a5-02-price-per-volume-vacuum-continuation

a5 / a5-02-price-per-volume-vacuum-continuation @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0057R over 5259 resolved trades is negative/flat (PF=0.991), with 2/4 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 OHLCV

Side

BOTH

Tracking

Family, lineage and what this record needs next

Mechanism family

Order flow / aggressor imbalance

a5-02-price-per-volume-vacuum-continuation

Mechanism parent

a4-volume-dry-up-expansion

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_CLEARLY_NEGATIVEAggregate expectancy -0.0057R over 5259 resolved trades is negative/flat (PF=0.991), with 2/4 qualifying years (n>=15) agree with the aggregate sign.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.0057R over 5259 resolved trades is negative/flat (PF=0.991), with 2/4 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

5,259

Expectancy

-0.006R

Profit factor

0.99

Win rate

33.1%

Total R

-30

Max DD

94R

Longest L streak

Trades / year

1468.5

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

a4-volume-dry-up-expansion

Note

A4 tested a SEQUENTIAL multi-bar participation contraction followed by expansion, and was rejected. A5.02 is a CONTEMPORANEOUS within-bar ratio and requires no preceding contraction at all. Declared descendant; carries A4's negative prior.

Frozen specification

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

Mechanism hypothesis

Unusually large directional price travel per unit of participation implies thin opposing liquidity, and price continues until participation normalizes.

Long rule

impact = |close-open| / volume; impact >= P90(trailing 240) AND volume <= median(trailing 240) AND close > open: enter LONG next bar open.

Short rule

Same with close < open: enter SHORT.

Entry trigger

Fires on the qualifying bar itself; at most one entry per 30 bars.

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 trigger bar's opposite extreme.

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH only — Overnight volume is structurally thin, so a per-unit-volume impact percentile computed across both sessions would fire almost exclusively overnight for reasons unrelated to the hypothesis.

Causality

The percentile population is the trailing window strictly before 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 OHLCV

Campaign data window

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

Parameters

history = 240 (integer) — Trailing bars forming the impact/volume percentile population.impactPercentile = 0.9 (number) — Impact percentile required.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-02-price-per-volume-vacuum-continuation@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy -0.0057R over 5259 resolved trades is negative/flat (PF=0.991), with 2/4 qualifying years (n>=15) agree with the aggregate sign.

research-output/strategy-lab/experiment_registry.json