a3-semivariance-imbalance
a3 / a3-semivariance-imbalance @ a3-v1 · code 128d930
campaign strategyRESERVE
Execution+Statistical Gate: Survives the bootstrap CI and 0.25pt slippage but turns negative at 0.5pt (a realistic execution cost for this instrument) -- not a clean pass.
Lifecycle
completed
Outcome
retired
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
Volatility expansion / contraction
a3-semivariance-imbalance
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
inconclusive
Validation
—
H-eligible
—
Holdout
—
Audit
—
Closed
inconclusive
INTAKE
Registered into campaign A3 at code version 128d930.
PREREGISTRATION
Pre-test passed: distinct, causal, executable, required data available.
LIGHTNING
SURVIVED_LIGHTNING_SCREENAggregate expectancy 0.0353R (PF=1.054) over 9682 resolved trades, 4/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 5.8% (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_INCONCLUSIVESurvives the bootstrap CI and 0.25pt slippage but turns negative at 0.5pt (a realistic execution cost for this instrument) -- not a clean pass.
CLOSED
RESERVE_RESEARCH_VERSION_REQUIREDExecution+Statistical Gate: Survives the bootstrap CI and 0.25pt slippage but turns negative at 0.5pt (a realistic execution cost for this instrument) -- not a clean pass.
Evidence recorded
Quoted from the campaign record — never recomputed hereScreen n (FIXED_2R)
9,682
Expectancy
+0.035R
Profit factor
1.05
Win rate
34.7%
Total R
342
Max DD
104R
Longest L streak
22
Trades / year
2702.8
| Split | Window | n | Expectancy | PF | Max DD |
|---|---|---|---|---|---|
| Discovery | — | — | — | — | — |
| Validation | — | — | — | — | — |
| Holdout | — | — | — | — | — |
Bootstrap CI
95% CI +0.000R .. +0.072R · P(expectancy > 0) = 98%
Winner concentration
Top 5 2.9% · top 10 5.8% · top 20 11.7% 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
An extreme imbalance between recent downside and upside realized variance identifies a temporary directional state that persists briefly, independent of serial-correlation or variance-scaling statistics.
Long rule
On a closed 5-minute bar i, split realized variance over the last 24 closed 5-minute bars (through bar i) into positive- and negative-return components. imbalance = downsideSemivar / (upsideSemivar + downsideSemivar). If imbalance <= 0.25 (upside-dominated): enter LONG (continuation). If imbalance >= 0.75 (downside-dominated): enter SHORT (continuation). Fires only on a transition into an extreme zone from the middle.
Short rule
Same imbalance computation and direction mapping as described above.
Entry trigger
A rolling 24-bar (5-minute) downside/upside realized-semivariance imbalance crosses into the downside-dominated (>=0.75) or upside-dominated (<=0.25) zone from the middle.
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 semivariance split at bar i uses only closed 5-minute bars up to and including bar i itself (a standard lagging statistic). 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
MODERATE
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
semivarWindow5m = 24 (integer) — Trailing window (5-minute bars) the semivariance split is computed over.highDownImbalance = 0.75 (number) — imbalance at or above this classifies the downside-dominated (short-continuation) zone.lowDownImbalance = 0.25 (number) — imbalance at or below this classifies the upside-dominated (long-continuation) zone.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-semivariance-imbalance@a3-v1 registeredACTIVE_RESEARCH · EXECUTION_STAT
[a3] Execution+Statistical Gate: Survives the bootstrap CI and 0.25pt slippage but turns negative at 0.5pt (a realistic execution cost for this instrument) -- not a clean pass.
research-output/strategy-lab/experiment_registry.json