A3.3 — Volume Acceleration Momentum

a3 / a3-volume-acceleration-momentum @ a3-v1 · code 128d930

campaign strategyHOLDOUT REJECTED

Holdout: n=100, expectancy=-0.1100R -- did not confirm the prior evidence.

Lifecycle

completed

Outcome

fail

Phase

Phase A

Research gate

HOLDOUT

Engine

strategy lab

Market

MNQ

Timeframe

MNQ 1-minute OHLC

Side

BOTH

Tracking

Family, lineage and what this record needs next

Mechanism family

Order flow / aggressor imbalance

a3-volume-acceleration-momentum

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

not passed

Shadow verifier

unknown

Technical invalidation

None recorded.

Note

Longest observed losing streak 19 trades -- confirm this is tolerable before any further stage.

Note

Holdout expectancy diverges materially from Validation's own -- treat as a fresh, not fully explained, open question.

Artifacts

Everything committed for this record

Campaign record (A3)

research-output/strategy-lab/campaigns/a3/campaign_state.json

Holdout artifacts

research-output/strategy-lab/campaigns/a3

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

passed

Validation

passed

H-eligible

passed

Holdout

failed

Audit

inconclusive

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 0.0607R (PF=1.094) over 4817 resolved trades, 4/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 6.8% (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_SURVIVEDBootstrap CI excludes zero and the edge survives up to 0.5pt adverse slippage.

VALIDATION

VALIDATION_SURVIVEDValidation expectancy 0.0653R holds sign and reasonable magnitude relative to Discovery's 0.0595R.

HOLDOUT ELIGIBILITY

HOLDOUT_ELIGIBLESurvived Lightning Screen, the Robustness Gauntlet, the Execution+Statistical Gate, and the Validation/Walk-Forward Gate against 3815 Discovery and 1002 Validation trades.

HOLDOUT

HOLDOUT_OPENED_ONCEDiscovery: n=3815, expectancy=0.0595R, PF=1.092. Validation: n=1002, expectancy=0.0653R, PF=1.101. Holdout (this run, sealed bank immediately after A2.10's consumed slice, stop reason=FORMAL_TARGET_100): n=100, expectancy=-0.1100R, PF=0.843.

FINAL AUDIT

a3-volume-acceleration-momentum@a3-v1: economic credibility=true, statistical credibility=true, executable=true, stable=true, distinct=true. 2 unresolved risk(s) flagged.

CLOSED

REJECTEDHoldout: n=100, expectancy=-0.1100R -- did not confirm the prior evidence.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

4,817

Expectancy

+0.061R

Profit factor

1.09

Win rate

35.5%

Total R

292

Max DD

38R

Longest L streak

Trades / year

1344.6

Split	Window	n	Expectancy	PF	Max DD
Discovery	2022-06-03..2025-03-31	3,815	+0.060R	1.09	38R
Validation	2025-04-01..2025-12-31	1,002	+0.065R	1.10	27R
Holdout	sealed bank slice	100	-0.110R	0.84	15R

Discovery → Validation

Expectancy degradation -0.006R (positive means Validation came in weaker than Discovery).

Bootstrap CI

95% CI +0.025R .. +0.097R · P(expectancy > 0) = 100%

Winner concentration

Top 5 3.4% · top 10 6.8% · top 20 13.7% of total R.

Leave-one-year-out

No sign flip when any single year is removed.

Holdout vs prior evidence

Discovery: n=3815, expectancy=0.0595R, PF=1.092. Validation: n=1002, expectancy=0.0653R, PF=1.101. Holdout (this run, sealed bank immediately after A2.10's consumed slice, stop reason=FORMAL_TARGET_100): n=100, expectancy=-0.1100R, PF=0.843.

Read from research-output/strategy-lab/campaigns/a3/campaign_state.json

Holdout position

One-shot, sealed, never retried

Eligible

Yes — the campaign recorded Holdout eligibility.

Authorised

Yes, 2026-09-16 15:33Z

Authorised by

AJ <meatham07@gmail.com> -- explicit chat authorization ('AJ explicitly authorizes the one-shot sealed Holdout for A3.3 Volume Acceleration Momentum / a3-v1 now'), trade-count-based deterministic Holdout consumption policy, 2026-09-16

Specification frozen

Fully frozen before the Holdout was opened.

Sealed data consumed

Yes — this Holdout is spent and can never be re-run.

Slice consumed

2020-04-20 19:06Z → 2020-05-21 07:00Z · 30,670 bars · 100 trades · stop reason FORMAL_TARGET_100

Preserved unused

718,563 sealed bars left for later strategies.

Validation data consumed

Yes.

Read from research-output/strategy-lab/campaigns/a3/A3_3_HOLDOUT_LEDGER.json · research-output/strategy-lab/campaigns/a3/A3_3_HOLDOUT_RESULT_REPORT.json

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

Directional moves accompanied by ACCELERATING (strictly increasing, multi-bar) relative-volume participation persist more than moves driven by an isolated single-bar volume shock.

Long rule

On each closed 5-minute bar, track the current same-direction streak (all bars closing above their own open, or all closing below). Once 3 consecutive same-direction bars are observed AND their relative volume (bar volume / trailing 20-bar average) is STRICTLY INCREASING across all 3 bars AND the final bar's own relative volume >= 1.5: enter in the streak's own direction (continuation) at the next 1-minute bar's open.

Short rule

Same acceleration condition for a same-direction bearish streak: enter SHORT.

Entry trigger

A 3-bar same-direction streak whose relative volume is strictly increasing bar-over-bar, with the final bar's relative volume at or above 1.5. Edge-detected: re-armed only once the same-direction streak next breaks, then a fresh qualifying streak forms.

Earliest executable entry

Next 1-minute bar's open after the triggering (3rd) 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

Relative volume at each bar in the streak uses only that bar and its own trailing lookback (a standard lagging statistic, knowable the instant each bar closes); the streak/acceleration check only ever looks at bars strictly at-or-before the trigger bar. 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

relativeVolumeLookback = 20 (integer) — Bars used for the trailing average-volume baseline.accelStreakBars = 3 (integer) — Consecutive same-direction bars with strictly increasing relative volume required.minFinalRelVol = 1.5 (number) — Minimum relative volume required on the final (most recent) streak bar.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

Holdout result recorded for A3.3REJECTED

100 trades consumed · stop reason FORMAL_TARGET_100 · 718,563 sealed bars preserved unused · Holdout: n=100, expectancy=-0.1100R -- did not confirm the prior evidence.

research-output/strategy-lab/campaigns/a3/A3_3_HOLDOUT_RESULT_REPORT.json

2026-09-16

One-shot sealed Holdout authorised for a3-volume-acceleration-momentum

research-output/strategy-lab/campaigns/a3/campaign_state.json

2026-09-16

Sealed Holdout slice assigned to A3.3

Evaluated chronologically forward from 2020-04-20T19:06:00.000Z, frozen before evaluation.

research-output/strategy-lab/campaigns/a3/A3_3_HOLDOUT_LEDGER.json

2026-09-16

a3-volume-acceleration-momentum@a3-v1 registeredACTIVE_RESEARCH · HOLDOUT

[a3] Holdout-eligible but awaiting explicit human authorization -- automatic routing stops here per spec Sec. A#.6, never opens Holdout on its own.

research-output/strategy-lab/experiment_registry.json