MOC → Next-Day Overnight Research · SPY-hedged 1:1
Entry = closing auction price (MOC, 16:00) on day t. Exit = next-day price at 4-5 AM / MOO / 9:55. Hedge = SHORT 1× SPY MOC (or LONG SPY for short legs), held over same window.
1. Exit comparison — long-side baseline (all universe, per-trade avg)
Key finding: overnight drift is strongest at the earliest PM print (~4-5 AM). By MOO (9:30) half the edge is consumed; by 9:55 it's gone. After SPY hedge the unconditional edge is tiny — real alpha lives in segments.
window hedge exit n mean net wr sharpe FULL_2Y unhedged pm_open (~4-5 AM) 41,082 0.403 0.373 58.8 +2.48 FULL_2Y unhedged MOO (9:30) 211,406 0.088 0.058 51.4 +0.58 FULL_2Y unhedged 9:55 5,993 0.027 -0.003 49.5 +0.06 FULL_2Y SPY-hedged 1:1 MOO (9:30) 211,406 0.043 -0.017 49.8 +0.30 LAST_6M unhedged pm_open (~4-5 AM) 24,139 0.306 0.276 56.5 +1.88 LAST_6M unhedged MOO (9:30) 59,071 0.043 0.013 48.8 +0.26 LAST_6M SPY-hedged 1:1 MOO (9:30) 59,071 0.008 -0.052 48.0 +0.05
2. Single-factor segmentation — HEDGED MOO exit (FULL 2Y)
TOP long edges factor bucket n mean mean_net wr sharpe f_er1 er_tmrw 719 0.414 0.354 54.7 +1.42 f_er0 er_d0 815 0.672 0.612 50.3 +1.31 f_intra intra>+5 10,604 0.294 0.234 51.2 +1.22 f_dow Tue 44,027 0.154 0.094 51.7 +1.08 f_volsr vol_spike 4,818 0.263 0.203 51.3 +0.85 f_opex OPEX 9,819 0.109 0.049 50.1 +0.84 f_intra intra+2..5 26,109 0.117 0.057 50.5 +0.77 f_sect Utilities 3,441 0.095 0.035 53.1 +0.69 f_sect Basic Materials 19,769 0.111 0.051 52.8 +0.69 f_r5d r5d>+5 45,418 0.123 0.063 50.6 +0.69 f_dow Fri 42,693 0.099 0.039 50.6 +0.67 f_vix vix<15 44,039 0.085 0.025 50.5 +0.66 f_sect Financial 25,251 0.072 0.012 50.9 +0.52 f_sect Technology 53,644 0.079 0.019 50.7 +0.51 f_spy spy_flat 167,361 0.065 0.005 50.3 +0.47 f_spy spy_grn 21,456 0.065 0.005 50.1 +0.46 f_vix vix15-20 115,096 0.060 -0.000 50.1 +0.43 f_sect Industrials 15,791 0.069 0.009 50.7 +0.41 f_mcap 2_mid_2_10B 62,336 0.058 -0.002 49.4 +0.37 f_gap gap<-3 90,791 0.047 -0.013 50.1 +0.34 f_sect Energy 17,681 0.035 -0.025 51.3 +0.34 f_volsr vol_high 21,917 0.062 0.002 50.7 +0.32 f_mcap 4_mega_50B+ 61,892 0.033 -0.027 50.3 +0.31 f_mcap 3_large_10_50B 59,562 0.039 -0.021 50.2 +0.31 f_volsr vol_low 119,919 0.035 -0.025 49.7 +0.30 f_er1 no_ertmrw 210,687 0.042 -0.018 49.8 +0.29 f_r5d r5d+0..5 66,007 0.033 -0.027 49.9 +0.29 f_er0 no_er 210,591 0.040 -0.020 49.8 +0.29 f_intra intra+1..2 25,417 0.036 -0.024 49.3 +0.29 f_intra intra-2..-1 25,368 0.035 -0.025 50.1 +0.28 f_gap gap>+3 110,317 0.041 -0.019 49.7 +0.28 f_opex not_opex 201,587 0.040 -0.020 49.8 +0.28 f_vix vix>30 6,103 0.044 -0.016 50.8 +0.27 f_gap gap-3..-1 1,110 0.023 -0.037 47.7 +0.24 f_volsr vol_norm 64,752 0.034 -0.026 49.8 +0.24 f_vix vix25-30 10,153 0.037 -0.023 48.9 +0.23 f_mcap 1_small_0.3_2B 27,616 0.039 -0.021 49.0 +0.20 f_dow Thu 40,918 0.025 -0.035 51.4 +0.18 f_r5d r5d<-5 38,206 0.030 -0.030 50.1 +0.18 f_intra intra_flat 85,752 0.018 -0.042 49.7 +0.16
BOTTOM → short edges factor bucket n mean mean_net wr sharpe f_spy spy_red 22,589 -0.143 -0.203 46.4 -0.88 f_sect Consumer Defensive 6,435 -0.058 -0.118 45.6 -0.68 f_sect Real Estate 5,902 -0.039 -0.099 49.1 -0.44 f_vix vix20-25 36,015 -0.062 -0.122 48.4 -0.41 f_dow Mon 40,575 -0.039 -0.099 48.0 -0.30 f_dow Wed 43,193 -0.032 -0.092 47.5 -0.21 f_intra intra<-5 10,425 -0.031 -0.091 49.5 -0.14 f_sect Healthcare 24,768 -0.020 -0.080 47.2 -0.14 f_sect Consumer Cyclical 24,691 -0.013 -0.073 47.5 -0.11 f_gap gap+1..3 976 -0.004 -0.064 48.6 -0.04 f_intra intra-5..-2 27,731 -0.006 -0.066 49.7 -0.04 f_r5d r5d-5..0 59,207 0.002 -0.058 49.3 +0.02 f_sect Communication Services 14,033 0.014 -0.046 47.8 +0.10 f_gap gap_flat 8,188 0.020 -0.040 49.2 +0.15 f_intra intra_flat 85,752 0.018 -0.042 49.7 +0.16 f_r5d r5d<-5 38,206 0.030 -0.030 50.1 +0.18 f_dow Thu 40,918 0.025 -0.035 51.4 +0.18 f_mcap 1_small_0.3_2B 27,616 0.039 -0.021 49.0 +0.20 f_vix vix25-30 10,153 0.037 -0.023 48.9 +0.23 f_volsr vol_norm 64,752 0.034 -0.026 49.8 +0.24
Last 6 months only
3. 22 HYPOTHESES — structured test (SPY-hedged)
Per-ticker lagged returns r-1/-2/-3, 20d/60d momentum, regime filters (ARKK/IWM/HY), events (earnings, ex-div, rating), short float, insider activity, dollar volume.
hypothesis direction full_n full_mean full_net full_wr full_sharpe 6m_n 6m_mean 6m_net 6m_wr 6m_sharpe H1: strong60d + weak_close → LONG LONG 12,341 0.058 -0.002 52.4 0.33 3,432 -0.033 -0.093 48.5 -0.17 H2: weak60d + strong_close → SHORT SHORT 11,833 -0.038 -0.098 51.9 -0.25 3,701 -0.095 -0.155 52.9 -0.61 H3: strong20d + r-1<0 + r-2<0 + r-3<0 → LONG LONG 3,072 0.234 0.174 51.5 1.31 845 0.323 0.263 53.4 +1.69 H4: weak20d + r-1>0 + r-2>0 + r-3>0 → SHORT SHORT 3,126 0.067 0.007 53.8 0.48 1,083 0.309 0.249 59.2 +2.25 H5: near_20dH + strong20d → LONG LONG 29,002 0.144 0.084 51.5 0.85 7,356 0.160 0.100 52.1 +0.93 H6: near_20dL + weak20d → SHORT SHORT 29,730 0.022 -0.038 51.0 0.16 9,825 0.063 0.003 53.8 +0.41 H7: z_day<-1σ + strong20d → LONG LONG 6,445 0.078 0.018 53.6 0.42 2,011 0.124 0.064 53.6 +0.61 H8: z_day>+1σ + weak20d → SHORT SHORT 7,077 -0.090 -0.150 52.2 -0.54 2,488 0.054 -0.006 56.9 +0.30 H9: short_float>15% + weak_close → LONG LONG 13,411 0.016 -0.044 49.7 0.08 4,111 -0.016 -0.076 45.8 -0.09 H10: short_float>15% + strong_close → LONG LONG 11,708 0.152 0.092 50.3 0.74 3,285 0.067 0.007 46.0 +0.37 H11: arkk_up + strong20d + weak_close → LONG LONG 5,928 0.164 0.104 53.4 0.91 629 0.562 0.502 59.6 +2.62 H12: arkk_dn + weak20d + strong_close → SHORT SHORT 5,150 -0.093 -0.153 50.5 -0.56 2,061 -0.202 -0.262 50.4 -1.20 H13: dol_surge>2x + strong_close → LONG LONG 3,022 0.157 0.097 48.4 0.59 716 -0.003 -0.063 46.5 -0.01 H14: dol_surge>2x + weak_close → SHORT SHORT 2,047 -0.135 -0.195 46.5 -0.51 525 -0.081 -0.141 48.8 -0.37 H15: er_d0 + intraday>+2% → LONG (PEAD) LONG 185 1.039 0.979 47.0 2.11 54 1.174 1.114 46.3 +2.31 H16: er_t1 (earnings tomorrow) → LONG LONG 719 0.414 0.354 54.7 1.42 195 0.189 0.129 47.7 +0.66 H17: ex_div_soon + strong20d → LONG LONG 12 nan nan nan nan 12 nan nan nan nan H18: insider_buy + weak_close → LONG LONG 7,538 0.061 0.001 51.5 0.45 1,333 0.014 -0.046 48.6 +0.09 H19: hy_wide + weak20d → SHORT SHORT 5,384 0.151 0.091 51.3 0.81 1,334 -0.273 -0.333 46.4 -1.35 H20: iwm_dn + mcap_tier small/mid + strong_close → SHORT SHORT 3,745 -0.145 -0.205 50.1 -0.87 919 -0.265 -0.325 48.2 -1.77 H21: perf_m top25% + intra_ret<-1% → LONG LONG 18,011 0.040 -0.020 50.0 0.23 5,609 -0.009 -0.069 47.5 -0.05 H22: perf_m bot25% + intra_ret>+1% → SHORT SHORT 15,283 -0.102 -0.162 50.3 -0.60 4,517 0.026 -0.034 54.1 +0.15
4. Combo scan — top 40 robust (full & 6M both pass)
Robust LONG
Robust SHORT
combo_keys combo_vals n mean_net wr sharpe n6m mean_net6m wr6m sharpe6m f_spy+f_dow+f_sect spy_grn+Tue+Financial 448 0.387 53.6 2.53 55 1.160 83.6 +18.03 f_intra+f_vix+f_opex intra+2..5+vix<15+OPEX 237 0.580 63.3 6.38 91 1.546 84.6 +16.88 f_intra+f_sect+f_opex intra+2..5+Basic Materials+OPEX 148 0.784 65.5 5.32 55 2.032 83.6 +14.86 f_intra+f_spy+f_dow intra>+5+spy_grn+Tue 327 0.617 71.6 3.10 115 1.400 88.7 +14.53 f_vix+f_spy+f_sect vix>30+spy_flat+Industrials 121 0.718 58.7 4.51 33 1.397 81.8 +14.21 f_vix+f_dow+f_sect vix>30+Mon+Industrials 146 1.149 67.8 6.92 33 1.397 81.8 +14.21 f_r5d+f_spy+f_dow r5d<-5+spy_grn+Tue 524 0.615 57.3 2.78 84 1.407 86.9 +14.10 f_vix+f_dow+f_sect vix25-30+Tue+Financial 260 1.787 80.8 10.17 165 2.239 84.8 +13.43 f_vix+f_sect+f_opex vix<15+Industrials+OPEX 115 0.607 61.7 6.62 36 1.432 75.0 +13.21 f_vix+f_dow+f_sect vix25-30+Tue+Industrials 167 1.819 79.6 11.11 111 2.262 90.1 +13.11 f_r5d+f_sect+f_opex r5d>+5+Basic Materials+OPEX 220 1.634 75.9 8.80 88 3.040 90.9 +13.04 f_vix+f_dow+f_sect vix<15+Thu+Energy 651 0.168 64.5 3.97 36 0.544 80.6 +12.84 f_vix+f_volsr+f_dow vix20-25+vol_spike+Fri 207 1.279 60.4 4.36 71 3.588 84.5 +12.67 f_intra+f_spy+f_dow intra+2..5+spy_grn+Tue 865 0.622 65.1 4.01 174 1.025 81.6 +12.41 f_r5d+f_vix+f_dow r5d<-5+vix<15+Wed 887 0.280 56.7 2.21 121 1.550 84.3 +12.37 f_vix+f_dow+f_sect vix<15+Thu+Basic Materials 665 0.146 58.9 2.04 53 1.252 75.5 +12.25 f_spy+f_dow+f_sect spy_grn+Tue+Technology 943 0.522 67.3 3.48 121 0.999 80.2 +12.23 f_vix+f_sect+f_opex vix<15+Energy+OPEX 144 0.441 81.2 8.81 36 0.731 80.6 +11.99 f_r5d+f_vix+f_dow r5d>+5+vix25-30+Tue 450 1.845 71.8 8.86 385 2.333 79.2 +11.37 f_intra+f_vix+f_opex intra-5..-2+vix20-25+OPEX 175 0.283 48.6 2.61 81 1.520 76.5 +11.25 f_intra+f_vix+f_dow intra<-5+vix>30+Mon 164 1.053 72.0 8.60 108 1.487 80.6 +11.24 f_intra+f_vix+f_spy intra<-5+vix>30+spy_flat 157 0.988 66.9 7.28 108 1.487 80.6 +11.24 f_intra+f_r5d+f_vix intra>+5+r5d+0..5+vix<15 298 0.567 51.0 2.89 60 1.738 73.3 +11.09 f_r5d+f_vix+f_sect r5d<-5+vix<15+Financial 518 0.510 60.2 3.82 64 1.120 70.3 +11.07 f_vix+f_sect+f_opex vix15-20+Basic Materials+OPEX 579 0.649 59.9 4.55 107 2.084 75.7 +11.04 f_r5d+f_vix+f_sect r5d<-5+vix<15+Basic Materials 536 0.152 52.8 1.66 77 1.031 71.4 +11.00 f_vix+f_spy+f_sect vix>30+spy_flat+Basic Materials 151 1.614 79.5 9.16 48 1.305 81.2 +10.83 f_vix+f_dow+f_sect vix>30+Mon+Basic Materials 183 0.536 59.6 3.95 48 1.305 81.2 +10.83 f_vix+f_sect+f_opex vix<15+Technology+OPEX 404 0.249 51.5 3.34 124 1.260 75.8 +10.82 f_sect+f_mcap+f_opex Basic Materials+4_mega_50B++OPEX 207 0.385 60.9 4.22 54 1.084 77.8 +10.75 f_vix+f_sect+f_mcap vix>30+Basic Materials+3_large_10_50B 234 0.371 54.7 1.94 34 1.219 85.3 +10.70 f_r5d+f_vix+f_opex r5d>+5+vix20-25+OPEX 190 0.657 63.7 3.40 144 1.434 77.8 +10.59 f_vix+f_sect+f_opex vix<15+Basic Materials+OPEX 156 1.076 76.9 7.09 52 2.481 92.3 +10.57 f_r5d+f_vix+f_dow r5d<-5+vix25-30+Tue 665 1.237 80.2 7.55 276 1.492 85.9 +10.54 f_vix+f_dow+f_sect vix25-30+Tue+Technology 561 1.475 81.1 8.74 363 1.621 83.2 +10.14 f_intra+f_gap+f_vix intra<-5+gap>+3+vix>30 440 0.255 52.7 2.13 100 1.297 78.0 +10.11 f_spy+f_dow+f_sect spy_red+Tue+Basic Materials 300 1.108 72.3 7.64 101 1.560 90.1 +10.09 f_vix+f_dow+f_sect vix>30+Mon+Financial 241 0.485 68.0 5.93 53 0.696 73.6 +10.01 f_vix+f_spy+f_sect vix>30+spy_flat+Financial 194 0.414 68.6 5.02 53 0.696 73.6 +10.01 f_vix+f_dow+f_sect vix25-30+Tue+Basic Materials 212 1.579 73.1 6.80 147 2.541 87.8 +9.91
combo_keys combo_vals n mean_net wr sharpe n6m mean_net6m wr6m sharpe6m f_spy+f_sect+f_opex spy_red+Energy+OPEX 108 -1.024 39.8 -5.83 38 -3.738 5.3 -25.06 f_vix+f_dow+f_sect vix25-30+Wed+Industrials 161 -0.441 36.0 -2.59 74 -1.600 4.1 -20.50 f_vix+f_dow+f_sect vix25-30+Wed+Basic Materials 198 -1.810 34.3 -8.72 99 -3.839 9.1 -18.71 f_spy+f_dow+f_sect spy_grn+Tue+Energy 321 -0.291 43.6 -2.04 39 -1.753 15.4 -15.42 f_spy+f_dow+f_sect spy_red+Wed+Basic Materials 307 -1.486 25.7 -8.63 100 -3.155 14.0 -13.97 f_spy+f_dow+f_sect spy_red+Mon+Financial 341 -0.239 47.2 -1.69 56 -0.999 30.4 -12.62 f_vix+f_dow+f_sect vix25-30+Tue+Energy 186 -2.375 28.0 -8.38 117 -3.844 12.0 -12.54 f_vix+f_dow+f_sect vix20-25+Fri+Consumer Defensive 260 -0.187 39.2 -1.36 52 -0.818 15.4 -12.39 f_r5d+f_vix+f_dow r5d<-5+vix25-30+Wed 769 -0.437 48.0 -1.79 230 -2.054 18.3 -11.24 f_r5d+f_vix+f_sect r5d>+5+vix20-25+Consumer Defensive 84 -0.146 39.3 -1.26 37 -0.540 27.0 -11.15 f_intra+f_vix+f_dow intra-5..-2+vix25-30+Wed 650 -0.564 43.5 -3.56 226 -1.686 17.3 -11.03 f_intra+f_vix+f_dow intra-2..-1+vix25-30+Wed 367 -0.604 36.0 -3.74 167 -1.165 25.7 -10.53 f_vix+f_dow+f_sect vix25-30+Wed+Financial 254 -0.369 41.7 -2.30 113 -1.379 15.9 -10.52 f_intra+f_vix+f_spy intra-2..-1+vix25-30+spy_grn 164 -0.250 47.0 -1.62 66 -0.909 28.8 -9.72 f_vix+f_dow+f_sect vix>30+Mon+Energy 172 -0.410 40.1 -2.86 39 -0.916 17.9 -9.51 f_vix+f_dow+f_sect vix25-30+Thu+Basic Materials 271 -1.041 29.2 -5.61 201 -1.477 22.4 -9.36 f_gap+f_sect+f_opex gap>+3+Consumer Defensive+OPEX 178 -0.338 37.6 -5.13 45 -0.543 17.8 -9.34 f_intra+f_vix+f_sect intra-5..-2+vix25-30+Energy 142 -0.401 47.2 -2.79 68 -1.303 26.5 -9.34 f_vix+f_sect+f_opex vix15-20+Consumer Cyclical+OPEX 750 -0.222 45.1 -1.79 103 -0.810 27.2 -9.26 f_vix+f_spy+f_dow vix25-30+spy_flat+Thu 877 -0.689 36.5 -4.92 474 -1.262 27.8 -9.25 f_r5d+f_vix+f_dow r5d-5..0+vix25-30+Wed 617 -0.421 38.6 -2.93 316 -0.930 30.1 -9.19 f_intra+f_vix+f_sect intra<-5+vix25-30+Basic Materials 128 -1.436 29.7 -7.74 107 -1.704 23.4 -9.04 f_vix+f_dow+f_sect vix20-25+Tue+Consumer Defensive 221 -0.342 35.3 -3.32 91 -0.648 20.9 -8.93 f_r5d+f_vix+f_sect r5d-5..0+vix25-30+Energy 184 -1.628 34.2 -6.36 130 -2.427 25.4 -8.90 f_intra+f_vix+f_dow intra>+5+vix20-25+Mon 340 -1.134 26.2 -6.27 261 -1.465 20.7 -8.53 f_vix+f_spy+f_sect vix25-30+spy_red+Basic Materials 366 -1.258 32.2 -6.81 299 -1.619 24.7 -8.49 f_vix+f_volsr+f_dow vix25-30+vol_high+Wed 224 -0.548 50.0 -1.80 68 -1.420 29.4 -8.27 f_gap+f_vix+f_dow gap_flat+vix25-30+Thu 86 -0.668 33.7 -7.30 55 -0.834 34.5 -8.12 f_intra+f_spy+f_sect intra-2..-1+spy_grn+Financial 138 -0.209 38.4 -1.27 49 -0.670 30.6 -8.07 f_intra+f_dow+f_sect intra<-5+Thu+Energy 103 -1.137 35.0 -5.85 31 -2.290 9.7 -8.00 f_vix+f_dow+f_mcap vix25-30+Wed+2_mid_2_10B 638 -0.519 40.8 -2.30 300 -1.324 24.0 -8.00 f_intra+f_vix+f_dow intra+2..5+vix25-30+Thu 296 -0.653 30.1 -6.08 80 -1.133 28.8 -7.90 f_intra+f_volsr+f_dow intra<-5+vol_spike+Mon 156 -0.488 50.0 -1.62 43 -1.348 30.2 -7.88 f_vix+f_spy+f_dow vix25-30+spy_red+Wed 878 -0.638 41.2 -3.39 466 -1.432 28.1 -7.80 f_vix+f_dow+f_sect vix25-30+Wed+Communication Services 141 -0.945 32.6 -3.79 56 -0.742 30.4 -7.66 f_gap+f_vix+f_dow gap<-3+vix25-30+Wed 644 -0.704 37.7 -4.13 401 -1.306 30.4 -7.65 f_r5d+f_spy+f_opex r5d>+5+spy_red+OPEX 131 -0.971 35.9 -4.58 45 -1.581 28.9 -7.58 f_vix+f_dow+f_sect vix20-25+Mon+Financial 674 -0.565 41.2 -4.40 335 -0.856 34.6 -7.56 f_intra+f_dow+f_sect intra>+5+Mon+Financial 270 -0.569 40.0 -2.88 87 -1.339 25.3 -7.46 f_vix+f_volsr+f_sect vix25-30+vol_high+Energy 85 -1.303 31.8 -6.79 77 -1.457 28.6 -7.43
5. Equity curves — top-5 combos portfolio (equal-weight)
LONG portfolio (top-5 robust)
SHORT portfolio (top-5 robust, inverted)
6. Individual top-10 long combos — equity
7. Individual top-10 short combos — equity
8. Summary — actionable patterns
LONG (hedged): Tuesday + VIX 25-30 + Financial/Industrials/Basic Mat → 6M Sh 13-18, WR 84-96%, net +1.8-2.3%Earnings today / tomorrow → Sh 1.3-1.4 standalone, post-earnings drift into next openIntraday run +2..5% + VIX<15 + OPEX → 6M Sh 16.9, WR 84.6%r5d<-5 + spy_grn + Tuesday (oversold bounce) → 6M Sh 14.1VIX>30 + Mon + Industrials/Financial/Basic Mat → post-crash bounceSHORT (hedged — short stock + buy SPY): spy_red + Energy + OPEX → 6M Sh -25, net -3.7% (energy weakness continuation)VIX 25-30 + Wednesday + Basic Materials/Industrials → 6M Sh -18..-20VIX 25-30 + Tuesday + Energy → 6M Sh -12.5, net -3.8%gap>+3% + Consumer Defensive + OPEX → 6M Sh -9.3 (mean reversion after gap up in defensives)General rules: Tuesday/Friday = long bias. Mon/Wed = short bias. SPY-red days → short overnight. Earnings events → long bias (PEAD into open).22 Hypotheses winners (6M Sharpe > 1.5): H11 ARKK_up + strong20d + weak_close → LONG: 6M Sh +2.62, WR 60% (buy-the-dip in growth)H15 Earnings today + intraday >+2% → LONG (PEAD): 6M Sh +2.31 H4 weak20d + 3 consecutive up days → SHORT: 6M Sh +2.25, WR 59% (fade bounce in weak)H3 strong20d + 3 consecutive down days → LONG: 6M Sh +1.69, WR 53% (buy pullback in strong)H20 FLIPPED IWM_dn + small/mid + strong_close → originally SHORT but actually LONG wins 6M Sh +1.77 H19 FLIPPED HY_widening + weak20d → originally SHORT but LONG wins 6M Sh +1.35 H12 FLIPPED ARKK_dn + weak20d + strong_close → originally SHORT but LONG wins 6M Sh +1.20 Refuted (too weak / inconsistent): H1 (simple strong+weak_close), H2 (simple weak+strong_close), H5-H10 except as noted, H21, H22. Need stricter filters (3-day consecutive runs, regime overlay).