a03-mean-distance-reversion
a0 / a03-mean-distance-reversion @ a0-regression-v1 · code 0c0b1d0
campaign strategyREJECTED
Lightning Screen: Aggregate expectancy -0.0457R over 5532 resolved trades is negative/flat (PF=0.933), with 5/5 qualifying years (n>=15) agree with the aggregate sign.
Lifecycle
completed
Outcome
fail
Phase
Phase A
Research gate
LIGHTNING
Engine
strategy lab
Market
MNQ
Timeframe
MNQ 1-minute OHLC
Side
BOTH
Tracking
Family, lineage and what this record needs nextMechanism family
Mean reversion
a03-mean-distance-reversion
Mechanism parent
None declared.
Phase detail
Scientific validation lane (Phase A).
Next required test
None — this record is complete.
Integrity & certification
Signals as recorded; NOT_PASSED means not passed or not applicableEngine certified
unknown
Execution certified
unknown
Integrity audit
unknown
Shadow verifier
unknown
Technical invalidation
None recorded.
Artifacts
Everything committed for this recordCampaign record (A0)
research-output/strategy-lab/campaigns/a0/campaign_state.json
Stage ladder
Each cell carries the campaign runner's own classification label — hover for the verdict and its reasonIntake
passed
Pre-reg
passed
Lightning
failed
Robust
—
Exec/stat
—
Validation
—
H-eligible
—
Holdout
—
Audit
—
Closed
failed
INTAKE
Registered into campaign A0 at code version 0c0b1d0.
PREREGISTRATION
Pre-test passed: distinct, causal, executable, required data available.
LIGHTNING
REJECTED_CLEARLY_NEGATIVEAggregate expectancy -0.0457R over 5532 resolved trades is negative/flat (PF=0.933), with 5/5 qualifying years (n>=15) agree with the aggregate sign.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy -0.0457R over 5532 resolved trades is negative/flat (PF=0.933), with 5/5 qualifying years (n>=15) agree with the aggregate sign.
Evidence recorded
Quoted from the campaign record — never recomputed hereScreen n (FIXED_2R)
5,532
Expectancy
-0.046R
Profit factor
0.93
Win rate
31.8%
Total R
-253
Max DD
301R
Longest L streak
25
Trades / year
1292.2
| Split | Window | n | Expectancy | PF | Max DD |
|---|---|---|---|---|---|
| Discovery | — | — | — | — | — |
| Validation | — | — | — | — | — |
| Holdout | — | — | — | — | — |
Read from research-output/strategy-lab/campaigns/a0/campaign_state.json
Holdout position
One-shot, sealed, never retriedEligible
—
Authorised
Not authorised.
Specification frozen
—
Sealed data consumed
No.
Validation data consumed
No.
Lineage
Declared at intake, carrying any prior negative resultRelation to prior work
new independent mechanism
Descendants
Frozen specification
Snapshotted at intake — not re-read from a live moduleMechanism hypothesis
Extreme short-term displacement away from a causal intraday mean may create normalization/reversion when price becomes unusually extended relative to recent volatility.
Long rule
A 1-minute bar's close reaches <= -2.5 session-VWAP standard deviations (extreme downside extension). The NEXT 1-minute bar must both (a) not make a new low below the extreme bar's own low, and (b) close with a smaller-magnitude deviation than the extreme bar (evidence of stabilization). If both hold, enter LONG at the following bar's open.
Short rule
Symmetric: an extreme upside extension (>= +2.5 sigma) followed by a stabilizing next bar (no new high, smaller-magnitude deviation) enters SHORT.
Entry trigger
Two-stage: (1) extreme session-VWAP-sigma extension on bar N: |dev| >= 2.5. (2) stabilization confirmation on bar N+1: no new price extreme in the extension direction AND |dev(N+1)| < |dev(N)|. A threshold touch with no confirmed stabilization is never traded.
Earliest executable entry
Next 1-minute bar's open after the stabilization-confirming bar (N+1) closes -- i.e. bar N+2's open.
Initial stop
The extreme bar's (N) own high (for a short) or low (for a long) -- the most extended point reached before stabilization began.
Exit
FIXED_2R only (this seed strategy's declared A0.3 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.
Causality
CausalVwapTracker.update(bar) only ever folds in the bar just passed (no lookahead); the extreme-bar and stabilization checks each use only that bar's own close/high/low as of its own close. Entry is deferred two full bars past the extreme bar (the stabilization-confirming bar's own next bar's open), never same-bar. No same-bar entry.
Expected frequency
LOW
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
extensionThresholdStdev = 2.5 (number) — Session-VWAP standard deviations required to qualify as an extreme extension.
Read from research-output/strategy-lab/campaigns/a0/campaign_state.json
History
Every dated event this record appears in, newest first2026-09-15
a03-mean-distance-reversion@a0-v1 registeredREJECTED · LIGHTNING_SCREEN
[a0] Lightning Screen: Aggregate expectancy -0.0457R over 5532 resolved trades is negative/flat (PF=0.933), with 5/5 qualifying years (n>=15) agree with the aggregate sign.
research-output/strategy-lab/experiment_registry.json
2026-09-15
a03-mean-distance-reversion@v1 registeredREJECTED · LIGHTNING_SCREEN
Phase A0.3 seed batch -- REJECTED_CLEARLY_NEGATIVE. Aggregate expectancy -0.0457R over 5532 resolved trades is negative/flat (PF=0.933), with 5/5 qualifying years (n>=15) agree with the aggregate sign.
research-output/strategy-lab/experiment_registry.json