a4-overnight-inventory-reversal

a4 / a4-overnight-inventory-reversal @ a4-v1 · code 3f6e122

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0528R over 35 resolved trades is negative/flat (PF=0.918), with no individual year reached the minimum sample to assess consistency.

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

Overnight / prior-day structure

a4-overnight-inventory-reversal

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_CLEARLY_NEGATIVEAggregate expectancy -0.0528R over 35 resolved trades is negative/flat (PF=0.918), with no individual year reached the minimum sample to assess consistency.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.0528R over 35 resolved trades is negative/flat (PF=0.918), with no individual year reached the minimum sample to assess consistency.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

Expectancy

-0.053R

Profit factor

0.92

Win rate

34.3%

Total R

-2

Max DD

Longest L streak

Trades / year

10.3

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

Descendants

a5-05-overnight-reversion-failure

Frozen specification

Snapshotted at intake — not re-read from a live module

Mechanism hypothesis

An unusually directional overnight move (relative to its own range), followed by an OPPOSING, high-participation RTH bar, predicts a subsequent inventory correction back against the overnight move.

Long rule

At the 09:30 ET RTH open, if the completed overnight session's own |return|/range >= 0.6 and the overnight move was DOWN: watch the next 3 closed 5-minute RTH bars for one that closes above its own open, has relative volume >= 1.3, and closes above the overnight session's own midpoint. If found, enter LONG (reversal) at the next 1-minute bar's open.

Short rule

Symmetric for an UP overnight move: watch for an opposing (down-closing), volume-confirmed bar that closes below the overnight midpoint; enters SHORT.

Entry trigger

A completed overnight session's own normalized displacement (|return|/range) >= 0.6, followed within 3 closed 5-minute RTH bars by one bar that is simultaneously (a) opposing the overnight direction, (b) relative volume >= 1.3, and (c) closes across the overnight session's own midpoint.

Earliest executable entry

Next 1-minute bar's open after the confirming 5-minute bar closes.

Initial stop

The overnight session's own extreme in the overnight move's own direction (structural): the overnight high for a short entry (after an up move), the overnight low for a long entry (after a down move).

Exit

FIXED_2R only (this seed strategy's declared A4 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.

Session restriction

Watch armed only at the 09:30 ET RTH open, confirmed only within the first 15 minutes of RTH — The mechanism is defined entirely in terms of the completed overnight session and the very start of the following RTH session.

Causality

The overnight session's own open/high/low are fixed the instant the 09:30 ET RTH open bar's own open is known (all overnight bars are already closed by then). The confirming bar's own direction, relative volume, and close are all knowable the instant that bar closes. Entry is deferred to the next 1-minute bar's open after the confirming 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

unusuallyDirectionalThreshold = 0.6 (number) — Minimum overnight |return|/range to arm the watch.confirmWindowBars5m = 3 (integer) — Closed 5-minute RTH bars watched for a confirming reversal bar.confirmRelVolThreshold = 1.3 (number) — Minimum relative volume required on the confirming bar.relativeVolumeLookback = 20 (integer) — Bars used for the trailing average-volume baseline.

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-overnight-inventory-reversal@a4-v1 registeredREJECTED · LIGHTNING_SCREEN

[a4] Lightning Screen: Aggregate expectancy -0.0528R over 35 resolved trades is negative/flat (PF=0.918), with no individual year reached the minimum sample to assess consistency.

research-output/strategy-lab/experiment_registry.json