{
  "description": "Yang-Zhang Range-Vol Stress Detector for ES",
  "paper": "arXiv 2603.02898",
  "data": {
    "source": "1-min ES bars",
    "date_range": "2023-03-01 to 2026-02-27",
    "n_5min_bars": 58318,
    "is_oos_split": "2025-04-07"
  },
  "regime_results": {
    "IS": {
      "hidden_stress": {
        "n_bars": 4663,
        "1h": {
          "n": 4663,
          "mean_ret": -1.06,
          "mean_abs_ret": 17.3,
          "std_ret": 28.14,
          "t_stat": -2.57,
          "breakout_20pt_pct": 27.8,
          "up_pct": 49.5,
          "median_abs": 11.5
        },
        "3h": {
          "n": 4663,
          "mean_ret": -1.56,
          "mean_abs_ret": 28.17,
          "std_ret": 42.72,
          "t_stat": -2.49,
          "breakout_20pt_pct": 46.5,
          "up_pct": 52.8,
          "median_abs": 18.25
        },
        "eod": {
          "n": 4663,
          "mean_ret": -1.3,
          "mean_abs_ret": 23.75,
          "std_ret": 32.67,
          "t_stat": -2.71,
          "breakout_20pt_pct": 45.0,
          "up_pct": 52.5,
          "median_abs": 17.5
        },
        "1h_max_excursion": {
          "mean": 25.71,
          "median": 19.5,
          "p90": 46.0
        },
        "3h_max_excursion": {
          "mean": 43.32,
          "median": 32.25,
          "p90": 75.75
        }
      },
      "normal": {
        "n_bars": 17414,
        "1h": {
          "n": 17414,
          "mean_ret": 0.71,
          "mean_abs_ret": 9.5,
          "std_ret": 15.14,
          "t_stat": 6.2,
          "breakout_20pt_pct": 10.5,
          "up_pct": 53.9,
          "median_abs": 6.0
        },
        "3h": {
          "n": 17414,
          "mean_ret": 1.93,
          "mean_abs_ret": 18.75,
          "std_ret": 27.28,
          "t_stat": 9.36,
          "breakout_20pt_pct": 32.2,
          "up_pct": 55.3,
          "median_abs": 12.75
        },
        "eod": {
          "n": 17414,
          "mean_ret": 0.68,
          "mean_abs_ret": 12.18,
          "std_ret": 19.11,
          "t_stat": 4.73,
          "breakout_20pt_pct": 18.4,
          "up_pct": 55.3,
          "median_abs": 8.0
        },
        "1h_max_excursion": {
          "mean": 14.38,
          "median": 10.75,
          "p90": 27.0
        },
        "3h_max_excursion": {
          "mean": 27.96,
          "median": 22.0,
          "p90": 52.25
        }
      },
      "trending": {
        "n_bars": 13279,
        "1h": {
          "n": 13279,
          "mean_ret": 0.9,
          "mean_abs_ret": 9.58,
          "std_ret": 14.62,
          "t_stat": 7.12,
          "breakout_20pt_pct": 10.5,
          "up_pct": 54.8,
          "median_abs": 6.5
        },
        "3h": {
          "n": 13279,
          "mean_ret": 2.16,
          "mean_abs_ret": 18.86,
          "std_ret": 26.66,
          "t_stat": 9.32,
          "breakout_20pt_pct": 34.1,
          "up_pct": 56.8,
          "median_abs": 13.0
        },
        "eod": {
          "n": 13279,
          "mean_ret": 1.15,
          "mean_abs_ret": 13.23,
          "std_ret": 20.26,
          "t_stat": 6.54,
          "breakout_20pt_pct": 20.0,
          "up_pct": 55.2,
          "median_abs": 9.0
        },
        "1h_max_excursion": {
          "mean": 14.43,
          "median": 11.25,
          "p90": 26.5
        },
        "3h_max_excursion": {
          "mean": 28.01,
          "median": 22.75,
          "p90": 51.5
        }
      },
      "high_vol_trending": {
        "n_bars": 5529,
        "1h": {
          "n": 5529,
          "mean_ret": -0.66,
          "mean_abs_ret": 14.55,
          "std_ret": 23.13,
          "t_stat": -2.14,
          "breakout_20pt_pct": 21.3,
          "up_pct": 51.3,
          "median_abs": 10.0
        },
        "3h": {
          "n": 5529,
          "mean_ret": -1.63,
          "mean_abs_ret": 24.73,
          "std_ret": 38.66,
          "t_stat": -3.13,
          "breakout_20pt_pct": 40.0,
          "up_pct": 52.5,
          "median_abs": 16.0
        },
        "eod": {
          "n": 5529,
          "mean_ret": -1.3,
          "mean_abs_ret": 24.32,
          "std_ret": 33.53,
          "t_stat": -2.88,
          "breakout_20pt_pct": 45.8,
          "up_pct": 51.9,
          "median_abs": 18.5
        },
        "1h_max_excursion": {
          "mean": 22.63,
          "median": 17.25,
          "p90": 39.75
        },
        "3h_max_excursion": {
          "mean": 37.9,
          "median": 27.0,
          "p90": 69.3
        }
      }
    },
    "OOS": {
      "hidden_stress": {
        "n_bars": 2232,
        "1h": {
          "n": 2232,
          "mean_ret": 4.17,
          "mean_abs_ret": 22.11,
          "std_ret": 35.99,
          "t_stat": 5.48,
          "breakout_20pt_pct": 36.7,
          "up_pct": 56.3,
          "median_abs": 14.5
        },
        "3h": {
          "n": 2232,
          "mean_ret": 10.78,
          "mean_abs_ret": 41.54,
          "std_ret": 65.93,
          "t_stat": 7.73,
          "breakout_20pt_pct": 64.1,
          "up_pct": 58.7,
          "median_abs": 27.0
        },
        "eod": {
          "n": 2232,
          "mean_ret": 8.44,
          "mean_abs_ret": 35.69,
          "std_ret": 73.16,
          "t_stat": 5.45,
          "breakout_20pt_pct": 51.8,
          "up_pct": 53.4,
          "median_abs": 21.0
        },
        "1h_max_excursion": {
          "mean": 33.19,
          "median": 25.0,
          "p90": 60.25
        },
        "3h_max_excursion": {
          "mean": 58.97,
          "median": 42.5,
          "p90": 108.2
        }
      },
      "normal": {
        "n_bars": 7225,
        "1h": {
          "n": 7221,
          "mean_ret": 0.78,
          "mean_abs_ret": 12.24,
          "std_ret": 20.33,
          "t_stat": 3.24,
          "breakout_20pt_pct": 15.7,
          "up_pct": 53.6,
          "median_abs": 7.25
        },
        "3h": {
          "n": 7197,
          "mean_ret": 2.4,
          "mean_abs_ret": 23.77,
          "std_ret": 34.47,
          "t_stat": 5.9,
          "breakout_20pt_pct": 40.7,
          "up_pct": 53.3,
          "median_abs": 15.5
        },
        "eod": {
          "n": 7225,
          "mean_ret": -0.48,
          "mean_abs_ret": 12.79,
          "std_ret": 18.87,
          "t_stat": -2.17,
          "breakout_20pt_pct": 21.6,
          "up_pct": 49.2,
          "median_abs": 8.5
        },
        "1h_max_excursion": {
          "mean": 18.68,
          "median": 13.25,
          "p90": 38.0
        },
        "3h_max_excursion": {
          "mean": 35.85,
          "median": 27.5,
          "p90": 68.0
        }
      },
      "trending": {
        "n_bars": 5479,
        "1h": {
          "n": 5471,
          "mean_ret": 0.78,
          "mean_abs_ret": 10.93,
          "std_ret": 17.86,
          "t_stat": 3.22,
          "breakout_20pt_pct": 13.5,
          "up_pct": 55.7,
          "median_abs": 6.5
        },
        "3h": {
          "n": 5471,
          "mean_ret": 2.52,
          "mean_abs_ret": 22.12,
          "std_ret": 31.92,
          "t_stat": 5.85,
          "breakout_20pt_pct": 37.9,
          "up_pct": 57.5,
          "median_abs": 14.5
        },
        "eod": {
          "n": 5479,
          "mean_ret": 0.73,
          "mean_abs_ret": 12.74,
          "std_ret": 18.89,
          "t_stat": 2.85,
          "breakout_20pt_pct": 20.0,
          "up_pct": 52.8,
          "median_abs": 9.25
        },
        "1h_max_excursion": {
          "mean": 17.04,
          "median": 12.0,
          "p90": 33.5
        },
        "3h_max_excursion": {
          "mean": 33.7,
          "median": 25.5,
          "p90": 64.0
        }
      },
      "high_vol_trending": {
        "n_bars": 2497,
        "1h": {
          "n": 2497,
          "mean_ret": 0.03,
          "mean_abs_ret": 20.34,
          "std_ret": 30.64,
          "t_stat": 0.05,
          "breakout_20pt_pct": 35.0,
          "up_pct": 52.5,
          "median_abs": 13.75
        },
        "3h": {
          "n": 2497,
          "mean_ret": 1.37,
          "mean_abs_ret": 33.73,
          "std_ret": 51.38,
          "t_stat": 1.33,
          "breakout_20pt_pct": 54.5,
          "up_pct": 55.8,
          "median_abs": 22.0
        },
        "eod": {
          "n": 2497,
          "mean_ret": -2.13,
          "mean_abs_ret": 31.07,
          "std_ret": 49.08,
          "t_stat": -2.17,
          "breakout_20pt_pct": 52.1,
          "up_pct": 53.5,
          "median_abs": 21.0
        },
        "1h_max_excursion": {
          "mean": 30.38,
          "median": 23.25,
          "p90": 59.0
        },
        "3h_max_excursion": {
          "mean": 51.46,
          "median": 38.0,
          "p90": 99.7
        }
      }
    }
  },
  "ic_analysis": {
    "IS": {
      "1h": {
        "ic_yz_vol": 0.2484,
        "ic_atr": 0.2756,
        "ic_range_ratio": 0.2827,
        "yz_quintile_means": {
          "0": 7.97,
          "1": 8.95,
          "2": 10.32,
          "3": 11.91,
          "4": 16.37
        },
        "monotonic": true,
        "n": 40885
      },
      "3h": {
        "ic_yz_vol": 0.1333,
        "ic_atr": 0.1732,
        "ic_range_ratio": 0.1885,
        "yz_quintile_means": {
          "0": 17.08,
          "1": 18.21,
          "2": 19.52,
          "3": 21.73,
          "4": 26.81
        },
        "monotonic": true,
        "n": 40885
      },
      "eod": {
        "ic_yz_vol": 0.333,
        "ic_atr": 0.3276,
        "ic_range_ratio": 0.3145,
        "yz_quintile_means": {
          "0": 10.53,
          "1": 11.18,
          "2": 13.22,
          "3": 16.95,
          "4": 25.54
        },
        "monotonic": true,
        "n": 40885
      }
    },
    "OOS": {
      "1h": {
        "ic_yz_vol": 0.3227,
        "ic_atr": 0.3333,
        "ic_range_ratio": 0.3345,
        "yz_quintile_means": {
          "0": 9.1,
          "1": 9.82,
          "2": 12.68,
          "3": 18.1,
          "4": 21.58
        },
        "monotonic": true,
        "n": 17421
      },
      "3h": {
        "ic_yz_vol": 0.2164,
        "ic_atr": 0.2426,
        "ic_range_ratio": 0.2512,
        "yz_quintile_means": {
          "0": 19.55,
          "1": 20.88,
          "2": 23.74,
          "3": 30.82,
          "4": 39.84
        },
        "monotonic": true,
        "n": 17397
      },
      "eod": {
        "ic_yz_vol": 0.4205,
        "ic_atr": 0.4144,
        "ic_range_ratio": 0.403,
        "yz_quintile_means": {
          "0": 8.13,
          "1": 10.7,
          "2": 16.04,
          "3": 19.77,
          "4": 36.98
        },
        "monotonic": true,
        "n": 17433
      }
    }
  },
  "divergence_value": {
    "IS": {
      "1h": {
        "hidden_stress_mean_abs": 17.3,
        "high_vol_trend_mean_abs": 14.55,
        "diff": 2.75,
        "t_stat": 6.89,
        "p_value": 0.0,
        "hidden_stress_n": 4663,
        "high_vol_trend_n": 5529,
        "hs_skew": -0.794,
        "hvt_skew": -2.13,
        "hs_direction_entropy": 0.99,
        "hvt_direction_entropy": 0.96
      },
      "3h": {
        "hidden_stress_mean_abs": 28.17,
        "high_vol_trend_mean_abs": 24.73,
        "diff": 3.44,
        "t_stat": 5.6,
        "p_value": 0.0,
        "hidden_stress_n": 4663,
        "high_vol_trend_n": 5529,
        "hs_skew": -1.161,
        "hvt_skew": -1.634,
        "hs_direction_entropy": 0.934,
        "hvt_direction_entropy": 0.941
      },
      "eod": {
        "hidden_stress_mean_abs": 23.75,
        "high_vol_trend_mean_abs": 24.32,
        "diff": -0.56,
        "t_stat": -1.24,
        "p_value": 0.2143,
        "hidden_stress_n": 4663,
        "high_vol_trend_n": 5529,
        "hs_skew": -0.519,
        "hvt_skew": -0.279,
        "hs_direction_entropy": 0.92,
        "hvt_direction_entropy": 0.938
      }
    },
    "OOS": {
      "1h": {
        "hidden_stress_mean_abs": 22.11,
        "high_vol_trend_mean_abs": 20.34,
        "diff": 1.76,
        "t_stat": 2.35,
        "p_value": 0.019,
        "hidden_stress_n": 2232,
        "high_vol_trend_n": 2497,
        "hs_skew": 2.479,
        "hvt_skew": 0.537,
        "hs_direction_entropy": 0.866,
        "hvt_direction_entropy": 0.94
      },
      "3h": {
        "hidden_stress_mean_abs": 41.54,
        "high_vol_trend_mean_abs": 33.73,
        "diff": 7.81,
        "t_stat": 5.87,
        "p_value": 0.0,
        "hidden_stress_n": 2232,
        "high_vol_trend_n": 2497,
        "hs_skew": 2.228,
        "hvt_skew": -0.247,
        "hs_direction_entropy": 0.823,
        "hvt_direction_entropy": 0.877
      },
      "eod": {
        "hidden_stress_mean_abs": 35.69,
        "high_vol_trend_mean_abs": 31.07,
        "diff": 4.62,
        "t_stat": 3.04,
        "p_value": 0.0024,
        "hidden_stress_n": 2232,
        "high_vol_trend_n": 2497,
        "hs_skew": 4.007,
        "hvt_skew": -0.525,
        "hs_direction_entropy": 0.904,
        "hvt_direction_entropy": 0.913
      }
    }
  },
  "rsi_resolution": {
    "IS": {
      "n_up_breaks": 282,
      "n_dn_breaks": 359,
      "up_break_1h_mean": -2.87,
      "up_break_1h_win_pct": 52.1,
      "dn_break_1h_mean": 1.93,
      "dn_break_1h_win_pct": 45.4,
      "up_break_3h_mean": -2.34,
      "up_break_3h_win_pct": 52.1,
      "dn_break_3h_mean": 0.2,
      "dn_break_3h_win_pct": 46.2,
      "up_break_eod_mean": -1.69,
      "up_break_eod_win_pct": 52.1,
      "dn_break_eod_mean": -0.34,
      "dn_break_eod_win_pct": 48.7
    },
    "OOS": {
      "n_up_breaks": 143,
      "n_dn_breaks": 160,
      "up_break_1h_mean": 10.23,
      "up_break_1h_win_pct": 61.5,
      "dn_break_1h_mean": -1.81,
      "dn_break_1h_win_pct": 45.6,
      "up_break_3h_mean": 8.6,
      "up_break_3h_win_pct": 62.9,
      "dn_break_3h_mean": 2.45,
      "dn_break_3h_win_pct": 46.9,
      "up_break_eod_mean": 6.79,
      "up_break_eod_win_pct": 58.7,
      "dn_break_eod_mean": -2.04,
      "dn_break_eod_win_pct": 45.0
    }
  },
  "time_of_day": {
    "IS": {
      "9": 13.4,
      "10": 26.0,
      "11": 15.9,
      "12": 6.4,
      "13": 5.4,
      "14": 5.5,
      "15": 7.7
    },
    "OOS": {
      "9": 13.2,
      "10": 25.9,
      "11": 17.8,
      "12": 8.9,
      "13": 8.8,
      "14": 7.0,
      "15": 7.6
    }
  }
}