PM→MOO Research v2 — Full Hypothesis Dashboard

Data: 159 results | Generated from features_pm_v2.parquet

🏆 Top 15 Strategies by Sharpe

#StrategyNWR%Mean RetSharpeStatus
1 H11: PM vol <50K HARD SKIP 2,451 65.9% 0.561% 6.24 N=2451
2 H01: 8AM β-excess pair (|σ|>2) 3,182 58.8% 0.391% 3.61 N=3182
3 H44: Entry 08:00 → MOO 5,589 58.5% 0.307% 3.26 N=5589
4 H03: INVERSE beta trades at 8AM 582 57.0% 0.269% 2.98 N=582
5 H44: Entry 09:25 → MOO 6,829 53.7% 0.068% 2.86 N=6829
6 H06: 09:25 β-excess 3,889 53.6% 0.074% 2.78 N=3889
7 H42: β-excess BB p=10 σ=25 11,647 58.3% 0.216% 2.58 N=11647
8 H41: RAW BB p=10 σ=25 11,795 59.5% 0.213% 2.48 N=11795
9 H42: β-excess BB p=15 σ=25 23,789 57.2% 0.155% 1.93 N=23789
10 H42: β-excess BB p=20 σ=25 28,459 56.7% 0.139% 1.74 N=28459
11 H41: RAW BB p=15 σ=25 27,984 56.5% 0.124% 1.57 N=27984
12 H45: Entry 07:40 → Exit 07:55 2,782 52.5% 0.055% 1.56 N=2782
13 H45: Entry 06:20 → Exit 07:55 2,060 56.4% 0.124% 1.41 N=2060
14 H42: β-excess BB p=10 σ=20 64,286 55.3% 0.108% 1.40 N=64286
15 H45: Entry 06:45 → Exit 07:55 2,195 54.8% 0.103% 1.33 N=2195

📊 Bollinger Band Sweep: RAW vs β-excess

RAW Price BB

PeriodσNWR%Sharpe
1025 11,79559.5% 2.48
1525 27,98456.5% 1.57
2025 35,36455.9% 1.31
1020 79,50353.8% 0.97
1520 103,14453.9% 0.87
2020 111,11553.7% 0.79
515 170,24752.7% 0.77
1015 274,06652.5% 0.58

β-excess BB

PeriodσNWR%Sharpe
1025 11,64758.3% 2.58
1525 23,78957.2% 1.93
2025 28,45956.7% 1.74
1020 64,28655.3% 1.40
1520 80,04555.3% 1.26
2020 83,30455.1% 1.15
515 148,37054.0% 1.10
1015 214,87854.0% 0.98

⏰ 5-min Entry Sweep: Exit MOO

EntryNWR%Sharpe
04:001,574 50.6%0.39
04:051,452 52.4%0.79
04:101,513 52.7%0.51
04:151,516 52.8%0.58
04:201,502 53.7%0.76
04:251,605 52.7%0.67
04:301,685 52.8%0.63
04:351,685 50.6%0.27
04:401,685 52.8%0.51
04:451,711 53.6%0.75
04:501,752 52.5%0.08
04:551,743 52.2%0.32
05:001,837 51.3%0.63
05:051,883 54.1%0.95
05:101,874 53.4%0.91
05:151,963 52.3%1.06
05:202,003 52.3%0.74
05:252,025 52.0%0.83
05:302,051 51.2%0.68
05:352,063 52.0%0.96
05:402,039 52.5%0.53
05:452,091 51.6%0.66
05:502,077 52.4%0.68
05:552,086 51.3%0.31
06:002,258 52.8%0.88
06:052,236 52.3%0.56
06:102,231 52.0%0.70
06:152,292 54.2%1.12
06:202,312 53.8%1.10
06:252,384 52.7%0.98
06:302,393 52.1%0.51
06:352,517 53.8%1.08
06:402,509 52.1%0.82
06:452,481 53.2%0.74
06:502,586 52.6%0.60
06:552,522 51.7%0.36
07:003,082 49.4%0.00
07:053,025 49.4%-0.07
07:103,018 49.5%0.24
07:153,042 50.0%0.13
07:203,054 49.3%0.04
07:253,109 49.2%-0.22
07:303,175 49.1%0.28
07:353,185 49.4%0.44
07:403,221 50.1%0.34
07:453,376 49.5%-0.02
07:503,310 48.2%-0.11
07:553,369 49.0%-0.30
08:005,589 58.5%3.26
08:054,090 52.1%0.90
08:103,950 52.2%0.82
08:153,972 50.7%0.24
08:204,088 50.9%0.62
08:254,135 50.8%0.45
08:304,465 51.9%0.90
08:354,574 51.2%0.58
08:404,616 51.6%0.49
08:454,658 50.9%0.48
08:504,748 51.9%0.63
08:554,797 51.6%0.76
09:004,986 52.2%0.81
09:054,995 52.7%1.05
09:105,081 53.3%1.11
09:155,152 52.3%1.13
09:205,266 53.2%1.07
09:256,829 53.7%2.86

🌅 Early Exit (before 8 AM) Sweep

EntryNWR%Sharpe
04:00 → 07:551,310 50.2%0.21
04:05 → 07:551,270 51.4%0.58
04:10 → 07:551,327 51.9%0.52
04:15 → 07:551,323 50.9%0.59
04:20 → 07:551,328 53.1%0.65
04:25 → 07:551,415 52.4%0.77
04:30 → 07:551,499 51.8%0.72
04:35 → 07:551,504 53.1%0.92
04:40 → 07:551,524 54.3%0.95
04:45 → 07:551,526 52.0%0.65
04:50 → 07:551,557 53.1%0.47
04:55 → 07:551,554 52.6%0.56
05:00 → 07:551,654 53.7%0.79
05:05 → 07:551,664 55.2%1.23
05:10 → 07:551,671 54.3%0.61
05:15 → 07:551,724 55.7%1.27
05:20 → 07:551,798 55.0%0.91
05:25 → 07:551,808 56.0%1.04
05:30 → 07:551,816 55.1%0.82
05:35 → 07:551,848 54.5%1.18
05:40 → 07:551,831 55.9%0.96
05:45 → 07:551,853 54.0%0.91
05:50 → 07:551,857 55.4%0.97
05:55 → 07:551,881 54.5%0.69
06:00 → 07:552,007 56.3%1.19
06:05 → 07:551,999 54.9%0.74
06:10 → 07:551,999 54.9%0.96
06:15 → 07:552,038 54.8%1.23
06:20 → 07:552,060 56.4%1.41
06:25 → 07:552,126 55.1%1.28
06:30 → 07:552,122 55.0%0.88
06:35 → 07:552,244 55.4%1.12
06:40 → 07:552,218 53.7%1.09
06:45 → 07:552,195 54.8%1.33
06:50 → 07:552,306 55.2%1.03
06:55 → 07:552,226 54.3%0.84
07:00 → 07:552,460 49.8%-0.16
07:05 → 07:552,563 49.7%0.20
07:10 → 07:552,578 50.8%0.39
07:15 → 07:552,592 50.8%0.54
07:20 → 07:552,635 52.1%0.44
07:25 → 07:552,706 51.5%0.60
07:30 → 07:552,743 50.5%1.06
07:35 → 07:552,750 52.0%1.22
07:40 → 07:552,782 52.5%1.56
07:45 → 07:552,922 50.2%1.06

🔍 Old Hypotheses Re-verification

H#HypothesisNWR%SharpeH1 WRH2 WRStatus
H01 H01: 8AM β-excess pair (|σ|>2)3,182 58.8% 3.61 60.956.8 OK
H02 H02: LOW_BETA + BUY at 8AM (σ<-1.5)2 0.0% 0.00 -- TOO_FEW
H03 H03: INVERSE beta trades at 8AM582 57.0% 2.98 58.156.0 OK
H04 H04: 4AM β-excess pair (|σ|>2)856 49.4% 0.24 48.450.5 OK
H11 H11: PM vol <50K HARD SKIP2,451 65.9% 6.24 67.764.2 OK
H12 H12: PM vol 200K-1M SWEET1,105 51.9% 0.86 53.650.3 OK
H05 H05: 05:00 β-excess985 51.9% 0.82 53.350.5 OK
H05 H05: 06:00 β-excess1,268 53.2% 1.24 57.448.9 OK
H05 H05: 07:00 β-excess1,662 50.1% 0.43 54.345.8 OK
H06 H06: 08:30 β-excess2,506 50.8% 0.80 54.047.6 OK
H06 H06: 09:00 β-excess2,830 52.7% 0.78 53.951.4 OK
H06 H06: 09:15 β-excess2,981 52.1% 1.30 54.949.2 OK
H06 H06: 09:25 β-excess3,889 53.6% 2.78 54.552.8 OK

⚡ BB Signal: Early Exit vs MOO

StrategyNWR%Sharpe
H46: BB(10,1.5) before 8AM → exit MOO118,267 51.5%0.34
H46: BB(10,1.5) before 8AM → exit 07:5598,535 52.6%0.66

⚠️ Results are PRELIMINARY — data collection in progress. Re-run after full 2yr PM 1-min data is collected.