Panel: 30-min bars, 498 symbols, 2023-08-10..2026-08-14. Shock = k-bar return / (trailing rvol*sqrt(k)), |z|>=3.0. Features causal; forward returns from shock-bar close. PROXY ONLY — no trades/quotes used.
| sign | class | n | fwd1_mean | fwd1_hit | fwd3_mean | fwd3_hit | fwd6_mean | fwd6_hit | fwd_eod_mean | fwd_eod_hit |
|---|
| NEG | all | 31106 | -0.011% | +49.839% | -0.032% | +50.067% | +0.035% | +51.423% | -0.009% | +45.618% |
| NEG | unconfirmed | 12263 | +0.008% | +51.789% | +0.016% | +51.664% | -0.014% | +50.974% | +0.029% | +48.561% |
| NEG | confirmed | 18843 | -0.024% | +48.516% | -0.066% | +48.909% | +0.072% | +51.764% | -0.033% | +43.703% |
| POS | all | 28009 | +0.048% | +48.179% | +0.051% | +49.411% | +0.030% | +49.889% | +0.057% | +47.081% |
| POS | unconfirmed | 11371 | -0.014% | +51.001% | -0.006% | +51.109% | -0.033% | +52.169% | -0.065% | +49.248% |
| POS | confirmed | 16638 | +0.090% | +46.275% | +0.092% | +48.210% | +0.082% | +48.031% | +0.141% | +45.600% |
| NEG | unconf/vol<med | 2505 | +0.025% | +53.376% | +0.012% | +52.014% | -0.026% | +49.515% | +0.001% | +48.583% |
| NEG | unconf/vol1-2 | 2551 | +0.004% | +51.124% | +0.018% | +51.128% | +0.019% | +51.698% | +0.043% | +49.040% |
| NEG | unconf/vol2-3 | 1848 | -0.021% | +50.884% | -0.005% | +50.683% | -0.010% | +49.863% | -0.020% | +45.833% |
| NEG | unconf/vol>3 | 5358 | +0.013% | +51.658% | +0.025% | +52.092% | -0.026% | +51.816% | +0.052% | +49.253% |
| sign | class | n | fwd1_mean | fwd1_hit | fwd3_mean | fwd3_hit | fwd6_mean | fwd6_hit | fwd_eod_mean | fwd_eod_hit |
|---|
| NEG | all | 22963 | -0.021% | +48.529% | -0.033% | +49.402% | +0.024% | +50.934% | -0.055% | +44.541% |
| NEG | unconfirmed | 7519 | +0.023% | +51.151% | +0.031% | +51.694% | +0.015% | +51.831% | +0.080% | +50.113% |
| NEG | confirmed | 15444 | -0.043% | +47.199% | -0.069% | +48.141% | +0.029% | +50.434% | -0.120% | +41.829% |
| POS | all | 21186 | +0.013% | +49.833% | +0.030% | +51.063% | -0.023% | +51.570% | +0.042% | +48.985% |
| POS | unconfirmed | 7321 | -0.021% | +51.215% | -0.055% | +54.078% | -0.069% | +53.620% | -0.101% | +52.083% |
| POS | confirmed | 13865 | +0.031% | +49.110% | +0.077% | +49.362% | +0.009% | +50.158% | +0.117% | +47.349% |
| NEG | unconf/vol<med | 943 | +0.028% | +53.491% | +0.029% | +52.613% | +0.000% | +51.478% | +0.044% | +48.356% |
| NEG | unconf/vol1-2 | 1465 | +0.036% | +49.361% | +0.071% | +51.212% | +0.021% | +51.970% | +0.089% | +49.283% |
| NEG | unconf/vol2-3 | 1165 | -0.035% | +47.402% | -0.055% | +48.683% | -0.094% | +49.136% | -0.081% | +47.039% |
| NEG | unconf/vol>3 | 3946 | +0.033% | +52.373% | +0.043% | +52.563% | +0.053% | +52.761% | +0.132% | +51.749% |
| sign | class | n | fwd1_mean | fwd1_hit | fwd3_mean | fwd3_hit | fwd6_mean | fwd6_hit | fwd_eod_mean | fwd_eod_hit |
|---|
| NEG | all | 17975 | -0.035% | +48.072% | -0.041% | +48.636% | +0.005% | +50.259% | -0.057% | +43.638% |
| NEG | unconfirmed | 5159 | +0.033% | +51.585% | +0.030% | +50.801% | +0.021% | +51.761% | +0.102% | +50.242% |
| NEG | confirmed | 12816 | -0.064% | +46.588% | -0.074% | +47.609% | -0.002% | +49.550% | -0.121% | +40.980% |
| POS | all | 16903 | +0.046% | +49.390% | +0.078% | +50.286% | -0.048% | +52.771% | +0.095% | +47.749% |
| POS | unconfirmed | 5081 | +0.016% | +48.920% | -0.052% | +53.178% | -0.031% | +51.996% | -0.082% | +51.821% |
| POS | confirmed | 11822 | +0.059% | +49.591% | +0.138% | +48.951% | -0.057% | +53.199% | +0.171% | +45.999% |
| NEG | unconf/vol<med | 486 | -0.015% | +50.111% | -0.045% | +49.428% | -0.112% | +46.324% | -0.076% | +43.621% |
| NEG | unconf/vol1-2 | 938 | +0.082% | +51.488% | +0.098% | +51.505% | +0.016% | +52.972% | +0.139% | +50.426% |
| NEG | unconf/vol2-3 | 837 | -0.003% | +50.506% | -0.016% | +51.310% | +0.022% | +54.262% | +0.029% | +50.299% |
| NEG | unconf/vol>3 | 2898 | +0.035% | +52.171% | +0.033% | +50.649% | +0.050% | +51.646% | +0.140% | +51.277% |
| sign | class | n | fwd1_mean | fwd1_hit | fwd3_mean | fwd3_hit | fwd6_mean | fwd6_hit | fwd_eod_mean | fwd_eod_hit |
|---|
| NEG | all | 10081 | +0.005% | +49.943% | +0.030% | +50.394% | +0.102% | +51.225% | -0.044% | +41.276% |
| NEG | unconfirmed | 2722 | +0.031% | +49.720% | +0.098% | +52.627% | +0.142% | +53.704% | +0.116% | +48.861% |
| NEG | confirmed | 7359 | -0.005% | +50.032% | -0.000% | +49.386% | +0.085% | +50.136% | -0.103% | +38.470% |
| POS | all | 10225 | +0.115% | +45.994% | +0.103% | +47.526% | -0.045% | +51.705% | +0.200% | +39.188% |
| POS | unconfirmed | 2367 | -0.022% | +48.185% | -0.010% | +48.979% | -0.050% | +48.804% | -0.054% | +46.937% |
| POS | confirmed | 7858 | +0.160% | +45.273% | +0.149% | +46.944% | -0.042% | +53.256% | +0.277% | +36.854% |
| NEG | unconf/vol<med | 257 | -0.004% | +47.984% | -0.027% | +52.675% | +0.052% | +55.634% | +0.057% | +53.307% |
| NEG | unconf/vol1-2 | 471 | +0.179% | +48.802% | +0.261% | +53.790% | +0.039% | +53.363% | +0.194% | +51.380% |
| NEG | unconf/vol2-3 | 443 | +0.003% | +49.878% | +0.044% | +50.279% | +0.086% | +46.667% | +0.124% | +48.081% |
| NEG | unconf/vol>3 | 1551 | -0.003% | +50.289% | +0.083% | +52.941% | +0.245% | +55.882% | +0.099% | +47.582% |
pos = -sign(shock) if unconfirmed (reversal), + if confirmed (continuation). One round trip per event. Cluster bootstrap p by day.
| k | vol_min | n | fwd3 bp | fwd3 hit | fwd3 p | fwd6 bp | fwd6 hit | fwd6 p |
|---|
| 1 | - | 59115 | +5.07 | 51.2% | 0.010 | +0.39 | 50.5% | 0.161 |
| 1 | 2.0 | 22451 | +7.32 | 51.6% | 0.014 | +0.26 | 50.7% | 0.068 |
| 2 | - | 44149 | +6.23 | 51.5% | 0.013 | +0.88 | 50.6% | 0.645 |
| 2 | 2.0 | 19210 | +10.72 | 52.9% | 0.004 | +2.72 | 51.1% | 0.180 |
| 3 | - | 34878 | +8.56 | 51.5% | 0.169 | -0.84 | 49.5% | 0.706 |
| 3 | 2.0 | 15907 | +13.68 | 52.8% | 0.292 | +1.53 | 50.1% | 0.676 |
| 6 | - | 20306 | +6.92 | 51.1% | 0.173 | -1.29 | 49.2% | 0.220 |
| 6 | 2.0 | 9865 | +11.81 | 52.4% | 0.126 | +1.99 | 50.2% | 0.053 |
| k | gross | -2bps | -5bps | -10bps |
|---|
| 1 | +7.32 | +5.32 | +2.32 | -2.68 |
| 2 | +10.72 | +8.72 | +5.72 | +0.72 |
| 3 | +13.68 | +11.68 | +8.68 | +3.68 |
| 6 | +11.81 | +9.81 | +6.81 | +1.81 |
| k | fwd3 bp | fwd3 p | fwd6 bp |
|---|
| 1 | +2.33 | 0.353 | -0.77 |
| 2 | -0.69 | 0.360 | -2.33 |
| 3 | +4.91 | 0.135 | +2.11 |
| 6 | +3.27 | 0.792 | -4.19 |
| k | fwd3 bp IS | fwd3 bp OOS | fwd3 p OOS | n OOS |
|---|
| 1 | +8.12 | +5.53 | 0.004 | 5765 |
| 2 | +12.72 | +6.32 | 0.132 | 4917 |
| 3 | +19.33 | +1.29 | 0.871 | 3974 |
| 6 | +20.69 | -9.30 | 0.931 | 1916 |
- Split trade: positive bp + hit > 50% + cluster-bootstrap p < 0.05 means unconfirmed shocks revert and confirmed shocks continue.
- Placebo should collapse the edge toward ~0 bp if the confirmation signal (not the extreme move alone) carries the effect.
- All figures are GROSS, close-to-close, per event. Costs are only subtracted in the sensitivity table; a gross edge under ~5 bps cannot survive a round trip in these names.