{
  "experiment": "expG_cost_frontier",
  "run_utc": "2026-08-12T07:21:28.766834+00:00",
  "author": "Simon-Pierre Boucher",
  "contact": "contact@spboucher.ai",
  "data_source": "hfmarketdata.io",
  "confidence_level": 0,
  "protocol": {
    "kappas": [
      0.0,
      0.1,
      0.25,
      0.5,
      1.0,
      2.0
    ],
    "cost_model": "net = gross - k*(EDGE/2)*turnover",
    "pool": "mechanical intersection of committed expC/expD/expF results"
  },
  "items": [
    {
      "rule": "R:AAPL:5min:2000-2007",
      "family": "reversion",
      "n_days": 2009,
      "gross_mean_daily_bp": 68.121,
      "turnover_per_day": 79.21,
      "half_spread_bp": 48.128,
      "net": {
        "0.0": {
          "mean_daily_bp": 68.121,
          "ci95_bp": [
            47.327,
            95.033
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -313.124,
          "ci95_bp": [
            -332.343,
            -285.86
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -884.99,
          "ci95_bp": [
            -903.441,
            -859.309
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -1838.1,
          "ci95_bp": [
            -1856.803,
            -1809.854
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -3744.321,
          "ci95_bp": [
            -3769.879,
            -3710.136
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -7556.763,
          "ci95_bp": [
            -7605.432,
            -7507.157
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0179
    },
    {
      "rule": "R:ATRO:5min:2008-2015",
      "family": "reversion",
      "n_days": 2015,
      "gross_mean_daily_bp": 133.29,
      "turnover_per_day": 52.95,
      "half_spread_bp": 69.313,
      "net": {
        "0.0": {
          "mean_daily_bp": 133.29,
          "ci95_bp": [
            107.848,
            161.978
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -233.738,
          "ci95_bp": [
            -266.75,
            -194.105
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -784.279,
          "ci95_bp": [
            -840.978,
            -709.653
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -1701.849,
          "ci95_bp": [
            -1802.985,
            -1568.811
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -3536.987,
          "ci95_bp": [
            -3739.034,
            -3266.6
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -7207.263,
          "ci95_bp": [
            -7611.293,
            -6671.345
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0363
    },
    {
      "rule": "R:AXDX:30min:2000-2007",
      "family": "reversion",
      "n_days": 699,
      "gross_mean_daily_bp": 55.091,
      "turnover_per_day": 3.62,
      "half_spread_bp": 109.435,
      "net": {
        "0.0": {
          "mean_daily_bp": 55.091,
          "ci95_bp": [
            26.069,
            71.952
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": 15.513,
          "ci95_bp": [
            -12.537,
            33.647
          ],
          "positive": true
        },
        "0.25": {
          "mean_daily_bp": -43.854,
          "ci95_bp": [
            -71.088,
            -24.093
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -142.8,
          "ci95_bp": [
            -172.053,
            -117.545
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -340.691,
          "ci95_bp": [
            -375.836,
            -302.379
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -736.473,
          "ci95_bp": [
            -793.456,
            -669.308
          ],
          "positive": false
        }
      },
      "kappa_star": 0.1392
    },
    {
      "rule": "R:BKE:5min:2008-2015",
      "family": "reversion",
      "n_days": 2015,
      "gross_mean_daily_bp": 61.794,
      "turnover_per_day": 79.81,
      "half_spread_bp": 34.805,
      "net": {
        "0.0": {
          "mean_daily_bp": 61.794,
          "ci95_bp": [
            46.066,
            75.693
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -215.986,
          "ci95_bp": [
            -231.105,
            -203.612
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -632.654,
          "ci95_bp": [
            -646.057,
            -621.57
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -1327.102,
          "ci95_bp": [
            -1338.867,
            -1318.424
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -2715.998,
          "ci95_bp": [
            -2729.775,
            -2704.603
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -5493.789,
          "ci95_bp": [
            -5521.619,
            -5468.151
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0222
    },
    {
      "rule": "R:CKX:1day:2008-2015",
      "family": "reversion",
      "n_days": 1169,
      "gross_mean_daily_bp": 39.101,
      "turnover_per_day": 1.12,
      "half_spread_bp": 124.379,
      "net": {
        "0.0": {
          "mean_daily_bp": 39.101,
          "ci95_bp": [
            18.206,
            63.601
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": 25.131,
          "ci95_bp": [
            4.715,
            49.322
          ],
          "positive": true
        },
        "0.25": {
          "mean_daily_bp": 4.176,
          "ci95_bp": [
            -15.522,
            27.918
          ],
          "positive": true
        },
        "0.5": {
          "mean_daily_bp": -30.749,
          "ci95_bp": [
            -49.217,
            -7.94
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -100.599,
          "ci95_bp": [
            -116.861,
            -80.127
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -240.299,
          "ci95_bp": [
            -255.021,
            -223.689
          ],
          "positive": false
        }
      },
      "kappa_star": 0.2799
    },
    {
      "rule": "R:HTD:5min:2000-2007",
      "family": "reversion",
      "n_days": 968,
      "gross_mean_daily_bp": 218.132,
      "turnover_per_day": 59.83,
      "half_spread_bp": 18.956,
      "net": {
        "0.0": {
          "mean_daily_bp": 218.132,
          "ci95_bp": [
            195.121,
            250.087
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": 104.727,
          "ci95_bp": [
            80.984,
            135.253
          ],
          "positive": true
        },
        "0.25": {
          "mean_daily_bp": -65.38,
          "ci95_bp": [
            -89.331,
            -35.978
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -348.893,
          "ci95_bp": [
            -377.847,
            -315.869
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -915.918,
          "ci95_bp": [
            -963.233,
            -871.994
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -2049.969,
          "ci95_bp": [
            -2150.216,
            -1972.518
          ],
          "positive": false
        }
      },
      "kappa_star": 0.1923
    },
    {
      "rule": "R:ICUI:5min:2008-2015",
      "family": "reversion",
      "n_days": 2015,
      "gross_mean_daily_bp": 79.286,
      "turnover_per_day": 70.4,
      "half_spread_bp": 27.475,
      "net": {
        "0.0": {
          "mean_daily_bp": 79.286,
          "ci95_bp": [
            66.153,
            91.72
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -114.137,
          "ci95_bp": [
            -127.071,
            -101.512
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -404.273,
          "ci95_bp": [
            -417.929,
            -391.617
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -887.832,
          "ci95_bp": [
            -904.925,
            -871.155
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -1854.95,
          "ci95_bp": [
            -1883.441,
            -1824.646
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -3789.185,
          "ci95_bp": [
            -3846.486,
            -3731.06
          ],
          "positive": false
        }
      },
      "kappa_star": 0.041
    },
    {
      "rule": "R:JPM:1min:2014-2015",
      "family": "reversion",
      "n_days": 504,
      "gross_mean_daily_bp": 39.337,
      "turnover_per_day": 393.27,
      "half_spread_bp": 26.034,
      "net": {
        "0.0": {
          "mean_daily_bp": 39.337,
          "ci95_bp": [
            22.546,
            52.387
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -984.528,
          "ci95_bp": [
            -997.508,
            -975.286
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -2520.326,
          "ci95_bp": [
            -2534.181,
            -2508.993
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -5079.989,
          "ci95_bp": [
            -5109.64,
            -5056.808
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -10199.315,
          "ci95_bp": [
            -10266.308,
            -10139.711
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -20437.966,
          "ci95_bp": [
            -20581.383,
            -20306.329
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0038
    },
    {
      "rule": "R:MSFT:5min:2000-2007",
      "family": "reversion",
      "n_days": 2009,
      "gross_mean_daily_bp": 39.148,
      "turnover_per_day": 78.87,
      "half_spread_bp": 19.871,
      "net": {
        "0.0": {
          "mean_daily_bp": 39.148,
          "ci95_bp": [
            29.197,
            49.195
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -117.571,
          "ci95_bp": [
            -126.629,
            -108.327
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -352.65,
          "ci95_bp": [
            -360.377,
            -344.663
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -744.448,
          "ci95_bp": [
            -751.404,
            -738.138
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -1528.044,
          "ci95_bp": [
            -1535.584,
            -1521.398
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -3095.237,
          "ci95_bp": [
            -3110.451,
            -3078.756
          ],
          "positive": false
        }
      },
      "kappa_star": 0.025
    },
    {
      "rule": "R:NVDA:1min:2014-2015",
      "family": "reversion",
      "n_days": 504,
      "gross_mean_daily_bp": 117.735,
      "turnover_per_day": 378.76,
      "half_spread_bp": 27.231,
      "net": {
        "0.0": {
          "mean_daily_bp": 117.735,
          "ci95_bp": [
            80.524,
            150.702
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -913.644,
          "ci95_bp": [
            -950.056,
            -883.047
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -2460.713,
          "ci95_bp": [
            -2497.3,
            -2430.539
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -5039.161,
          "ci95_bp": [
            -5081.624,
            -5001.631
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -10196.056,
          "ci95_bp": [
            -10270.916,
            -10131.024
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -20509.847,
          "ci95_bp": [
            -20665.88,
            -20370.764
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0114
    },
    {
      "rule": "R:SLF:5min:2000-2007",
      "family": "reversion",
      "n_days": 1289,
      "gross_mean_daily_bp": 37.148,
      "turnover_per_day": 71.63,
      "half_spread_bp": 19.381,
      "net": {
        "0.0": {
          "mean_daily_bp": 37.148,
          "ci95_bp": [
            28.029,
            46.06
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -101.685,
          "ci95_bp": [
            -112.088,
            -91.0
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -309.935,
          "ci95_bp": [
            -323.139,
            -295.654
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -657.018,
          "ci95_bp": [
            -679.616,
            -635.668
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -1351.184,
          "ci95_bp": [
            -1389.617,
            -1312.08
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -2739.517,
          "ci95_bp": [
            -2810.57,
            -2663.382
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0268
    },
    {
      "rule": "R:XOM:5min:2000-2007",
      "family": "reversion",
      "n_days": 2009,
      "gross_mean_daily_bp": 34.032,
      "turnover_per_day": 77.74,
      "half_spread_bp": 24.048,
      "net": {
        "0.0": {
          "mean_daily_bp": 34.032,
          "ci95_bp": [
            23.034,
            45.976
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -152.917,
          "ci95_bp": [
            -163.258,
            -142.165
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -433.34,
          "ci95_bp": [
            -442.32,
            -424.321
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -900.712,
          "ci95_bp": [
            -908.101,
            -894.079
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -1835.457,
          "ci95_bp": [
            -1845.377,
            -1827.002
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -3704.945,
          "ci95_bp": [
            -3729.634,
            -3684.248
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0182
    },
    {
      "rule": "L:SPY->MSFT:-",
      "family": "leadlag",
      "traded": "MSFT",
      "n_days": 504,
      "gross_mean_daily_bp": 18.179,
      "turnover_per_day": 400.11,
      "half_spread_bp": 17.211,
      "net": {
        "0.0": {
          "mean_daily_bp": 18.179,
          "ci95_bp": [
            2.722,
            33.637
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -670.471,
          "ci95_bp": [
            -686.182,
            -654.065
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1703.446,
          "ci95_bp": [
            -1721.167,
            -1686.439
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -3425.07,
          "ci95_bp": [
            -3452.591,
            -3403.725
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -6868.32,
          "ci95_bp": [
            -6917.655,
            -6833.957
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -13754.818,
          "ci95_bp": [
            -13854.631,
            -13687.47
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0026
    },
    {
      "rule": "L:SPY->NVDA:+",
      "family": "leadlag",
      "traded": "NVDA",
      "n_days": 504,
      "gross_mean_daily_bp": 46.829,
      "turnover_per_day": 398.42,
      "half_spread_bp": 27.231,
      "net": {
        "0.0": {
          "mean_daily_bp": 46.829,
          "ci95_bp": [
            21.942,
            68.367
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -1038.104,
          "ci95_bp": [
            -1065.995,
            -1015.048
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -2665.503,
          "ci95_bp": [
            -2700.359,
            -2638.804
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -5377.834,
          "ci95_bp": [
            -5426.862,
            -5339.991
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -10802.496,
          "ci95_bp": [
            -10889.266,
            -10736.072
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -21651.821,
          "ci95_bp": [
            -21821.93,
            -21528.158
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0043
    },
    {
      "rule": "L:SPY->GOOGL:+",
      "family": "leadlag",
      "traded": "GOOGL",
      "n_days": 441,
      "gross_mean_daily_bp": 45.636,
      "turnover_per_day": 393.02,
      "half_spread_bp": 17.413,
      "net": {
        "0.0": {
          "mean_daily_bp": 45.636,
          "ci95_bp": [
            29.07,
            60.222
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -638.718,
          "ci95_bp": [
            -658.238,
            -622.582
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1665.251,
          "ci95_bp": [
            -1692.016,
            -1644.042
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -3376.138,
          "ci95_bp": [
            -3414.143,
            -3345.658
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -6797.912,
          "ci95_bp": [
            -6860.778,
            -6747.199
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -13641.46,
          "ci95_bp": [
            -13758.343,
            -13543.489
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0067
    },
    {
      "rule": "L:SPY->META:-",
      "family": "leadlag",
      "traded": "META",
      "n_days": 504,
      "gross_mean_daily_bp": 24.615,
      "turnover_per_day": 400.35,
      "half_spread_bp": 16.839,
      "net": {
        "0.0": {
          "mean_daily_bp": 24.615,
          "ci95_bp": [
            7.364,
            42.606
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -649.524,
          "ci95_bp": [
            -666.178,
            -633.644
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1660.733,
          "ci95_bp": [
            -1679.278,
            -1646.313
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -3346.081,
          "ci95_bp": [
            -3369.535,
            -3327.594
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -6716.778,
          "ci95_bp": [
            -6759.348,
            -6684.936
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -13458.171,
          "ci95_bp": [
            -13545.566,
            -13394.199
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0037
    },
    {
      "rule": "L:SPY->JPM:-",
      "family": "leadlag",
      "traded": "JPM",
      "n_days": 504,
      "gross_mean_daily_bp": -12.887,
      "turnover_per_day": 400.0,
      "half_spread_bp": 26.034,
      "net": {
        "0.0": {
          "mean_daily_bp": -12.887,
          "ci95_bp": [
            -32.594,
            4.031
          ],
          "positive": false
        },
        "0.1": {
          "mean_daily_bp": -1054.264,
          "ci95_bp": [
            -1074.606,
            -1039.471
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -2616.328,
          "ci95_bp": [
            -2639.147,
            -2601.228
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -5219.769,
          "ci95_bp": [
            -5255.012,
            -5193.684
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -10426.651,
          "ci95_bp": [
            -10497.257,
            -10380.703
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -20840.415,
          "ci95_bp": [
            -20983.431,
            -20745.384
          ],
          "positive": false
        }
      },
      "kappa_star": -0.0012
    },
    {
      "rule": "L:SPY->QQQ:-",
      "family": "leadlag",
      "traded": "QQQ",
      "n_days": 504,
      "gross_mean_daily_bp": 16.081,
      "turnover_per_day": 400.33,
      "half_spread_bp": 16.063,
      "net": {
        "0.0": {
          "mean_daily_bp": 16.081,
          "ci95_bp": [
            6.773,
            27.137
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -626.959,
          "ci95_bp": [
            -635.821,
            -617.95
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1591.519,
          "ci95_bp": [
            -1601.765,
            -1581.264
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -3199.119,
          "ci95_bp": [
            -3217.645,
            -3183.491
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -6414.318,
          "ci95_bp": [
            -6455.75,
            -6385.727
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -12844.717,
          "ci95_bp": [
            -12931.407,
            -12784.097
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0025
    },
    {
      "rule": "L:SPY->XLF:+",
      "family": "leadlag",
      "traded": "XLF",
      "n_days": 504,
      "gross_mean_daily_bp": 52.66,
      "turnover_per_day": 399.91,
      "half_spread_bp": 24.571,
      "net": {
        "0.0": {
          "mean_daily_bp": 52.66,
          "ci95_bp": [
            41.108,
            62.512
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -929.971,
          "ci95_bp": [
            -946.241,
            -918.116
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -2403.919,
          "ci95_bp": [
            -2431.737,
            -2386.291
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -4860.499,
          "ci95_bp": [
            -4905.443,
            -4829.235
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -9773.658,
          "ci95_bp": [
            -9852.861,
            -9717.457
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -19599.977,
          "ci95_bp": [
            -19753.987,
            -19488.829
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0054
    },
    {
      "rule": "L:SPY->XLK:+",
      "family": "leadlag",
      "traded": "XLK",
      "n_days": 504,
      "gross_mean_daily_bp": 37.642,
      "turnover_per_day": 397.88,
      "half_spread_bp": 24.072,
      "net": {
        "0.0": {
          "mean_daily_bp": 37.642,
          "ci95_bp": [
            27.461,
            46.691
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -920.147,
          "ci95_bp": [
            -933.29,
            -909.092
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -2356.83,
          "ci95_bp": [
            -2377.388,
            -2340.527
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -4751.302,
          "ci95_bp": [
            -4786.571,
            -4724.404
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -9540.246,
          "ci95_bp": [
            -9606.891,
            -9489.789
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -19118.133,
          "ci95_bp": [
            -19245.918,
            -19023.62
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0039
    },
    {
      "rule": "L:SPY->XLI:-",
      "family": "leadlag",
      "traded": "XLI",
      "n_days": 504,
      "gross_mean_daily_bp": -19.884,
      "turnover_per_day": 398.98,
      "half_spread_bp": 16.16,
      "net": {
        "0.0": {
          "mean_daily_bp": -19.884,
          "ci95_bp": [
            -28.151,
            -8.928
          ],
          "positive": false
        },
        "0.1": {
          "mean_daily_bp": -664.626,
          "ci95_bp": [
            -672.653,
            -654.038
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1631.74,
          "ci95_bp": [
            -1641.976,
            -1619.417
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -3243.597,
          "ci95_bp": [
            -3263.633,
            -3225.897
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -6467.311,
          "ci95_bp": [
            -6511.425,
            -6433.865
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -12914.738,
          "ci95_bp": [
            -13004.379,
            -12849.934
          ],
          "positive": false
        }
      },
      "kappa_star": -0.0031
    },
    {
      "rule": "L:SPY->XLY:+",
      "family": "leadlag",
      "traded": "XLY",
      "n_days": 504,
      "gross_mean_daily_bp": 22.837,
      "turnover_per_day": 397.98,
      "half_spread_bp": 6.098,
      "net": {
        "0.0": {
          "mean_daily_bp": 22.837,
          "ci95_bp": [
            13.174,
            31.345
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -219.846,
          "ci95_bp": [
            -230.62,
            -211.16
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -583.87,
          "ci95_bp": [
            -596.894,
            -573.81
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -1190.577,
          "ci95_bp": [
            -1206.469,
            -1177.67
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -2403.991,
          "ci95_bp": [
            -2427.28,
            -2387.507
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -4830.819,
          "ci95_bp": [
            -4868.901,
            -4803.769
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0094
    },
    {
      "rule": "L:SPY->XLP:+",
      "family": "leadlag",
      "traded": "XLP",
      "n_days": 504,
      "gross_mean_daily_bp": 30.825,
      "turnover_per_day": 395.87,
      "half_spread_bp": 11.817,
      "net": {
        "0.0": {
          "mean_daily_bp": 30.825,
          "ci95_bp": [
            21.836,
            39.111
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -436.998,
          "ci95_bp": [
            -447.417,
            -427.608
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1138.732,
          "ci95_bp": [
            -1152.435,
            -1127.53
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -2308.289,
          "ci95_bp": [
            -2328.268,
            -2291.584
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -4647.402,
          "ci95_bp": [
            -4680.96,
            -4619.041
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -9325.63,
          "ci95_bp": [
            -9389.127,
            -9271.262
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0066
    },
    {
      "rule": "L:SPY->ATRO:+",
      "family": "leadlag",
      "traded": "ATRO",
      "n_days": 500,
      "gross_mean_daily_bp": 158.647,
      "turnover_per_day": 154.01,
      "half_spread_bp": 29.117,
      "net": {
        "0.0": {
          "mean_daily_bp": 158.647,
          "ci95_bp": [
            130.357,
            193.225
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -289.777,
          "ci95_bp": [
            -323.897,
            -248.667
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -962.413,
          "ci95_bp": [
            -1026.003,
            -891.974
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -2083.473,
          "ci95_bp": [
            -2197.869,
            -1942.949
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -4325.592,
          "ci95_bp": [
            -4543.213,
            -4056.068
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -8809.832,
          "ci95_bp": [
            -9232.157,
            -8266.126
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0354
    },
    {
      "rule": "L:SPY->AXDX:+",
      "family": "leadlag",
      "traded": "AXDX",
      "n_days": 471,
      "gross_mean_daily_bp": 192.889,
      "turnover_per_day": 140.98,
      "half_spread_bp": 50.247,
      "net": {
        "0.0": {
          "mean_daily_bp": 192.889,
          "ci95_bp": [
            140.639,
            241.009
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -515.473,
          "ci95_bp": [
            -558.873,
            -469.888
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1578.017,
          "ci95_bp": [
            -1703.521,
            -1435.698
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -3348.923,
          "ci95_bp": [
            -3648.922,
            -3038.128
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -6890.734,
          "ci95_bp": [
            -7531.726,
            -6228.18
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -13974.358,
          "ci95_bp": [
            -15278.524,
            -12610.219
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0272
    },
    {
      "rule": "L:SPY->BKE:+",
      "family": "leadlag",
      "traded": "BKE",
      "n_days": 491,
      "gross_mean_daily_bp": 147.618,
      "turnover_per_day": 237.6,
      "half_spread_bp": 18.869,
      "net": {
        "0.0": {
          "mean_daily_bp": 147.618,
          "ci95_bp": [
            127.396,
            172.574
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -300.719,
          "ci95_bp": [
            -320.536,
            -276.855
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -973.224,
          "ci95_bp": [
            -1024.924,
            -909.675
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -2094.066,
          "ci95_bp": [
            -2212.599,
            -1952.165
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -4335.751,
          "ci95_bp": [
            -4585.512,
            -4035.877
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -8819.12,
          "ci95_bp": [
            -9340.083,
            -8208.171
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0329
    },
    {
      "rule": "L:SPY->CECO:+",
      "family": "leadlag",
      "traded": "CECO",
      "n_days": 408,
      "gross_mean_daily_bp": 108.571,
      "turnover_per_day": 104.98,
      "half_spread_bp": 32.629,
      "net": {
        "0.0": {
          "mean_daily_bp": 108.571,
          "ci95_bp": [
            69.202,
            142.75
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -233.954,
          "ci95_bp": [
            -264.742,
            -197.753
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -747.743,
          "ci95_bp": [
            -838.339,
            -650.227
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -1604.056,
          "ci95_bp": [
            -1806.017,
            -1374.967
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -3316.683,
          "ci95_bp": [
            -3740.247,
            -2818.798
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -6741.937,
          "ci95_bp": [
            -7608.725,
            -5713.848
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0317
    },
    {
      "rule": "L:SPY->HTD:+",
      "family": "leadlag",
      "traded": "HTD",
      "n_days": 246,
      "gross_mean_daily_bp": 24.123,
      "turnover_per_day": 76.5,
      "half_spread_bp": 9.211,
      "net": {
        "0.0": {
          "mean_daily_bp": 24.123,
          "ci95_bp": [
            14.351,
            32.957
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -46.348,
          "ci95_bp": [
            -55.069,
            -37.258
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -152.054,
          "ci95_bp": [
            -166.012,
            -138.591
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -328.231,
          "ci95_bp": [
            -354.184,
            -303.061
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -680.585,
          "ci95_bp": [
            -730.912,
            -629.755
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -1385.293,
          "ci95_bp": [
            -1486.46,
            -1283.55
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0342
    },
    {
      "rule": "L:ES[contin_adj_ratio]->SPY:-",
      "family": "leadlag",
      "traded": "SPY",
      "n_days": 504,
      "gross_mean_daily_bp": 11.34,
      "turnover_per_day": 395.96,
      "half_spread_bp": 10.376,
      "net": {
        "0.0": {
          "mean_daily_bp": 11.34,
          "ci95_bp": [
            5.031,
            18.426
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -399.51,
          "ci95_bp": [
            -405.243,
            -393.858
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1015.784,
          "ci95_bp": [
            -1023.059,
            -1009.79
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -2042.909,
          "ci95_bp": [
            -2054.651,
            -2032.314
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -4097.158,
          "ci95_bp": [
            -4123.686,
            -4074.373
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -8205.656,
          "ci95_bp": [
            -8260.335,
            -8158.161
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0028
    },
    {
      "rule": "L:ES[contin_adj_absolute]->SPY:-",
      "family": "leadlag",
      "traded": "SPY",
      "n_days": 504,
      "gross_mean_daily_bp": 11.34,
      "turnover_per_day": 395.96,
      "half_spread_bp": 10.376,
      "net": {
        "0.0": {
          "mean_daily_bp": 11.34,
          "ci95_bp": [
            5.031,
            18.426
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -399.51,
          "ci95_bp": [
            -405.243,
            -393.858
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1015.784,
          "ci95_bp": [
            -1023.059,
            -1009.79
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -2042.909,
          "ci95_bp": [
            -2054.651,
            -2032.314
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -4097.158,
          "ci95_bp": [
            -4123.686,
            -4074.373
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -8205.656,
          "ci95_bp": [
            -8260.335,
            -8158.161
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0028
    },
    {
      "rule": "L:ES[contin_UNadj]->SPY:-",
      "family": "leadlag",
      "traded": "SPY",
      "n_days": 504,
      "gross_mean_daily_bp": 11.34,
      "turnover_per_day": 395.96,
      "half_spread_bp": 10.376,
      "net": {
        "0.0": {
          "mean_daily_bp": 11.34,
          "ci95_bp": [
            5.031,
            18.426
          ],
          "positive": true
        },
        "0.1": {
          "mean_daily_bp": -399.51,
          "ci95_bp": [
            -405.243,
            -393.858
          ],
          "positive": false
        },
        "0.25": {
          "mean_daily_bp": -1015.784,
          "ci95_bp": [
            -1023.059,
            -1009.79
          ],
          "positive": false
        },
        "0.5": {
          "mean_daily_bp": -2042.909,
          "ci95_bp": [
            -2054.651,
            -2032.314
          ],
          "positive": false
        },
        "1.0": {
          "mean_daily_bp": -4097.158,
          "ci95_bp": [
            -4123.686,
            -4074.373
          ],
          "positive": false
        },
        "2.0": {
          "mean_daily_bp": -8205.656,
          "ci95_bp": [
            -8260.335,
            -8158.161
          ],
          "positive": false
        }
      },
      "kappa_star": 0.0028
    }
  ],
  "summary": {
    "pool_size": 31,
    "n_kappa_star_defined": 31,
    "kappa_star_median": 0.0114,
    "kappa_star_max": 0.2799,
    "survivors_at": {
      "0.1": [
        "R:AXDX:30min:2000-2007",
        "R:CKX:1day:2008-2015",
        "R:HTD:5min:2000-2007"
      ],
      "0.25": [
        "R:CKX:1day:2008-2015"
      ],
      "0.5": [],
      "1.0": []
    },
    "intraday_survivor_at_1.0": []
  },
  "client_stats": {
    "network_requests": 0,
    "cache_hits": 157,
    "rows_fetched": 0,
    "seconds_waiting": 0.0,
    "errors_retried": 0,
    "refreshes": []
  },
  "manifest": {
    "author": "Simon-Pierre Boucher",
    "contact": "contact@spboucher.ai",
    "project": "anomaly-atlas",
    "data_source": "hfmarketdata.io",
    "collected_utc": "2026-08-12T07:21:35.289224+00:00",
    "chip": {
      "brand": "Apple M5 Max",
      "arch": "arm64",
      "cores_total": 18,
      "cores_performance": 6,
      "cores_efficiency": 12,
      "gpu_cores": 40
    },
    "memory": {
      "unified_bytes": 51539607552,
      "unified_gb": 48.0,
      "pagesize": 16384
    },
    "ssd": {
      "model": "APPLE SSD AP2048Z",
      "size": "2 TB",
      "smart_status": "Verified"
    },
    "os": {
      "product": "macOS",
      "version": "27.0",
      "build": "26A5388g",
      "kernel": "27.0.0"
    },
    "software": {
      "python": "3.14.4",
      "numpy": "2.5.2",
      "pandas": "3.0.5",
      "polars": "1.43.2",
      "duckdb": "1.5.5",
      "statsmodels": "0.14.6",
      "arch": "8.0.0"
    },
    "git": {
      "commit": "7a82cc1f12274ba4021ec514b5f2c6276c04bacb",
      "dirty_tree": true
    }
  }
}