a5-05-overnight-reversion-failure

a5 / a5-05-overnight-reversion-failure @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.0843R) but the top 10 winning trades alone account for 1100.9% 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

Overnight / prior-day structure

a5-05-overnight-reversion-failure

Mechanism parent

a4-overnight-inventory-reversal

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 (0.0843R) but the top 10 winning trades alone account for 1100.9% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.0843R) but the top 10 winning trades alone account for 1100.9% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (STRUCTURAL_OVERNIGHT_EXTREME)

Expectancy

+0.084R

Profit factor

1.10

Win rate

15.6%

Total R

Max DD

Longest L streak

Trades / year

9.6

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

a4-overnight-inventory-reversal

Note

A4 tested the reversion ARM (overnight move + opposing high-participation RTH bar -> correction) and was rejected. A5.05 tests the FAILURE of that same reversion, an arm never previously run. Declared descendant; carries A4's negative prior.

Frozen specification

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

Mechanism hypothesis

An overnight extension that begins reverting but cannot reclaim balance leaves trapped fade positioning, and price resumes toward the overnight extreme.

Long rule

Overnight |close-open|/(ONH-ONL) >= 0.6 upward; RTH retraces >= 50% of the overnight range but fails to close above the overnight midpoint within 20 bars: enter LONG next bar open.

Short rule

Mirrored for a downward overnight extension.

Entry trigger

Fires on the bar at which the 20-bar reclaim window expires without a midpoint close. 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 retracement extreme -- the furthest point the failed reversion reached.

Exit

STRUCTURAL: the overnight extreme (ONH for a long, ONL for a short). Recorded under variant "STRUCTURAL_OVERNIGHT_EXTREME". Not FIXED 2R -- the destination is the claim. Where the extreme sits closer than the stop distance, the shared buildStructuralVariant causal-R:R guard rejects the target and the trade records no result rather than a sub-1R win; that constraint is disclosed, not engineered around.

Session restriction

Trigger 09:30-13:30 ET — The claim concerns the RTH response to overnight inventory; a late-afternoon trigger would be a different mechanism and leaves too little session for a structural destination to resolve.

Causality

The overnight block is complete before RTH opens; the reclaim window expiry is evaluated on closed bars. 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

directionalRatio = 0.6 (number) — Minimum overnight |close-open| / range.retraceFraction = 0.5 (number) — Fraction of the overnight range that must be retraced.reclaimWindow = 20 (integer) — Bars allowed to reclaim the overnight midpoint.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-05-overnight-reversion-failure@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy is positive (0.0843R) but the top 10 winning trades alone account for 1100.9% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json