{
  "schema_version": "1.0",
  "signal_id": "narrowest-range-in-seven-sessions",
  "slug": "narrowest-range-in-seven-sessions",
  "family": "volatility",
  "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": "Narrowest range in seven sessions",
  "plain_english": "The day's high-to-low range was the narrowest of the last seven sessions, and under 2% of the closing price.",
  "definition": "(high[t] - low[t]) / close[t] = min((high - low) / close over t-6..t)\nAND (high[t] - low[t]) / close[t] <= 0.02",
  "headline_parameters": {
    "lookback": 7,
    "range_cap": 0.02
  },
  "sample": {
    "n_raw": 172405,
    "n_eff": 132421.4,
    "deff": 1.302,
    "rho": 0.0065,
    "m_bar": 47.29,
    "n_eff_raw_design": 20184.0,
    "rho_raw_design": 0.1629,
    "deff_raw_design": 8.542,
    "distinct_stocks": 2050,
    "distinct_dates": 3646,
    "date_range": [
      "2011-10-03",
      "2026-08-05"
    ],
    "censoring_rate": 0.0039,
    "max_quarter_share": 0.0437,
    "max_stock_share": 0.0032,
    "max_sector_share": null,
    "control_rung_distribution": {
      "0": 0.724,
      "1": 0.2355,
      "2": 0.0392,
      "3": 0.0012,
      "4": 0.0
    },
    "mean_controls_per_event": 18.97
  },
  "horizons": [
    {
      "days": 1,
      "n_eff": 129495.6,
      "hit_rate": 0.4241,
      "control_hit_rate": 0.4195,
      "lift": 0.0046,
      "lift_ci95": [
        0.0019,
        0.0072
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0012,
      "median_change": -0.00206,
      "control_median_change": -0.00277,
      "excess_median": 0.00072,
      "trimmed_mean_change": -0.00114,
      "spread": {
        "p10": -0.0205,
        "p25": -0.0111,
        "p75": 0.0072,
        "p90": 0.0193
      },
      "mfe": 0.0095,
      "mae": -0.0108,
      "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": 0.0027,
        "analytic_clustered_half_width": 0.00261,
        "wilson_on_n_eff_half_width": 0.00269,
        "ratio_bootstrap_to_analytic": 1.036,
        "ratio_bootstrap_to_wilson_on_rate": 1.002
      },
      "n_eff_raw_design": 30671.5
    },
    {
      "days": 3,
      "n_eff": 137278.3,
      "hit_rate": 0.4655,
      "control_hit_rate": 0.4561,
      "lift": 0.0094,
      "lift_ci95": [
        0.0066,
        0.0122
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0001,
      "median_change": -0.00195,
      "control_median_change": -0.00256,
      "excess_median": 0.00061,
      "trimmed_mean_change": -0.0002,
      "spread": {
        "p10": -0.0383,
        "p25": -0.0193,
        "p75": 0.0169,
        "p90": 0.0403
      },
      "mfe": 0.019,
      "mae": -0.0193,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00135,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.00284,
        "analytic_clustered_half_width": 0.00248,
        "wilson_on_n_eff_half_width": 0.00264,
        "ratio_bootstrap_to_analytic": 1.144,
        "ratio_bootstrap_to_wilson_on_rate": 1.076
      },
      "n_eff_raw_design": 22143.2
    },
    {
      "days": 5,
      "n_eff": 132421.4,
      "hit_rate": 0.4757,
      "control_hit_rate": 0.4664,
      "lift": 0.0093,
      "lift_ci95": [
        0.0059,
        0.0127
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0001,
      "median_change": -0.00194,
      "control_median_change": -0.00256,
      "excess_median": 0.00062,
      "trimmed_mean_change": 0.00055,
      "spread": {
        "p10": -0.0508,
        "p25": -0.0253,
        "p75": 0.0237,
        "p90": 0.0544
      },
      "mfe": 0.0262,
      "mae": -0.0256,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.00337,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.00339,
        "analytic_clustered_half_width": 0.00251,
        "wilson_on_n_eff_half_width": 0.00269,
        "ratio_bootstrap_to_analytic": 1.352,
        "ratio_bootstrap_to_wilson_on_rate": 1.26
      },
      "n_eff_raw_design": 20184.0,
      "distribution": {
        "bin_lo": -0.12326,
        "bin_hi": 0.15916,
        "bin_width": 0.011297,
        "event_share": [
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          0.00465,
          0.0078,
          0.0116,
          0.01871,
          0.02909,
          0.04468,
          0.06553,
          0.09285,
          0.11987,
          0.13751,
          0.12239,
          0.09577,
          0.07191,
          0.05283,
          0.03745,
          0.02544,
          0.01749,
          0.01253,
          0.00925,
          0.00654,
          0.00466,
          0.00378,
          0.00253,
          0.00192
        ],
        "control_share": [
          0.00447,
          0.00675,
          0.01009,
          0.01535,
          0.02283,
          0.03452,
          0.05018,
          0.07013,
          0.09296,
          0.11306,
          0.12412,
          0.11155,
          0.09065,
          0.06913,
          0.05182,
          0.03727,
          0.02721,
          0.0195,
          0.01432,
          0.01042,
          0.00774,
          0.00573,
          0.00433,
          0.00333,
          0.00255
        ]
      }
    },
    {
      "days": 10,
      "n_eff": 134828.4,
      "hit_rate": 0.4839,
      "control_hit_rate": 0.4799,
      "lift": 0.004,
      "lift_ci95": [
        0.0011,
        0.0069
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.0058,
      "median_change": -0.00187,
      "control_median_change": -0.00156,
      "excess_median": -0.00031,
      "trimmed_mean_change": 0.00202,
      "spread": {
        "p10": -0.0741,
        "p25": -0.0373,
        "p75": 0.037,
        "p90": 0.0825
      },
      "mfe": 0.04,
      "mae": -0.0377,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.0085,
      "interval_includes_zero": false,
      "interval_check": {
        "bootstrap_half_width": 0.0029,
        "analytic_clustered_half_width": 0.00246,
        "wilson_on_n_eff_half_width": 0.00267,
        "ratio_bootstrap_to_analytic": 1.18,
        "ratio_bootstrap_to_wilson_on_rate": 1.088
      },
      "n_eff_raw_design": 18757.8
    },
    {
      "days": 20,
      "n_eff": 136291.7,
      "hit_rate": 0.4989,
      "control_hit_rate": 0.4967,
      "lift": 0.0022,
      "lift_ci95": [
        -0.0009,
        0.0051
      ],
      "lift_ci_method": "cluster_bootstrap_date_block_B10000_BCa",
      "lift_p_value": 0.1412,
      "median_change": 0.0,
      "control_median_change": 0.00083,
      "excess_median": -0.00083,
      "trimmed_mean_change": 0.00611,
      "spread": {
        "p10": -0.1059,
        "p25": -0.0529,
        "p75": 0.0589,
        "p90": 0.1254
      },
      "mfe": 0.061,
      "mae": -0.0559,
      "break_even_hit_rate": 0.5556,
      "break_even_assumptions": {
        "bracket": 0.02,
        "round_trip_cost": 0.002225,
        "impact": 0.0
      },
      "benchmark_median_change": -0.02132,
      "interval_includes_zero": true,
      "interval_check": {
        "bootstrap_half_width": 0.00302,
        "analytic_clustered_half_width": 0.00244,
        "wilson_on_n_eff_half_width": 0.00265,
        "ratio_bootstrap_to_analytic": 1.238,
        "ratio_bootstrap_to_wilson_on_rate": 1.137
      },
      "n_eff_raw_design": 18203.6
    }
  ],
  "gates": [
    {
      "id": "n_eff",
      "label": "Effective sample size",
      "threshold": ">= 100",
      "observed": "132421",
      "passed": true
    },
    {
      "id": "distinct_dates",
      "label": "Distinct event dates",
      "threshold": ">= 60",
      "observed": "3646",
      "passed": true
    },
    {
      "id": "distinct_stocks",
      "label": "Distinct securities",
      "threshold": ">= 25",
      "observed": "2050",
      "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": "4.4%",
      "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": "0.1%",
      "passed": true
    }
  ],
  "multiple_testing": {
    "variants_in_grid": 25,
    "tests_on_site": 1125,
    "bh_fdr_q": 0.1,
    "passes_fdr": true,
    "adjusted_p": 0.00018,
    "raw_p": 0.0001
  },
  "years": [
    {
      "year": 2011,
      "n_eff": 882.1,
      "lift": 0.0118
    },
    {
      "year": 2012,
      "n_eff": 4667.9,
      "lift": 0.0132
    },
    {
      "year": 2013,
      "n_eff": 3958.4,
      "lift": 0.0003
    },
    {
      "year": 2014,
      "n_eff": 5078.4,
      "lift": 0.0223
    },
    {
      "year": 2015,
      "n_eff": 5781.0,
      "lift": 0.0123
    },
    {
      "year": 2016,
      "n_eff": 6604.8,
      "lift": 0.0149
    },
    {
      "year": 2017,
      "n_eff": 9265.2,
      "lift": 0.0226
    },
    {
      "year": 2018,
      "n_eff": 7516.7,
      "lift": -0.0029
    },
    {
      "year": 2019,
      "n_eff": 7135.6,
      "lift": 0.012
    },
    {
      "year": 2020,
      "n_eff": 6319.0,
      "lift": 0.017
    },
    {
      "year": 2021,
      "n_eff": 9764.1,
      "lift": 0.0216
    },
    {
      "year": 2022,
      "n_eff": 10575.6,
      "lift": 0.0031
    },
    {
      "year": 2023,
      "n_eff": 13864.8,
      "lift": 0.0051
    },
    {
      "year": 2024,
      "n_eff": 13127.6,
      "lift": 0.006
    },
    {
      "year": 2025,
      "n_eff": 14140.4,
      "lift": 0.0117
    },
    {
      "year": 2026,
      "n_eff": 7664.8,
      "lift": -0.0099
    }
  ],
  "regimes": [
    {
      "trend": "above",
      "vol_tercile": 1,
      "n_eff": 376.4,
      "lift": 0.0163
    },
    {
      "trend": "above",
      "vol_tercile": 2,
      "n_eff": 396.0,
      "lift": 0.0512
    },
    {
      "trend": "above",
      "vol_tercile": 3,
      "n_eff": 2250.1,
      "lift": 0.0318
    },
    {
      "trend": "below",
      "vol_tercile": 1,
      "n_eff": 47874.0,
      "lift": 0.0083
    },
    {
      "trend": "below",
      "vol_tercile": 2,
      "n_eff": 43536.6,
      "lift": 0.0095
    },
    {
      "trend": "below",
      "vol_tercile": 3,
      "n_eff": 37624.8,
      "lift": 0.0088
    }
  ],
  "robustness": {
    "split_half_same_sign": true,
    "split_half": {
      "first": 0.0132,
      "second": 0.0054
    },
    "years_positive": 14,
    "years_total": 16,
    "non_overlapping_lift": 0.0106,
    "sector_matched_lift": null,
    "cost_adjusted_lift": 0.0065,
    "censoring_worst_case_lift": 0.0076,
    "parameter_grid_median_lift": 0.0087,
    "knife_edge": false,
    "parameter_grid": {
      "axis_a": "lookback",
      "axis_b": "range_cap",
      "cells": [
        {
          "a": 5,
          "b": 0.01,
          "lift": 0.0022,
          "n_eff": 18471.0
        },
        {
          "a": 5,
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          "n_eff": 91908.0
        },
        {
          "a": 5,
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        },
        {
          "a": 5,
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        },
        {
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        },
        {
          "a": 6,
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        },
        {
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        },
        {
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        },
        {
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        },
        {
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        },
        {
          "a": 7,
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        },
        {
          "a": 7,
          "b": 0.015,
          "lift": 0.0069,
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        },
        {
          "a": 7,
          "b": 0.02,
          "lift": 0.0093,
          "n_eff": 172405.0
        },
        {
          "a": 7,
          "b": 0.025,
          "lift": 0.0095,
          "n_eff": 247229.0
        },
        {
          "a": 7,
          "b": 0.03,
          "lift": 0.009,
          "n_eff": 295281.0
        },
        {
          "a": 8,
          "b": 0.01,
          "lift": 0.0025,
          "n_eff": 16969.0
        },
        {
          "a": 8,
          "b": 0.015,
          "lift": 0.0068,
          "n_eff": 78153.0
        },
        {
          "a": 8,
          "b": 0.02,
          "lift": 0.0093,
          "n_eff": 160913.0
        },
        {
          "a": 8,
          "b": 0.025,
          "lift": 0.0101,
          "n_eff": 226650.0
        },
        {
          "a": 8,
          "b": 0.03,
          "lift": 0.0097,
          "n_eff": 267250.0
        },
        {
          "a": 9,
          "b": 0.01,
          "lift": 0.0025,
          "n_eff": 16610.0
        },
        {
          "a": 9,
          "b": 0.015,
          "lift": 0.0063,
          "n_eff": 74751.0
        },
        {
          "a": 9,
          "b": 0.02,
          "lift": 0.0087,
          "n_eff": 150965.0
        },
        {
          "a": 9,
          "b": 0.025,
          "lift": 0.01,
          "n_eff": 209450.0
        },
        {
          "a": 9,
          "b": 0.03,
          "lift": 0.0098,
          "n_eff": 244205.0
        }
      ]
    },
    "entry_delayed_lift": 0.0017,
    "placebo_lift": 0.0031
  },
  "control_seed": 42,
  "control_stats": {
    "events": 172606,
    "events_with_controls": 172606,
    "unmatched": 0,
    "mean_controls_per_event": 18.97
  },
  "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."
}