a2-realized-vol-regime-switch

a2 / a2-realized-vol-regime-switch @ a2-v1 · code b29299a

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0107R over 14652 resolved trades is negative/flat (PF=0.984), 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

Regime-conditioned

a2-realized-vol-regime-switch

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_CLEARLY_NEGATIVEAggregate expectancy -0.0107R over 14652 resolved trades is negative/flat (PF=0.984), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.0107R over 14652 resolved trades is negative/flat (PF=0.984), 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)

14,652

Expectancy

-0.011R

Profit factor

0.98

Win rate

33.1%

Total R

-156

Max DD

312R

Longest L streak

Trades / year

4090.2

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

a5-06-vwap-displacement-regime-switch

Frozen specification

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

Mechanism hypothesis

Short-horizon directional behavior changes systematically across realized-volatility regimes: calm (low realized-vol) conditions favor directional persistence, chaotic (high realized-vol) conditions favor overreaction/snapback.

Long rule

On a closed 5-minute bar i, compute volRatio = realizedVolatility(last 10 bars) / realizedVolatility(last 50 bars), both strictly through bar i. If volRatio <= 0.7 (LOW regime): enter in bar i's own close-vs-open direction (continuation). If volRatio >= 1.4 (HIGH regime): enter OPPOSITE bar i's own close-vs-open direction (reversal/fade). Fires only on a regime TRANSITION into LOW or HIGH, never while already sitting in the same regime.

Short rule

Same regime classification and direction mapping, direction is simply the sign appropriate to each regime as described above.

Entry trigger

A realized-volatility ratio (short/long trailing window) crosses into the LOW (<=0.7) or HIGH (>=1.4) regime from a different regime, on a closed 5-minute bar.

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

volRatio at bar i uses only closed 5-minute bars up to and including bar i itself (both windows are standard lagging statistics). 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

shortVolWindow5m = 10 (integer) — Short realized-volatility window, in 5-minute bars.longVolWindow5m = 50 (integer) — Long realized-volatility window, in 5-minute bars.lowVolRatioThreshold = 0.7 (number) — volRatio at or below this classifies LOW regime.highVolRatioThreshold = 1.4 (number) — volRatio at or above this classifies HIGH regime.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-realized-vol-regime-switch@a2-v1 registeredREJECTED · LIGHTNING_SCREEN

[a2] Lightning Screen: Aggregate expectancy -0.0107R over 14652 resolved trades is negative/flat (PF=0.984), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

research-output/strategy-lab/experiment_registry.json