{
  "description": "VPIN Backtest for ES Futures",
  "data": {
    "source": "es_1min_delta_bars.csv (Databento)",
    "rows": 291684,
    "rth_rows": 261804,
    "date_range": "2023-03-01 to 2026-02-27"
  },
  "bucket_sizes_tested": [
    500,
    1000,
    2000,
    5000
  ],
  "vpin_window": 50,
  "lookaheads_buckets": [
    10,
    30,
    50
  ],
  "best_oos_config": {
    "bucket_size": 1000,
    "lookahead_buckets": 50,
    "tstat": 4.49
  },
  "results_by_bucket_size": {
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      "bucket_size": 500,
      "n_buckets": 1397824,
      "vol_IS_la10": {
        "spearman_rho": 0.0251,
        "spearman_p": 0.0,
        "top_q_mean": 0.0294,
        "bot_q_mean": 0.0349,
        "tstat_top_vs_bot": -26.67,
        "quintile_means": [
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          0.0313,
          0.0305,
          0.0299,
          0.0294
        ]
      },
      "vol_OOS_la10": {
        "spearman_rho": -0.0339,
        "spearman_p": 0.0,
        "top_q_mean": 0.0319,
        "bot_q_mean": 0.0444,
        "tstat_top_vs_bot": -26.68,
        "quintile_means": [
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          0.0406,
          0.0372,
          0.0332,
          0.0319
        ]
      },
      "vol_IS_la30": {
        "spearman_rho": -0.0324,
        "spearman_p": 0.0,
        "top_q_mean": 0.0549,
        "bot_q_mean": 0.0736,
        "tstat_top_vs_bot": -56.38,
        "quintile_means": [
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          0.0588,
          0.0568,
          0.0561,
          0.0549
        ]
      },
      "vol_OOS_la30": {
        "spearman_rho": -0.1182,
        "spearman_p": 0.0,
        "top_q_mean": 0.0597,
        "bot_q_mean": 0.0942,
        "tstat_top_vs_bot": -45.25,
        "quintile_means": [
          0.0942,
          0.0771,
          0.0686,
          0.0619,
          0.0597
        ]
      },
      "vol_IS_la50": {
        "spearman_rho": -0.0539,
        "spearman_p": 0.0,
        "top_q_mean": 0.0726,
        "bot_q_mean": 0.1021,
        "tstat_top_vs_bot": -70.17,
        "quintile_means": [
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          0.0778,
          0.075,
          0.0737,
          0.0726
        ]
      },
      "vol_OOS_la50": {
        "spearman_rho": -0.1471,
        "spearman_p": 0.0,
        "top_q_mean": 0.0786,
        "bot_q_mean": 0.131,
        "tstat_top_vs_bot": -54.81,
        "quintile_means": [
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          0.102,
          0.0896,
          0.0816,
          0.0786
        ]
      },
      "dir_IS_la10": {
        "n_high_vpin": 195696,
        "n_buy_signal": 100666,
        "n_sell_signal": 95030,
        "buy_fwd_ret_pct": 0.0007,
        "sell_fwd_ret_pct": 0.0014,
        "tstat_direction": -3.12,
        "high_vpin_absret": 0.0294,
        "normal_absret": 0.0317
      },
      "dir_OOS_la10": {
        "n_high_vpin": 83870,
        "n_buy_signal": 45502,
        "n_sell_signal": 38368,
        "buy_fwd_ret_pct": 0.0002,
        "sell_fwd_ret_pct": 0.0006,
        "tstat_direction": -0.6,
        "high_vpin_absret": 0.0319,
        "normal_absret": 0.0388
      },
      "dir_IS_la30": {
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        "n_buy_signal": 100666,
        "n_sell_signal": 95030,
        "buy_fwd_ret_pct": 0.0016,
        "sell_fwd_ret_pct": 0.0031,
        "tstat_direction": -3.87,
        "high_vpin_absret": 0.0549,
        "normal_absret": 0.0613
      },
      "dir_OOS_la30": {
        "n_high_vpin": 83870,
        "n_buy_signal": 45502,
        "n_sell_signal": 38368,
        "buy_fwd_ret_pct": 0.001,
        "sell_fwd_ret_pct": 0.0012,
        "tstat_direction": -0.15,
        "high_vpin_absret": 0.0597,
        "normal_absret": 0.0754
      },
      "dir_IS_la50": {
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        "n_buy_signal": 100666,
        "n_sell_signal": 95030,
        "buy_fwd_ret_pct": 0.0037,
        "sell_fwd_ret_pct": 0.0046,
        "tstat_direction": -1.64,
        "high_vpin_absret": 0.0726,
        "normal_absret": 0.0822
      },
      "dir_OOS_la50": {
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        "n_buy_signal": 45502,
        "n_sell_signal": 38368,
        "buy_fwd_ret_pct": 0.0,
        "sell_fwd_ret_pct": 0.0011,
        "tstat_direction": -0.9,
        "high_vpin_absret": 0.0786,
        "normal_absret": 0.101
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      "lead_time": {
        "vpin_before_big_move": 0.0805,
        "vpin_normal": 0.0945,
        "tstat": -137.06,
        "pval": 0.0
      }
    },
    "1000": {
      "bucket_size": 1000,
      "n_buckets": 698862,
      "vol_IS_la10": {
        "spearman_rho": -0.0312,
        "spearman_p": 0.0,
        "top_q_mean": 0.0439,
        "bot_q_mean": 0.0573,
        "tstat_top_vs_bot": -34.24,
        "quintile_means": [
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          0.0449,
          0.0433,
          0.0439
        ]
      },
      "vol_OOS_la10": {
        "spearman_rho": -0.1283,
        "spearman_p": 0.0,
        "top_q_mean": 0.0458,
        "bot_q_mean": 0.0742,
        "tstat_top_vs_bot": -32.52,
        "quintile_means": [
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      },
      "vol_IS_la30": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.0802,
        "bot_q_mean": 0.1144,
        "tstat_top_vs_bot": -53.26,
        "quintile_means": [
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        ]
      },
      "vol_OOS_la30": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.0849,
        "bot_q_mean": 0.1444,
        "tstat_top_vs_bot": -43.11,
        "quintile_means": [
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          0.0977,
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          0.0849
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      },
      "vol_IS_la50": {
        "spearman_rho": -0.095,
        "spearman_p": 0.0,
        "top_q_mean": 0.1076,
        "bot_q_mean": 0.1529,
        "tstat_top_vs_bot": -57.61,
        "quintile_means": [
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          0.1076
        ]
      },
      "vol_OOS_la50": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.1149,
        "bot_q_mean": 0.1891,
        "tstat_top_vs_bot": -44.3,
        "quintile_means": [
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      },
      "dir_IS_la10": {
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        "n_buy_signal": 50879,
        "n_sell_signal": 46962,
        "buy_fwd_ret_pct": 0.002,
        "sell_fwd_ret_pct": 0.0025,
        "tstat_direction": -0.98,
        "high_vpin_absret": 0.0439,
        "normal_absret": 0.0485
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      "dir_OOS_la10": {
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        "n_buy_signal": 22640,
        "n_sell_signal": 19292,
        "buy_fwd_ret_pct": 0.0006,
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        "tstat_direction": 1.18,
        "high_vpin_absret": 0.0458,
        "normal_absret": 0.0601
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      "dir_IS_la30": {
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        "n_sell_signal": 46962,
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        "sell_fwd_ret_pct": 0.0088,
        "tstat_direction": -3.04,
        "high_vpin_absret": 0.0802,
        "normal_absret": 0.0912
      },
      "dir_OOS_la30": {
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        "n_buy_signal": 22640,
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        "high_vpin_absret": 0.0849,
        "normal_absret": 0.1126
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      "dir_IS_la50": {
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        "n_buy_signal": 50879,
        "n_sell_signal": 46962,
        "buy_fwd_ret_pct": 0.0093,
        "sell_fwd_ret_pct": 0.0163,
        "tstat_direction": -6.25,
        "high_vpin_absret": 0.1076,
        "normal_absret": 0.1224
      },
      "dir_OOS_la50": {
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        "n_buy_signal": 22640,
        "n_sell_signal": 19292,
        "buy_fwd_ret_pct": 0.0084,
        "sell_fwd_ret_pct": -0.0014,
        "tstat_direction": 4.49,
        "high_vpin_absret": 0.1149,
        "normal_absret": 0.1503
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      "lead_time": {
        "vpin_before_big_move": 0.0788,
        "vpin_normal": 0.0913,
        "tstat": -107.18,
        "pval": 0.0
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    },
    "2000": {
      "bucket_size": 2000,
      "n_buckets": 349381,
      "vol_IS_la10": {
        "spearman_rho": -0.068,
        "spearman_p": 0.0,
        "top_q_mean": 0.0633,
        "bot_q_mean": 0.0866,
        "tstat_top_vs_bot": -33.06,
        "quintile_means": [
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          0.0646,
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      },
      "vol_OOS_la10": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.0664,
        "bot_q_mean": 0.1102,
        "tstat_top_vs_bot": -28.97,
        "quintile_means": [
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      },
      "vol_IS_la30": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.1207,
        "bot_q_mean": 0.1583,
        "tstat_top_vs_bot": -35.12,
        "quintile_means": [
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      },
      "vol_OOS_la30": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.1323,
        "bot_q_mean": 0.1962,
        "tstat_top_vs_bot": -26.36,
        "quintile_means": [
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      },
      "vol_IS_la50": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.1652,
        "bot_q_mean": 0.2034,
        "tstat_top_vs_bot": -29.59,
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      "vol_OOS_la50": {
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      },
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        "n_buy_signal": 26275,
        "n_sell_signal": 22639,
        "buy_fwd_ret_pct": 0.0035,
        "sell_fwd_ret_pct": 0.0043,
        "tstat_direction": -0.79,
        "high_vpin_absret": 0.0633,
        "normal_absret": 0.0724
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      "dir_OOS_la10": {
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        "n_buy_signal": 11416,
        "n_sell_signal": 9547,
        "buy_fwd_ret_pct": 0.0091,
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        "high_vpin_absret": 0.0664,
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        "high_vpin_absret": 0.1323,
        "normal_absret": 0.1657
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      "dir_IS_la50": {
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      },
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        "vpin_normal": 0.0851,
        "tstat": -49.54,
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    },
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      "n_buckets": 139693,
      "vol_IS_la10": {
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        "spearman_p": 0.0,
        "top_q_mean": 0.1112,
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        "quintile_means": [
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        "bot_q_mean": 0.1707,
        "tstat_top_vs_bot": -17.28,
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      },
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        "spearman_p": 0.0,
        "top_q_mean": 0.2072,
        "bot_q_mean": 0.2439,
        "tstat_top_vs_bot": -15.43,
        "quintile_means": [
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      },
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        "top_q_mean": 0.2768,
        "bot_q_mean": 0.3871,
        "tstat_top_vs_bot": -19.17,
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        "n_buy_signal": 10982,
        "n_sell_signal": 8575,
        "buy_fwd_ret_pct": 0.0024,
        "sell_fwd_ret_pct": 0.0098,
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        "high_vpin_absret": 0.1112,
        "normal_absret": 0.1213
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        "n_buy_signal": 4836,
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        "high_vpin_absret": 0.1145,
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        "buy_fwd_ret_pct": -0.0119,
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        "high_vpin_absret": 0.2768,
        "normal_absret": 0.3783
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      "lead_time": {
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        "vpin_normal": 0.0723,
        "tstat": -24.21,
        "pval": 0.0
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    }
  },
  "kyle_lambda": {
    "mean": 0.002597,
    "median": 0.002124,
    "mean_r2": 0.5023
  }
}