Generated: 2026-03-03T12:09:47.756003 | ES data: 2025-01-02 to 2026-03-03
| Signal | N | IC | Hit Rate | Walk-Fwd | Quintiles | IS/OOS | Promote? | Note |
|---|---|---|---|---|---|---|---|---|
| CONTEXT VIXDecomp_UpConvexity | 233 | +0.035 | 48.5% | 70% | ❌ +14bps | ❌ | 3/5 | r=0.017 with VIX level (independent). Walk-fwd 90% positive. |
| CONTEXT VIXDecomp_StickyStrike | 233 | +0.033 | 48.1% | 70% | ❌ +17bps | ❌ | 3/5 | Range predictor (IC +0.227), not directional |
| CONTEXT VIXDecomp_SpikeComposition | 224 | +0.025 | 42.9% | 40% | ✅ +29bps | ❌ | 2/5 | Sticky-dominant spike: +52.7bps next day (t=2.44) |
| CONTEXT F080_Signal | 226 | -0.098 | 45.7% | 50% | ❌ -16bps | ✅ | 3/5 | Daily IC=0.014 (zero). Only works at 30-bar intraday. |
| CONTEXT_VOL F080_TrendPct | 226 | -0.156 | — | 60% | ❌ +25bps | ✅ | 4/5 | Predicts next-day vol (IC=-0.14, p=0.017), not direction. |
| ACTIVE VIX_TermStructure | 221 | -0.032 | 47.1% | 30% | ❌ -7bps | ❌ | OOS Sharpe 2.58, weight 0.22. Core signal #1. | |
| ACTIVE GapFade | 289 | +0.002 | 47.4% | 40% | ❌ +5bps | ❌ | OOS Sharpe 2.33, weight 0.15. Core signal #4. |