Strategies · Record

a2-failed-trend-persistence

a2 / a2-failed-trend-persistence @ a2-v1 · code b29299a

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0784R over 906 resolved trades is negative/flat (PF=0.887), with 4/4 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
Momentum / trend
a2-failed-trend-persistence
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
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 -0.0784R over 906 resolved trades is negative/flat (PF=0.887), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy -0.0784R over 906 resolved trades is negative/flat (PF=0.887), with 4/4 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here
Screen n (FIXED_2R)
906
Expectancy
-0.078R
Profit factor
0.89
Win rate
30.8%
Total R
-71
Max DD
77R
Longest L streak
14
Trades / year
253.0
SplitWindownExpectancyPFMax 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
experimental descendant
Parent
a1-efficiency-ratio-momentum
Note
Reuses the same efficiencyRatio() statistic as A12 but adds a persistence-then-deterioration two-stage state machine and trades the OPPOSITE (reversal) direction on established-trend failure rather than continuation on a single fresh high-efficiency reading -- a genuinely different economic claim (trend exhaustion vs momentum), not a parameter retune of A12.

Frozen specification

Snapshotted at intake — not re-read from a live module
Mechanism hypothesis
A previously established high-efficiency directional move that abruptly loses efficiency/persistence predicts reversal, distinct from momentum off a single fresh efficient reading (A12) and from fixed-streak exhaustion counting.
Long rule
Establish: efficiency ratio (12-bar lookback) stays >= 0.6, same net-displacement direction, for >= 6 consecutive closed 5-minute bars. Watch: over the next 10 closed 5-minute bars, if efficiency ratio falls to <= 0.3, enter REVERSAL (counter to the established direction) at that bar. If the watch window expires first, abandon with no trade.
Short rule
Symmetric: an established SHORT-direction high-efficiency trend that deteriorates within the watch window enters LONG (reversal).
Entry trigger
An established, persistence-confirmed high-efficiency trend (>=6 consecutive bars) subsequently deteriorates to <=0.3 efficiency within a bounded 10-bar watch window.
Earliest executable entry
Next 1-minute bar's open after the deterioration-confirming 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.
Exit
FIXED_2R only (this seed strategy's declared A2 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.
Causality
Efficiency ratio at bar i uses only closed 5-minute bars up to and including bar i itself (identical convention to A12). Establishment and deterioration are both evaluated only from already-closed bars; 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
LOW
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
trendLookbackBars5m = 12 (integer) — 5-minute bars over which the efficiency ratio is computed.highEfficiencyThreshold = 0.6 (number) — Efficiency ratio at/above this, sustained, establishes a trend state.lowEfficiencyThreshold = 0.3 (number) — Efficiency ratio at/below this, during the watch window, confirms deterioration.minTrendDurationBars5m = 6 (integer) — Consecutive high-efficiency bars required to establish a trend.deteriorationWatchBars5m = 10 (integer) — Bars to watch for deterioration after establishment before abandoning.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/a2/campaign_state.json

History

Every dated event this record appears in, newest first
2026-09-16
a2-failed-trend-persistence@a2-v1 registeredREJECTED · LIGHTNING_SCREEN
[a2] Lightning Screen: Aggregate expectancy -0.0784R over 906 resolved trades is negative/flat (PF=0.887), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
research-output/strategy-lab/experiment_registry.json