{
  "schema_version": "1.0",
  "signal_id": "early-session-of-the-month",
  "slug": "early-session-of-the-month",
  "family": "seasonality",
  "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": "Early session of the month",
  "plain_english": "The third trading session of a calendar month, for a stock trading above its hundred-day average price.",
  "definition": "t is the third trading session of its calendar month (session_offset = 2)\nAND close[t] > sma(close, 100)[t]",
  "headline_parameters": {
    "session_offset": 2,
    "ma_length": 100
  },
  "sample": {
    "n_raw": 64533,
    "n_eff": 9638.3,
    "deff": 6.695,
    "rho": 0.0316,
    "m_bar": 181.27,
    "n_eff_raw_design": 2696.5,
    "rho_raw_design": 0.1272,
    "deff_raw_design": 23.932,
    "distinct_stocks": 2189,
    "distinct_dates": 356,
    "date_range": [
      "2011-10-05",
      "2026-08-05"
    ],
    "censoring_rate": 0.01686,
    "max_quarter_share": 0.0418,
    "max_stock_share": 0.0019,
    "max_sector_share": null,
    "control_rung_distribution": {
      "0": 0.2076,
      "1": 0.3477,
      "2": 0.2744,
      "3": 0.1387,
      "4": 0.0317
    },
    "mean_controls_per_event": 16.6
  },
  "horizons": [
    {
      "days": 1,
      "n_eff": 14220.7,
      "hit_rate": 0.4194,
      "control_hit_rate": 0.4088,
      "lift": 0.0106,
      "lift_ci95": [
        0.0005,
        0.0213
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.038,
      "median_change": -0.00339,
      "control_median_change": -0.0032,
      "excess_median": -0.00019,
      "trimmed_mean_change": -0.00204,
      "spread": {
        "p10": -0.0294,
        "p25": -0.0157,
        "p75": 0.0097,
        "p90": 0.0267
      },
      "mfe": 0.0134,
      "mae": -0.0151,
      "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": {
        "bootstrap_half_width": 0.01037,
        "analytic_clustered_half_width": 0.00791,
        "wilson_on_n_eff_half_width": 0.00811,
        "ratio_bootstrap_to_analytic": 1.311,
        "ratio_bootstrap_to_wilson_on_rate": 1.279
      },
      "n_eff_raw_design": 3251.6
    },
    {
      "days": 3,
      "n_eff": 13161.6,
      "hit_rate": 0.4539,
      "control_hit_rate": 0.4419,
      "lift": 0.0121,
      "lift_ci95": [
        0.0024,
        0.0233
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0138,
      "median_change": -0.00352,
      "control_median_change": -0.00408,
      "excess_median": 0.00056,
      "trimmed_mean_change": 0.00018,
      "spread": {
        "p10": -0.0482,
        "p25": -0.0256,
        "p75": 0.0207,
        "p90": 0.053
      },
      "mfe": 0.0248,
      "mae": -0.0257,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00139,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.01046,
        "analytic_clustered_half_width": 0.00827,
        "wilson_on_n_eff_half_width": 0.0085,
        "ratio_bootstrap_to_analytic": 1.265,
        "ratio_bootstrap_to_wilson_on_rate": 1.23
      },
      "n_eff_raw_design": 2942.7
    },
    {
      "days": 5,
      "n_eff": 9638.3,
      "hit_rate": 0.4511,
      "control_hit_rate": 0.4335,
      "lift": 0.0176,
      "lift_ci95": [
        0.0063,
        0.0294
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0014,
      "median_change": -0.005,
      "control_median_change": -0.00519,
      "excess_median": 0.0002,
      "trimmed_mean_change": -0.00151,
      "spread": {
        "p10": -0.0663,
        "p25": -0.034,
        "p75": 0.0264,
        "p90": 0.0675
      },
      "mfe": 0.0324,
      "mae": -0.0336,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00371,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.01159,
        "analytic_clustered_half_width": 0.00964,
        "wilson_on_n_eff_half_width": 0.00993,
        "ratio_bootstrap_to_analytic": 1.202,
        "ratio_bootstrap_to_wilson_on_rate": 1.167
      },
      "n_eff_raw_design": 2696.5,
      "distribution": {
        "bin_lo": -0.1553,
        "bin_hi": 0.17038,
        "bin_width": 0.013027,
        "event_share": [
          0.00389,
          0.00485,
          0.00747,
          0.01086,
          0.01609,
          0.0221,
          0.03337,
          0.0506,
          0.07014,
          0.096,
          0.11851,
          0.12765,
          0.11323,
          0.08786,
          0.065,
          0.04807,
          0.03445,
          0.02431,
          0.01866,
          0.01428,
          0.0104,
          0.008,
          0.00588,
          0.00491,
          0.00343
        ],
        "control_share": [
          0.00313,
          0.00402,
          0.00672,
          0.00824,
          0.01199,
          0.01958,
          0.03216,
          0.04506,
          0.07092,
          0.09781,
          0.13003,
          0.14778,
          0.1177,
          0.08637,
          0.06465,
          0.04458,
          0.03302,
          0.02221,
          0.01779,
          0.01191,
          0.00799,
          0.00537,
          0.00445,
          0.00407,
          0.00246
        ]
      }
    },
    {
      "days": 10,
      "n_eff": 8144.0,
      "hit_rate": 0.4746,
      "control_hit_rate": 0.4532,
      "lift": 0.0214,
      "lift_ci95": [
        0.0043,
        0.0356
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0116,
      "median_change": -0.00385,
      "control_median_change": -0.006,
      "excess_median": 0.00214,
      "trimmed_mean_change": 0.00317,
      "spread": {
        "p10": -0.0871,
        "p25": -0.0448,
        "p75": 0.0431,
        "p90": 0.1023
      },
      "mfe": 0.0475,
      "mae": -0.0468,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.01088,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.01563,
        "analytic_clustered_half_width": 0.0105,
        "wilson_on_n_eff_half_width": 0.01084,
        "ratio_bootstrap_to_analytic": 1.488,
        "ratio_bootstrap_to_wilson_on_rate": 1.441
      },
      "n_eff_raw_design": 2678.5
    },
    {
      "days": 20,
      "n_eff": 9682.0,
      "hit_rate": 0.4969,
      "control_hit_rate": 0.465,
      "lift": 0.032,
      "lift_ci95": [
        0.0184,
        0.043
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0001,
      "median_change": -0.00051,
      "control_median_change": -0.00691,
      "excess_median": 0.0064,
      "trimmed_mean_change": 0.01152,
      "spread": {
        "p10": -0.117,
        "p25": -0.0599,
        "p75": 0.069,
        "p90": 0.1541
      },
      "mfe": 0.0698,
      "mae": -0.0678,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.02661,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.0123,
        "analytic_clustered_half_width": 0.00957,
        "wilson_on_n_eff_half_width": 0.00996,
        "ratio_bootstrap_to_analytic": 1.286,
        "ratio_bootstrap_to_wilson_on_rate": 1.235
      },
      "n_eff_raw_design": 2454.6
    }
  ],
  "gates": [
    {
      "id": "n_eff",
      "label": "Effective sample size",
      "threshold": ">= 100",
      "observed": "9638",
      "passed": true
    },
    {
      "id": "distinct_dates",
      "label": "Distinct event dates",
      "threshold": ">= 60",
      "observed": "356",
      "passed": true
    },
    {
      "id": "distinct_stocks",
      "label": "Distinct securities",
      "threshold": ">= 25",
      "observed": "2189",
      "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": "4.2%",
      "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": "1.7%",
      "passed": true
    },
    {
      "id": "control_match",
      "label": "Events on relaxation rung 3-4",
      "threshold": "<= 20.0%",
      "observed": "17.0%",
      "passed": true
    }
  ],
  "multiple_testing": {
    "variants_in_grid": 25,
    "tests_on_site": 1125,
    "bh_fdr_q": 0.1,
    "passes_fdr": true,
    "adjusted_p": 0.0018,
    "raw_p": 0.0014
  },
  "years": [
    {
      "year": 2011,
      "n_eff": 67.1,
      "lift": 0.0111
    },
    {
      "year": 2012,
      "n_eff": 365.5,
      "lift": 0.0563
    },
    {
      "year": 2013,
      "n_eff": 300.5,
      "lift": 0.0224
    },
    {
      "year": 2014,
      "n_eff": 461.9,
      "lift": -0.0376
    },
    {
      "year": 2015,
      "n_eff": 406.0,
      "lift": 0.0098
    },
    {
      "year": 2016,
      "n_eff": 389.2,
      "lift": 0.0392
    },
    {
      "year": 2017,
      "n_eff": 482.6,
      "lift": 0.0148
    },
    {
      "year": 2018,
      "n_eff": 424.4,
      "lift": -0.0123
    },
    {
      "year": 2019,
      "n_eff": 419.2,
      "lift": 0.0024
    },
    {
      "year": 2020,
      "n_eff": 518.6,
      "lift": -0.0249
    },
    {
      "year": 2021,
      "n_eff": 865.2,
      "lift": 0.0295
    },
    {
      "year": 2022,
      "n_eff": 939.5,
      "lift": 0.0205
    },
    {
      "year": 2023,
      "n_eff": 743.9,
      "lift": 0.0294
    },
    {
      "year": 2024,
      "n_eff": 1547.3,
      "lift": 0.0287
    },
    {
      "year": 2025,
      "n_eff": 998.7,
      "lift": -0.0045
    },
    {
      "year": 2026,
      "n_eff": 630.5,
      "lift": 0.0538
    }
  ],
  "regimes": [
    {
      "trend": "above",
      "vol_tercile": 1,
      "n_eff": 30.6,
      "lift": -0.1017
    },
    {
      "trend": "above",
      "vol_tercile": 3,
      "n_eff": 269.3,
      "lift": -0.0269
    },
    {
      "trend": "below",
      "vol_tercile": 1,
      "n_eff": 2424.5,
      "lift": 0.0353
    },
    {
      "trend": "below",
      "vol_tercile": 2,
      "n_eff": 3601.3,
      "lift": 0.0137
    },
    {
      "trend": "below",
      "vol_tercile": 3,
      "n_eff": 3285.4,
      "lift": 0.0156
    }
  ],
  "robustness": {
    "split_half_same_sign": true,
    "split_half": {
      "first": 0.0103,
      "second": 0.0249
    },
    "years_positive": 12,
    "years_total": 16,
    "non_overlapping_lift": 0.0175,
    "sector_matched_lift": null,
    "cost_adjusted_lift": 0.0204,
    "censoring_worst_case_lift": 0.0108,
    "parameter_grid_median_lift": 0.0135,
    "knife_edge": true,
    "parameter_grid": {
      "axis_a": "session_offset",
      "axis_b": "ma_length",
      "cells": [
        {
          "a": 0,
          "b": 20,
          "lift": -0.0104,
          "n_eff": 58543.0
        },
        {
          "a": 0,
          "b": 50,
          "lift": -0.0016,
          "n_eff": 61952.0
        },
        {
          "a": 0,
          "b": 100,
          "lift": 0.005,
          "n_eff": 64193.0
        },
        {
          "a": 0,
          "b": 150,
          "lift": 0.0075,
          "n_eff": 65722.0
        },
        {
          "a": 0,
          "b": 200,
          "lift": 0.0079,
          "n_eff": 66286.0
        },
        {
          "a": 1,
          "b": 20,
          "lift": -0.0068,
          "n_eff": 59534.0
        },
        {
          "a": 1,
          "b": 50,
          "lift": 0.0037,
          "n_eff": 62291.0
        },
        {
          "a": 1,
          "b": 100,
          "lift": 0.0135,
          "n_eff": 64563.0
        },
        {
          "a": 1,
          "b": 150,
          "lift": 0.0167,
          "n_eff": 65906.0
        },
        {
          "a": 1,
          "b": 200,
          "lift": 0.0167,
          "n_eff": 66193.0
        },
        {
          "a": 2,
          "b": 20,
          "lift": 0.0015,
          "n_eff": 59926.0
        },
        {
          "a": 2,
          "b": 50,
          "lift": 0.0095,
          "n_eff": 62341.0
        },
        {
          "a": 2,
          "b": 100,
          "lift": 0.0176,
          "n_eff": 64533.0
        },
        {
          "a": 2,
          "b": 150,
          "lift": 0.0165,
          "n_eff": 65694.0
        },
        {
          "a": 2,
          "b": 200,
          "lift": 0.0171,
          "n_eff": 66158.0
        },
        {
          "a": 3,
          "b": 20,
          "lift": -0.004,
          "n_eff": 59096.0
        },
        {
          "a": 3,
          "b": 50,
          "lift": 0.0039,
          "n_eff": 61260.0
        },
        {
          "a": 3,
          "b": 100,
          "lift": 0.0147,
          "n_eff": 63414.0
        },
        {
          "a": 3,
          "b": 150,
          "lift": 0.0164,
          "n_eff": 64862.0
        },
        {
          "a": 3,
          "b": 200,
          "lift": 0.0181,
          "n_eff": 65432.0
        },
        {
          "a": 4,
          "b": 20,
          "lift": 0.0044,
          "n_eff": 59593.0
        },
        {
          "a": 4,
          "b": 50,
          "lift": 0.0177,
          "n_eff": 61708.0
        },
        {
          "a": 4,
          "b": 100,
          "lift": 0.0282,
          "n_eff": 63622.0
        },
        {
          "a": 4,
          "b": 150,
          "lift": 0.0288,
          "n_eff": 65025.0
        },
        {
          "a": 4,
          "b": 200,
          "lift": 0.0305,
          "n_eff": 65560.0
        }
      ]
    },
    "entry_delayed_lift": 0.0169,
    "placebo_lift": 0.0087
  },
  "control_seed": 42,
  "control_stats": {
    "events": 64934,
    "events_with_controls": 64594,
    "unmatched": 340,
    "mean_controls_per_event": 16.6
  },
  "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."
}