Define the claim before reading the outcome. Keep only independent observations. Publish the failure. Withhold the statistic when the evidence floor is not met.
Performance is visible only when at least n=50 independent walk-forward events survive a 21-session separation. A refusal is a result. A descriptive indicator is not converted into a trade after the fact.
The upper and lower ES commercial-positioning deciles produced n=55 independent events. Across both benchmarks, the average direction-adjusted return is negative at every published horizon. Raw market drift is shown separately so it cannot be mistaken for signal edge.
Entry when the trailing 52-week ES commercial-net percentile crosses into the upper decile at 90 or the lower decile at 10. Repeated carried-forward daily values do not create new events.
| Horizon | Hit rate | 95% interval | Average raw | Average aligned | Independent n |
|---|---|---|---|---|---|
| +1 session | 38.2% | 26.5% to 51.4% | -0.01% | -0.09% | n=55 |
| +5 sessions | 45.5% | 33.0% to 58.5% | +0.02% | -0.23% | n=55 |
| +21 sessions | 50.9% | 38.1% to 63.6% | +1.11% | -0.20% | n=55 |
Maximum drawdown of the non-overlapping 21-session signal sequence: -17.72% · n=55
A regime is marked failed when its n is at least 10 and either its 21-session hit rate is below 50% or its average direction-adjusted return is not positive.
| Regime | Verdict | Hit rate | Average aligned | Independent n |
|---|---|---|---|---|
| risk-on | FAILED | 40.5% | -0.83% | n=37 |
| neutral | HELD | 68.8% | +0.82% | n=16 |
| risk-off | INSUFFICIENT | 100.0% | +3.46% | n=2 |
| Horizon | Hit rate | 95% interval | Average raw | Average aligned | Independent n |
|---|---|---|---|---|---|
| +1 session | 34.5% | 23.4% to 47.7% | +0.00% | -0.08% | n=55 |
| +5 sessions | 45.5% | 33.0% to 58.5% | +0.02% | -0.18% | n=55 |
| +21 sessions | 49.1% | 36.4% to 61.9% | +1.08% | -0.06% | n=55 |
Maximum drawdown of the non-overlapping 21-session signal sequence: -16.34% · n=55
A regime is marked failed when its n is at least 10 and either its 21-session hit rate is below 50% or its average direction-adjusted return is not positive.
| Regime | Verdict | Hit rate | Average aligned | Independent n |
|---|---|---|---|---|
| risk-on | FAILED | 37.8% | -0.74% | n=37 |
| neutral | HELD | 68.8% | +1.09% | n=16 |
| risk-off | INSUFFICIENT | 100.0% | +3.29% | n=2 |
| Date | Direction | Regime | Fold | SPX +21 | ES +21 |
|---|---|---|---|---|---|
| Mar 13, 2012 | Lower-decile entry | risk-on | 1 | -0.60% raw | -0.73% raw |
| Jun 05, 2012 | Lower-decile entry | risk-on | 1 | +6.39% raw | +5.95% raw |
| Jul 17, 2012 | Lower-decile entry | risk-on | 1 | +3.07% raw | +3.31% raw |
| Aug 28, 2012 | Lower-decile entry | risk-on | 1 | +2.69% raw | +2.36% raw |
| Oct 16, 2012 | Lower-decile entry | risk-on | 1 | -6.53% raw | -6.18% raw |
| Dec 04, 2012 | Lower-decile entry | risk-on | 1 | +4.22% raw | +3.72% raw |
| Mar 05, 2013 | Lower-decile entry | risk-on | 2 | +1.31% raw | +1.14% raw |
| Apr 16, 2013 | Lower-decile entry | risk-on | 2 | +5.35% raw | +5.45% raw |
| Sep 17, 2013 | Lower-decile entry | risk-on | 2 | +0.98% raw | +0.48% raw |
| Oct 22, 2013 | Upper-decile entry | risk-on | 2 | +1.52% raw | +1.73% raw |
| Jan 21, 2014 | Upper-decile entry | risk-on | 3 | -0.22% raw | -0.12% raw |
| Mar 04, 2014 | Lower-decile entry | risk-on | 3 | +0.91% raw | +0.61% raw |
| May 20, 2014 | Upper-decile entry | risk-on | 3 | +4.63% raw | +4.84% raw |
| Jun 24, 2014 | Upper-decile entry | risk-on | 3 | +1.95% raw | +1.93% raw |
| Sep 16, 2014 | Lower-decile entry | risk-on | 3 | -6.83% raw | -7.64% raw |
| Feb 10, 2015 | Lower-decile entry | risk-on | 4 | -0.13% raw | +0.08% raw |
| Jun 23, 2015 | Upper-decile entry | risk-on | 4 | -1.04% raw | -0.85% raw |
| Aug 11, 2015 | Upper-decile entry | risk-on | 4 | -6.32% raw | -6.26% raw |
| Sep 22, 2015 | Upper-decile entry | risk-on | 4 | +3.92% raw | +3.96% raw |
| Mar 22, 2016 | Upper-decile entry | risk-on | 5 | +2.03% raw | +1.97% raw |
| Jun 14, 2016 | Lower-decile entry | risk-on | 5 | +4.26% raw | +3.99% raw |
| Jul 19, 2016 | Lower-decile entry | risk-on | 5 | +0.85% raw | +0.97% raw |
| Mar 07, 2017 | Lower-decile entry | risk-on | 6 | -0.65% raw | -0.85% raw |
| Jun 20, 2017 | Upper-decile entry | risk-on | 6 | +1.49% raw | +1.38% raw |
| Aug 08, 2017 | Upper-decile entry | risk-on | 6 | -0.40% raw | -0.25% raw |
| Sep 12, 2017 | Lower-decile entry | risk-on | 6 | +2.35% raw | +2.28% raw |
| Oct 31, 2017 | Lower-decile entry | risk-on | 6 | +2.81% raw | +2.92% raw |
| Dec 05, 2017 | Lower-decile entry | risk-on | 6 | +4.32% raw | +4.35% raw |
| Jan 30, 2018 | Lower-decile entry | risk-on | 7 | -5.13% raw | -5.18% raw |
| Mar 06, 2018 | Lower-decile entry | risk-on | 7 | -2.39% raw | -2.29% raw |
| Jan 15, 2019 | Upper-decile entry | neutral | 8 | +5.19% raw | +5.30% raw |
| Apr 02, 2019 | Upper-decile entry | neutral | 8 | +1.75% raw | +1.76% raw |
| Dec 17, 2019 | Lower-decile entry | neutral | 8 | +4.29% raw | +4.17% raw |
| Feb 04, 2020 | Lower-decile entry | neutral | 9 | -8.30% raw | -8.61% raw |
| Jun 23, 2020 | Upper-decile entry | neutral | 9 | +3.33% raw | +3.50% raw |
| Oct 27, 2020 | Lower-decile entry | neutral | 9 | +7.05% raw | +7.22% raw |
| Apr 27, 2021 | Lower-decile entry | risk-on | 10 | +0.22% raw | +0.34% raw |
| Aug 03, 2021 | Lower-decile entry | neutral | 10 | +2.28% raw | +2.41% raw |
| Oct 12, 2021 | Lower-decile entry | risk-on | 10 | +6.80% raw | +6.94% raw |
| Jan 18, 2022 | Lower-decile entry | risk-on | 11 | -2.23% raw | -2.21% raw |
| Mar 22, 2022 | Upper-decile entry | neutral | 11 | -2.61% raw | -2.54% raw |
| May 03, 2022 | Upper-decile entry | neutral | 11 | +0.03% raw | +0.14% raw |
| Jun 21, 2022 | Upper-decile entry | risk-off | 11 | +6.22% raw | +6.20% raw |
| Apr 11, 2023 | Upper-decile entry | risk-off | 12 | +0.70% raw | +0.37% raw |
| Aug 08, 2023 | Lower-decile entry | neutral | 12 | -1.07% raw | -1.38% raw |
| Sep 26, 2023 | Lower-decile entry | neutral | 12 | -2.03% raw | -2.43% raw |
| Jan 09, 2024 | Lower-decile entry | risk-on | 12 | +5.08% raw | +4.69% raw |
| Apr 02, 2024 | Lower-decile entry | neutral | 13 | -3.60% raw | -4.07% raw |
| Jul 02, 2024 | Lower-decile entry | neutral | 13 | -1.13% raw | -1.59% raw |
| Oct 15, 2024 | Lower-decile entry | risk-on | 13 | +2.93% raw | +2.61% raw |
| Mar 11, 2025 | Lower-decile entry | risk-on | 14 | -2.07% raw | -1.54% raw |
| Jun 10, 2025 | Upper-decile entry | neutral | 14 | +3.66% raw | +4.62% raw |
| Sep 16, 2025 | Upper-decile entry | neutral | 14 | +0.97% raw | +1.58% raw |
| Mar 31, 2026 | Lower-decile entry | risk-on | 15 | +10.42% raw | +10.24% raw |
| Jun 02, 2026 | Upper-decile entry | neutral | 15 | -1.66% raw | -1.25% raw |
These cards carry the same visual weight as the publishable result. They state exactly what is missing: a testable claim, the required point-in-time intraday data, or enough independent events.
Plots prior-session, opening-range, initial-balance, VWAP, pivot, ADR, settlement, weekly, and monthly references. The published indicator defines no entry, exit, long, or short event.
No signal exists to test. Assigning an outcome would invent a claim the indicator explicitly does not make.
A high-zone sweep requires the bar high to exceed the zone top and close back below it. A low-zone sweep requires the bar low to breach the zone bottom and close back above it, after the Pine zone-state and separation rules are applied.
The repository has no point-in-time five-minute archive containing the evolving pivot-zone state. A daily approximation would not reproduce the published signal.
An edge-triggered long or short pulse after relative volume, delta z-score, close-in-range, cumulative delta, session VWAP direction and slope, prior-day proximity, and divergence gates agree.
The repository has no point-in-time intraday OHLCV archive needed to reconstruct session VWAP, cumulative delta, and the bar-level gates. Daily candles are not a valid substitute.
Risk-on entry when the five-leg composite crosses from below 60 to 60 or higher. Risk-off entry when it crosses from above 40 to 40 or lower.
Only n=41 independent walk-forward observations remain after the 21-session separation rule. Publication requires n>=50.
Positive entry when net gamma exposure crosses from non-positive to positive. Negative entry when it crosses from non-negative to negative.
Only n=0 independent walk-forward observations remain after the 21-session separation rule. Publication requires n>=50.
Source: Delayed Cboe options-chain snapshot through dhawal.org options analytics
Inversion entry when the 10-year minus 2-year Treasury spread crosses from non-negative to negative. Un-inversion entry when it crosses from non-positive to positive.
Only n=4 independent walk-forward observations remain after the 21-session separation rule. Publication requires n>=50.
The first 1,260 sessions form the initial training history. Each following 252-session block is an out-of-sample test fold. Signal thresholds come from the published production definitions and are never optimized against a test fold.
Only one event is retained in any 21-session window, matching the longest forward horizon. Hit rate counts direction-adjusted returns above zero. The Wilson interval is two-sided at 95%. Average raw return shows market drift; average aligned return multiplies bearish events by -1.
Maximum drawdown compounds the non-overlapping 21-session direction-adjusted event sequence in date order. It is a signal-sequence diagnostic, not a live strategy equity curve, and includes no transaction-cost assumption.