{
  "series_id": "drv.event_reaction.daily",
  "label": "公表日の値動きの記録（日足）",
  "layer": 1,
  "source_class": "DERIVED",
  "unit": "percent",
  "cadence": "event",
  "rule_id": "fx.event_reaction@1",
  "rule_definition": "公表時刻を America/New_York に変換し、17:00未満ならその日付の足、17:00以上なら翌日付の足に割り当てる。該当日付の足が無い場合は次の足へ繰り越す。公表から足が閉じるまでの時間を post_hours_in_candle として併記する。",
  "rule_scope": "本記録は、当該公表があった日に価格がどう動いたかを述べるものであり、値動きをその公表に帰属させるものではない。同じ日には他の材料も含まれる。",
  "caveat": "当所は日足のみを保持するため、公表直後の分単位の動きは分離できない。post_hours_in_candle が小さい公表では、反応の多くが翌営業日の足に入る。どの窓を見るかは利用者が判断できるよう、当日と翌営業日の両方を記録する。",
  "why": "「重要度★★★」は誰かの判断であり、当所は出さないと定めている。代わりに、公表日に価格がどう動いたかの記録を出す。どのイベントを重視するかは利用者が決める。",
  "ordering_rule": "規則ごとの集計は rule_id の昇順で並べる。値の大きさで並べ替えると、それは重要度の順位付けになる（会則第15条）。",
  "coverage": {
    "included": [
      "cftc.cot.weekly",
      "mof.intervention.*",
      "event.*（告知済みの日程）"
    ],
    "included_reason": "CFTCは公表規則から履歴を完全に再構成できる（毎週金曜15:30 ET）。介入は財務省が実施日そのものを公表しているため再構成が不要である。ただし介入の実施時刻は公表されないため、実施日の東京9:00を仮の基準とし、release_at_method は unknown とする。post_hours_in_candle はこの仮定に依存する。",
    "not_included": [
      "米CPI",
      "米雇用統計",
      "FOMC",
      "日銀会合",
      "日本GDP",
      "日本CPI"
    ],
    "not_included_reason": "これらは公表元が個別に告知する日程であり、当所は過去の公表日時の一覧を保持していない。公表日を推測して並べると、記録ではなく推測になる。公表日時の一覧を一次ソースから整備した時点で対象に加える。"
  },
  "code_sha256": "47c3146192868fe3799a0e90d2af989d5a20471108b1b87b86303b3fbb4dc180",
  "code_commit": null,
  "inputs": [
    {
      "series": "obs.usdjpy.close.daily",
      "source_class": "MARKET_OBSERVATION",
      "provider": "OANDA",
      "daily_cutoff": "17:00",
      "candle_timezone": "America/New_York",
      "label_convention": "終値の日付でラベル。ラベルDの足は17:00(D-1)〜17:00(D)"
    },
    {
      "series": "cftc.legacy.jpy.noncomm_net",
      "source_class": "OFFICIAL_PUBLIC",
      "publisher": "CFTC",
      "used_for": "publisher_release_at"
    }
  ],
  "latest": {
    "record_id": "drv.event_reaction.daily:2026-08-21:r0:695610bda81a",
    "rule_id": "cftc.cot.weekly",
    "name": "CFTC 建玉報告（Commitments of Traders）",
    "publisher": "CFTC",
    "category": "CFTC",
    "release_at": "2026-08-21T15:30:00-04:00",
    "release_at_method": "rule_derived",
    "source_observation_date": "2026-08-18",
    "candle_date": "2026-08-21",
    "post_hours_in_candle": 1.5,
    "observation_date": "2026-08-21",
    "observation_precision": "date",
    "publisher_release_at": "2026-08-21T15:30:00-04:00",
    "release_rule_id": "cftc.cot.weekly",
    "source_first_seen_at": null,
    "ingested_at": "2026-09-01T13:43:44.067Z",
    "close_prev": "159.069",
    "close": "158.982",
    "ret_pct": "-0.055",
    "range_pct": "0.490",
    "status": "ORIGINAL",
    "revision_seq": 0,
    "supersedes_record_id": null
  },
  "by_rule": {
    "cftc.cot.weekly": {
      "n": 399,
      "post_hours_in_candle": 1.5,
      "event_day": {
        "abs_return": {
          "n": 399,
          "mean": 0.416,
          "median": 0.283,
          "p90": 1.009
        },
        "range": {
          "n": 399,
          "mean": 0.815,
          "median": 0.656,
          "p90": 1.59
        }
      },
      "next_day": {
        "abs_return": {
          "n": 398,
          "mean": 0.365,
          "median": 0.255,
          "p90": 0.829
        }
      },
      "baseline_all_days": {
        "abs_return": {
          "n": 2241,
          "mean": 0.385,
          "median": 0.276,
          "p90": 0.856
        },
        "range": {
          "n": 2241,
          "mean": 0.765,
          "median": 0.638,
          "p90": 1.3
        }
      },
      "ratio_vs_baseline": {
        "abs_return": 1.08,
        "range": 1.07
      },
      "difference_test": {
        "t": 1.296,
        "df": 518.0,
        "significant_at_5pct": false,
        "method": "Welch の t 検定（等分散を仮定しない）",
        "note": "|t| が 1.96 未満のとき、公表日と通常日の差は統計的に有意とは言えない。有意でないこともまた観測である。"
      }
    },
    "mof.intervention.buy_jpy": {
      "n": 10,
      "post_hours_in_candle": 21.0,
      "event_day": {
        "abs_return": {
          "n": 10,
          "mean": 1.298,
          "median": 1.204,
          "p90": 2.385
        },
        "range": {
          "n": 10,
          "mean": 2.735,
          "median": 2.995,
          "p90": 3.854
        }
      },
      "next_day": {
        "abs_return": {
          "n": 10,
          "mean": 0.561,
          "median": 0.567,
          "p90": 0.934
        }
      },
      "baseline_all_days": {
        "abs_return": {
          "n": 2241,
          "mean": 0.385,
          "median": 0.276,
          "p90": 0.856
        },
        "range": {
          "n": 2241,
          "mean": 0.765,
          "median": 0.638,
          "p90": 1.3
        }
      },
      "ratio_vs_baseline": {
        "abs_return": 3.37,
        "range": 3.58
      },
      "difference_test": {
        "t": 4.149,
        "df": 9.0,
        "significant_at_5pct": true,
        "method": "Welch の t 検定（等分散を仮定しない）",
        "note": "|t| が 1.96 未満のとき、公表日と通常日の差は統計的に有意とは言えない。有意でないこともまた観測である。"
      }
    }
  },
  "quotation_rule": "値動きを当該公表に帰属させて引用しないこと。post_hours_in_candle を落として引用しないこと。日足では公表直後の動きを分離できない。",
  "output_sha256": "17ec3ad69346a5286a8849916e541bd189c663b47a1e48f3bf2e2624bf0cdbfd",
  "generated_at": "2026-09-01T13:43:44Z",
  "observations_recent": [
    {
      "record_id": "drv.event_reaction.daily:2026-08-21:r0:695610bda81a",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-08-21T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-08-18",
      "candle_date": "2026-08-21",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-08-21",
      "observation_precision": "date",
      "publisher_release_at": "2026-08-21T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "159.069",
      "close": "158.982",
      "ret_pct": "-0.055",
      "range_pct": "0.490",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null
    },
    {
      "record_id": "drv.event_reaction.daily:2026-08-14:r0:ce030eae1943",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-08-14T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-08-11",
      "candle_date": "2026-08-14",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-08-14",
      "observation_precision": "date",
      "publisher_release_at": "2026-08-14T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "159.518",
      "close": "159.321",
      "ret_pct": "-0.123",
      "range_pct": "0.587",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-08-17",
      "next_ret_pct": "0.093",
      "next_range_pct": "0.472"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-08-07:r0:8aa75db1d5b3",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-08-07T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-08-04",
      "candle_date": "2026-08-07",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-08-07",
      "observation_precision": "date",
      "publisher_release_at": "2026-08-07T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "158.462",
      "close": "157.805",
      "ret_pct": "-0.415",
      "range_pct": "1.205",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-08-10",
      "next_ret_pct": "0.952",
      "next_range_pct": "1.102"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-07-31:r0:21df4904cbd4",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-07-31T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-07-28",
      "candle_date": "2026-07-31",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-07-31",
      "observation_precision": "date",
      "publisher_release_at": "2026-07-31T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "159.547",
      "close": "157.452",
      "ret_pct": "-1.313",
      "range_pct": "2.262",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-08-03",
      "next_ret_pct": "-0.163",
      "next_range_pct": "1.691"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-07-24:r0:2d0f9c0f78c5",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-07-24T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-07-21",
      "candle_date": "2026-07-24",
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      "observation_precision": "date",
      "publisher_release_at": "2026-07-24T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
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      "close": "163.850",
      "ret_pct": "-0.011",
      "range_pct": "0.179",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-07-27",
      "next_ret_pct": "-0.063",
      "next_range_pct": "0.286"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-07-17:r0:2f5aa14b41c9",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-07-17T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-07-14",
      "candle_date": "2026-07-17",
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      "publisher_release_at": "2026-07-17T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
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      "close": "162.414",
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      "supersedes_record_id": null,
      "next_date": "2026-07-20",
      "next_ret_pct": "0.056",
      "next_range_pct": "0.248"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-07-10:r0:008fc4436c9b",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-07-10T15:30:00-04:00",
      "release_at_method": "rule_derived",
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      "candle_date": "2026-07-10",
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      "observation_date": "2026-07-10",
      "observation_precision": "date",
      "publisher_release_at": "2026-07-10T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
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      "range_pct": "0.713",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-07-13",
      "next_ret_pct": "0.469",
      "next_range_pct": "0.500"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-07-03:r0:5bd452a9b8e6",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-07-03T15:30:00-04:00",
      "release_at_method": "rule_derived",
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      "candle_date": "2026-07-03",
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      "observation_date": "2026-07-03",
      "observation_precision": "date",
      "publisher_release_at": "2026-07-03T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "161.121",
      "close": "161.383",
      "ret_pct": "0.163",
      "range_pct": "0.648",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-07-06",
      "next_ret_pct": "0.442",
      "next_range_pct": "0.702"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-06-26:r0:25a6d5f36e69",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-06-26T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-06-23",
      "candle_date": "2026-06-26",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-06-26",
      "observation_precision": "date",
      "publisher_release_at": "2026-06-26T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "161.804",
      "close": "161.750",
      "ret_pct": "-0.033",
      "range_pct": "0.195",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-06-29",
      "next_ret_pct": "0.120",
      "next_range_pct": "0.163"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-06-19:r0:7655be77d30e",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-06-19T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-06-16",
      "candle_date": "2026-06-19",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-06-19",
      "observation_precision": "date",
      "publisher_release_at": "2026-06-19T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "161.410",
      "close": "161.310",
      "ret_pct": "-0.062",
      "range_pct": "0.293",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-06-22",
      "next_ret_pct": "0.180",
      "next_range_pct": "0.531"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-06-12:r0:834aaa5cd380",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-06-12T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-06-09",
      "candle_date": "2026-06-12",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-06-12",
      "observation_precision": "date",
      "publisher_release_at": "2026-06-12T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "159.970",
      "close": "160.228",
      "ret_pct": "0.161",
      "range_pct": "0.285",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-06-15",
      "next_ret_pct": "0.080",
      "next_range_pct": "0.411"
    },
    {
      "record_id": "drv.event_reaction.daily:2026-06-05:r0:63461598c58a",
      "rule_id": "cftc.cot.weekly",
      "name": "CFTC 建玉報告（Commitments of Traders）",
      "publisher": "CFTC",
      "category": "CFTC",
      "release_at": "2026-06-05T15:30:00-04:00",
      "release_at_method": "rule_derived",
      "source_observation_date": "2026-06-02",
      "candle_date": "2026-06-05",
      "post_hours_in_candle": 1.5,
      "observation_date": "2026-06-05",
      "observation_precision": "date",
      "publisher_release_at": "2026-06-05T15:30:00-04:00",
      "release_rule_id": "cftc.cot.weekly",
      "source_first_seen_at": null,
      "ingested_at": "2026-09-01T13:43:44.067Z",
      "close_prev": "160.028",
      "close": "160.317",
      "ret_pct": "0.181",
      "range_pct": "0.386",
      "status": "ORIGINAL",
      "revision_seq": 0,
      "supersedes_record_id": null,
      "next_date": "2026-06-08",
      "next_ret_pct": "-0.087",
      "next_range_pct": "0.346"
    }
  ],
  "full": "/api/v0/series/drv.event_reaction.daily/full.json"
}