{
  "schema_version": "1.0",
  "signal_id": "gap-down-below-20dma",
  "slug": "gap-down-below-20dma",
  "family": "gap",
  "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": "MODERATE",
  "headline_horizon": 5,
  "title": "Gap down below 20dma",
  "plain_english": "The stock opened at least 2% below yesterday's close, on a day when it was already trading below its 20-day average price.",
  "definition": "open[t] / close[t-1] - 1 <= -0.02\nAND close[t-1] < sma(close, 20)[t-1]",
  "headline_parameters": {
    "gap_threshold": 0.02,
    "ma_length": 20
  },
  "sample": {
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    "n_eff": 20564.1,
    "deff": 1.41,
    "rho": 0.0427,
    "m_bar": 10.6,
    "n_eff_raw_design": 7168.3,
    "rho_raw_design": 0.3173,
    "deff_raw_design": 4.046,
    "distinct_stocks": 1969,
    "distinct_dates": 2736,
    "date_range": [
      "2011-10-03",
      "2026-08-05"
    ],
    "censoring_rate": 0.00369,
    "max_quarter_share": 0.1127,
    "max_stock_share": 0.003,
    "max_sector_share": null,
    "control_rung_distribution": {
      "0": 0.5903,
      "1": 0.2727,
      "2": 0.0842,
      "3": 0.0291,
      "4": 0.0237
    },
    "mean_controls_per_event": 18.37
  },
  "horizons": [
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      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.6184,
      "median_change": 0.0,
      "control_median_change": -0.00115,
      "excess_median": 0.00115,
      "trimmed_mean_change": 0.00222,
      "spread": {
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        "p25": -0.0181,
        "p75": 0.0193,
        "p90": 0.0442
      },
      "mfe": 0.0215,
      "mae": -0.0186,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
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        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": 0.0,
      "interval_includes_zero": true,
      "interval_check": {
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        "wilson_on_n_eff_half_width": 0.00644,
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        "ratio_bootstrap_to_wilson_on_rate": 1.805
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      "n_eff_raw_design": 9422.5
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      "days": 3,
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        0.0125
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      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.8434,
      "median_change": -0.00137,
      "control_median_change": -7e-05,
      "excess_median": -0.0013,
      "trimmed_mean_change": -0.00244,
      "spread": {
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        "p25": -0.0384,
        "p75": 0.0355,
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      "mae": -0.0359,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
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        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00119,
      "interval_includes_zero": true,
      "interval_check": {
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        "ratio_bootstrap_to_wilson_on_rate": 1.766
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      "n_eff_raw_design": 7428.9
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      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
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      "median_change": -0.00102,
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      "break_even_hit_rate": 0.5556,
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        "impact": 0.0
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      "benchmark_median_change": -0.00336,
      "interval_includes_zero": true,
      "interval_check": {
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        "ratio_bootstrap_to_wilson_on_rate": 1.339
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      "n_eff_raw_design": 7168.3,
      "distribution": {
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        "bin_hi": 0.23223,
        "bin_width": 0.018613,
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        "control_share": [
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        ]
      }
    },
    {
      "days": 10,
      "n_eff": 20974.1,
      "hit_rate": 0.4901,
      "control_hit_rate": 0.502,
      "lift": -0.0119,
      "lift_ci95": [
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        -0.0004
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0564,
      "median_change": -0.00175,
      "control_median_change": 0.00065,
      "excess_median": -0.0024,
      "trimmed_mean_change": -0.00642,
      "spread": {
        "p10": -0.1483,
        "p25": -0.0633,
        "p75": 0.0622,
        "p90": 0.1332
      },
      "mfe": 0.0683,
      "mae": -0.0637,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00884,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.01317,
        "analytic_clustered_half_width": 0.00587,
        "wilson_on_n_eff_half_width": 0.00676,
        "ratio_bootstrap_to_analytic": 2.244,
        "ratio_bootstrap_to_wilson_on_rate": 1.946
      },
      "n_eff_raw_design": 7428.2
    },
    {
      "days": 20,
      "n_eff": 22361.4,
      "hit_rate": 0.5053,
      "control_hit_rate": 0.5187,
      "lift": -0.0134,
      "lift_ci95": [
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        0.0001
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0714,
      "median_change": 0.00183,
      "control_median_change": 0.00704,
      "excess_median": -0.00521,
      "trimmed_mean_change": 0.00459,
      "spread": {
        "p10": -0.1711,
        "p25": -0.078,
        "p75": 0.0878,
        "p90": 0.1904
      },
      "mfe": 0.096,
      "mae": -0.0877,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.02156,
      "interval_includes_zero": true,
      "interval_check": {
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        "analytic_clustered_half_width": 0.00582,
        "wilson_on_n_eff_half_width": 0.00655,
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        "ratio_bootstrap_to_wilson_on_rate": 2.285
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      "n_eff_raw_design": 8196.9
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  ],
  "gates": [
    {
      "id": "n_eff",
      "label": "Effective sample size",
      "threshold": ">= 100",
      "observed": "20564",
      "passed": true
    },
    {
      "id": "distinct_dates",
      "label": "Distinct event dates",
      "threshold": ">= 60",
      "observed": "2736",
      "passed": true
    },
    {
      "id": "distinct_stocks",
      "label": "Distinct securities",
      "threshold": ">= 25",
      "observed": "1969",
      "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": "11.3%",
      "passed": true
    },
    {
      "id": "stock_share",
      "label": "Largest share from one security",
      "threshold": "<= 5.0%",
      "observed": "0.3%",
      "passed": true
    },
    {
      "id": "censoring",
      "label": "Censoring rate",
      "threshold": "<= 2.0%",
      "observed": "0.4%",
      "passed": true
    },
    {
      "id": "control_match",
      "label": "Events on relaxation rung 3-4",
      "threshold": "<= 20.0%",
      "observed": "5.3%",
      "passed": true
    }
  ],
  "multiple_testing": {
    "variants_in_grid": 25,
    "tests_on_site": 1125,
    "bh_fdr_q": 0.1,
    "passes_fdr": false,
    "adjusted_p": 0.2384,
    "raw_p": 0.2384
  },
  "years": [
    {
      "year": 2011,
      "n_eff": 300.0,
      "lift": -0.0363
    },
    {
      "year": 2012,
      "n_eff": 646.4,
      "lift": -0.0131
    },
    {
      "year": 2013,
      "n_eff": 586.3,
      "lift": -0.0437
    },
    {
      "year": 2014,
      "n_eff": 380.1,
      "lift": -0.0788
    },
    {
      "year": 2015,
      "n_eff": 912.8,
      "lift": 0.0118
    },
    {
      "year": 2016,
      "n_eff": 1082.5,
      "lift": -0.0109
    },
    {
      "year": 2017,
      "n_eff": 479.8,
      "lift": -0.0487
    },
    {
      "year": 2018,
      "n_eff": 2035.9,
      "lift": 0.0085
    },
    {
      "year": 2019,
      "n_eff": 740.4,
      "lift": 0.0078
    },
    {
      "year": 2020,
      "n_eff": 2128.7,
      "lift": -0.0137
    },
    {
      "year": 2021,
      "n_eff": 1163.6,
      "lift": 0.0184
    },
    {
      "year": 2022,
      "n_eff": 2366.7,
      "lift": 0.0069
    },
    {
      "year": 2023,
      "n_eff": 833.7,
      "lift": -0.0728
    },
    {
      "year": 2024,
      "n_eff": 1571.9,
      "lift": 0.0008
    },
    {
      "year": 2025,
      "n_eff": 2115.4,
      "lift": -0.0003
    },
    {
      "year": 2026,
      "n_eff": 1500.4,
      "lift": -0.0035
    }
  ],
  "regimes": [
    {
      "trend": "above",
      "vol_tercile": 1,
      "n_eff": 5.9,
      "lift": 0.3722
    },
    {
      "trend": "above",
      "vol_tercile": 2,
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      "lift": 0.0296
    },
    {
      "trend": "above",
      "vol_tercile": 3,
      "n_eff": 159.3,
      "lift": -0.0244
    },
    {
      "trend": "below",
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      "lift": -0.019
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    {
      "trend": "below",
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      "n_eff": 6866.9,
      "lift": -0.0064
    },
    {
      "trend": "below",
      "vol_tercile": 3,
      "n_eff": 8471.3,
      "lift": -0.0002
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  ],
  "robustness": {
    "split_half_same_sign": true,
    "split_half": {
      "first": -0.0074,
      "second": -0.0034
    },
    "years_positive": 10,
    "years_total": 16,
    "non_overlapping_lift": -0.0022,
    "sector_matched_lift": null,
    "cost_adjusted_lift": -0.0034,
    "censoring_worst_case_lift": -0.0069,
    "parameter_grid_median_lift": -0.0059,
    "knife_edge": false,
    "parameter_grid": {
      "axis_a": "gap_threshold",
      "axis_b": "ma_length",
      "cells": [
        {
          "a": 0.016,
          "b": 16,
          "lift": -0.0009,
          "n_eff": 41449.0
        },
        {
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        },
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        },
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        },
        {
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        },
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        },
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        },
        {
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        },
        {
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          "lift": -0.0054,
          "n_eff": 29000.0
        },
        {
          "a": 0.02,
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          "lift": -0.007,
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        },
        {
          "a": 0.02,
          "b": 24,
          "lift": -0.0079,
          "n_eff": 28530.0
        },
        {
          "a": 0.022,
          "b": 16,
          "lift": -0.0057,
          "n_eff": 25451.0
        },
        {
          "a": 0.022,
          "b": 18,
          "lift": -0.0045,
          "n_eff": 25246.0
        },
        {
          "a": 0.022,
          "b": 20,
          "lift": -0.0061,
          "n_eff": 25048.0
        },
        {
          "a": 0.022,
          "b": 22,
          "lift": -0.0079,
          "n_eff": 24899.0
        },
        {
          "a": 0.022,
          "b": 24,
          "lift": -0.0085,
          "n_eff": 24627.0
        },
        {
          "a": 0.024,
          "b": 16,
          "lift": -0.0064,
          "n_eff": 22237.0
        },
        {
          "a": 0.024,
          "b": 18,
          "lift": -0.0061,
          "n_eff": 22046.0
        },
        {
          "a": 0.024,
          "b": 20,
          "lift": -0.0072,
          "n_eff": 21868.0
        },
        {
          "a": 0.024,
          "b": 22,
          "lift": -0.0095,
          "n_eff": 21736.0
        },
        {
          "a": 0.024,
          "b": 24,
          "lift": -0.0102,
          "n_eff": 21510.0
        }
      ]
    },
    "entry_delayed_lift": -0.0107,
    "placebo_lift": 0.0094
  },
  "control_seed": 42,
  "control_stats": {
    "events": 29359,
    "events_with_controls": 29030,
    "unmatched": 329,
    "mean_controls_per_event": 18.4
  },
  "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."
}