 0.23
    },
    "FULL": {
      "n_trades": 120,
      "n_days": 1261,
      "pct_invested": 9.5,
      "strategy_total_pct": 11.01,
      "buy_hold_total_pct": 65.74,
      "strategy_mean_pct": 0.0918,
      "buy_hold_mean_pct": 0.0521,
      "strategy_win_rate": 53.3,
      "strategy_sharpe": 1.36
    }
  },
  "current_context": {
    "next_fomc": "2026-03-18",
    "days_to_fomc": 20,
    "in_blackout": false,
    "in_drift_window": false,
    "upcoming_3": [
      "2026-03-18",
      "2026-04-29",
      "2026-06-17"
    ],
    "signal": "NEUTRAL"
  },
  "findings": [
    "\u2705 FOMC day bullish premium: +0.085% vs non-FOMC",
    "\u274c Pre-FOMC drift weak: WR=52.5%",
    "\u26aa No vol crush: ratio = 1.18"
  ]
}