Strategies · Record

a5-08-session-handoff-continuation

a5 / a5-08-session-handoff-continuation @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Robustness Gauntlet: Removing the top 20 winning trades collapses expectancy from 0.2393R to 0.0029R (>70% reduction) -- the edge depends on a small number of outsized winners.

Lifecycle
completed
Outcome
fail
Phase
Phase A
Research gate
ROBUSTNESS
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
a5-08-session-handoff-continuation
Mechanism parent
a3-multi-session-trend-persistence
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
passed
Robust
failed
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
SURVIVED_LIGHTNING_SCREENAggregate expectancy 0.2393R (PF=1.408) over 169 resolved trades, 3/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 49.5% (below the 50% concentration flag). Survives the Lightning Screen -- NOT validated.
ROBUSTNESS
ROBUSTNESS_FAIL_CONCENTRATEDRemoving the top 20 winning trades collapses expectancy from 0.2393R to 0.0029R (>70% reduction) -- the edge depends on a small number of outsized winners.
CLOSED
REJECTEDRobustness Gauntlet: Removing the top 20 winning trades collapses expectancy from 0.2393R to 0.0029R (>70% reduction) -- the edge depends on a small number of outsized winners.

Evidence recorded

Quoted from the campaign record — never recomputed here
Screen n (FIXED_2R)
169
Expectancy
+0.239R
Profit factor
1.41
Win rate
41.4%
Total R
40
Max DD
10R
Longest L streak
7
Trades / year
48.2
SplitWindownExpectancyPFMax DD
Discovery—————
Validation—————
Holdout—————
Winner concentration
Top 5 24.7% · top 10 49.5% · top 20 98.9% of total R.
Leave-one-year-out
No sign flip when any single year is removed.

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
a3-multi-session-trend-persistence
Note
A3 measured directional consistency across MULTIPLE completed sessions as a static predictor and was rejected. A5.08 is a single-handoff condition with an explicit non-retracement requirement evaluated inside the new session. Declared descendant; carries A3's negative prior.

Frozen specification

Snapshotted at intake — not re-read from a live module
Mechanism hypothesis
Directional inventory built in one session carries into the next when the new session does not materially retrace it.
Long rule
Prior overnight |close-open|/range >= 0.6 upward AND the new RTH session retraces < 25% of that range within its first 15 bars: enter LONG at the open of bar 16.
Short rule
Mirrored for a downward prior session.
Entry trigger
Fires once, at a fixed bar offset into the new session, only if the non-retracement condition held across all 15 observation bars.
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 new session's opposing extreme established during the observation window.
Exit
FIXED_2R via the shared TradeTracker, max-hold backstop.
Session restriction
RTH, entry at bar 16 after the 09:30 open — The hypothesis is specifically about the handoff moment; a fixed offset avoids any post-hoc choice of when to judge the retracement.
Causality
The prior session is complete before the new one opens; the retracement test uses only observation-window 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
LOW
Required data
MNQ 1-minute OHLC
Campaign data window
MNQ 2022-06-03..2026-09-15
Parameters
directionalRatio = 0.6 (number) — Minimum prior-session |close-open| / range.maxRetrace = 0.25 (number) — Maximum fraction of the prior range retraced during observation.observeBars = 15 (integer) — Observation bars before entry.

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

History

Every dated event this record appears in, newest first
2026-09-17
a5-08-session-handoff-continuation@a5-v1 registeredREJECTED · ROBUSTNESS
[a5] Robustness Gauntlet: Removing the top 20 winning trades collapses expectancy from 0.2393R to 0.0029R (>70% reduction) -- the edge depends on a small number of outsized winners.
research-output/strategy-lab/experiment_registry.json