Strategies · Record

a03-open-displacement-persistence

a0 / a03-open-displacement-persistence @ a0-regression-v1 · code 0c0b1d0

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.1443R) but the top 10 winning trades alone account for 71.4% of total R -- the apparent edge is fragile.

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 next
Mechanism family
Session / time-of-day
a03-open-displacement-persistence
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 applicable
Engine certified
unknown
Execution certified
unknown
Integrity audit
unknown
Shadow verifier
unknown
Technical invalidation
None recorded.

Artifacts

Everything committed for this record
Campaign 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 reason
Intake
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_CONCENTRATEDAggregate expectancy is positive (0.1443R) but the top 10 winning trades alone account for 71.4% of total R -- the apparent edge is fragile.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy is positive (0.1443R) but the top 10 winning trades alone account for 71.4% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here
Screen n (FIXED_2R)
194
Expectancy
+0.144R
Profit factor
1.24
Win rate
38.7%
Total R
28
Max DD
22R
Longest L streak
20
Trades / year
45.6
SplitWindownExpectancyPFMax DD
Discovery—————
Validation—————
Holdout—————

Read from research-output/strategy-lab/campaigns/a0/campaign_state.json

Holdout position

One-shot, sealed, never retried
Eligible
—
Authorised
Not authorised.
Specification frozen
—
Sealed data consumed
No.
Validation data consumed
No.

Lineage

Declared at intake, carrying any prior negative result
Relation to prior work
new independent mechanism

Frozen specification

Snapshotted at intake — not re-read from a live module
Mechanism hypothesis
A strong early-session directional displacement followed by a controlled pullback may retain continuation edge when the initial move reflects persistent directional repricing rather than immediate exhaustion.
Long rule
If net travel over the first 3 closed 5-minute bars after the 09:30 ET open (vs the 09:30 open price) is up and >= 2.5x the pre-open ATR(14,5M), then within the next 6 closed 5-minute bars price retraces between 15% and 50% of the displacement's own range and later closes back above the displacement leg's own high: enter LONG at the next 1-minute bar's open.
Short rule
Symmetric downside displacement, controlled pullback, and a close back below the displacement leg's own low: enter SHORT.
Entry trigger
Three-stage, at most once per ET trading day: (1) decisive 3-bar opening displacement vs pre-open ATR; (2) a pullback reaching [0.15, 0.5] of the displacement's own range within 6 subsequent bars (a pullback exceeding 0.5 invalidates the attempt for the day); (3) a resumption close beyond the displacement leg's own extreme, only after the minimum pullback fraction has been reached.
Earliest executable entry
Next 1-minute bar's open after the resumption-confirming 5-minute bar closes.
Initial stop
The pullback's own most adverse extreme reached before resumption -- if retaken, the persistence thesis is invalidated.
Exit
FIXED_2R only (this seed strategy's declared A0.3 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.
Session restriction
First 45 minutes of RTH (09:30-10:15 ET) — The mechanism is specifically about the opening displacement's own persistence -- it has no meaning outside the open, unlike a session-agnostic mechanism.
Causality
Pre-open ATR is computed only from 5-minute bars strictly before the 09:30 bucket. The displacement leg, pullback tracking, and resumption check each use only bars up to and including the bar being processed, never a later one. Entry is deferred to the bar after the resumption-confirming bar closes. No same-bar entry.
Expected frequency
RARE
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
displacementWindowBars5m = 3 (integer) — 5-minute bars in the opening displacement leg.displacementAtrMultiple = 2.5 (number) — Displacement leg net travel required, as a multiple of pre-open ATR(14,5M).pullbackWindowBars5m = 6 (integer) — 5-minute bars allowed for the controlled-pullback + resumption stage.minPullbackFraction = 0.15 (number) — Minimum required retracement, as a fraction of the displacement leg's own range.maxPullbackFraction = 0.5 (number) — Maximum allowed retracement before the attempt is invalidated as too deep.

Read from research-output/strategy-lab/campaigns/a0/campaign_state.json

History

Every dated event this record appears in, newest first
2026-09-15
a03-open-displacement-persistence@a0-v1 registeredREJECTED · LIGHTNING_SCREEN
[a0] Lightning Screen: Aggregate expectancy is positive (0.1443R) but the top 10 winning trades alone account for 71.4% of total R -- the apparent edge is fragile.
research-output/strategy-lab/experiment_registry.json
2026-09-15
a03-open-displacement-persistence@v1 registeredREJECTED · LIGHTNING_SCREEN
Phase A0.3 seed batch -- REJECTED_CONCENTRATED. Aggregate expectancy is positive (0.1443R) but the top 10 winning trades alone account for 71.4% of total R -- the apparent edge is fragile, riding on a handful of outsized winners rather than a broad-based edge.
research-output/strategy-lab/experiment_registry.json