{
  "schema_version": "1.0",
  "signal_id": "market-wide-down-day",
  "slug": "market-wide-down-day",
  "family": "breadth",
  "registry_version": 1,
  "registered_on": "2026-09-05",
  "computed_at": "2026-09-05T09:40:52Z",
  "code_commit": "283c309",
  "data_as_of": "2026-08-06",
  "universe_as_of": "point-in-time",
  "sample_grade": "STRONG",
  "headline_horizon": 5,
  "title": "Market wide down day",
  "plain_english": "A session on which the median eligible security fell at least 2%, for a stock trading above its hundred-day average price.",
  "definition": "median(log return of all eligible securities)[t] <= -0.02\nAND close[t] > sma(close, 100)[t]",
  "headline_parameters": {
    "market_threshold": -0.02,
    "ma_length": 100
  },
  "sample": {
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    "deff": 6.887,
    "rho": 0.0228,
    "m_bar": 259.32,
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    "rho_raw_design": 0.247,
    "deff_raw_design": 64.804,
    "distinct_stocks": 2109,
    "distinct_dates": 219,
    "date_range": [
      "2011-10-03",
      "2026-07-08"
    ],
    "censoring_rate": 0.00315,
    "max_quarter_share": 0.0789,
    "max_stock_share": 0.0024,
    "max_sector_share": null,
    "control_rung_distribution": {
      "0": 0.3389,
      "1": 0.3527,
      "2": 0.2128,
      "3": 0.0774,
      "4": 0.0182
    },
    "mean_controls_per_event": 16.92
  },
  "horizons": [
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      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0001,
      "median_change": 0.0,
      "control_median_change": -0.00089,
      "excess_median": 0.00089,
      "trimmed_mean_change": 0.0005,
      "spread": {
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        "p25": -0.0172,
        "p75": 0.0176,
        "p90": 0.0379
      },
      "mfe": 0.0196,
      "mae": -0.02,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": 0.0,
      "interval_includes_zero": false,
      "interval_check": {
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        "ratio_bootstrap_to_wilson_on_rate": 0.687
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      "n_eff_raw_design": 963.1
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      "days": 3,
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      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0001,
      "median_change": 0.00313,
      "control_median_change": 0.00128,
      "excess_median": 0.00185,
      "trimmed_mean_change": 0.005,
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      "break_even_assumptions": {
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        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": 0.00023,
      "interval_includes_zero": false,
      "interval_check": {
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      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
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      "median_change": 0.00487,
      "control_median_change": 0.0013,
      "excess_median": 0.00357,
      "trimmed_mean_change": 0.00792,
      "spread": {
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      "benchmark_median_change": 0.0006,
      "interval_includes_zero": false,
      "interval_check": {
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        "ratio_bootstrap_to_wilson_on_rate": 0.815
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      "distribution": {
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        "control_share": [
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        ]
      }
    },
    {
      "days": 10,
      "n_eff": 6943.7,
      "hit_rate": 0.5417,
      "control_hit_rate": 0.5195,
      "lift": 0.0222,
      "lift_ci95": [
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      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0022,
      "median_change": 0.00783,
      "control_median_change": 0.00483,
      "excess_median": 0.003,
      "trimmed_mean_change": 0.0129,
      "spread": {
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        "p25": -0.0417,
        "p75": 0.063,
        "p90": 0.129
      },
      "mfe": 0.0638,
      "mae": -0.0519,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": 0.0002,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.01242,
        "analytic_clustered_half_width": 0.01053,
        "wilson_on_n_eff_half_width": 0.01172,
        "ratio_bootstrap_to_analytic": 1.18,
        "ratio_bootstrap_to_wilson_on_rate": 1.06
      },
      "n_eff_raw_design": 886.8
    },
    {
      "days": 20,
      "n_eff": 6473.8,
      "hit_rate": 0.5371,
      "control_hit_rate": 0.5069,
      "lift": 0.0301,
      "lift_ci95": [
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        0.0435
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0012,
      "median_change": 0.00937,
      "control_median_change": 0.00164,
      "excess_median": 0.00773,
      "trimmed_mean_change": 0.02113,
      "spread": {
        "p10": -0.1234,
        "p25": -0.057,
        "p75": 0.087,
        "p90": 0.1805
      },
      "mfe": 0.0901,
      "mae": -0.0707,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
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        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.01265,
      "interval_includes_zero": false,
      "interval_check": {
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        "analytic_clustered_half_width": 0.01125,
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        "ratio_bootstrap_to_wilson_on_rate": 1.271
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  ],
  "gates": [
    {
      "id": "n_eff",
      "label": "Effective sample size",
      "threshold": ">= 100",
      "observed": "8246",
      "passed": true
    },
    {
      "id": "distinct_dates",
      "label": "Distinct event dates",
      "threshold": ">= 60",
      "observed": "219",
      "passed": true
    },
    {
      "id": "distinct_stocks",
      "label": "Distinct securities",
      "threshold": ">= 25",
      "observed": "2109",
      "passed": true
    },
    {
      "id": "calendar_span",
      "label": "Calendar span",
      "threshold": ">= 5 years",
      "observed": "14.8 years",
      "passed": true
    },
    {
      "id": "quarter_share",
      "label": "Largest share in one quarter",
      "threshold": "<= 20.0%",
      "observed": "7.9%",
      "passed": true
    },
    {
      "id": "stock_share",
      "label": "Largest share from one security",
      "threshold": "<= 5.0%",
      "observed": "0.2%",
      "passed": true
    },
    {
      "id": "censoring",
      "label": "Censoring rate",
      "threshold": "<= 2.0%",
      "observed": "0.3%",
      "passed": true
    },
    {
      "id": "control_match",
      "label": "Events on relaxation rung 3-4",
      "threshold": "<= 20.0%",
      "observed": "9.6%",
      "passed": true
    }
  ],
  "multiple_testing": {
    "variants_in_grid": 25,
    "tests_on_site": 1125,
    "bh_fdr_q": 0.1,
    "passes_fdr": true,
    "adjusted_p": 0.0003,
    "raw_p": 0.0002
  },
  "years": [
    {
      "year": 2011,
      "n_eff": 155.0,
      "lift": -0.0158
    },
    {
      "year": 2012,
      "n_eff": 321.5,
      "lift": 0.014
    },
    {
      "year": 2013,
      "n_eff": 489.1,
      "lift": 0.0433
    },
    {
      "year": 2014,
      "n_eff": 609.7,
      "lift": 0.0241
    },
    {
      "year": 2015,
      "n_eff": 563.8,
      "lift": 0.0258
    },
    {
      "year": 2016,
      "n_eff": 645.8,
      "lift": 0.0115
    },
    {
      "year": 2017,
      "n_eff": 233.8,
      "lift": 0.1075
    },
    {
      "year": 2018,
      "n_eff": 680.7,
      "lift": 0.0065
    },
    {
      "year": 2019,
      "n_eff": 33.9,
      "lift": -0.0227
    },
    {
      "year": 2020,
      "n_eff": 669.0,
      "lift": 0.0294
    },
    {
      "year": 2021,
      "n_eff": 601.5,
      "lift": 0.0087
    },
    {
      "year": 2022,
      "n_eff": 836.3,
      "lift": 0.0067
    },
    {
      "year": 2023,
      "n_eff": 203.9,
      "lift": 0.0671
    },
    {
      "year": 2024,
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      "lift": 0.0287
    },
    {
      "year": 2025,
      "n_eff": 621.8,
      "lift": -0.0384
    },
    {
      "year": 2026,
      "n_eff": 495.1,
      "lift": 0.0241
    }
  ],
  "regimes": [
    {
      "trend": "above",
      "vol_tercile": 2,
      "n_eff": 24.8,
      "lift": -0.2108
    },
    {
      "trend": "above",
      "vol_tercile": 3,
      "n_eff": 193.9,
      "lift": -0.0202
    },
    {
      "trend": "below",
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      "lift": 0.0408
    },
    {
      "trend": "below",
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    },
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      "n_eff": 3350.8,
      "lift": 0.0121
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  ],
  "robustness": {
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    "split_half": {
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      "second": 0.0163
    },
    "years_positive": 13,
    "years_total": 16,
    "non_overlapping_lift": 0.0264,
    "sector_matched_lift": null,
    "cost_adjusted_lift": 0.0236,
    "censoring_worst_case_lift": 0.0192,
    "parameter_grid_median_lift": 0.023,
    "knife_edge": false,
    "parameter_grid": {
      "axis_a": "market_threshold",
      "axis_b": "ma_length",
      "cells": [
        {
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        },
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        },
        {
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        },
        {
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        },
        {
          "a": -0.015,
          "b": 20,
          "lift": 0.0006,
          "n_eff": 64998.0
        },
        {
          "a": -0.015,
          "b": 50,
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          "n_eff": 86203.0
        },
        {
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          "b": 100,
          "lift": 0.0245,
          "n_eff": 98520.0
        },
        {
          "a": -0.015,
          "b": 150,
          "lift": 0.0316,
          "n_eff": 106507.0
        },
        {
          "a": -0.015,
          "b": 200,
          "lift": 0.0345,
          "n_eff": 111992.0
        },
        {
          "a": -0.01,
          "b": 20,
          "lift": 0.0016,
          "n_eff": 124831.0
        },
        {
          "a": -0.01,
          "b": 50,
          "lift": 0.0207,
          "n_eff": 158860.0
        },
        {
          "a": -0.01,
          "b": 100,
          "lift": 0.0286,
          "n_eff": 176879.0
        },
        {
          "a": -0.01,
          "b": 150,
          "lift": 0.0335,
          "n_eff": 187977.0
        },
        {
          "a": -0.01,
          "b": 200,
          "lift": 0.0346,
          "n_eff": 195355.0
        }
      ]
    },
    "entry_delayed_lift": 0.0146,
    "placebo_lift": 0.011
  },
  "control_seed": 42,
  "control_stats": {
    "events": 57041,
    "events_with_controls": 56843,
    "unmatched": 198,
    "mean_controls_per_event": 16.92
  },
  "cost_assumption_source": {
    "generated_at": "2026-09-05T04:19:20Z",
    "cash_equity_rate_version": "2026-09-05"
  },
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "method_url": "https://learnnifty.com/base-rates/methodology/",
  "disclaimer": "Historical frequencies only. Not investment advice, a recommendation or a price target. LearnNifty is not registered with SEBI as an Investment Adviser or Research Analyst."
}