a5-03-price-per-volume-vacuum-reversal

a5 / a5-03-price-per-volume-vacuum-reversal @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.1739R over 138 resolved trades is negative/flat (PF=0.760), 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 OHLCV

Side

BOTH

Tracking

Family, lineage and what this record needs next

Mechanism family

Order flow / aggressor imbalance

a5-03-price-per-volume-vacuum-reversal

Mechanism parent

a2-volume-climax-exhaustion

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 -0.1739R over 138 resolved trades is negative/flat (PF=0.760), with 4/4 qualifying years (n>=15) agree with the aggregate sign.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.1739R over 138 resolved trades is negative/flat (PF=0.760), with 4/4 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

138

Expectancy

-0.174R

Profit factor

0.76

Win rate

27.5%

Total R

-24

Max DD

30R

Longest L streak

Trades / year

38.6

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-volume-climax-exhaustion

Note

A2 tested extreme volume plus extreme range followed by failure, with NO vacuum precondition, and was rejected. A5.03 requires the climax to FOLLOW a low-participation displacement -- the ordering is the hypothesis. Declared descendant; carries A2's negative prior. Preregistered as the paired arm of A5.02 and counted twice in experiment burden.

Frozen specification

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

Mechanism hypothesis

A vacuum displacement that is then met by a participation surge WITHOUT extending was liquidity-driven rather than informed, and reverses.

Long rule

After a short-side vacuum bar, a bar within 5 whose volume >= P90(trailing 240) and which makes no new low beyond the vacuum bar's low: enter LONG next bar open.

Short rule

Mirrored after a long-side vacuum bar.

Entry trigger

Two-stage: vacuum bar arms a watch; the first qualifying surge-without-extension bar inside 5 bars fires it.

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 vacuum bar's own extreme (the level the reversal claims will hold).

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH only — Same thin-overnight-volume reason as A5.02, and the surge leg requires a meaningful participation population.

Causality

The vacuum bar and the surge bar are both closed before entry is queued. 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

failureWindow = 5 (integer) — Bars within which the surge-without-extension must occur.surgePercentile = 0.9 (number) — Volume percentile defining the participation surge.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-03-price-per-volume-vacuum-reversal@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy -0.1739R over 138 resolved trades is negative/flat (PF=0.760), with 4/4 qualifying years (n>=15) agree with the aggregate sign.

research-output/strategy-lab/experiment_registry.json