A12 — Efficiency Ratio Momentum

a1 / a1-efficiency-ratio-momentum @ v1 · code bff0511

campaign strategyHOLDOUT SURVIVED

Survived Holdout but the Final Research Audit flagged unresolved risk(s): Longest observed losing streak 23 trades -- confirm this is tolerable before any further stage.; Holdout expectancy diverges materially from Validation's own -- treat as a fresh, not fully explained, open question..

Lifecycle

completed

Outcome

retired

Phase

Phase A

Research gate

FINAL_AUDIT

Engine

strategy lab

Market

MNQ

Timeframe

MNQ 1-minute OHLC

Side

BOTH

Tracking

Family, lineage and what this record needs next

Mechanism family

Momentum / trend

a1-efficiency-ratio-momentum

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

not passed

Shadow verifier

unknown

Technical invalidation

None recorded.

Note

Longest observed losing streak 23 trades -- confirm this is tolerable before any further stage.

Note

Holdout expectancy diverges materially from Validation's own -- treat as a fresh, not fully explained, open question.

Artifacts

Everything committed for this record

Campaign record (A1)

research-output/strategy-lab/campaigns/a1/campaign_state.json

Holdout artifacts

research-output/strategy-lab/campaigns/a1

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

passed

Robust

passed

Exec/stat

passed

Validation

passed

H-eligible

passed

Holdout

passed

Audit

inconclusive

Closed

inconclusive

INTAKE

Registered into campaign A1 at code version bff0511.

PREREGISTRATION

Pre-test passed: distinct, causal, executable, required data available.

LIGHTNING

SURVIVED_LIGHTNING_SCREENAggregate expectancy 0.0437R (PF=1.067) over 9975 resolved trades, 5/5 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 4.6% (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_SURVIVEDBootstrap CI excludes zero and the edge survives up to 0.5pt adverse slippage.

VALIDATION

VALIDATION_SURVIVEDValidation expectancy 0.0319R holds sign and reasonable magnitude relative to Discovery's 0.0525R.

HOLDOUT ELIGIBILITY

HOLDOUT_ELIGIBLESurvived Lightning Screen, the Robustness Gauntlet, the Execution+Statistical Gate, and the Validation/Walk-Forward Gate against 6509 Discovery and 1830 Validation trades.

HOLDOUT

HOLDOUT_OPENED_ONCEDiscovery: n=6509, expectancy=0.0525R, PF=1.081. Validation: n=1830, expectancy=0.0319R, PF=1.049. Holdout (this run, sealed pre-2022-06-03 bank, stop reason=FORMAL_TARGET_100): n=100, expectancy=0.1300R, PF=1.210.

FINAL AUDIT

a1-efficiency-ratio-momentum@v1: economic credibility=true, statistical credibility=true, executable=true, stable=true, distinct=true. 2 unresolved risk(s) flagged.

CLOSED

RESERVE_RESEARCH_VERSION_REQUIREDSurvived Holdout but the Final Research Audit flagged unresolved risk(s): Longest observed losing streak 23 trades -- confirm this is tolerable before any further stage.; Holdout expectancy diverges materially from Validation's own -- treat as a fresh, not fully explained, open question..

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

9,975

Expectancy

+0.044R

Profit factor

1.07

Win rate

34.9%

Total R

436

Max DD

86R

Longest L streak

Trades / year

2325.6

Split	Window	n	Expectancy	PF	Max DD
Discovery	2022-06-03..2025-03-31	6,509	+0.053R	1.08	72R
Validation	2025-04-01..2025-12-31	1,830	+0.032R	1.05	72R
Holdout	sealed bank slice	100	+0.130R	1.21	9R

Discovery → Validation

Expectancy degradation +0.021R (positive means Validation came in weaker than Discovery).

Bootstrap CI

95% CI +0.014R .. +0.075R · P(expectancy > 0) = 100%

Winner concentration

Top 5 2.3% · top 10 4.6% · top 20 9.2% of total R.

Leave-one-year-out

No sign flip when any single year is removed.

Holdout vs prior evidence

Discovery: n=6509, expectancy=0.0525R, PF=1.081. Validation: n=1830, expectancy=0.0319R, PF=1.049. Holdout (this run, sealed pre-2022-06-03 bank, stop reason=FORMAL_TARGET_100): n=100, expectancy=0.1300R, PF=1.210.

Read from research-output/strategy-lab/campaigns/a1/campaign_state.json

Holdout position

One-shot, sealed, never retried

Eligible

Yes — the campaign recorded Holdout eligibility.

Authorised

Yes, 2026-09-15 23:40Z

Authorised by

AJ <meatham07@gmail.com> -- explicit chat authorization, trade-count-based deterministic Holdout consumption policy, 2026-09-15

Specification frozen

Fully frozen before the Holdout was opened.

Sealed data consumed

Yes — this Holdout is spent and can never be re-run.

Slice consumed

2019-05-05 22:03Z → 2019-05-21 11:25Z · 14,738 bars · 100 trades · stop reason FORMAL_TARGET_100

Preserved unused

1,065,143 sealed bars left for later strategies.

Validation data consumed

Yes.

Read from research-output/strategy-lab/campaigns/a1/A12_HOLDOUT_LEDGER.json · research-output/strategy-lab/campaigns/a1/A12_HOLDOUT_RESULT_REPORT.json

Lineage

Declared at intake, carrying any prior negative result

Relation to prior work

new independent mechanism

Descendants

a2-failed-trend-persistence a2-a12-short-efficiency-ratio-momentum

Frozen specification

Snapshotted at intake — not re-read from a live module

Mechanism hypothesis

When price has recently moved with unusually high directional efficiency and low path noise, short-horizon continuation persists.

Long rule

On a closed 5-minute bar i, compute efficiency ratio = |close[i] - close[i-12]| / sum(|close[k]-close[k-1]|) for k in (i-12, i]. If efficiency >= 0.6 AND close[i] > close[i-12] (net displacement up): enter LONG (continuation) at the next 1-minute bar's open.

Short rule

Same efficiency condition with close[i] < close[i-12] (net displacement down): enter SHORT.

Entry trigger

Efficiency ratio over a fixed 12-bar (5-minute) lookback crosses above 0.6, edge-detected: re-armed only once efficiency is next observed below threshold, then above again, on a later closed 5-minute bar.

Earliest executable entry

Next 1-minute bar's open after the triggering 5-minute bar closes.

Initial stop

1.5x ATR(14, 5-minute, computed only from closed bars strictly before the trigger bar) placed on the adverse side of the entry price -- there is no structural level intrinsic to this mechanism, so the stop is a fixed, pre-registered volatility multiple rather than an optimized or discretionary level.

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 efficiency ratio at bar i uses only closed 5-minute bars up to and including bar i itself (a standard lagging descriptive statistic, knowable the instant bar i closes -- no future bar is ever read). The ATR used for the stop is computed only from bars strictly before the trigger bar. Entry is deferred to the next 1-minute bar's open after the trigger bar closes. No same-bar entry.

Expected frequency

MODERATE

Required data

MNQ 1-minute OHLC

Campaign data window

MNQ 2022-06-03..2026-09-15

Parameters

lookbackBars5m = 12 (integer) — 5-minute bars over which the efficiency ratio is computed.efficiencyThreshold = 0.6 (number) — Efficiency ratio must be at or above this value to trigger.atrLength5m = 14 (integer) — 5-minute ATR lookback used for the fixed-multiple stop.stopAtrMultiple = 1.5 (number) — Stop distance as a multiple of the 5-minute ATR.

Read from research-output/strategy-lab/campaigns/a1/campaign_state.json

History

Every dated event this record appears in, newest first

2026-09-15

Holdout result recorded for a1-efficiency-ratio-momentumRESERVE_RESEARCH_VERSION_REQUIRED

100 trades consumed · stop reason FORMAL_TARGET_100 · 1,065,143 sealed bars preserved unused · Survived Holdout but the Final Research Audit flagged unresolved risk(s): Longest observed losing streak 23 trades -- confirm this is tolerable before any further stage.; Holdout expectancy diverges materially from Validation's own -- treat as a fresh, not fully explained, open question..

research-output/strategy-lab/campaigns/a1/A12_HOLDOUT_RESULT_REPORT.json

2026-09-15

One-shot sealed Holdout authorised for a1-efficiency-ratio-momentum

AJ <meatham07@gmail.com> -- explicit chat authorization, trade-count-based deterministic Holdout consumption policy, 2026-09-15

research-output/strategy-lab/campaigns/a1/campaign_state.json

2026-09-15

Sealed Holdout slice assigned to a1-efficiency-ratio-momentum

Evaluated chronologically forward from 2019-05-05T22:03:00.000Z, frozen before evaluation.

research-output/strategy-lab/campaigns/a1/A12_HOLDOUT_LEDGER.json

2026-09-15

a1-efficiency-ratio-momentum@a1-v1 registeredACTIVE_RESEARCH · HOLDOUT

[a1] Holdout-eligible but awaiting explicit human authorization -- automatic routing stops here per spec Sec. A#.6, never opens Holdout on its own.

research-output/strategy-lab/experiment_registry.json

Future hypothesis notes

Diagnostic observations only — they may never rescue or retune this strategy

2026-09-15 23:57Z

Long/short divergence observed consistently across Discovery, Validation, and the Holdout: short-side expectancy positive throughout (Holdout: short n=58, expectancy +0.534R, total +31R), long-side expectancy negative or materially weaker (Holdout: long n=42, expectancy -0.429R, total -18R). Recorded as a FUTURE_HYPOTHESIS candidate -- 'A12-SHORT efficiency-ratio momentum' (a short-only variant of the efficiency-ratio-momentum mechanism) -- for a LATER, separately preregistered campaign to test explicitly. This note does not alter, retune, or re-test a1-efficiency-ratio-momentum/v1 itself, and no new version has been created or run.