{
  "timestamp": "2026-03-03T18:08:26.020876",
  "es_data_range": "2025-01-02 \u2192 2026-03-03",
  "rolling_window": 60,
  "signals": {
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      "label": "VIX Term Structure",
      "status": "WARNING",
      "warnings": [
        "Recent IC=-0.021 < 0.02"
      ],
      "n_obs": 282,
      "date_range": "2025-01-02 \u2192 2026-02-20",
      "full_sample": {
        "ic": 0.0512,
        "ic_p": 0.3914,
        "hit_rate": 0.5284,
        "sharpe": 0.24,
        "ls_spread_bps": 1.9,
        "quintile_monotonic": false,
        "quintile_spread_bps": -12.4
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      "is_oos": {
        "is_ic": -0.0283,
        "oos_ic": 0.1956,
        "consistent": false
      },
      "rolling": {
        "window": 60,
        "mean_ic": 0.085,
        "positive_pct": 0.6036,
        "n_windows": 222
      },
      "recent": {
        "window": 60,
        "ic": -0.0214,
        "hit_rate": 0.4833,
        "sharpe": 2.16,
        "ic_delta_vs_historical": 0.1081
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    },
    "vpoc": {
      "label": "VPOC Proximity",
      "status": "DEGRADED",
      "warnings": [
        "Recent IC=-0.278 < -0.05",
        "Rolling IC positive only 35% of time",
        "Recent Sharpe=-1.77"
      ],
      "n_obs": 359,
      "date_range": "2025-01-03 \u2192 2026-03-03",
      "full_sample": {
        "ic": -0.0512,
        "ic_p": 0.333,
        "hit_rate": 0.4635,
        "sharpe": 0.02,
        "ls_spread_bps": 1.8,
        "quintile_monotonic": false,
        "quintile_spread_bps": -7.4
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      "is_oos": {
        "is_ic": -0.0188,
        "oos_ic": -0.112,
        "consistent": true
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      "rolling": {
        "window": 60,
        "mean_ic": -0.0553,
        "positive_pct": 0.3512,
        "n_windows": 299
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      "recent": {
        "window": 60,
        "ic": -0.2777,
        "hit_rate": 0.35,
        "sharpe": -1.77,
        "ic_delta_vs_historical": -0.1982
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    },
    "pc_oi": {
      "label": "P/C OI Ratio",
      "status": "WARNING",
      "warnings": [
        "Recent IC=-0.038 < 0.02",
        "Recent Sharpe=-1.07"
      ],
      "n_obs": 284,
      "date_range": "2025-01-02 \u2192 2026-02-26",
      "full_sample": {
        "ic": -0.0034,
        "ic_p": 0.954,
        "hit_rate": 0.5035,
        "sharpe": 0.36,
        "ls_spread_bps": 2.9,
        "quintile_monotonic": false,
        "quintile_spread_bps": 9.0
      },
      "is_oos": {
        "is_ic": -0.053,
        "oos_ic": 0.1016,
        "consistent": false
      },
      "rolling": {
        "window": 60,
        "mean_ic": 0.0057,
        "positive_pct": 0.5938,
        "n_windows": 224
      },
      "recent": {
        "window": 60,
        "ic": -0.038,
        "hit_rate": 0.4833,
        "sharpe": -1.07,
        "ic_delta_vs_historical": 0.09
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    },
    "gap_fade": {
      "label": "Gap Fade",
      "status": "DEGRADED",
      "warnings": [
        "Recent IC=-0.351 < -0.05",
        "Rolling IC positive only 0% of time",
        "Hit rate=35.2% < 45%",
        "Recent Sharpe=-4.49"
      ],
      "n_obs": 296,
      "date_range": "2025-01-03 \u2192 2026-03-02",
      "full_sample": {
        "ic": -0.3196,
        "ic_p": 0.0,
        "hit_rate": 0.3517,
        "sharpe": -3.71,
        "ls_spread_bps": -51.3,
        "quintile_monotonic": true,
        "quintile_spread_bps": -76.3
      },
      "is_oos": {
        "is_ic": -0.3052,
        "oos_ic": -0.3481,
        "consistent": true
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      "rolling": {
        "window": 60,
        "mean_ic": -0.323,
        "positive_pct": 0.0,
        "n_windows": 236
      },
      "recent": {
        "window": 60,
        "ic": -0.3512,
        "hit_rate": 0.3878,
        "sharpe": -4.49,
        "ic_delta_vs_historical": -0.0866
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    },
    "delta_div": {
      "label": "Delta Divergence",
      "status": "HEALTHY",
      "warnings": [],
      "n_obs": 292,
      "date_range": "2025-01-02 \u2192 2026-02-27",
      "full_sample": {
        "ic": 0.0855,
        "ic_p": 0.1449,
        "hit_rate": 0.5274,
        "sharpe": 0.83,
        "ls_spread_bps": 9.1,
        "quintile_monotonic": false,
        "quintile_spread_bps": 38.6
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      "is_oos": {
        "is_ic": 0.0888,
        "oos_ic": 0.0764,
        "consistent": true
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      "rolling": {
        "window": 60,
        "mean_ic": 0.1113,
        "positive_pct": 0.8233,
        "n_windows": 232
      },
      "recent": {
        "window": 60,
        "ic": 0.0221,
        "hit_rate": 0.4333,
        "sharpe": -0.28,
        "ic_delta_vs_historical": 0.0269
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    },
    "fomc": {
      "label": "FOMC Cycle",
      "status": "DEGRADED",
      "warnings": [
        "Recent IC=-0.031 < 0.02",
        "Rolling IC positive only 29% of time"
      ],
      "n_obs": 299,
      "date_range": "2025-01-02 \u2192 2026-02-27",
      "full_sample": {
        "ic": -0.0273,
        "ic_p": 0.6386,
        "hit_rate": 0.5,
        "sharpe": -0.34,
        "ls_spread_bps": -5.7,
        "quintile_monotonic": true,
        "quintile_spread_bps": 0.0
      },
      "is_oos": {
        "is_ic": 0.0312,
        "oos_ic": -0.1277,
        "consistent": false
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      "rolling": {
        "window": 60,
        "mean_ic": -0.0248,
        "positive_pct": 0.2887,
        "n_windows": 239
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      "recent": {
        "window": 60,
        "ic": -0.0311,
        "hit_rate": 0.5,
        "sharpe": -0.15,
        "ic_delta_vs_historical": -0.0515
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    },
    "dow": {
      "label": "Day-of-Week",
      "status": "HEALTHY",
      "warnings": [],
      "n_obs": 299,
      "date_range": "2025-01-02 \u2192 2026-02-27",
      "full_sample": {
        "ic": 0.1013,
        "ic_p": 0.0802,
        "hit_rate": 0.575,
        "sharpe": 1.45,
        "ls_spread_bps": 27.7,
        "quintile_monotonic": false,
        "quintile_spread_bps": 27.7
      },
      "is_oos": {
        "is_ic": 0.0784,
        "oos_ic": 0.1432,
        "consistent": true
      },
      "rolling": {
        "window": 60,
        "mean_ic": 0.1013,
        "positive_pct": 0.9749,
        "n_windows": 239
      },
      "recent": {
        "window": 60,
        "ic": 0.0761,
        "hit_rate": 0.625,
        "sharpe": 1.8,
        "ic_delta_vs_historical": -0.0025
      }
    }
  },
  "composite": {
    "n_obs": 357,
    "full_ic": 0.0112,
    "recent_ic": 0.0053,
    "full_sharpe": 0.47,
    "recent_sharpe": 1.55,
    "rolling_positive_pct": 0.6094
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  "correlations": {
    "matrix": {
      "vix_ts": {
        "vix_ts": 1.0,
        "vpoc": 0.021,
        "pc_oi": 0.131,
        "gap_fade": 0.197,
        "delta_div": 0.179,
        "fomc": -0.048,
        "dow": -0.093
      },
      "vpoc": {
        "vix_ts": 0.021,
        "vpoc": 1.0,
        "pc_oi": -0.024,
        "gap_fade": 0.153,
        "delta_div": -0.01,
        "fomc": 0.049,
        "dow": -0.131
      },
      "pc_oi": {
        "vix_ts": 0.131,
        "vpoc": -0.024,
        "pc_oi": 1.0,
        "gap_fade": -0.033,
        "delta_div": 0.191,
        "fomc": -0.073,
        "dow": 0.163
      },
      "gap_fade": {
        "vix_ts": 0.197,
        "vpoc": 0.153,
        "pc_oi": -0.033,
        "gap_fade": 1.0,
        "delta_div": -0.0,
        "fomc": 0.033,
        "dow": -0.135
      },
      "delta_div": {
        "vix_ts": 0.179,
        "vpoc": -0.01,
        "pc_oi": 0.191,
        "gap_fade": -0.0,
        "delta_div": 1.0,
        "fomc": -0.09,
        "dow": 0.107
      },
      "fomc": {
        "vix_ts": -0.048,
        "vpoc": 0.049,
        "pc_oi": -0.073,
        "gap_fade": 0.033,
        "delta_div": -0.09,
        "fomc": 1.0,
        "dow": -0.138
      },
      "dow": {
        "vix_ts": -0.093,
        "vpoc": -0.131,
        "pc_oi": 0.163,
        "gap_fade": -0.135,
        "delta_div": 0.107,
        "fomc": -0.138,
        "dow": 1.0
      }
    },
    "high_correlations": []
  }
}