a5-01-volatility-acceleration-continuation

a5 / a5-01-volatility-acceleration-continuation @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.1176R) but the top 10 winning trades alone account for 166.7% of total R -- the apparent edge is fragile.

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

Volatility expansion / contraction

a5-01-volatility-acceleration-continuation

Mechanism parent

a2-variance-ratio-persistence

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 (A5)

research-output/strategy-lab/campaigns/a5/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 A5 at code version 67d8d64.

PREREGISTRATION

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

LIGHTNING

REJECTED_CONCENTRATEDAggregate expectancy is positive (0.1176R) but the top 10 winning trades alone account for 166.7% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.1176R) but the top 10 winning trades alone account for 166.7% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

102

Expectancy

+0.118R

Profit factor

1.19

Win rate

37.3%

Total R

Max DD

14R

Longest L streak

Trades / year

28.9

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

Read from research-output/strategy-lab/campaigns/a5/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

experimental descendant

Parent

a2-variance-ratio-persistence

Note

A2 tested the short/long variance relationship ALONE as a regime label and was rejected. A5.01 requires a CONJUNCTION with contemporaneous path efficiency and trades the release itself rather than labelling a regime. Declared descendant; carries A2's negative prior.

Frozen specification

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

Mechanism hypothesis

Compressed-then-released order flow persists briefly when short-horizon realized variance outruns its own longer-horizon baseline WHILE path efficiency stays high -- the conjunction, not either statistic alone.

Long rule

RV(5) / RV(30) >= 2 AND efficiencyRatio(10) >= 0.6 AND close[i] > close[i-10]: enter LONG at the next bar's open.

Short rule

Same conjunction with close[i] < close[i-10]: enter SHORT.

Entry trigger

Edge-triggered on the bar where both conditions first hold; re-arms only once the ratio falls back below 1.2.

Earliest executable entry

The OPEN of the next 1-minute bar after the trigger bar closes. Enforced structurally by A5StrategyBase's pending-entry queue, which is drained at the top of the following ingest() -- a rule cannot fill on its own trigger bar.

Initial stop

The opposite extreme of the trigger bar's own 10-bar window.

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH excluding 11:30-13:30 ET — Lunch is excluded at intake because thin midday participation makes a variance-ratio spike mechanically easy to reach without the order-flow release the hypothesis claims.

Causality

Both realized-vol windows and the efficiency ratio end at the trigger bar. Every statistic is computed from closed 1-minute bars up to and including the trigger bar, against trailing (already-observed) history. Entry is deferred to the next bar's open. No same-bar entry.

Expected frequency

LOW

Required data

MNQ 1-minute OHLC

Campaign data window

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

Parameters

rvShort = 5 (integer) — Short realized-vol window (1m bars).rvLong = 30 (integer) — Baseline realized-vol window (1m bars).ratio = 2 (number) — Minimum RV short/long ratio.erMin = 0.6 (number) — Minimum Kaufman efficiency ratio.

Read from research-output/strategy-lab/campaigns/a5/campaign_state.json

History

Every dated event this record appears in, newest first

2026-09-17

a5-01-volatility-acceleration-continuation@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy is positive (0.1176R) but the top 10 winning trades alone account for 166.7% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json