a1-prior-day-closing-strength-continuation

a1 / a1-prior-day-closing-strength-continuation @ v1 · code bff0511

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.1402R) but the top 10 winning trades alone account for 141.2% 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 next

Mechanism family

Overnight / prior-day structure

a1-prior-day-closing-strength-continuation

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 (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 reason

Intake

passed

Pre-reg

passed

Lightning

failed

Robust

—

Exec/stat

—

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

REJECTED_CONCENTRATEDAggregate expectancy is positive (0.1402R) but the top 10 winning trades alone account for 141.2% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.1402R) but the top 10 winning trades alone account for 141.2% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

101

Expectancy

+0.140R

Profit factor

1.29

Win rate

48.5%

Total R

Max DD

Longest L streak

Trades / year

23.9

Split	Window	n	Expectancy	PF	Max DD
Discovery	—	—	—	—	—
Validation	—	—	—	—	—
Holdout	—	—	—	—	—

Read from research-output/strategy-lab/campaigns/a1/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 prior RTH session that closes near its extreme with persistent directional pressure late in the session has a higher probability of next-session continuation.

Long rule

If the prior RTH session's (09:30-16:00 ET) close-location value >= 0.85 (closed in the top 15.000000000000002% of its own range) AND the session's last 30 minutes moved in the SAME direction as, and covered >= 30% of the magnitude of, the full session's own net displacement (up): enter LONG at the very next RTH session's 09:30 ET open.

Short rule

Symmetric: close-location value <= 0.15000000000000002, late-session persistence downward, enters SHORT at the next RTH open.

Entry trigger

Evaluated once per completed RTH session (09:30-16:00 ET): close-location-value extreme gate plus a late-30-minutes directional-persistence gate against the full session's own net displacement. No opening-range or other next-session filter is applied -- the setup is fully determined by the prior session alone.

Earliest executable entry

The very next RTH session's 09:30 ET open -- all information the setup depends on was already fixed at the prior session's own 16:00 ET close, hours before this entry bar even exists.

Initial stop

The prior qualifying RTH session's own opposite extreme: session low for a long entry, session high 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.

Session restriction

Entry only at the 09:30 ET RTH open — The mechanism is a cross-session (prior-day-to-next-day) continuation and has no meaning at any other time of day.

Causality

The qualifying condition is evaluated entirely from the prior RTH session's own completed 09:30-16:00 ET bars, finalized the instant that session's 16:00 ET bar closes -- hours before the next session's 09:30 ET open bar (the entry bar) even exists. The entry bar's own price action plays no role in the qualifying decision. No same-bar entry.

Expected frequency

LOW

Required data

MNQ 1-minute OHLC

Campaign data window

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

Parameters

clvExtremeThreshold = 0.85 (number) — Prior session close-location value must be at or beyond this extreme.lateSessionPersistenceFraction = 0.3 (number) — Minimum fraction of the full session's net displacement that must occur within the last 30 minutes, same direction.

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

History

Every dated event this record appears in, newest first

2026-09-15

a1-prior-day-closing-strength-continuation@a1-v1 registeredREJECTED · LIGHTNING_SCREEN

[a1] Lightning Screen: Aggregate expectancy is positive (0.1402R) but the top 10 winning trades alone account for 141.2% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json