a1-volume-shock-follow-through

a1 / a1-volume-shock-follow-through @ v1 · code bff0511

campaign strategyRESERVE

dataAvailability="NOT_AVAILABLE" -- required data (MNQ 1-minute OHLC, MNQ 1-minute volume (NOT AVAILABLE in this dataset)) is not confirmed available.

Lifecycle

completed

Outcome

parked

Phase

Phase A

Research gate

PREREGISTRATION

Engine

strategy lab

Market

MNQ

Timeframe

MNQ 1-minute OHLC

Side

BOTH

Tracking

Family, lineage and what this record needs next

Mechanism family

Order flow / aggressor imbalance

a1-volume-shock-follow-through

Mechanism parent

momentum-continuation-v1

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

failed

Lightning

—

Robust

—

Exec/stat

—

Validation

—

H-eligible

—

Holdout

—

Audit

—

Closed

inconclusive

INTAKE

Registered into campaign A1 at code version bff0511.

PREREGISTRATION

MISSING_REQUIRED_DATA: dataAvailability="NOT_AVAILABLE" -- required data (MNQ 1-minute OHLC, MNQ 1-minute volume (NOT AVAILABLE in this dataset)) is not confirmed available.

CLOSED

DATA_REQUIRED_NOT_TESTABLEdataAvailability="NOT_AVAILABLE" -- required data (MNQ 1-minute OHLC, MNQ 1-minute volume (NOT AVAILABLE in this dataset)) is not confirmed available.

Evidence recorded

Quoted from the campaign record — never recomputed here

No stage evidence exists for this entry. Its evidence is the prospective live tally on the Live Audit desk, not a campaign record.

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

experimental descendant

Parent

momentum-continuation-v1

Note

Stripping the (uncomputable) volume-spike condition reduces this to MomentumContinuationEngine's existing single-bar ATR-multiple-range + body/close-dominance continuation definition. The volume-shock gate was this strategy's only claimed point of distinction, and real per-bar volume is not available in this dataset.

Descendants

a2-volume-shock-follow-through

Frozen specification

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

Mechanism hypothesis

A statistically abnormal volume shock combined with directional range expansion and a strong close near the bar extreme predicts continuation.

Long rule

On a closed 5-minute bar i: relative volume (volume[i] / trailing 20-bar average) >= 3, AND bar i's own range >= 1.5x ATR(14) computed over the 14 closed 5-minute bars strictly before i, AND close-location value >= 0.8 (closed in the top 19.999999999999996% of the bar's own range): enter LONG (continuation) at the next 1-minute bar's open.

Short rule

Same relative-volume + range-expansion condition, with close-location value <= 0.19999999999999996: enter SHORT.

Entry trigger

Relative-volume spike + large directional bar + strong close near the bar's own extreme, all on the same closed 5-minute bar.

Earliest executable entry

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

Initial stop

The trigger bar's OWN opposite extreme: low of the trigger bar for a long entry, high of the trigger 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

Relative volume and ATR at bar i are computed only from bars up to and including bar i itself (relative volume) or strictly before bar i (ATR) -- both standard lagging statistics, knowable the instant bar i closes. 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, MNQ 1-minute volume (NOT AVAILABLE in this dataset)

Campaign data window

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

Parameters

relativeVolumeLookback = 20 (integer) — Bars used for the trailing average-volume baseline.relativeVolumeThreshold = 3 (number) — Minimum relative volume required at the trigger bar.atrLength5m = 14 (integer) — 5-minute ATR lookback for the range-expansion requirement.rangeAtrMultiple = 1.5 (number) — Trigger bar's own range must be at least this multiple of the preceding ATR.clvExtremeThreshold = 0.8 (number) — Close-location value must be at or beyond this extreme.

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-volume-shock-follow-through@a1-v1 registeredDATA_REQUIRED · PRETEST_REJECTED

[a1] dataAvailability="NOT_AVAILABLE" -- required data (MNQ 1-minute OHLC, MNQ 1-minute volume (NOT AVAILABLE in this dataset)) is not confirmed available.

research-output/strategy-lab/experiment_registry.json