Strategies · Record

a3-vol-of-vol-transition

a3 / a3-vol-of-vol-transition @ a3-v1 · code 128d930

campaign strategyREJECTED

Execution+Statistical Gate: Bootstrap 95% CI [-0.0072, 0.0433]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
Volatility expansion / contraction
a3-vol-of-vol-transition
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
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 0.0176R (PF=1.027) over 13541 resolved trades, 3/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 8.4% (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 [-0.0072, 0.0433]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
CLOSED
REJECTEDExecution+Statistical Gate: Bootstrap 95% CI [-0.0072, 0.0433]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)
13,541
Expectancy
+0.018R
Profit factor
1.03
Win rate
34.1%
Total R
238
Max DD
132R
Longest L streak
22
Trades / year
3779.7
SplitWindownExpectancyPFMax DD
Discovery—————
Validation—————
Holdout—————
Bootstrap CI
95% CI -0.007R .. +0.043R · P(expectancy > 0) = 92%
Winner concentration
Top 5 4.2% · top 10 8.4% · top 20 16.8% 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
new independent mechanism

Frozen specification

Snapshotted at intake — not re-read from a live module
Mechanism hypothesis
Changes in the STRUCTURE of realized volatility (how much the vol level itself fluctuates, a second-order statistic) predict short-horizon direction beyond what the absolute vol level alone (A2.5) reveals.
Long rule
On a closed 5-minute bar i, build a series of the last 12 realized-volatility readings (each over a trailing 5-bar window) ending at bar i, and compute vovRatio = coefficientOfVariation(series). If vovRatio >= 0.75 (HIGH regime): enter OPPOSITE bar i's own close-vs-open direction (reversal). If vovRatio <= 0.35 (LOW regime): enter in bar i's own close-vs-open direction (continuation). Fires only on a regime TRANSITION into HIGH or LOW.
Short rule
Same regime classification and direction mapping as described above.
Entry trigger
A coefficient-of-variation statistic over a rolling 12-reading realized-vol series crosses into the HIGH (>=0.75) or LOW (<=0.35) regime from a different regime, 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
Every reading in the vol series at bar i uses only closed 5-minute bars up to and including bar i itself (each inner realized-vol reading is a standard lagging statistic over bars strictly at-or-before its own position). 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
innerVolWindow5m = 5 (integer) — Trailing window (5-minute bars) each individual realized-vol reading is computed over.outerSeriesLen = 12 (integer) — Number of consecutive vol readings forming the series whose coefficient of variation is measured.highVovThreshold = 0.75 (number) — vovRatio at or above this classifies the HIGH (structurally unstable) regime.lowVovThreshold = 0.35 (number) — vovRatio at or below this classifies the LOW (structurally stable) regime.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 first
2026-09-16
a3-vol-of-vol-transition@a3-v1 registeredREJECTED · EXECUTION_STAT
[a3] Execution+Statistical Gate: Bootstrap 95% CI [-0.0072, 0.0433]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.
research-output/strategy-lab/experiment_registry.json