a3-multi-session-trend-persistence

a3 / a3-multi-session-trend-persistence @ a3-v1 · code 128d930

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0600R is negative/flat, and the sign is inconsistent across years (0/1 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

Momentum / trend

a3-multi-session-trend-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 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 -0.0600R is negative/flat, and the sign is inconsistent across years (0/1 qualifying years (n>=15) agree with the aggregate sign).

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.0600R is negative/flat, and the sign is inconsistent across years (0/1 qualifying years (n>=15) agree with the aggregate sign).

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

Expectancy

-0.060R

Profit factor

0.79

Win rate

44.9%

Total R

-3

Max DD

Longest L streak

Trades / year

14.7

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

new independent mechanism

Descendants

a5-08-session-handoff-continuation

Frozen specification

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

Mechanism hypothesis

Directional consistency across multiple already-completed RTH sessions predicts subsequent-session continuation, distinct from any single-session closing-strength measure.

Long rule

If the last 3 completed RTH sessions (09:30-16:00 ET) all share the same sign of net displacement (close-open) AND the most recent session's own efficiency ratio (computed over its own 5-minute bars) >= 0.2: enter LONG at the very next RTH session's 09:30 ET open (if the aligned direction is up).

Short rule

Symmetric: all down sessions with sufficient efficiency on the most recent one enters SHORT.

Entry trigger

Evaluated once per newly-completed RTH session: cross-session sign alignment over the last 3 completed sessions, plus a path-efficiency floor on the most recent one.

Earliest executable entry

The very next RTH session's 09:30 ET open -- all information the setup depends on was already fixed at the most recently completed session's own 16:00 ET close.

Initial stop

The opposite extreme (low for long, high for short) across the last 3 completed qualifying sessions.

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

Entry only at the 09:30 ET RTH open — The mechanism is a cross-session continuation and has no meaning at any other time of day.

Causality

The qualifying condition is evaluated entirely from already-completed RTH sessions' own bars, finalized the instant the most recent qualifying session's 16:00 ET bar closes -- hours before the next session's 09:30 ET open bar (the entry bar) even exists. The entry bar's own price action plays no role in the qualifying decision. No same-bar entry.

Expected frequency

LOW

Required data

MNQ 1-minute OHLC

Campaign data window

MNQ 2022-06-03..2026-09-15

Parameters

sessionCount = 3 (integer) — Number of consecutive completed RTH sessions required to agree in direction.efficiencyThreshold = 0.2 (number) — Minimum path-efficiency ratio required on the most recent completed session.

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-multi-session-trend-persistence@a3-v1 registeredREJECTED · LIGHTNING_SCREEN

[a3] Lightning Screen: Aggregate expectancy -0.0600R is negative/flat, and the sign is inconsistent across years (0/1 qualifying years (n>=15) agree with the aggregate sign).

research-output/strategy-lab/experiment_registry.json