============================================================ CSE Bridge Research: 8:00-MOO Entry Window ============================================================ [1/3] Loading universe... Loading trades_enriched_v6.csv... C:\datum-api-examples-main\research_cse_8am.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: 43582 signals, 56 days (2026-01-15 to 2026-04-14) Tickers: 2599 [2/3] Pulling intraday from Datum API (56 days)... [1/56] 2026-01-15: 50 tickers, 230 signals, 50 API calls, 24s [2/56] 2026-01-16: 50 tickers, 219 signals, 100 API calls, 23s [3/56] 2026-01-20: 50 tickers, 257 signals, 150 API calls, 24s [4/56] 2026-01-21: 50 tickers, 218 signals, 200 API calls, 23s [5/56] 2026-01-22: 50 tickers, 248 signals, 250 API calls, 23s [6/56] 2026-01-23: 50 tickers, 231 signals, 300 API calls, 24s [7/56] 2026-01-26: 50 tickers, 288 signals, 350 API calls, 23s [8/56] 2026-01-27: 50 tickers, 250 signals, 400 API calls, 24s [9/56] 2026-01-28: 50 tickers, 242 signals, 450 API calls, 24s [10/56] 2026-01-29: 50 tickers, 272 signals, 500 API calls, 24s [11/56] 2026-01-30: 50 tickers, 269 signals, 550 API calls, 24s [12/56] 2026-02-02: 50 tickers, 213 signals, 600 API calls, 23s [13/56] 2026-02-03: 50 tickers, 273 signals, 650 API calls, 23s [14/56] 2026-02-04: 50 tickers, 219 signals, 700 API calls, 23s [15/56] 2026-02-05: 50 tickers, 230 signals, 750 API calls, 23s [16/56] 2026-02-06: 50 tickers, 258 signals, 800 API calls, 23s [17/56] 2026-02-09: 50 tickers, 247 signals, 850 API calls, 24s [18/56] 2026-02-10: 50 tickers, 257 sig [18/56] 2026-02-10: 100 [19/56] 2026-02-11: 50 tickers, 258 signa [19/56] 2026-02-11: 100 tickers, 615 signals, 3800 API calls, 102s [20/56] 2026-02-12: 100 tickers, 496 signals, 4000 API calls, 117s [21/56] 2026-02-13: 100 tickers, 525 signals, 4200 API calls, 100s [22/56] 2026-02-17: 100 tickers, 397 signals, 4400 API calls, 104s [23/56] 2026-02-18: 100 tickers, 511 signals, 4600 API calls, 102s [24/56] 2026-02-19: 100 tickers, 440 signals, 4800 API calls, 123s [25/56] 2026-02-20: 100 tickers, 395 signals, 5000 API calls, 122s [26/56] 2026-02-23: 100 tickers, 488 signals, 5200 API calls, 123s [27/56] 2026-02-24: 100 tickers, 437 signals, 5400 API calls, 140s [28/56] 2026-02-25: 100 tickers, 585 signals, 5600 API calls, 111s [29/56] 2026-02-26: 100 tickers, 470 signals, 5800 API calls, 98s [30/56] 2026-02-27: 100 tickers, 493 signals, 6000 API calls, 98s [31/56] 2026-03-02: 100 tickers, 617 signals, 6200 API calls, 102s [32/56] 2026-03-03: 100 tickers, 428 signals, 6400 API calls, 99s [33/56] 2026-03-04: 100 tickers, 585 signals, 6600 API calls, 99s [34/56] 2026-03-05: 100 tickers, 471 signals, 6800 API calls, 98s [35/56] 2026-03-06: 100 tickers, 492 signals, 7000 API calls, 97s [36/56] 2026-03-09: 100 tickers, 484 signals, 7200 API calls, 97s [37/56] 2026-03-10: 100 tickers, 494 signals, 7400 API calls, 98s [38/56] 2026-03-11: 100 tickers, 492 signals, 7600 API calls, 100s [39/56] 2026-03-12: 100 tickers, 474 signals, 7800 API calls, 99s [40/56] 2026-03-13: 100 tickers, 529 signals, 8000 API calls, 98s [41/56] 2026-03-16: 100 tickers, 561 signals, 8200 API calls, 100s [42/56] 2026-03-17: 100 tickers, 423 signals, 8400 API calls, 98s [43/56] 2026-03-18: 100 tickers, 461 signals, 8600 API calls, 96s [44/56] 2026-03-19: 100 tickers, 397 signals, 8800 API calls, 98s [45/56] 2026-03-20: 100 tickers, 404 signals, 9000 API calls, 98s [46/56] 2026-03-23: 100 tickers, 396 signals, 9200 API calls, 98s [47/56] 2026-03-24: 100 tickers, 416 signals, 9400 API calls, 98s [48/56] 2026-03-25: 100 tickers, 546 signals, 9600 API calls, 99s [49/56] 2026-03-26: 100 tickers, 413 signals, 9800 API calls, 96s [50/56] 2026-03-27: 100 tickers, 423 signals, 10000 API calls, 98s [51/56] 2026-03-30: 100 tickers, 460 signals, 10200 API calls, 96s [52/56] 2026-03-31: 100 tickers, 486 signals, 10400 API calls, 96s [53/56] 2026-04-01: 100 tickers, 489 signals, 10600 API calls, 98s [54/56] 2026-04-02: 100 tickers, 487 signals, 10800 API calls, 97s [55/56] 2026-04-13: 100 tickers, 508 signals, 11000 API calls, 99s [56/56] 2026-04-14: 100 tickers, 692 signals, 11200 API calls, 98s [3/3] Analyzing 28368 signals (from 11200 API calls)... Saved: C:\datum-api-examples-main\cse_8am_research_3m.csv (28368 rows) ============================================================ CONVERGENCE BY ENTRY TIME ============================================================ 08:00 N= 4740 WR= 29.4% avg=-0.965% med=-0.698% 08:15 N= 3116 WR= 34.9% avg=-0.587% med=-0.444% 08:30 N= 3300 WR= 33.8% avg=-0.534% med=-0.419% 08:45 N= 3356 WR= 35.6% avg=-0.434% med=-0.327% 09:00 N= 3455 WR= 36.1% avg=-0.338% med=-0.282% 09:15 N= 3647 WR= 35.8% avg=-0.346% med=-0.241% 09:20 N= 3834 WR= 36.6% avg=-0.299% med=-0.178% 09:24 N= 2920 WR= 39.0% avg=-0.222% med=-0.138% ============================================================ BY DIRECTION ============================================================ SHORT @ 08:00 N= 4706 WR= 29.3% avg=-0.971% SHORT @ 09:00 N= 3442 WR= 36.0% avg=-0.340% SHORT @ 09:24 N= 2908 WR= 38.9% avg=-0.223% LONG @ 08:00 N= 34 WR= 44.1% avg=-0.128% LONG @ 09:00 N= 13 WR= 53.8% avg=+0.217% LONG @ 09:24 N= 12 WR= 58.3% avg=+0.091% ============================================================ BY SPREAD SIZE (entry=09:24) ============================================================ spread 0.5-1.5% N= 329 WR= 37.1% avg=-0.194% spread 1.5-2.5% N= 524 WR= 38.2% avg=-0.202% spread 2.5-5% N= 1209 WR= 41.5% avg=-0.170% spread 5%+ N= 857 WR= 36.6% avg=-0.319% ============================================================ BY MCAP (entry=09:24) ============================================================ mcap <2B N= 605 WR= 37.7% avg=-0.272% mcap 2-10B N= 944 WR= 39.1% avg=-0.283% mcap 10-50B N= 762 WR= 40.8% avg=-0.180% mcap >50B N= 542 WR= 36.7% avg=-0.137% ============================================================ BY PM BAR COUNT (entry=09:24) ============================================================ bars 0-3 (few) N= 169 WR= 26.0% avg=-0.697% bars 4-7 N= 317 WR= 30.3% avg=-0.417% bars 8-14 N= 710 WR= 35.1% avg=-0.345% bars 15+ N= 1724 WR= 43.4% avg=-0.089% ============================================================ OPTIMAL ENTRY: EARLY vs LATE ============================================================ 08:00 (spread>=2%) N= 3548 WR= 27.0% avg=-1.180% Sharpe~-6.8 08:30 (spread>=2%) N= 2615 WR= 32.7% avg=-0.613% Sharpe~-5.2 09:00 (spread>=2%) N= 2758 WR= 35.8% avg=-0.362% Sharpe~-3.7 09:24 (spread>=2%) N= 2358 WR= 39.2% avg=-0.238% Sharpe~-3.2 ============================================================ DONE ============================================================