============================================================ CSE Bridge Research: 8:00-MOO Entry Window ============================================================ [1/3] Loading universe... Loading trades_enriched_v6.csv... C:\datum-api-examples-main\research_cse_6m_pull.py:52: DtypeWarning: Columns (10) have mixed types. Specify dtype option on import or set low_memory=False. df = pd.read_csv(os.path.join(ROOT, 'trades_enriched_v6.csv'), usecols=usecols) Universe: 36667 signals, 63 days (2025-10-15 to 2026-01-14) Tickers: 2148 [2/3] Pulling intraday from Datum API (63 days)... [1/63] 2025-10-15: 50 tickers, 286 signals, 50 API calls, 25s [2/63] 2025-10-16: 50 tickers, 241 signals, 100 API calls, 25s [3/63] 2025-10-17: 50 tickers, 280 signals, 150 API calls, 24s [4/63] 2025-10-20: 50 tickers, 283 signals, 200 API calls, 24s [5/63] 2025-10-21: 50 tickers, 282 signals, 250 API calls, 25s [6/63] 2025-10-22: 50 tickers, 271 signals, 300 API calls, 25s [7/63] 2025-10-23: 50 tickers, 232 signals, 350 API calls, 24s [8/63] 2025-10-24: 50 tickers, 274 signals, 400 API calls, 24s [9/63] 2025-10-27: 50 tickers, 306 signals, 450 API calls, 24s [10/63] 2025-10-28: 50 tickers, 238 signals, 500 API calls, 24s [11/63] 2025-10-29: 50 tickers, 222 signals, 550 API calls, 24s [12/63] 2025-10-30: 50 tickers, 257 signals, 600 API calls, 23s [13/63] 2025-10-31: 50 tickers, 206 signals, 650 API calls, 23s [14/63] 2025-11-03: 50 tickers, 297 signals, 700 API calls, 23s [15/63] 2025-11-04: 50 tickers, 242 signals, 750 API calls, 23s [16/63] 2025-11-05: 50 tickers, 216 signals, 800 API calls, 23s [17/63] 2025-11-06: 50 tickers, 243 signals, 850 API calls, 23s [18/63] 2025-11-07: 50 tickers, 206 signals, 900 API calls, 23s [19/63] 2025-11-10: 50 tickers, 272 signals, 950 API calls, 24s [20/63] 2025-11-11: 50 tickers, 231 signals, 1000 API calls, 23s [21/63] 2025-11-12: 50 tickers, 243 signals, 1050 API calls, 23s [22/63] 2025-11-13: 50 tickers, 275 signals, 1100 API calls, 23s [23/63] 2025-11-14: 50 tickers, 241 signals, 1150 API calls, 23s [24/63] 2025-11-17: 50 tickers, 222 signals, 1200 API calls, 23s [25/63] 2025-11-18: 50 tickers, 177 signals, 1250 API calls, 23s [26/63] 2025-11-19: 50 tickers, 233 signals, 1300 API calls, 23s [27/63] 2025-11-20: 50 tickers, 239 signals, 1350 API calls, 23s [28/63] 2025-11-21: 50 tickers, 173 signals, 1400 API calls, 24s [29/63] 2025-11-24: 50 tickers, 211 signals, 1450 API calls, 23s [30/63] 2025-11-25: 50 tickers, 227 signals, 1500 API calls, 23s [31/63] 2025-11-26: 50 tickers, 252 signals, 1550 API calls, 23s [32/63] 2025-11-28: 50 tickers, 239 signals, 1600 API calls, 22s [33/63] 2025-12-01: 50 tickers, 216 signals, 1650 API calls, 23s [34/63] 2025-12-02: 50 tickers, 223 signals, 1700 API calls, 23s [35/63] 2025-12-03: 50 tickers, 226 signals, 1750 API calls, 23s [36/63] 2025-12-04: 50 tickers, 224 signals, 1800 API calls, 23s [37/63] 2025-12-05: 50 tickers, 231 signals, 1850 API calls, 23s [38/63] 2025-12-08: 50 tickers, 223 signals, 1900 API calls, 23s [39/63] 2025-12-09: 50 tickers, 196 signals, 1950 API calls, 23s [40/63] 2025-12-10: 50 tickers, 221 signals, 2000 API calls, 23s [41/63] 2025-12-11: 50 tickers, 206 signals, 2050 API calls, 23s [42/63] 2025-12-12: 50 tickers, 226 signals, 2100 API calls, 23s [43/63] 2025-12-15: 50 tickers, 190 signals, 2150 API calls, 23s [44/63] 2025-12-16: 50 tickers, 172 signals, 2200 API calls, 23s [45/63] 2025-12-17: 50 tickers, 219 signals, 2250 API calls, 24s [46/63] 2025-12-18: 50 tickers, 303 signals, 2300 API calls, 23s [47/63] 2025-12-19: 50 tickers, 247 signals, 2350 API calls, 24s [48/63] 2025-12-22: 50 tickers, 263 signals, 2400 API calls, 23s [49/63] 2025-12-23: 50 tickers, 264 signals, 2450 API calls, 24s [50/63] 2025-12-24: 50 tickers, 198 signals, 2500 API calls, 23s [51/63] 2025-12-26: 50 tickers, 193 signals, 2550 API calls, 23s [52/63] 2025-12-29: 50 tickers, 235 signals, 2600 API calls, 24s [53/63] 2025-12-30: 50 tickers, 200 signals, 2650 API calls, 24s [54/63] 2025-12-31: 50 tickers, 199 signals, 2700 API calls, 23s [55/63] 2026-01-02: 50 tickers, 225 signals, 2750 API calls, 23s [56/63] 2026-01-05: 50 tickers, 255 signals, 2800 API calls, 23s [57/63] 2026-01-06: 50 tickers, 227 signals, 2850 API calls, 24s [58/63] 2026-01-07: 50 tickers, 230 signals, 2900 API calls, 23s [59/63] 2026-01-08: 50 tickers, 238 signals, 2950 API calls, 24s [60/63] 2026-01-09: 50 tickers, 246 signals, 3000 API calls, 24s [61/63] 2026-01-12: 50 tickers, 251 signals, 3050 API calls, 23s [62/63] 2026-01-13: 50 tickers, 262 signals, 3100 API calls, 24s [63/63] 2026-01-14: 50 tickers, 223 signals, 3150 API calls, 23s [3/3] Analyzing 14849 signals (from 3150 API calls)... Saved: C:\datum-api-examples-main\cse_8am_research_6m_ext.csv (14849 rows) ============================================================ CONVERGENCE BY ENTRY TIME ============================================================ 08:00 N= 2886 WR= 22.9% avg=-2.097% med=-1.605% 08:15 N= 1418 WR= 31.6% avg=-1.008% med=-0.731% 08:30 N= 1556 WR= 32.7% avg=-0.804% med=-0.620% 08:45 N= 1589 WR= 36.4% avg=-0.524% med=-0.459% 09:00 N= 1693 WR= 36.6% avg=-0.428% med=-0.383% 09:15 N= 1753 WR= 37.9% avg=-0.368% med=-0.305% 09:20 N= 1789 WR= 39.7% avg=-0.293% med=-0.209% 09:24 N= 2165 WR= 39.4% avg=-0.275% med=-0.162% ============================================================ BY DIRECTION ============================================================ SHORT @ 08:00 N= 1785 WR= 24.8% avg=-1.839% SHORT @ 09:00 N= 1044 WR= 39.3% avg=-0.216% SHORT @ 09:24 N= 1331 WR= 41.6% avg=-0.143% LONG @ 08:00 N= 1101 WR= 19.8% avg=-2.516% LONG @ 09:00 N= 649 WR= 32.2% avg=-0.769% LONG @ 09:24 N= 834 WR= 35.7% avg=-0.485% ============================================================ BY SPREAD SIZE (entry=09:24) ============================================================ spread 1.5-2.5% N= 42 WR= 50.0% avg=+0.015% spread 2.5-5% N= 751 WR= 36.9% avg=-0.222% spread 5%+ N= 1363 WR= 40.4% avg=-0.313% ============================================================ BY MCAP (entry=09:24) ============================================================ mcap <2B N= 720 WR= 40.0% avg=-0.325% mcap 2-10B N= 828 WR= 39.9% avg=-0.274% mcap 10-50B N= 424 WR= 38.9% avg=-0.208% mcap >50B N= 193 WR= 35.8% avg=-0.240% ============================================================ BY PM BAR COUNT (entry=09:24) ============================================================ bars 0-3 (few) N= 35 WR= 34.3% avg=-0.761% bars 4-7 N= 85 WR= 23.5% avg=-1.104% bars 8-14 N= 143 WR= 33.6% avg=-0.913% bars 15+ N= 1902 WR= 40.6% avg=-0.181% ============================================================ OPTIMAL ENTRY: EARLY vs LATE ============================================================ 08:00 (spread>=2%) N= 2833 WR= 22.5% avg=-2.131% Sharpe~-7.6 08:30 (spread>=2%) N= 1537 WR= 32.7% avg=-0.813% Sharpe~-4.2 09:00 (spread>=2%) N= 1675 WR= 36.5% avg=-0.433% Sharpe~-3.2 09:24 (spread>=2%) N= 2138 WR= 39.3% avg=-0.278% Sharpe~-2.8 ============================================================ DONE ============================================================