a1-bar-overlap-regime-break
a1 / a1-bar-overlap-regime-break @ v1 · code bff0511
campaign strategyREJECTED
Execution+Statistical Gate: Bootstrap 95% CI [-0.0016, 0.1083]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
Lifecycle
completed
Outcome
fail
Phase
Phase A
Research gate
EXECUTION_STAT
Engine
strategy lab
Market
MNQ
Timeframe
MNQ 1-minute OHLC
Side
BOTH
Tracking
Family, lineage and what this record needs nextMechanism family
Regime-conditioned
a1-bar-overlap-regime-break
Mechanism parent
a03-vol-contraction-expansion
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 (A1)
research-output/strategy-lab/campaigns/a1/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
passed
Robust
passed
Exec/stat
failed
Validation
—
H-eligible
—
Holdout
—
Audit
—
Closed
failed
INTAKE
Registered into campaign A1 at code version bff0511.
PREREGISTRATION
Pre-test passed: distinct, causal, executable, required data available.
LIGHTNING
SURVIVED_LIGHTNING_SCREENAggregate expectancy 0.0508R (PF=1.079) over 2441 resolved trades, 4/5 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 16.1% (below the 50% concentration flag). Survives the Lightning Screen -- NOT validated.
ROBUSTNESS
ROBUSTNESS_SURVIVEDNo single-year dependence, no severe winner concentration (no preregistered neighborhood declared).
EXECUTION STAT
EXECUTION_STAT_FAIL_CI_INCLUDES_ZEROBootstrap 95% CI [-0.0016, 0.1083]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
CLOSED
REJECTEDExecution+Statistical Gate: Bootstrap 95% CI [-0.0016, 0.1083]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
Evidence recorded
Quoted from the campaign record — never recomputed hereScreen n (FIXED_2R)
2,441
Expectancy
+0.051R
Profit factor
1.08
Win rate
35.6%
Total R
124
Max DD
75R
Longest L streak
15
Trades / year
569.1
| Split | Window | n | Expectancy | PF | Max DD |
|---|---|---|---|---|---|
| Discovery | — | — | — | — | — |
| Validation | — | — | — | — | — |
| Holdout | — | — | — | — | — |
Bootstrap CI
95% CI -0.002R .. +0.108R · P(expectancy > 0) = 97%
Winner concentration
Top 5 8.1% · top 10 16.1% · top 20 32.3% of total R.
Leave-one-year-out
No sign flip when any single year is removed.
Read from research-output/strategy-lab/campaigns/a1/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
experimental descendant
Note
Shares A03's broad causal shape (compression regime -> transition to decisive displacement -> continuation), measured via bar-to-bar range-overlap fraction instead of a short/long ATR ratio. Classified as a descendant rather than independent given genuine uncertainty about candidate-population overlap with A03, not because the calculation is identical.
Frozen specification
Snapshotted at intake — not re-read from a live moduleMechanism hypothesis
A transition from heavy short-horizon bar overlap/chop into low-overlap directional expansion predicts continuation.
Long rule
On a closed 5-minute bar i: if the average adjacent-bar range-overlap fraction over the 10 closed 5-minute bars strictly before i is >= 0.5 (a high-overlap compression regime), AND bar i's own overlap with bar i-1 is <= 0.15 (a sharp drop in overlap), AND bar i's own range >= 1.5x ATR(14) computed over the 14 closed 5-minute bars strictly before i, AND bar i closes above its open (bullish): enter LONG (continuation) at the next 1-minute bar's open.
Short rule
Same overlap-regime-transition + expansion condition, with bar i closing below its open (bearish): enter SHORT.
Entry trigger
High-overlap-regime-to-low-overlap directional expansion on a closed 5-minute bar, edge-detected: re-armed only once the high-overlap regime condition 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 (transition) bar closes.
Initial stop
The transition bar's OWN opposite extreme: low of the transition bar for a long entry, high of the transition bar for a short entry.
Exit
FIXED_2R only (this seed strategy's declared A1 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.
Causality
The high-overlap-regime average is computed only from closed 5-minute bars STRICTLY PRECEDING the trigger bar, and the ATR used for the expansion-magnitude check is likewise computed only from bars strictly before the trigger bar -- the trigger bar's own range never contaminates either baseline it is measured against. Entry is deferred to the next 1-minute bar's open after the trigger bar closes. No same-bar entry.
Expected frequency
LOW
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
overlapWindowBars5m = 10 (integer) — 5-minute bars over which the high-overlap-regime average is computed.highOverlapThreshold = 0.5 (number) — Average overlap fraction over the window must be at or above this to count as a compression regime.lowOverlapThreshold = 0.15 (number) — The trigger bar's own overlap with the prior bar must be at or below this.atrLength5m = 14 (integer) — 5-minute ATR lookback for the expansion-magnitude requirement.expansionAtrMultiple = 1.5 (number) — The trigger bar's own range must be at least this multiple of the preceding ATR.
Read from research-output/strategy-lab/campaigns/a1/campaign_state.json
History
Every dated event this record appears in, newest first2026-09-15
a1-bar-overlap-regime-break@a1-v1 registeredREJECTED · EXECUTION_STAT
[a1] Execution+Statistical Gate: Bootstrap 95% CI [-0.0016, 0.1083]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
research-output/strategy-lab/experiment_registry.json