a03-vol-contraction-expansion
a0 / a03-vol-contraction-expansion @ a0-regression-v1 · code 0c0b1d0
campaign strategyREJECTED
Lightning Screen: Aggregate expectancy is positive (0.0515R) but the top 10 winning trades alone account for 133.3% 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
Volatility expansion / contraction
a03-vol-contraction-expansion
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 (0.0515R) but the top 10 winning trades alone account for 133.3% of total R -- the apparent edge is fragile.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy is positive (0.0515R) but the top 10 winning trades alone account for 133.3% of total R -- the apparent edge is fragile.
Evidence recorded
Quoted from the campaign record — never recomputed hereScreen n (FIXED_2R)
291
Expectancy
+0.052R
Profit factor
1.08
Win rate
35.1%
Total R
15
Max DD
17R
Longest L streak
12
Trades / year
68.2
| 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
Frozen specification
Snapshotted at intake — not re-read from a live moduleMechanism hypothesis
Short-term volatility compression followed by a decisive directional expansion can create continuation because previously compressed order flow is released and price discovery persists briefly after breakout.
Long rule
On a closed 5-minute bar i, if ATR(7) computed over the 7 closed 5m bars strictly before i is <= 0.65x ATR(28) computed over the 28 closed 5m bars strictly before i (compression), AND bar i's own high-low range >= 2x that same long ATR (decisive expansion), AND bar i closed above its open (bullish expansion bar): enter LONG (continuation) at the next 1-minute bar's open.
Short rule
Same compression + expansion condition, with bar i closing below its open (bearish expansion bar): enter SHORT (continuation) at the next 1-minute bar's open.
Entry trigger
Compression-gated decisive expansion on a closed 5-minute bar, edge-detected: re-armed only once compression is next observed false, then true again, on a later closed 5-minute bar.
Earliest executable entry
Next 1-minute bar's open after the triggering 5-minute (expansion) bar closes.
Initial stop
The expansion bar's OWN opposite extreme: low of the expansion bar for a long entry, high of the expansion bar for a short entry (a continuation trade should not give back the entire expansion bar).
Exit
FIXED_2R only (this seed strategy's declared A0.3 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop, identical convention to every other Strategy Lab module.
Causality
Both ATR values used to classify a bar as compressed/expansive are computed only from closed 5-minute bars STRICTLY PRECEDING that bar (never including the bar itself), so the candidate bar's own range can never contaminate the baseline it is measured against. Entry is deferred to the following 1-minute bar's open, never the trigger bar itself. No same-bar entry.
Expected frequency
LOW
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
shortAtrLength5m = 7 (integer) — Short-term ATR lookback in 5-minute bars, used for the compression measure.longAtrLength5m = 28 (integer) — Longer-term baseline ATR lookback in 5-minute bars.compressionRatioThreshold = 0.65 (number) — Compression requires shortAtr/longAtr <= this value.expansionAtrMultiple = 2 (number) — Decisive-expansion requires the trigger bar's own range >= this multiple of longAtr.
Read from research-output/strategy-lab/campaigns/a0/campaign_state.json
History
Every dated event this record appears in, newest first2026-09-15
a03-vol-contraction-expansion@a0-v1 registeredREJECTED · LIGHTNING_SCREEN
[a0] Lightning Screen: Aggregate expectancy is positive (0.0515R) but the top 10 winning trades alone account for 133.3% of total R -- the apparent edge is fragile.
research-output/strategy-lab/experiment_registry.json
2026-09-15
a03-vol-contraction-expansion@v1 registeredREJECTED · LIGHTNING_SCREEN
Phase A0.3 seed batch -- REJECTED_CONCENTRATED. Aggregate expectancy is positive (0.0515R) but the top 10 winning trades alone account for 133.3% 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