a5-06-vwap-displacement-regime-switch

a5 / a5-06-vwap-displacement-regime-switch @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0959R over 458 resolved trades is negative/flat (PF=0.874), with 3/4 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

Auction / value profile

a5-06-vwap-displacement-regime-switch

Mechanism parent

a2-realized-vol-regime-switch

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 -0.0959R over 458 resolved trades is negative/flat (PF=0.874), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.0959R over 458 resolved trades is negative/flat (PF=0.874), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (A5_06_SPLIT_ARM)

458

Expectancy

-0.096R

Profit factor

0.87

Win rate

23.8%

Total R

-44

Max DD

69R

Longest L streak

Trades / year

129.3

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-realized-vol-regime-switch

Note

Legacy `vwap` tested VWAP-deviation reversion unconditionally. Regime conditioning itself has been tested twice (A2.5 rejected; A2.10 live), so this is a declared THIRD application and is deliberately bound to a PARTICIPATION regime rather than A2.10's realized-range regime, so it cannot be a restatement of the live strategy.

Frozen specification

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

Mechanism hypothesis

Standardized distance from VWAP means opposite things in different participation regimes: confirmation when participation is heavy, over-extension when it is light.

Long rule

|z| >= 2 where z = (close-VWAP)/sd(session deviations). HIGH participation (session volume / 20-day same-clock median >= 1.2): trade CONTINUATION of the displacement. LOW participation (<= 0.8): trade REVERSION toward VWAP. Between the two: no trade.

Short rule

Direction is set by the sign of z and by which arm is active; both arms trade long and short.

Entry trigger

First bar in each regime state per day whose |z| crosses the threshold, after 10:30 ET.

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

1.0 x ATR(14, 1m) beyond entry on the adverse side.

Exit

SPLIT BY ARM. Continuation arm: FIXED 2R. Reversion arm: STRUCTURAL -- session VWAP at fill. Both recorded under variant "A5_06_SPLIT_ARM".

Session restriction

RTH after 10:30 ET — Session VWAP and its deviation spread need a minimum sample to be meaningful; before 10:30 the z-score is dominated by the opening bars.

Causality

VWAP, its deviation spread and the session-volume ratio all accumulate over closed bars only; the same-clock median is drawn from prior days. 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

zThreshold = 2 (number) — Standardized VWAP distance required.highParticipation = 1.2 (number) — Session-volume ratio at/above which the continuation arm is active.lowParticipation = 0.8 (number) — Session-volume ratio at/below which the reversion arm is active.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-06-vwap-displacement-regime-switch@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy -0.0959R over 458 resolved trades is negative/flat (PF=0.874), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

research-output/strategy-lab/experiment_registry.json