a5-10-expansion-staircase

a5 / a5-10-expansion-staircase @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.2000R over 45 resolved trades is negative/flat (PF=0.727), with no individual year reached the minimum sample to assess consistency.

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

Volatility expansion / contraction

a5-10-expansion-staircase

Mechanism parent

a2-range-expansion-asymmetry

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 -0.2000R over 45 resolved trades is negative/flat (PF=0.727), with no individual year reached the minimum sample to assess consistency.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy -0.2000R over 45 resolved trades is negative/flat (PF=0.727), with no individual year reached the minimum sample to assess consistency.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

Expectancy

-0.200R

Profit factor

0.73

Win rate

26.7%

Total R

-9

Max DD

12R

Longest L streak

Trades / year

13.0

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-range-expansion-asymmetry

Note

A2 measured a SINGLE window's peak-extension asymmetry (shallow vs deep retracement) and was rejected. A5.10 requires an ordered SEQUENCE of three qualifying expansions, each individually constrained -- a path condition, not a window statistic. Declared descendant; carries A2's negative prior.

Frozen specification

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

Mechanism hypothesis

Sequential same-direction range expansions with shallow retracement between them indicate stepwise repricing rather than a single impulse.

Long rule

3 consecutive closed 5M bars, each with range >= 1.2 x ATR(14,5M), each closing above the prior bar's high, each retracing < 40% of the prior bar's range: enter LONG at the next 1m open.

Short rule

Mirrored downward.

Entry trigger

Fires when the 3th qualifying bar closes. The run resets whenever any condition breaks.

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 origin (opposite extreme) of the SECOND expansion bar in the staircase.

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH only — An ATR-relative range test on thin overnight bars fires on illiquidity rather than on repricing.

Causality

Each staircase step is a closed 5M bar and the ATR is taken from bars strictly before the current step. 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

minRangeAtr = 1.2 (number) — Minimum bar range as an ATR multiple.maxRetrace = 0.4 (number) — Maximum retracement of the prior bar's range.requiredSteps = 3 (integer) — Consecutive qualifying expansions required.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-10-expansion-staircase@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy -0.2000R over 45 resolved trades is negative/flat (PF=0.727), with no individual year reached the minimum sample to assess consistency.

research-output/strategy-lab/experiment_registry.json