a2-a12-short-efficiency-ratio-momentum

a2 / a2-a12-short-efficiency-ratio-momentum @ a2-v1 · code b29299a

campaign strategyREJECTED

Execution+Statistical Gate: Bootstrap 95% CI [-0.0054, 0.0992]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 next

Mechanism family

Momentum / trend

a2-a12-short-efficiency-ratio-momentum

Mechanism parent

a1-efficiency-ratio-momentum

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 (A2)

research-output/strategy-lab/campaigns/a2/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

passed

Robust

passed

Exec/stat

failed

Validation

—

H-eligible

—

Holdout

—

Audit

—

Closed

failed

INTAKE

Registered into campaign A2 at code version b29299a.

PREREGISTRATION

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

LIGHTNING

SURVIVED_LIGHTNING_SCREENAggregate expectancy 0.0486R (PF=1.075) over 3690 resolved trades, 4/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 11.2% (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 [-0.0054, 0.0992]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.

CLOSED

REJECTEDExecution+Statistical Gate: Bootstrap 95% CI [-0.0054, 0.0992]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 here

Screen n (FIXED_2R)

3,690

Expectancy

+0.049R

Profit factor

1.07

Win rate

35.1%

Total R

179

Max DD

73R

Longest L streak

Trades / year

1030.0

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

Bootstrap CI

95% CI -0.005R .. +0.099R · P(expectancy > 0) = 96%

Winner concentration

Top 5 5.6% · top 10 11.2% · top 20 22.3% of total R.

Leave-one-year-out

No sign flip when any single year is removed.

Read from research-output/strategy-lab/campaigns/a2/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

a1-efficiency-ratio-momentum

Note

Motivated by a FUTURE_HYPOTHESIS recorded on A12's own campaign record after its one-shot Holdout showed a strong long/short asymmetry. Identical mechanism/thresholds to A12, restricted to short-only. Does not reuse A12's consumed Holdout slice; A12's prior short-side results are the motivating observation only, not treated as prior validation for this strategy. Runs through Phase A from scratch.

Frozen specification

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

Mechanism hypothesis

Efficiency-ratio momentum (Kaufman-style path-efficiency continuation, identical to A12) may be structurally stronger on the short side than the long side -- motivated by A12's own Holdout FUTURE_HYPOTHESIS, tested here as a new, separately preregistered short-only descendant.

Long rule

Not traded in this strategy -- long-side signals from the identical efficiency-ratio trigger are detected but never entered (see shortRuleDescription for the only tradeable branch).

Short 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 down): enter SHORT (continuation) at the next 1-minute bar's open. Identical trigger/threshold/lookback to A12; only the long branch is excluded.

Entry trigger

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

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 above the entry price.

Exit

FIXED_2R only (identical to A12), 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 (identical convention to A12). 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 (identical to A12).efficiencyThreshold = 0.6 (number) — Efficiency ratio must be at or above this value to trigger (identical to A12).atrLength5m = 14 (integer) — 5-minute ATR lookback used for the fixed-multiple stop (identical to A12).stopAtrMultiple = 1.5 (number) — Stop distance as a multiple of the 5-minute ATR (identical to A12).

Read from research-output/strategy-lab/campaigns/a2/campaign_state.json

History

Every dated event this record appears in, newest first

2026-09-16

a2-a12-short-efficiency-ratio-momentum@a2-v1 registeredREJECTED · EXECUTION_STAT

[a2] Execution+Statistical Gate: Bootstrap 95% CI [-0.0054, 0.0992]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.

research-output/strategy-lab/experiment_registry.json