{
  "version": "v3",
  "parameters": {
    "approach_dist": 5.0,
    "from_dist": 10.0,
    "hold_dist": 10.0,
    "hold_window": 30,
    "break_dist": 5.0,
    "break_window": 15
  },
  "date_range": "2023-03-01 to 2026-02-27",
  "total_approaches": 35360,
  "tbbo_coverage": 16403,
  "is_approaches": 23231,
  "oos_approaches": 12129,
  "result_distribution": {
    "HOLD": 12845,
    "CHOP": 12454,
    "BREAK": 10061
  },
  "overall_hold_rate": 0.5607701039029075,
  "overall_chop_rate": 0.3522058823529412,
  "significant_indicators_is": [
    "total_gex",
    "base_gex",
    "dte0_gex",
    "pct_0dte",
    "session_cum_delta",
    "delta_5min",
    "delta_15min",
    "delta_30min",
    "delta_price_corr",
    "delta_trend_30m",
    "vix",
    "vix9d_vix_ratio",
    "down_convexity",
    "up_convexity",
    "put_gradient",
    "call_gradient",
    "sticky_strike",
    "tail_asymmetry",
    "minutes_since_open",
    "touch_count",
    "momentum_15m",
    "momentum_30m",
    "range_consumed",
    "dist_from_vwap",
    "vol_ratio",
    "bid_sz_at_level",
    "ask_sz_at_level"
  ],
  "oos_validated_indicators": [
    "total_gex",
    "base_gex",
    "dte0_gex",
    "pct_0dte",
    "session_cum_delta",
    "delta_5min",
    "delta_15min",
    "delta_30min",
    "delta_price_corr",
    "delta_trend_30m",
    "vix",
    "vix9d_vix_ratio",
    "down_convexity",
    "minutes_since_open",
    "momentum_15m",
    "momentum_30m",
    "range_consumed",
    "dist_from_vwap",
    "vol_ratio",
    "bid_sz_at_level",
    "ask_sz_at_level"
  ],
  "model_auc_is": 0.6382332445040941,
  "model_auc_oos": 0.6037456624965756,
  "top_actionable_rules": [
    {
      "rule": "ONH + pos_gex",
      "filters": [
        "level_type=ONH",
        "pos_gex"
      ],
      "n_is": 66,
      "n_oos": 63,
      "hold_rate_is": 0.7878787878787878,
      "hold_rate_oos": 0.7777777777777778,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.7777777777777778
    },
    {
      "rule": "IB_H + pos_gex",
      "filters": [
        "level_type=IB_H",
        "pos_gex"
      ],
      "n_is": 117,
      "n_oos": 113,
      "hold_rate_is": 0.7521367521367521,
      "hold_rate_oos": 0.7433628318584071,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.7433628318584071
    },
    {
      "rule": "IB_H + first_touch",
      "filters": [
        "level_type=IB_H",
        "first_touch"
      ],
      "n_is": 171,
      "n_oos": 92,
      "hold_rate_is": 0.7134502923976608,
      "hold_rate_oos": 0.717391304347826,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.717391304347826
    },
    {
      "rule": "OR_H + pos_gex",
      "filters": [
        "level_type=OR_H",
        "pos_gex"
      ],
      "n_is": 145,
      "n_oos": 154,
      "hold_rate_is": 0.7517241379310344,
      "hold_rate_oos": 0.7142857142857143,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.7142857142857143
    },
    {
      "rule": "SWING_H + pos_gex",
      "filters": [
        "level_type=SWING_H",
        "pos_gex"
      ],
      "n_is": 107,
      "n_oos": 110,
      "hold_rate_is": 0.7289719626168224,
      "hold_rate_oos": 0.6909090909090909,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.6909090909090909
    },
    {
      "rule": "PD_VAH + pos_gex",
      "filters": [
        "level_type=PD_VAH",
        "pos_gex"
      ],
      "n_is": 97,
      "n_oos": 125,
      "hold_rate_is": 0.6391752577319587,
      "hold_rate_oos": 0.68,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.68
    },
    {
      "rule": "PDH + pos_gex",
      "filters": [
        "level_type=PDH",
        "pos_gex"
      ],
      "n_is": 93,
      "n_oos": 118,
      "hold_rate_is": 0.6559139784946236,
      "hold_rate_oos": 0.6779661016949152,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.6779661016949152
    },
    {
      "rule": "ONH + first_touch",
      "filters": [
        "level_type=ONH",
        "first_touch"
      ],
      "n_is": 108,
      "n_oos": 59,
      "hold_rate_is": 0.7222222222222222,
      "hold_rate_oos": 0.6610169491525424,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.6610169491525424
    },
    {
      "rule": "ONH + delta_confirming",
      "filters": [
        "level_type=ONH",
        "delta_confirming"
      ],
      "n_is": 91,
      "n_oos": 49,
      "hold_rate_is": 0.6593406593406593,
      "hold_rate_oos": 0.6530612244897959,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.6530612244897959
    },
    {
      "rule": "ONL + pos_gex",
      "filters": [
        "level_type=ONL",
        "pos_gex"
      ],
      "n_is": 85,
      "n_oos": 94,
      "hold_rate_is": 0.6705882352941176,
      "hold_rate_oos": 0.648936170212766,
      "actionable": "True",
      "best_direction": "HOLD",
      "best_rate_oos": 0.648936170212766
    }
  ],
  "level_type_hold_rates_oos": {
    "DEV_VPOC": 0.4322033898305085,
    "IB_H": 0.39285714285714285,
    "IB_L": 0.43106796116504853,
    "ONH": 0.4230769230769231,
    "ONL": 0.38144329896907214,
    "OR_H": 0.4199288256227758,
    "OR_L": 0.4041095890410959,
    "PDC": 0.38477366255144035,
    "PDH": 0.37237237237237236,
    "PDL": 0.44846796657381616,
    "PD_VAH": 0.38328530259365995,
    "PD_VAL": 0.40568475452196384,
    "PD_VPOC": 0.391304347826087,
    "RND": 0.40858505564387915,
    "SWING_H": 0.3558951965065502,
    "SWING_L": 0.3945578231292517,
    "VWAP": 0.3633705475810739
  },
  "elapsed_seconds": 240.6018669605255,
  "key_findings": [
    "Strongest level type OOS: PDL (44.8% hold rate, N=359)",
    "Weakest level type OOS: SWING_H (35.6% hold rate, N=458)",
    "OOS-validated predictors: total_gex, base_gex, dte0_gex, pct_0dte, session_cum_delta, delta_5min, delta_15min, delta_30min, delta_price_corr, delta_trend_30m, vix, vix9d_vix_ratio, down_convexity, minutes_since_open, momentum_15m, momentum_30m, range_consumed, dist_from_vwap, vol_ratio, bid_sz_at_level, ask_sz_at_level",
    "Logistic regression AUC: IS=0.638, OOS=0.604",
    "Best practical setup: ONH + pos_gex \u2192 HOLD (77.8% OOS, N=63)",
    "TBBO indicators significant IS: bid_sz_at_level, ask_sz_at_level",
    "TBBO indicators OOS validated: bid_sz_at_level, ask_sz_at_level"
  ]
}