Strategies · Record

a3-pb-elite-volume-confirmed-displacement

a3 / a3-pb-elite-volume-confirmed-displacement @ a3-v1 · code 128d930

campaign strategyREJECTED

Execution+Statistical Gate: Bootstrap 95% CI [-0.0012, 0.1970]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 next
Mechanism family
Market structure / FVG / liquidity
a3-pb-elite-volume-confirmed-displacement
Mechanism parent
architecture-v2-pb-elite
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
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 0.0889R (PF=1.139) over 799 resolved trades, 4/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 28.2% (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 [-0.0012, 0.1970]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
CLOSED
REJECTEDExecution+Statistical Gate: Bootstrap 95% CI [-0.0012, 0.1970]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 here
Screen n (FIXED_2R)
799
Expectancy
+0.089R
Profit factor
1.14
Win rate
36.3%
Total R
71
Max DD
22R
Longest L streak
11
Trades / year
223.8
SplitWindownExpectancyPFMax DD
Discovery—————
Validation—————
Holdout—————
Bootstrap CI
95% CI -0.001R .. +0.197R · P(expectancy > 0) = 97%
Winner concentration
Top 5 14.1% · top 10 28.2% · top 20 56.3% 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 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
architecture-v2-pb-elite
Note
Adds a volume-participation confirmation gate (a causal state variable entirely absent from architectureV2/classify.ts's own elite-tier rule: displacement > trailing threshold AND pdlSweptAtDecision) as a new, permanent necessary condition, on a self-contained, independently-computed analog of that rule's core geometry -- deliberately not calling into the production classifier or its chronological threshold-accumulation state. Not a threshold, stop, target, or veto retune of PB Elite's own rules.

Frozen specification

Snapshotted at intake — not re-read from a live module
Mechanism hypothesis
Among displacement + PDL-swept candidates resembling PB Elite's own (volume-blind) elite-tier definition, only candidates additionally confirmed by above-average relative volume (genuine participation) sustain a subsequent continuation.
Long rule
Within an RTH session where price has already traded below the prior completed RTH session's own low (PDL-swept), on a closed 5-minute bar whose |close-open| >= 1.5x ATR(14, computed over bars strictly before it) AND closes above its own open AND whose own relative volume (vs trailing 20-bar average) >= 1.3: enter LONG (continuation) at the next 1-minute bar's open.
Short rule
Same displacement + PDL-swept + volume-confirmation condition, with the displacement bar closing below its own open: enter SHORT.
Entry trigger
A closed 5-minute bar meeting a self-computed displacement-magnitude proxy (>=1.5x ATR) AND a PDL-swept-this-session proxy AND a relative-volume confirmation (>=1.3) -- all three jointly required.
Earliest executable entry
Next 1-minute bar's open after the displacement bar closes.
Initial stop
The displacement 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 — The PDL-swept proxy references the prior COMPLETED RTH session's own low and the mechanism (mirroring PB Elite's own scope) is only meaningful during the following RTH session.
Causality
PDL-swept state and the ATR baseline both use only bars strictly before or up to and including the displacement bar itself (standard lagging statistics/state). The displacement bar's own |close-open| and relative volume are both knowable the instant that bar closes. Entry is deferred to the next 1-minute bar's open after the displacement 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
displacementAtrMultiple = 1.5 (number) — Minimum |close-open|, as a multiple of the preceding ATR, to qualify as a displacement candidate.atrLength5m = 14 (integer) — 5-minute ATR lookback for the displacement proxy.relativeVolumeLookback = 20 (integer) — Bars used for the trailing average-volume baseline.volumeConfirmThreshold = 1.3 (number) — Minimum relative volume required on the displacement 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-pb-elite-volume-confirmed-displacement@a3-v1 registeredREJECTED · EXECUTION_STAT
[a3] Execution+Statistical Gate: Bootstrap 95% CI [-0.0012, 0.1970]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
research-output/strategy-lab/experiment_registry.json