a4-close-location-pressure-persistence

a4 / a4-close-location-pressure-persistence @ a4-v1 · code 3f6e122

campaign strategyREJECTED

Lightning Screen: Only 22 resolved trades (< 30) -- expectancy/PF/drawdown figures are real but not statistically interpretable at this sample size.

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 next

Mechanism family

Order flow / aggressor imbalance

a4-close-location-pressure-persistence

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 (A4)

research-output/strategy-lab/campaigns/a4/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

failed

Robust

—

Exec/stat

—

Validation

—

H-eligible

—

Holdout

—

Audit

—

Closed

failed

INTAKE

Registered into campaign A4 at code version 3f6e122.

PREREGISTRATION

Pre-test passed: distinct, causal, executable, required data available.

LIGHTNING

REJECTED_INSUFFICIENT_SAMPLEOnly 22 resolved trades (< 30) -- expectancy/PF/drawdown figures are real but not statistically interpretable at this sample size.

CLOSED

REJECTEDLightning Screen: Only 22 resolved trades (< 30) -- expectancy/PF/drawdown figures are real but not statistically interpretable at this sample size.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

Expectancy

+0.227R

Profit factor

1.38

Win rate

40.9%

Total R

Max DD

Longest L streak

Trades / year

6.8

Only 22 resolved trades (< 30) -- expectancy/PF/drawdown figures above are real but not yet statistically interpretable. Not a rejection; more data or a longer history window is needed before drawing conclusions.

Split	Window	n	Expectancy	PF	Max DD
Discovery	—	—	—	—	—
Validation	—	—	—	—	—
Holdout	—	—	—	—	—

Read from research-output/strategy-lab/campaigns/a4/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

Repeated closes near one side of their own bar ranges, sustained over multiple consecutive bars, indicate persistent directional pressure that predicts continuation.

Long rule

If EVERY one of the last 8 closed 5-minute bars has closeLocationValue >= 0.7: enter LONG (continuation) at the next 1-minute bar's open.

Short rule

If EVERY one of the last 8 closed 5-minute bars has closeLocationValue <= 0.30000000000000004: enter SHORT.

Entry trigger

All 8 bars in a rolling window individually qualify (closeLocationValue at or beyond the same extreme threshold on every single bar, not merely on average). Edge-detected: re-armed only once the streak next breaks, then a fresh qualifying streak re-forms.

Earliest executable entry

Next 1-minute bar's open after the 8th (most recent) qualifying 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 A4 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.

Causality

Each bar's own close-location value uses only that bar's own already-closed high/low/close (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

LOW

Required data

MNQ 1-minute OHLC

Campaign data window

MNQ 2022-06-03..2026-09-15

Parameters

rollingWindow5m = 8 (integer) — Consecutive 5-minute bars that must ALL individually qualify.highClvThreshold = 0.7 (number) — Minimum close-location value required on every bar for a long streak.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/a4/campaign_state.json

History

Every dated event this record appears in, newest first

2026-09-16

a4-close-location-pressure-persistence@a4-v1 registeredREJECTED · LIGHTNING_SCREEN

[a4] Lightning Screen: Only 22 resolved trades (< 30) -- expectancy/PF/drawdown figures are real but not statistically interpretable at this sample size.

research-output/strategy-lab/experiment_registry.json