a2-volume-price-divergence-failure

a2 / a2-volume-price-divergence-failure @ a2-v1 · code b29299a

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.0021R) but the top 10 winning trades alone account for 77.3% 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-price-divergence-failure

Mechanism parent

a1-volume-price-divergence-failure

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 (0.0021R) but the top 10 winning trades alone account for 77.3% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.0021R) but the top 10 winning trades alone account for 77.3% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

12,064

Expectancy

+0.002R

Profit factor

1.00

Win rate

33.7%

Total R

Max DD

158R

Longest L streak

Trades / year

3367.6

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-price-divergence-failure

Note

Frozen as A16 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. Compares relative-volume participation ACROSS two separate impulses (a genuinely different construct from A11/A21's single-point relative-volume threshold and from A14/A22's single-bar volume shock) -- no other family in this repo compares participation between two distinct prior impulses.

Frozen specification

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

Mechanism hypothesis

When price reaches a new short-term extreme while participation weakens materially versus the prior impulse, a subsequent causal failure can predict reversal.

Long rule

Define the prior directional impulse as the single closed 5-minute bar with the largest range over the 20 bars strictly before the current bar, with its own relative volume recorded. If the current closed 5-minute bar makes a fresh 10-bar high while its own relative volume is < 0.7x the prior impulse's relative volume (divergence), and within 2 subsequent closed 5-minute bars price closes back below the extreme bar's own midpoint without making a new high: enter SHORT (reversal) at the next 1-minute bar's open.

Short rule

Symmetric: a fresh 10-bar LOW with divergent (weaker) relative volume vs. the prior impulse, followed by a close back above the extreme bar's own midpoint without a new low, enters LONG.

Entry trigger

Objectively-defined prior impulse (largest-range bar in a fixed lookback) provides the participation baseline; a fresh local price extreme with relative volume below the frozen divergence ratio arms a failure watch; a close-based rejection confirmation (or an expiry / continuation invalidation) resolves the watch within a fixed window.

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 extreme's own direction) during the whole extreme-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

The prior impulse and its relative volume are computed only from bars strictly before the current bar. The fresh-extreme check and relative volume at the extreme bar use only bars up to and including 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

impulseLookbackBars5m = 20 (integer) — Bars searched for the prior impulse (largest-range bar).extremeLookbackBars5m = 10 (integer) — Bars used to define a 'fresh local extreme'.divergenceRatioThreshold = 0.7 (number) — Extreme bar's relative volume must be below this fraction of the prior impulse's own relative volume.failureWindowBars5m = 2 (integer) — 5-minute bars allowed for the post-extreme 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-price-divergence-failure@a2-v1 registeredREJECTED · LIGHTNING_SCREEN

[a2] Lightning Screen: Aggregate expectancy is positive (0.0021R) but the top 10 winning trades alone account for 77.3% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json