a2-variance-ratio-persistence
a2 / a2-variance-ratio-persistence @ a2-v1 · code b29299a
campaign strategyREJECTED
Execution+Statistical Gate: Bootstrap 95% CI [-0.0057, 0.0191]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 nextMechanism family
Regime-conditioned
a2-variance-ratio-persistence
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 applicableEngine certified
unknown
Execution certified
unknown
Integrity audit
unknown
Shadow verifier
unknown
Technical invalidation
None recorded.
Artifacts
Everything committed for this recordCampaign 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 reasonIntake
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 0.0065R (PF=1.010) over 57019 resolved trades, 3/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 5.4% (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 [-0.0057, 0.0191]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
CLOSED
REJECTEDExecution+Statistical Gate: Bootstrap 95% CI [-0.0057, 0.0191]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 hereScreen n (FIXED_2R)
57,019
Expectancy
+0.006R
Profit factor
1.01
Win rate
33.6%
Total R
370
Max DD
357R
Longest L streak
23
Trades / year
15917.1
| Split | Window | n | Expectancy | PF | Max DD |
|---|---|---|---|---|---|
| Discovery | — | — | — | — | — |
| Validation | — | — | — | — | — |
| Holdout | — | — | — | — | — |
Bootstrap CI
95% CI -0.006R .. +0.019R · P(expectancy > 0) = 85%
Winner concentration
Top 5 2.7% · top 10 5.4% · top 20 10.8% 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 retriedEligible
—
Authorised
Not authorised.
Specification frozen
—
Sealed data consumed
No.
Validation data consumed
No.
Lineage
Declared at intake, carrying any prior negative resultRelation to prior work
new independent mechanism
Descendants
Frozen specification
Snapshotted at intake — not re-read from a live moduleMechanism hypothesis
The relationship between short- and longer-horizon realized variance (a Lo-MacKinlay-style variance ratio) reveals temporary momentum or mean-reversion regimes distinct from a simple lag-1 autocorrelation measure.
Long rule
On a closed 5-minute bar i, compute VR = varianceRatio(last 60 bars, q=5) strictly through bar i. If VR >= 1.3 (MOMENTUM regime): enter in bar i's own close-vs-open direction (continuation). If VR <= 0.7 (REVERSION regime): enter OPPOSITE bar i's own close-vs-open direction (reversal/fade). Fires only on a regime TRANSITION into MOMENTUM or REVERSION.
Short rule
Same regime classification and direction mapping as described above.
Entry trigger
A variance-ratio statistic (q=5) crosses into the MOMENTUM (>=1.3) or REVERSION (<=0.7) 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
VR at bar i uses only closed 5-minute bars up to and including bar i itself (a 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
vrWindow5m = 60 (integer) — Trailing window (5-minute bars) the variance ratio is computed over.vrHorizonQ = 5 (integer) — The q-period horizon for the variance ratio.momentumVrThreshold = 1.3 (number) — VR at or above this classifies MOMENTUM regime.reversionVrThreshold = 0.7 (number) — VR at or below this classifies REVERSION 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 first2026-09-16
a2-variance-ratio-persistence@a2-v1 registeredREJECTED · EXECUTION_STAT
[a2] Execution+Statistical Gate: Bootstrap 95% CI [-0.0057, 0.0191]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
research-output/strategy-lab/experiment_registry.json