Date: 2026-09-21 | symbols ['AAPL'] | days 2026-08-03..2026-09-15 (22) | 1-second SIP grid | trigger |z|>2.0 | K=28 trials | executable = far-touch entry/exit (spread paid).
Data
- Alpaca SIP NBBO quotes + trades, aggregated to 1 s: mid, bid/ask, sizes, quote imbalance, Cont order-flow imbalance (OFI), Lee-Ready signed volume. Signals: per-second OFI z, quote-imbalance z, and cumulative-flow z (rolling-sum OFI and signed volume).
- Inference is by DAY (day-block bootstrap): 1 s forward returns overlap heavily, so event-level t-stats would be inflated.
- DSR is
nanwhen <30 daily observations (Bailey-LdP minimum); with this pilot's day count it is not yet computable.
Results
| signal | h (s) | mid bps | exec bps | spread cost | day t | p | IC | DSR | events | days |
|---|---|---|---|---|---|---|---|---|---|---|
| ofi | 1 | +0.003 | -0.919 | 0.922 | -32.14 | 1.000 | -0.017 | nan | 24,219 | 22 |
| ofi | 2 | +0.011 | -0.908 | 0.919 | -29.07 | 1.000 | -0.016 | nan | 24,219 | 22 |
| ofi | 5 | +0.002 | -0.907 | 0.910 | -20.30 | 1.000 | -0.017 | nan | 24,219 | 22 |
| ofi | 10 | -0.000 | -0.905 | 0.905 | -18.77 | 1.000 | -0.016 | nan | 24,219 | 22 |
| ofi | 30 | +0.001 | -0.902 | 0.904 | -9.91 | 1.000 | -0.007 | nan | 24,219 | 22 |
| ofi | 60 | +0.058 | -0.851 | 0.909 | -8.05 | 1.000 | -0.004 | nan | 24,219 | 22 |
| ofi | 300 | +0.193 | -0.718 | 0.911 | -4.01 | 1.000 | -0.001 | nan | 24,208 | 22 |
| imb | 1 | +0.025 | -0.837 | 0.862 | -26.28 | 1.000 | -0.029 | nan | 27,005 | 22 |
| imb | 2 | +0.031 | -0.835 | 0.866 | -25.51 | 1.000 | -0.022 | nan | 27,005 | 22 |
| imb | 5 | +0.048 | -0.825 | 0.873 | -28.98 | 1.000 | -0.013 | nan | 27,005 | 22 |
| imb | 10 | +0.086 | -0.788 | 0.875 | -26.90 | 1.000 | -0.006 | nan | 27,005 | 22 |
| imb | 30 | +0.067 | -0.808 | 0.874 | -18.79 | 1.000 | +0.006 | nan | 27,005 | 22 |
| imb | 60 | +0.060 | -0.817 | 0.877 | -15.77 | 1.000 | -0.004 | nan | 27,004 | 22 |
| imb | 300 | -0.064 | -0.943 | 0.880 | -4.61 | 1.000 | +0.012 | nan | 26,989 | 22 |
| ofi_cum | 1 | -0.006 | -0.865 | 0.859 | -34.18 | 1.000 | +0.003 | nan | 40,397 | 22 |
| ofi_cum | 2 | -0.011 | -0.870 | 0.859 | -28.09 | 1.000 | +0.003 | nan | 40,397 | 22 |
| ofi_cum | 5 | +0.001 | -0.858 | 0.859 | -21.08 | 1.000 | +0.007 | nan | 40,397 | 22 |
| ofi_cum | 10 | +0.033 | -0.828 | 0.860 | -13.31 | 1.000 | +0.004 | nan | 40,397 | 22 |
| ofi_cum | 30 | +0.174 | -0.693 | 0.867 | -4.80 | 1.000 | -0.009 | nan | 40,397 | 22 |
| ofi_cum | 60 | +0.291 | -0.580 | 0.872 | -2.55 | 0.998 | -0.008 | nan | 40,397 | 22 |
| ofi_cum | 300 | -0.048 | -0.957 | 0.909 | -0.87 | 0.821 | -0.012 | nan | 40,317 | 22 |
| sv_cum | 1 | +0.016 | -0.841 | 0.857 | -31.00 | 1.000 | -0.009 | nan | 43,111 | 22 |
| sv_cum | 2 | +0.033 | -0.824 | 0.857 | -25.12 | 1.000 | -0.003 | nan | 43,111 | 22 |
| sv_cum | 5 | +0.079 | -0.780 | 0.858 | -13.64 | 1.000 | +0.008 | nan | 43,111 | 22 |
| sv_cum | 10 | +0.153 | -0.706 | 0.859 | -6.57 | 1.000 | +0.012 | nan | 43,111 | 22 |
| sv_cum | 30 | +0.352 | -0.509 | 0.860 | -1.93 | 0.968 | +0.033 | nan | 43,106 | 22 |
| sv_cum | 60 | +0.394 | -0.471 | 0.865 | -1.09 | 0.859 | +0.037 | nan | 43,076 | 22 |
| sv_cum | 300 | +0.533 | -0.361 | 0.894 | -0.67 | 0.752 | +0.048 | nan | 43,009 | 22 |
Decision (pre-registered gate: exec bps>0, p<0.05, mid same sign, >=20 days, DSR>0.5)
- ofi -> RESEARCH: best h=300s: mid +0.193 exec -0.718 bps, p=1.000, 22 days, DSR nan — MID-ONLY: spread eats it
- imb -> RESEARCH: best h=10s: mid +0.086 exec -0.788 bps, p=1.000, 22 days, DSR nan — MID-ONLY: spread eats it
- ofi_cum -> RESEARCH: best h=60s: mid +0.291 exec -0.580 bps, p=0.998, 22 days, DSR nan — MID-ONLY: spread eats it
- sv_cum -> RESEARCH: best h=300s: mid +0.533 exec -0.361 bps, p=0.752, 22 days, DSR nan — MID-ONLY: spread eats it
Runtime: 0.1 min.