a5-07-compression-break-false-failure

a5 / a5-07-compression-break-false-failure @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0210R over 2004 resolved trades is negative/flat (PF=0.969), 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 OHLC

Side

BOTH

Tracking

Family, lineage and what this record needs next

Mechanism family

Breakout / failed breakout

a5-07-compression-break-false-failure

Mechanism parent

a03-failed-breakout-reentry

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 -0.0210R over 2004 resolved trades is negative/flat (PF=0.969), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.0210R over 2004 resolved trades is negative/flat (PF=0.969), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

2,004

Expectancy

-0.021R

Profit factor

0.97

Win rate

32.6%

Total R

-42

Max DD

78R

Longest L streak

Trades / year

559.6

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

a03-failed-breakout-reentry

Note

A0.3 tested the break that DOES re-enter the prior range and trades reversal, and was rejected. A5.07 is its complement: the break that touches back but HOLDS outside, traded as continuation. Declared descendant; carries A0.3's negative prior.

Frozen specification

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

Mechanism hypothesis

A breakout that looks failed -- price returns to the compression boundary -- but never closes back inside, traps the fade and continues.

Long rule

range(20) <= P25(trailing 240); a close above the band; within 5 bars price touches back to the band boundary WITHOUT closing inside; then a close above the break extreme: enter LONG next bar open.

Short rule

Mirrored below the band.

Entry trigger

Three-stage, all on closed bars. One signal per compression instance; a close back inside the band cancels.

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 deepest retracement extreme reached during the false failure.

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH only — The compression percentile population is dominated by thin overnight ranges if both sessions are pooled, which would make the compression test fire on liquidity rather than on genuine coiling.

Causality

The compression band is measured on bars strictly before the break, and each later stage is confirmed on a closed 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 OHLC

Campaign data window

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

Parameters

compWindow = 20 (integer) — Bars forming the compression range.compPercentile = 0.25 (number) — Percentile at/below which the range counts as compressed.failureWindow = 5 (integer) — Bars allowed for the touch-back.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-07-compression-break-false-failure@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy -0.0210R over 2004 resolved trades is negative/flat (PF=0.969), with 3/4 qualifying years (n>=15) agree with the aggregate sign.

research-output/strategy-lab/experiment_registry.json