a5-12-prior-day-extreme-acceptance

a5 / a5-12-prior-day-extreme-acceptance @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.0160R) but the top 10 winning trades alone account for 156.7% 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

Overnight / prior-day structure

a5-12-prior-day-extreme-acceptance

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 (0.0160R) but the top 10 winning trades alone account for 156.7% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.0160R) but the top 10 winning trades alone account for 156.7% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

796

Expectancy

+0.016R

Profit factor

1.02

Win rate

34.7%

Total R

Max DD

52R

Longest L streak

Trades / year

222.8

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 priorDayLevels and A3's Arm C both accepted a PDH/PDL breakout on a SINGLE 5-minute close; both were rejected. A5.12 requires a multi-close acceptance RUN with a no-return condition -- a materially stricter operationalization -- and is deliberately volume-blind, since Arm C's volume confirmation was itself rejected. Declared descendant; carries both negative priors.

Frozen specification

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

Mechanism hypothesis

Sustained trade beyond a prior-day extreme is repricing, not a wick -- and a multi-close acceptance run with no return inside is what distinguishes the two.

Long rule

PDH frozen at the prior RTH close. 5 consecutive 1m closes above PDH AND no bar in that run trading back below PDH: enter LONG next bar open.

Short rule

Mirrored below PDL.

Entry trigger

Edge-triggered at the 5th accepting close. Any bar returning inside the prior-day range resets the run to zero. One signal per level 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

Back inside the prior-day range by 0.5 x ATR(14,5M) beyond the level.

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH only — Prior-day levels are RTH constructs and overnight interaction with them is a different, thinner phenomenon.

Causality

PDH/PDL come from the completed prior RTH session; the acceptance run is counted on closed bars only. 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

acceptCloses = 5 (integer) — Consecutive closes beyond the level required.stopAtr = 0.5 (number) — Stop distance back inside the range, in ATR.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-12-prior-day-extreme-acceptance@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy is positive (0.0160R) but the top 10 winning trades alone account for 156.7% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json