a2-range-expansion-asymmetry

a2 / a2-range-expansion-asymmetry @ a2-v1 · code b29299a

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.0034R) but 1/4 qualifying years (n>=15) agree with the aggregate sign, below the 60% bar for a reasonably consistent result.

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

a2-range-expansion-asymmetry

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 (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_UNSTABLEAggregate expectancy is positive (0.0034R) but 1/4 qualifying years (n>=15) agree with the aggregate sign, below the 60% bar for a reasonably consistent result.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.0034R) but 1/4 qualifying years (n>=15) agree with the aggregate sign, below the 60% bar for a reasonably consistent result.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

70,219

Expectancy

+0.003R

Profit factor

1.01

Win rate

33.5%

Total R

242

Max DD

590R

Longest L streak

Trades / year

19599.1

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

new independent mechanism

Descendants

a5-10-expansion-staircase a5-14-impulse-pullback-velocity-asymmetry

Frozen specification

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

Mechanism hypothesis

Strongly asymmetric multi-bar directional expansion (a shallow vs deep retracement from the window's own peak extension) contains predictive information about continuation vs snapback.

Long rule

Over the last 10 closed 5-minute bars ending at bar i, find the peak close-distance from the window's own starting close (in either direction) and compare bar i's own close against it: asymmetry = (peakExtensionMagnitude - currentDistanceAlongPeakDirection) / peakExtensionMagnitude. If asymmetry <= 0.35: enter in the peak's own extension direction (continuation). If asymmetry >= 0.65: enter OPPOSITE the peak's extension direction (the retracement's own direction). Fires only on a transition into the shallow or deep zone from the ambiguous middle zone.

Short rule

Same asymmetry computation and direction mapping as described above.

Entry trigger

A rolling 10-bar (5-minute) retracement-asymmetry ratio crosses into the shallow (<=0.35) or deep (>=0.65) zone from the ambiguous middle zone.

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 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

The asymmetry ratio at bar i uses only closed 5-minute bars up to and including bar i itself (a fixed rolling window, standard lagging statistic). 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

window5m = 10 (integer) — Fixed rolling window (5-minute bars) the asymmetry is measured over.shallowAsymmetryThreshold = 0.35 (number) — asymmetry at or below this classifies the shallow (continuation) zone.deepAsymmetryThreshold = 0.65 (number) — asymmetry at or above this classifies the deep (reversal) zone.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-range-expansion-asymmetry@a2-v1 registeredREJECTED · LIGHTNING_SCREEN

[a2] Lightning Screen: Aggregate expectancy is positive (0.0034R) but 1/4 qualifying years (n>=15) agree with the aggregate sign, below the 60% bar for a reasonably consistent result.

research-output/strategy-lab/experiment_registry.json