opening_drive_failure_jp

Madhavan (2000) JoFM / Comerton-Forde-Putnins (2011) JoFM — JP 寄り 9:00-9:15 機関 VWAP order が 9:30 までに続伸失敗 → intraday reversal (Nikkei 225 で 55-60% hit rate)

All strategies

Rolling Sharpe

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90-day rolling window

Drawdown

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peak-to-trough

Win Rate

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0 fires · weight 0.00×

Current Status

State

Ensemble Weight—

Fires (90d)0

Last fired—

Methodology

Madhavan (2000) JoFM / Comerton-Forde-Putnins (2011) JoFM — JP 寄り 9:00-9:15 機関 VWAP order が 9:30 までに続伸失敗 → intraday reversal (Nikkei 225 で 55-60% hit rate)

Supported Markets

JP Stock

State Transition History

No state changes recorded yet