a2-volume-climax-exhaustion

a2 / a2-volume-climax-exhaustion @ a2-v1 · code b29299a

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.0266R) but the top 10 winning trades alone account for 62.5% of total R -- the apparent edge is fragile.

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

Order flow / aggressor imbalance

a1-volume-climax-exhaustion

Mechanism parent

a1-volume-climax-exhaustion

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_CONCENTRATEDAggregate expectancy is positive (0.0266R) but the top 10 winning trades alone account for 62.5% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.0266R) but the top 10 winning trades alone account for 62.5% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

1,201

Expectancy

+0.027R

Profit factor

1.04

Win rate

34.2%

Total R

Max DD

38R

Longest L streak

Trades / year

335.4

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-volume-climax-exhaustion

Note

Frozen as A15 in the A1 seed batch; rejected at Preregistration with DATA_REQUIRED_NOT_TESTABLE for the same reason as A11/A21. Re-submitted verbatim for Campaign A2. Requires an explicit, preregistered failure/rejection confirmation before entering counter to the climax direction -- distinct from F6's E1 (unconditional immediate fade, no confirmation) and closer in spirit to F6's E2_REJECTION_CONFIRMED sibling but gated on a volume/range CLIMAX precondition F6 does not have at all.

Descendants

a5-03-price-per-volume-vacuum-reversal

Frozen specification

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

Mechanism hypothesis

Extremely abnormal volume plus extreme range, followed by failure to continue in the same direction, predicts short-horizon reversal.

Long rule

A climax bar (relative volume >= 3 AND range >= 2x ATR(14)) closing DOWN, followed within 2 closed 5-minute bars by a close back above the climax bar's own midpoint without making a new low beyond the climax bar's own low: enter LONG (reversal) at the next 1-minute bar's open.

Short rule

Symmetric: a climax bar closing UP, followed by a close back below the climax bar's own midpoint without a new high, enters SHORT.

Entry trigger

Volume+range climax bar, then an explicit post-climax failure-to-continue confirmation (close back beyond the climax bar's own midpoint, against the climax direction) within 2 closed 5-minute bars -- any new extreme in the climax direction during the window invalidates the setup instead.

Earliest executable entry

Next 1-minute bar's open after the failure-confirming 5-minute bar closes.

Initial stop

The most extreme point reached (in the climax direction) during the whole climax-bar-through-failure-confirmation window -- if retaken, the failure thesis is invalidated.

Exit

FIXED_2R only (this seed strategy's declared A1 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.

Causality

Relative volume and ATR at the climax bar are computed only from bars up to and including (relative volume) or strictly before (ATR) that bar. The failure-confirmation window only ever reads bars up to and including the bar being processed. Entry is deferred to the next 1-minute bar's open after the failure-confirming bar closes. No same-bar entry.

Expected frequency

RARE

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

relativeVolumeLookback = 20 (integer) — Bars used for the trailing average-volume baseline.relativeVolumeThreshold = 3 (number) — Minimum relative volume required at the climax bar.atrLength5m = 14 (integer) — 5-minute ATR lookback for the climax-range requirement.climaxRangeAtrMultiple = 2 (number) — Climax bar's own range must be at least this multiple of the preceding ATR.failureWindowBars5m = 2 (integer) — 5-minute bars allowed for the post-climax failure confirmation.

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-volume-climax-exhaustion@a2-v1 registeredREJECTED · LIGHTNING_SCREEN

[a2] Lightning Screen: Aggregate expectancy is positive (0.0266R) but the top 10 winning trades alone account for 62.5% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json