a3-range-location-volume-interaction
a3 / a3-range-location-volume-interaction @ a3-v1 · code 128d930
campaign strategyREJECTED
Lightning Screen: Aggregate expectancy -0.0052R over 24675 resolved trades is negative/flat (PF=0.992), with 3/4 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 nextMechanism family
Auction / value profile
a3-range-location-volume-interaction
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
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_CLEARLY_NEGATIVEAggregate expectancy -0.0052R over 24675 resolved trades is negative/flat (PF=0.992), with 3/4 qualifying years (n>=15) agree with the aggregate sign.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy -0.0052R over 24675 resolved trades is negative/flat (PF=0.992), with 3/4 qualifying years (n>=15) agree with the aggregate sign.
Evidence recorded
Quoted from the campaign record — never recomputed hereScreen n (FIXED_2R)
24,675
Expectancy
-0.005R
Profit factor
0.99
Win rate
33.3%
Total R
-129
Max DD
315R
Longest L streak
22
Trades / year
6887.8
| 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 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
Price location near a recent multi-bar range extreme carries different predictive value depending on the concurrent relative-volume participation state -- high volume at an extreme confirms breakout pressure (continuation); low volume at the same extreme suggests an unconfirmed, exhausted push (reversal).
Long rule
On a closed 5-minute bar i, compute closeLocation over the trailing 20-bar range and relative volume over a trailing 20-bar average. If closeLocation >= 0.85 AND relative volume >= 1.5: enter LONG (continuation). If closeLocation <= 0.15 AND relative volume <= 0.7: enter LONG (reversal off the bottom).
Short rule
If closeLocation <= 0.15 AND relative volume >= 1.5: enter SHORT (continuation). If closeLocation >= 0.85 AND relative volume <= 0.7: enter SHORT (reversal off the top).
Entry trigger
A closed 5-minute bar's close-location (within its own trailing 20-bar range) and relative-volume state jointly land in one of four frozen qualifying buckets (top/high-vol, top/low-vol, bottom/high-vol, bottom/low-vol), edge-detected: re-armed only once the bar next lands outside all four buckets, then in one again.
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
The range, close-location, and relative-volume readings at bar i all use only closed 5-minute bars up to and including bar i itself (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, MNQ 1-minute volume (available via loadVolumeResearchBars(), 2022-06-03 onward)
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
rangeWindow5m = 20 (integer) — Trailing window (5-minute bars) the range (high/low) is computed over.relativeVolumeLookback = 20 (integer) — Bars used for the trailing average-volume baseline.topLocationThreshold = 0.85 (number) — closeLocation at or above this counts as the range top.bottomLocationThreshold = 0.15 (number) — closeLocation at or below this counts as the range bottom.highVolumeThreshold = 1.5 (number) — Relative volume at or above this counts as the HIGH volume state.lowVolumeThreshold = 0.7 (number) — Relative volume at or below this counts as the LOW volume state.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-range-location-volume-interaction@a3-v1 registeredREJECTED · LIGHTNING_SCREEN
[a3] Lightning Screen: Aggregate expectancy -0.0052R over 24675 resolved trades is negative/flat (PF=0.992), with 3/4 qualifying years (n>=15) agree with the aggregate sign.
research-output/strategy-lab/experiment_registry.json