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MM vs Retail
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SIGNIFICANCE SCALE
├─ < $100M ──── Noise (no signal)
├─ $200M+ ──── 🐻 Bear fade 66.3% WR · 🐂 Bull fade only 49.4%
├─ $300M+ ──── 🐻 Reliable fade · 🐂 Improving but cautious
└─ Top 5% ──── Both sides work: 🐻 66%+ · 🐂 68.2% WR
⚠️ ASYMMETRIC FADE RULES (439-day TRACE)
🐻 Bearish retail (selling) → FADE LONG: 66.3% WR (N=89) — reliable at moderate thresholds
🐂 Bullish retail (buying) → fade short: only 49.4% baseline — ONLY fade at extremes (top 5% = 68.2% WR, N=22)
Overall IC: -0.194 (p<0.0001) · Signal is real but asymmetric
66.3%
🐻 Bear retail fade
439-day TRACE · N=89 days
Reliable — lean long when retail sells
68.2%
🐂 Bull retail extreme only
Top 5% flow · N=22 days
Baseline only 49.4% — need extremes
📋 Retail Cumulative Fade Cheat Sheet
439 days · TRACE confirmed · Gamma-conditioned thresholds
| Condition | Action | Win Rate | N | Note |
|---|
| Bearish < -$100B γ |
LONG |
75.0% |
12 |
⚠️ Small N |
| Bearish < -$50B γ |
LONG |
60.0% |
25 |
|
| Bearish (any) |
LONG |
66.3% |
89 |
✅ Solid |
| Bullish > $50B γ |
SHORT |
56.9% |
197 |
Meh |
| Bullish > $100B γ |
SHORT |
58.0% |
100 |
Okay |
| Bullish top 5% |
SHORT |
68.2% |
22 |
⚠️ Small N |
In HIRO Dollar Terms:
| HIRO cum < -$200M |
LONG |
~66% WR |
≈ bearish retail |
| HIRO cum +$100-300M |
MARGINAL |
~56-59% |
Low edge |
| HIRO cum > +$500M |
SHORT |
~68% WR |
≈ extreme bullish |
🔑 Fading bearish retail is 2× more reliable than fading bullish retail
⚠️ Do NOT fade individual 5-min spikes — bar-level flow is momentum (IC +0.12)
📊 Fade the DAILY CUMULATIVE position, not individual bars
🐻 Bearish retail fade is stronger: 66.3% WR (439 days). Lean long when retail sells.
🐂 Bullish retail fade only works at extremes: need top 5% flow for 68.2% WR
⏰ Best fade window: 7:00-9:00 PT. Lunch (9-11 AM PT) is noise.
📈 Signal strengthens through the day — EOD cumulative > 10:30 AM reading
🔄 When TRACE stock retail diverges from HIRO options, trust TRACE (IC -0.152 vs +0.049)
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📋 MM Cum Significance Guide
409 days · 15,351 observations
| |cum_mm| Level | Meaning | 3H WR | 3H Return | Action |
|---|
| < 0.15 |
NOISE |
~52% |
~0% |
Ignore |
| ±0.15 to ±0.30 |
Emerging |
55-58% |
±0.06% |
Confirmation only (p=0.0006) |
| ±0.30 to ±0.50 |
Strong |
58.6% |
±0.09% |
Trade with other signals |
| ≥ 0.50 |
Extreme |
~52% WR |
+0.21% ret |
High conviction, rare (~5%) |
| Time | Target | IC | p-value | How to Use |
|---|
| 10:00 AM |
Close |
+0.177 |
0.0003 |
Set daily bias by 10:30 |
| 10:00 AM |
3H |
+0.112 |
0.024 |
Morning direction lean |
| Setup | 3H Ret | WR | N | Verdict |
|---|
| NEG GEX + Bear MM (≤ -0.20) |
-0.110% |
43.7% |
405 |
⚡ Strongest bearish |
| POS GEX + Bull MM (≥ +0.20) |
+0.044% |
63.2% |
983 |
Dampened but directional |
| POS GEX + Bear MM |
-0.020% |
50.0% |
1,063 |
Coin flip — ignore |
| NEG GEX + Bull MM |
+0.140% |
47.8% |
324 |
Unreliable |
🌅 Morning read is the money: 10:30 AM cum_mm → close IC +0.177
📊 IC +0.094 (p<0.0001) — real but modest. CONFIRMATION signal, not standalone.
🌅 Morning read is the money: 10:30 AM cum_mm → close IC +0.177
⚡ Only matters in NEG GEX — POS GEX dampens the signal
🎯 Best as daily bias, not intraday trigger
⚖️ 10% weight in bias model is about right
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