a3-path-disorder-regime-shift
a3 / a3-path-disorder-regime-shift @ a3-v1 · code 128d930
campaign strategyREJECTED
Execution+Statistical Gate: Bootstrap 95% CI [-0.0130, 0.1685]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
a3-path-disorder-regime-shift
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 (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 reasonIntake
passed
Pre-reg
passed
Lightning
passed
Robust
passed
Exec/stat
failed
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
SURVIVED_LIGHTNING_SCREENAggregate expectancy 0.0711R (PF=1.111) over 1012 resolved trades, 3/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 27.8% (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 [-0.0130, 0.1685]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
CLOSED
REJECTEDExecution+Statistical Gate: Bootstrap 95% CI [-0.0130, 0.1685]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)
1,012
Expectancy
+0.071R
Profit factor
1.11
Win rate
35.8%
Total R
72
Max DD
42R
Longest L streak
17
Trades / year
282.6
| Split | Window | n | Expectancy | PF | Max DD |
|---|---|---|---|---|---|
| Discovery | — | — | — | — | — |
| Validation | — | — | — | — | — |
| Holdout | — | — | — | — | — |
Bootstrap CI
95% CI -0.013R .. +0.169R · P(expectancy > 0) = 95%
Winner concentration
Top 5 13.9% · top 10 27.8% · top 20 55.6% of total R.
Leave-one-year-out
No sign flip when any single year is removed.
Read from research-output/strategy-lab/campaigns/a3/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
Frozen specification
Snapshotted at intake — not re-read from a live moduleMechanism hypothesis
A causal transition from a high sign-flip-disorder price regime to a low-disorder (ordered, directionally consistent) regime predicts continuation of the newly-ordered direction.
Long rule
On a closed 5-minute bar i, compute signFlipDisorder over the 20 closed 5-minute bars STRICTLY BEFORE the current window (the "prior" window) and again over the 20 bars through bar i (the "current" window). If the prior window's disorder >= 0.65 AND the current window's disorder <= 0.35: enter in the current window's own net-displacement direction (continuation) at the next 1-minute bar's open.
Short rule
Same transition condition, direction is simply the sign of the current window's own net displacement.
Entry trigger
A 20-bar sign-flip-disorder statistic transitions from >= 0.65 (prior window) to <= 0.35 (current window), 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 A3 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.
Causality
Both disorder readings at bar i use only closed 5-minute bars up to and including bar i itself (the prior window is strictly before the current window, both standard lagging statistics). 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
LOW
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
disorderWindow5m = 20 (integer) — 5-minute bars over which each disorder reading (prior and current) is computed.highDisorderThreshold = 0.65 (number) — Prior-window disorder must be at or above this.lowDisorderThreshold = 0.35 (number) — Current-window disorder must be at or below this.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/a3/campaign_state.json
History
Every dated event this record appears in, newest first2026-09-16
a3-path-disorder-regime-shift@a3-v1 registeredREJECTED · EXECUTION_STAT
[a3] Execution+Statistical Gate: Bootstrap 95% CI [-0.0130, 0.1685]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
research-output/strategy-lab/experiment_registry.json