a5-04-opening-inventory-rejection

a5 / a5-04-opening-inventory-rejection @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.1845R over 58 resolved trades is negative/flat (PF=0.742), with 2/3 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 next

Mechanism family

Session / time-of-day

a5-04-opening-inventory-rejection

Mechanism parent

a03-overnight-rth-transition

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 -0.1845R over 58 resolved trades is negative/flat (PF=0.742), with 2/3 qualifying years (n>=15) agree with the aggregate sign.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.1845R over 58 resolved trades is negative/flat (PF=0.742), with 2/3 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

Expectancy

-0.184R

Profit factor

0.74

Win rate

27.6%

Total R

-11

Max DD

18R

Longest L streak

Trades / year

16.5

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

a03-overnight-rth-transition

Note

A0.3 tested overnight range LOCATION as a static predictor of early-RTH response and was rejected. A5.04 requires a two-sided PATH -- reject one side, then accept beyond the other -- within one session. Declared descendant; carries A0.3's negative prior.

Frozen specification

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

Mechanism hypothesis

Early RTH rejecting one side of overnight inventory and then ACCEPTING beyond the opposite side is genuine repricing, not a range breakout.

Long rule

Price trades beyond ONL and closes back inside within 10 bars (rejection), then posts 3 consecutive closes above ONH: enter LONG next bar open.

Short rule

Mirrored: rejection above ONH, then 3 consecutive closes below ONL.

Entry trigger

Two-sided sequence within 09:30-10:30 ET; at most one signal per day.

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 rejected overnight extreme -- the level whose rejection is the premise.

Exit

FIXED_2R via the shared TradeTracker, flat by the max-hold backstop.

Session restriction

Trigger 09:30-10:30 ET — The hypothesis is explicitly about how the opening hour resolves overnight inventory; a later trigger would be a different claim.

Causality

ONH/ONL are frozen from the completed overnight block before RTH opens. 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

RARE

Required data

MNQ 1-minute OHLC

Campaign data window

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

Parameters

rejectWithin = 10 (integer) — Bars within which price must close back inside after breaching.acceptCloses = 3 (integer) — Consecutive closes required beyond the opposite extreme.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-04-opening-inventory-rejection@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy -0.1845R over 58 resolved trades is negative/flat (PF=0.742), with 2/3 qualifying years (n>=15) agree with the aggregate sign.

research-output/strategy-lab/experiment_registry.json