/fundamentals_nq.py:182: RuntimeWarning: divide by zero encountered in matmul se = np.sqrt((resid @ resid / (n - 2)) / sxx) /fundamentals_nq.py:182: RuntimeWarning: overflow encountered in matmul se = np.sqrt((resid @ resid / (n - 2)) / sxx) /fundamentals_nq.py:182: RuntimeWarning: invalid value encountered in matmul se = np.sqrt((resid @ resid / (n - 2)) / sxx) /fundamentals_nq.py:237: UserWarning: This pattern is interpreted as a regular expression, and has match groups. To actually get the groups, use str.extract. t1 = cal[cal["event"].str.contains(TIER1, case=False, regex=True, na=False)] Loading calendar and NQ price history... calendar rows: 42089 NQ sessions: 4033 (2010-06-07 -> 2026-08-25) classified pre-open events w/ est+act: 1755 across 1068 dates sessions with a composite surprise: 909 ========================================================================================== PRIMARY — OLS ret_rth ~ signed_z (pre-open composite), 2016-2026, bar |t| > 3.0 ========================================================================================== n = 909 slope = -10.20 bps per 1sd surprise t = -3.03 >>> PRIMARY PASS ret_5m: slope -0.53 bps t -0.80 n 909 ret_15m: slope -0.55 bps t -0.53 n 908 ret_rth: slope -10.20 bps t -3.03 n 909 robustness (full-sample sigma, as shipped script): slope -9.77 t -2.66 ========================================================================================== SECONDARY 4 — is it tradable? sign(signed_z) traded at the open, exit 15:59 ========================================================================================== n=797 hit=48.2% gross=-1.88 bps t=-0.45 net of 1.0 pt: -2.82 bps t=-0.67 (cost avg 0.94 bps) ========================================================================================== SECONDARY 1 — event-day effect (Savor-Wilson analogue), 2016-2026 ========================================================================================== ret_rth: event n= 728 mean= +0.41 | non-event n=1923 mean= +4.13 | diff= -3.72 t=-0.76 ret_c2c: event n= 728 mean= +4.14 | non-event n=1923 mean= +9.38 | diff= -5.24 t=-0.83 (event days = 728 of 2651 sessions) ========================================================================================== SECONDARY 2 — pre-announcement drift: overnight into a tier-1 release ========================================================================================== ret_preopen on event days n= 477 mean= +6.99 bps t=+1.76 ret_preopen other days n=1634 mean= +4.42 bps t=+2.40 difference +2.57 bps t=+0.58 FOMC-day pre-open (Lucca-Moench window analogue): n=82 mean=+26.02 t=+3.59 ========================================================================================== SECONDARY 3 — per-family slope on ret_rth (which single release moves the session) ========================================================================================== family n slope t core_cpi_mom 112 +14.14 +1.61 econSign=-1 cpi_mom 153 +7.34 +1.36 econSign=-1 core_pce_mom 84 -10.68 -0.98 econSign=-1 pce_mom 67 -10.43 -0.64 econSign=-1 ppi_mom 133 -3.22 -0.56 econSign=-1 retail_mom 135 -12.98 -2.47 econSign=+1 durable_mom 101 +17.90 +1.63 econSign=+1 claims 502 +2.51 +4.20 * econSign=-1 nfp 101 +4.21 +1.65 econSign=+0 unemp 143 -7.20 -2.02 econSign=+0 ========================================================================================== SECONDARY 5 — ADMINISTRATION (descriptive only; n=4 regimes, fully confounded) ========================================================================================== admin sessions meanRTH t evDayRTH slope t nSurp Obama-II 1645 +2.23 +1.06 +4.33 +6.84 +1.72 58 Trump-I 992 +3.54 +1.05 +2.82 -15.25 -4.32 352 Biden 998 +2.52 +0.67 +2.89 -7.09 -0.16 364 Trump-II 398 +2.77 +0.47 -11.21 +1.50 +0.07 135 NOTE: administration is collinear with the Fed cycle, inflation regime, COVID and the mega-cap AI trend. These are era descriptions, not causal estimates. ========================================================================================== SECONDARY 6 — stability of the primary ========================================================================================== IS (<2020): n= 313 slope= -0.13 t= -0.04 OOS (>=2020): n= 596 slope= -25.09 t= -4.28 2016: n= 53 slope= +6.53 t= +1.51 2017: n= 86 slope= +0.07 t= +0.02 2018: n= 88 slope= +1.16 t= +0.11 2019: n= 86 slope= -12.22 t= -2.13 2020: n= 93 slope= -26.60 t= -4.12 2021: n= 95 slope= +28.84 t= +0.59 2022: n= 92 slope= -55.57 t= -0.38 2023: n= 89 slope= -65.95 t= -0.71 2024: n= 87 slope= -26.65 t= -0.29 2025: n= 78 slope= +60.52 t= +0.77 2026: n= 62 slope= -2.21 t= -0.09 years with positive slope: 5/11 ========================================================================================== VERDICT ========================================================================================== H1 primary |t|>3.0 ............ PASS (t=-3.03) H1 tradable after cost ....... FAIL (t=-0.67)