a4-volume-dry-up-expansion
a4 / a4-volume-dry-up-expansion @ a4-v1 · code 3f6e122
campaign strategyREJECTED
Lightning Screen: Aggregate expectancy -0.2527R over 91 resolved trades is negative/flat (PF=0.662), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
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 nextMechanism family
Volatility expansion / contraction
a4-volume-dry-up-expansion
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 (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 reasonIntake
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 -0.2527R over 91 resolved trades is negative/flat (PF=0.662), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy -0.2527R over 91 resolved trades is negative/flat (PF=0.662), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
Evidence recorded
Quoted from the campaign record — never recomputed hereScreen n (FIXED_2R)
91
Expectancy
-0.253R
Profit factor
0.66
Win rate
25.3%
Total R
-23
Max DD
23R
Longest L streak
7
Trades / year
25.8
| 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 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
Descendants
Frozen specification
Snapshotted at intake — not re-read from a live moduleMechanism hypothesis
A directional expansion that follows a measurable multi-bar CONTRACTION in participation (a volume dry-up, not merely a volatility compression) behaves differently from ordinary volatility-band compression/release.
Long rule
Over a rolling window of the last 6 closed 5-minute bars: average relative volume <= 0.7 AND the window's own high-low range <= 1x ATR(14, computed over bars strictly before the window). If the VERY NEXT closed 5-minute bar has relative volume >= 1.5 AND closes above the dry-up window's own high: enter LONG (continuation) at the next 1-minute bar's open.
Short rule
Same dry-up condition; if the next bar's close breaks BELOW the dry-up window's own low with relative volume >= 1.5: enter SHORT.
Entry trigger
A 6-bar window of sustained low relative volume and compressed range, immediately followed by one bar of high relative volume breaking outside that window's own high/low.
Earliest executable entry
Next 1-minute bar's open after the re-expansion bar closes.
Initial stop
The dry-up window's own opposite extreme: low for a long entry, high for a short entry.
Exit
FIXED_2R only (this seed strategy's declared A4 scope), via the shared TradeTracker; 5-day max-hold expiry as a backstop.
Causality
The dry-up window's own average relative volume and range, and the preceding ATR baseline, all use only closed 5-minute bars strictly before the re-expansion bar. The re-expansion bar's own relative volume and close are knowable the instant it closes. Entry is deferred to the next 1-minute bar's open after the re-expansion 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
dryUpWindowBars5m = 6 (integer) — Consecutive 5-minute bars forming the dry-up window.dryUpAvgRelVolThreshold = 0.7 (number) — Maximum average relative volume across the dry-up window.compressionAtrMultiple = 1 (number) — Maximum dry-up window range, as a multiple of the preceding ATR.reexpansionRelVolThreshold = 1.5 (number) — Minimum relative volume required on the re-expansion bar.atrLength5m = 14 (integer) — 5-minute ATR lookback for the compression-magnitude baseline.stopAtrMultiple = 1.5 (number) — Unused fallback stop multiple (the primary stop is structural); retained for parameter-schema consistency with sibling modules.
Read from research-output/strategy-lab/campaigns/a4/campaign_state.json
History
Every dated event this record appears in, newest first2026-09-16
a4-volume-dry-up-expansion@a4-v1 registeredREJECTED · LIGHTNING_SCREEN
[a4] Lightning Screen: Aggregate expectancy -0.2527R over 91 resolved trades is negative/flat (PF=0.662), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
research-output/strategy-lab/experiment_registry.json