a03-overnight-rth-transition
a0 / a03-overnight-rth-transition @ a0-regression-v1 · code 0c0b1d0
campaign strategyREJECTED
Lightning Screen: Aggregate expectancy is positive (0.0579R) but the top 10 winning trades alone account for 145.2% 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 nextMechanism family
Overnight / prior-day structure
a03-overnight-rth-transition
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_CONCENTRATEDAggregate expectancy is positive (0.0579R) but the top 10 winning trades alone account for 145.2% of total R -- the apparent edge is fragile.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy is positive (0.0579R) but the top 10 winning trades alone account for 145.2% of total R -- the apparent edge is fragile.
Evidence recorded
Quoted from the campaign record — never recomputed hereScreen n (FIXED_2R)
238
Expectancy
+0.058R
Profit factor
1.09
Win rate
36.6%
Total R
14
Max DD
16R
Longest L streak
11
Trades / year
55.7
| 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
The relationship between overnight positioning/range location and the early regular-session response may contain predictive information that differs from simply trading an overnight-range breakout.
Long rule
If the overnight session (18:00 ET-09:30 ET) net displacement is DOWN and covers >= 50% of the overnight range's own width (a trending overnight), AND the 09:30 RTH open prints in the bottom third of that range (openLocation <= 0.33299999999999996), AND within the next 3 closed 5-minute bars price never makes a new low beyond the open bucket's own low and instead closes back ABOVE the RTH open price: enter LONG (fading the overnight downtrend) at the next 1-minute bar's open.
Short rule
Symmetric: an UP-trending overnight with the RTH open in the top third of the range, followed by an early rejection (no new high, close back below the RTH open price) within 3 bars, enters SHORT.
Entry trigger
Single frozen definition, at most once per ET trading day, armed only at the 09:30 RTH-open bucket: overnight trend-fraction + extreme open-location gate, then an early-RTH rejection-of-continuation confirmation within 3 closed 5-minute bars (any new extreme in the overnight-trend direction during the window invalidates the setup instead).
Earliest executable entry
Next 1-minute bar's open after the rejection-confirming 5-minute bar closes.
Initial stop
The most extreme point reached (in the overnight-trend direction) during the whole 09:30-open-through-rejection-confirmation window -- if retaken, the rejection 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 15 minutes of RTH (09:30-09:45 ET), gated by an overnight (18:00-09:30 ET) precondition — The mechanism is specifically about the overnight-to-RTH transition -- it has no meaning outside that window.
Causality
The overnight accumulator only ever folds in bars strictly before the 09:30 RTH-open bucket and is read (never further updated) once that bucket closes. The rejection window uses only bars up to and including the bar being processed. Entry is deferred to the bar after the rejection-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
overnightTrendFractionThreshold = 0.5 (number) — Overnight net displacement must cover at least this fraction of the overnight range's own width to count as trending.openLocationExtremeThreshold = 0.667 (number) — The RTH open must print in the extreme third (this fraction, or its complement) of the overnight range, same side as the overnight trend.rejectionWindowBars5m = 3 (integer) — 5-minute bars allowed for the early-RTH rejection confirmation.
Read from research-output/strategy-lab/campaigns/a0/campaign_state.json
History
Every dated event this record appears in, newest first2026-09-15
a03-overnight-rth-transition@a0-v1 registeredREJECTED · LIGHTNING_SCREEN
[a0] Lightning Screen: Aggregate expectancy is positive (0.0579R) but the top 10 winning trades alone account for 145.2% of total R -- the apparent edge is fragile.
research-output/strategy-lab/experiment_registry.json
2026-09-15
a03-overnight-rth-transition@v1 registeredREJECTED · LIGHTNING_SCREEN
Phase A0.3 seed batch -- REJECTED_CONCENTRATED. Aggregate expectancy is positive (0.0579R) but the top 10 winning trades alone account for 145.2% 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