a3-arm-c-volume-confirmed-continuation

a3 / a3-arm-c-volume-confirmed-continuation @ a3-v1 · code 128d930

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.1081R) but 2/4 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

Breakout / failed breakout

a3-arm-c-volume-confirmed-continuation

Mechanism parent

family2-arm-c-breakout-continuation

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 (A3)

research-output/strategy-lab/campaigns/a3/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 A3 at code version 128d930.

PREREGISTRATION

Pre-test passed: distinct, causal, executable, required data available.

LIGHTNING

REJECTED_UNSTABLEAggregate expectancy is positive (0.1081R) but 2/4 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 (0.1081R) but 2/4 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)

755

Expectancy

+0.108R

Profit factor

1.18

Win rate

39.5%

Total R

Max DD

27R

Longest L streak

Trades / year

211.3

Split	Window	n	Expectancy	PF	Max DD
Discovery	—	—	—	—	—
Validation	—	—	—	—	—
Holdout	—	—	—	—	—

Read from research-output/strategy-lab/campaigns/a3/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

experimental descendant

Parent

family2-arm-c-breakout-continuation

Note

Adds a volume-participation confirmation gate (a causal state variable entirely absent from the existing Arm C engine, breakoutContinuation/engine.ts) as a new, permanent necessary condition on top of Arm C's own frozen primary definition's core geometry (single-close acceptance of a PDH/PDL break, no retest, immediate continuation) -- deliberately reimplemented as a self-contained module rather than modifying or importing the production Arm C engine/shadow code. Not a threshold, stop, target, side, or clock filter tweak of Arm C's own rules.

Descendants

a5-09-premarket-or-confluence-break a5-12-prior-day-extreme-acceptance

Frozen specification

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

Mechanism hypothesis

Among breakouts of a prior-session PDH/PDL level accepted by a single 5-minute close (Arm C's own definition), only breakouts confirmed by above-average relative volume (genuine participation) sustain a subsequent no-retest continuation.

Long rule

PDH = the prior completed RTH session's own high. On a closed 5-minute RTH bar whose close > PDH AND whose relative volume (vs trailing 20-bar average) >= 1.3: enter LONG at the next 1-minute bar's open (no retest required).

Short rule

PDL = the prior completed RTH session's own low. On a closed 5-minute RTH bar whose close < PDL AND whose relative volume >= 1.3: enter SHORT.

Entry trigger

A single closed 5-minute RTH bar's close breaks beyond the prior completed RTH session's own high (long) or low (short) AND that same bar's own relative volume >= 1.3. At most one entry per RTH session.

Earliest executable entry

Next 1-minute bar's open after the volume-confirmed breakout bar closes.

Initial stop

The breakout bar's own opposite extreme: low for a long entry, high for a short entry.

Exit

FIXED_2R only (this seed strategy's declared A3 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.

Session restriction

Evaluated only during the 09:30-16:00 ET RTH session, at most once per session — The PDH/PDL reference is a prior COMPLETED RTH session's own range, and the mechanism (mirroring Arm C's own scope) is only meaningful during the following RTH session.

Causality

PDH/PDL are fixed at the instant the prior RTH session's own 16:00 ET bar closes -- hours before any bar of the following session (where the breakout is evaluated) exists. The breakout bar's own close and relative volume are both knowable the instant that bar closes. Entry is deferred to the next 1-minute bar's open after the breakout bar closes. No same-bar entry.

Expected frequency

LOW

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.volumeConfirmThreshold = 1.3 (number) — Minimum relative volume required on the breakout bar itself.

Read from research-output/strategy-lab/campaigns/a3/campaign_state.json

History

Every dated event this record appears in, newest first

2026-09-16

a3-arm-c-volume-confirmed-continuation@a3-v1 registeredREJECTED · LIGHTNING_SCREEN

[a3] Lightning Screen: Aggregate expectancy is positive (0.1081R) but 2/4 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