a2-bb-keltner-squeeze-release

a2 / a2-bb-keltner-squeeze-release @ a2-v1 · code b29299a

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0042R over 954 resolved trades is negative/flat (PF=0.994), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

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

Volatility expansion / contraction

a1-bb-keltner-squeeze-release

Mechanism parent

a1-bb-keltner-squeeze-release

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

failed

Robust

—

Exec/stat

—

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

REJECTED_CLEARLY_NEGATIVEAggregate expectancy -0.0042R over 954 resolved trades is negative/flat (PF=0.994), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.0042R over 954 resolved trades is negative/flat (PF=0.994), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

954

Expectancy

-0.004R

Profit factor

0.99

Win rate

33.6%

Total R

-4

Max DD

41R

Longest L streak

Trades / year

266.3

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

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

reserve research revisit

Parent

a1-bb-keltner-squeeze-release

Note

Frozen as A11 in the A1 seed batch; rejected at Preregistration with DATA_REQUIRED_NOT_TESTABLE because the production Candle stream carried no real per-bar volume. Re-submitted verbatim for Campaign A2 (zero rule/threshold changes) now that loadVolumeResearchBars() + the volume-preserving timeAggregate.ts fix make its relative-volume gate genuinely computable. Same frozen mechanism, not a new independent hypothesis.

Frozen specification

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

Mechanism hypothesis

A low-volatility compression regime followed by simultaneous volatility expansion and abnormal relative volume can produce short-horizon directional continuation.

Long rule

On a closed 5-minute bar i: if Bollinger Bands(20, 2sigma) are fully inside Keltner Channel(20, 1.5xATR) for at least 6 consecutive closed 5-minute bars (a squeeze), AND bar i is the FIRST bar where the Bollinger upper band expands back above the Keltner upper band (release), AND relative volume (bar i's volume / trailing 20-bar average) >= 1.5, AND bar i closes above its open: enter LONG at the next 1-minute bar's open.

Short rule

Same squeeze + release + relative-volume condition, with the Bollinger lower band expanding back below the Keltner lower band and bar i closing below its open: enter SHORT.

Entry trigger

A minimum-duration Bollinger-inside-Keltner squeeze followed by the FIRST closed 5-minute bar where the bands expand back outside, gated by a contemporaneous relative-volume threshold.

Earliest executable entry

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

Initial stop

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

Band values and relative volume at bar i are computed only from bars up to and including bar i itself (standard lagging descriptive statistics, knowable the instant bar i closes -- no future bar is ever read). Entry is deferred to the next 1-minute bar's open after the release bar closes. No same-bar entry.

Expected frequency

LOW

Required data

MNQ 1-minute OHLC, MNQ 1-minute volume (available via loadVolumeResearchBars(), 2022-06-03 onward)

Campaign data window

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

Parameters

bandLength5m = 20 (integer) — Lookback (5-minute bars) for both Bollinger Bands and the Keltner Channel.bbStdevMult = 2 (number) — Bollinger Band width as a multiple of the rolling standard deviation.kcAtrMult = 1.5 (number) — Keltner Channel width as a multiple of ATR.minSqueezeDurationBars5m = 6 (integer) — Minimum consecutive 5-minute bars the squeeze condition must hold before a release can trigger.relativeVolumeLookback = 20 (integer) — Bars used for the trailing average-volume baseline.relativeVolumeThreshold = 1.5 (number) — Minimum relative volume required at the release bar.

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-bb-keltner-squeeze-release@a2-v1 registeredREJECTED · LIGHTNING_SCREEN

[a2] Lightning Screen: Aggregate expectancy -0.0042R over 954 resolved trades is negative/flat (PF=0.994), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

research-output/strategy-lab/experiment_registry.json