{
  "date_range": "2023-03-01 to 2026-02-27",
  "total_approaches": 173565,
  "is_approaches": 124032,
  "oos_approaches": 49533,
  "result_distribution": {
    "HOLD": 78624,
    "CHOP": 59411,
    "BREAK": 35530
  },
  "overall_hold_rate": 0.6887537887415246,
  "significant_indicators_is": [
    "total_gex",
    "base_gex",
    "dte0_gex",
    "pct_0dte",
    "session_cum_delta",
    "delta_5min",
    "delta_15min",
    "delta_30min",
    "delta_price_corr",
    "vol_ratio",
    "vix",
    "vix9d_vix_ratio",
    "down_convexity",
    "up_convexity",
    "put_gradient",
    "call_gradient",
    "sticky_strike",
    "tail_asymmetry",
    "delta_div_corr",
    "delta_div_signal",
    "minutes_since_open",
    "touch_count",
    "momentum_15m",
    "momentum_30m",
    "range_consumed",
    "dist_from_vwap",
    "delta_trend_30m"
  ],
  "oos_validated_indicators": [
    "total_gex",
    "base_gex",
    "dte0_gex",
    "delta_5min",
    "delta_15min",
    "vol_ratio",
    "vix",
    "vix9d_vix_ratio",
    "put_gradient",
    "call_gradient",
    "sticky_strike",
    "tail_asymmetry",
    "minutes_since_open",
    "touch_count",
    "momentum_30m",
    "range_consumed",
    "dist_from_vwap",
    "delta_trend_30m"
  ],
  "model_auc_is": 0.5654692487009068,
  "model_auc_oos": 0.5382966662759243,
  "top_actionable_rules": [
    {
      "rule": "VWAP_P2 + second_touch+",
      "filters": [
        "level_type=VWAP_P2",
        "second_touch+"
      ],
      "n_is": 78,
      "n_oos": 40,
      "hold_rate_is": 0.782051282051282,
      "hold_rate_oos": 0.9,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.9
    },
    {
      "rule": "SWING_H + delta_confirming",
      "filters": [
        "level_type=SWING_H",
        "delta_confirming"
      ],
      "n_is": 585,
      "n_oos": 308,
      "hold_rate_is": 0.7623931623931623,
      "hold_rate_oos": 0.8571428571428571,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.8571428571428571
    },
    {
      "rule": "SWING_H + first_touch",
      "filters": [
        "level_type=SWING_H",
        "first_touch"
      ],
      "n_is": 574,
      "n_oos": 299,
      "hold_rate_is": 0.8414634146341463,
      "hold_rate_oos": 0.8561872909698997,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.8561872909698997
    },
    {
      "rule": "SWING_H + pos_gex",
      "filters": [
        "level_type=SWING_H",
        "pos_gex"
      ],
      "n_is": 412,
      "n_oos": 445,
      "hold_rate_is": 0.7888349514563107,
      "hold_rate_oos": 0.849438202247191,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.849438202247191
    },
    {
      "rule": "PD_VAL + high_volume",
      "filters": [
        "level_type=PD_VAL",
        "vol_ratio>75pctl"
      ],
      "n_is": 236,
      "n_oos": 92,
      "hold_rate_is": 0.7245762711864406,
      "hold_rate_oos": 0.8478260869565217,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.8478260869565217
    },
    {
      "rule": "ONL as resistance",
      "filters": [
        "level_type=ONL",
        "direction=resistance"
      ],
      "n_is": 306,
      "n_oos": 129,
      "hold_rate_is": 0.7941176470588235,
      "hold_rate_oos": 0.8372093023255814,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.8372093023255814
    },
    {
      "rule": "PDL + delta_confirming",
      "filters": [
        "level_type=PDL",
        "delta_confirming"
      ],
      "n_is": 233,
      "n_oos": 113,
      "hold_rate_is": 0.7510729613733905,
      "hold_rate_oos": 0.831858407079646,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.831858407079646
    },
    {
      "rule": "PD_VAL + pos_gex",
      "filters": [
        "level_type=PD_VAL",
        "pos_gex"
      ],
      "n_is": 140,
      "n_oos": 172,
      "hold_rate_is": 0.7642857142857142,
      "hold_rate_oos": 0.8255813953488372,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.8255813953488372
    },
    {
      "rule": "IB_H + pos_gex",
      "filters": [
        "level_type=IB_H",
        "pos_gex"
      ],
      "n_is": 202,
      "n_oos": 198,
      "hold_rate_is": 0.7970297029702971,
      "hold_rate_oos": 0.8232323232323232,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.8232323232323232
    },
    {
      "rule": "PDL + neg_gex",
      "filters": [
        "level_type=PDL",
        "neg_gex"
      ],
      "n_is": 178,
      "n_oos": 122,
      "hold_rate_is": 0.7303370786516854,
      "hold_rate_oos": 0.819672131147541,
      "actionable": true,
      "best_direction": "HOLD",
      "best_rate_oos": 0.819672131147541
    }
  ],
  "level_type_hold_rates_oos": {
    "DEV_VPOC": 0.5752895752895753,
    "IB_H": 0.541095890410959,
    "IB_L": 0.5976331360946746,
    "ONH": 0.5512820512820513,
    "ONL": 0.6246786632390745,
    "OR_H": 0.5633802816901409,
    "OR_L": 0.6207332490518331,
    "PDC": 0.6116352201257862,
    "PDH": 0.6125290023201856,
    "PDL": 0.6914893617021277,
    "PD_VAH": 0.5736607142857143,
    "PD_VAL": 0.6893424036281179,
    "PD_VPOC": 0.610062893081761,
    "RND": 0.6520163117353874,
    "SWING_H": 0.5755228505034856,
    "SWING_L": 0.6037574722459437,
    "VWAP": 0.5337690631808278,
    "VWAP_M1": 0.4959201071733041,
    "VWAP_M2": 0.5463802999444547,
    "VWAP_P1": 0.44462176827322053,
    "VWAP_P2": 0.3939498504715896
  },
  "key_findings": [
    "Strongest level type OOS: PDL (69.1% hold rate, N=376)",
    "Weakest level type OOS: VWAP_P2 (39.4% hold rate, N=8694)",
    "OOS-validated predictors: total_gex, base_gex, dte0_gex, delta_5min, delta_15min, vol_ratio, vix, vix9d_vix_ratio, put_gradient, call_gradient, sticky_strike, tail_asymmetry, minutes_since_open, touch_count, momentum_30m, range_consumed, dist_from_vwap, delta_trend_30m",
    "Logistic regression AUC: IS=0.565, OOS=0.538",
    "Best practical setup: VWAP_P2 + second_touch+ \u2192 HOLD (90.0% OOS, N=40)"
  ]
}