a5-09-premarket-or-confluence-break

a5 / a5-09-premarket-or-confluence-break @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.0800R) but the top 10 winning trades alone account for 333.3% 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

Breakout / failed breakout

a5-09-premarket-or-confluence-break

Mechanism parent

a3-arm-c-volume-confirmed-continuation

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 (0.0800R) but the top 10 winning trades alone account for 333.3% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.0800R) but the top 10 winning trades alone account for 333.3% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

Expectancy

+0.080R

Profit factor

1.13

Win rate

36.0%

Total R

Max DD

Longest L streak

Trades / year

21.1

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

a3-arm-c-volume-confirmed-continuation

Note

Legacy rangeBreakRetest tested generic range break -> retest -> continuation and legacy openingRange tested OR acceptance/failure; neither required CONFLUENCE of two independently derived boundaries, which is this strategy's entire premise. Deliberately contains no FVG/inversion component, so it is not a V1 rebuild. Declared descendant of the nearest prior level-break work; carries its negative prior.

Frozen specification

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

Mechanism hypothesis

Two INDEPENDENTLY DERIVED reference boundaries agreeing makes a break more meaningful than a break of either alone.

Long rule

Premarket high and OR15 high agree within 0.25 x ATR(14,5M); a 1m close clears both; price retraces into the breakout bar's 50% level without closing back below the level; a later close above the breakout extreme: enter LONG next bar open.

Short rule

Mirrored on the low side.

Entry trigger

Break, 50% retest hold, resume -- each confirmed on a closed bar. 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 retest extreme (the deepest point of the 50% retracement).

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

Trigger 09:45-11:30 ET — The OR15 must be complete (09:45) and the claim is about the morning's resolution of premarket structure; an afternoon trigger would be a different mechanism.

Causality

Premarket levels freeze at 09:29 and the OR15 at 09:44, both strictly before the trigger window 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

confluenceAtr = 0.25 (number) — Maximum ATR-scaled distance between the two boundaries for them to count as agreeing.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-09-premarket-or-confluence-break@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy is positive (0.0800R) but the top 10 winning trades alone account for 333.3% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json