a5-13-prior-day-extreme-failed-acceptance

a5 / a5-13-prior-day-extreme-failed-acceptance @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.1854R) but the top 10 winning trades alone account for 121.4% 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

a5-13-prior-day-extreme-failed-acceptance

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_CONCENTRATEDAggregate expectancy is positive (0.1854R) but the top 10 winning trades alone account for 121.4% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.1854R) but the top 10 winning trades alone account for 121.4% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (STRUCTURAL_PD_MIDPOINT)

621

Expectancy

+0.185R

Profit factor

1.25

Win rate

25.0%

Total R

115

Max DD

40R

Longest L streak

Trades / year

173.8

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

a03-failed-breakout-reentry

Note

A0.3 tested a rolling-range break that fails and re-enters, and was rejected. A5.13 applies that shape to PRIOR-DAY levels and gates it on failing A5.12's explicit acceptance definition rather than on a bar count. Preregistered as the paired arm of A5.12 and counted twice in experiment burden. Declared descendant; carries A0.3's negative prior.

Frozen specification

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

Mechanism hypothesis

A breach of a prior-day extreme that cannot sustain acceptance and closes back inside is a failed repricing, and price reverts toward value.

Long rule

Price breaches PDL but never achieves the 5-close acceptance run of A5.12, then closes back above PDL: enter LONG next bar open.

Short rule

Mirrored after a failed breach above PDH.

Entry trigger

Fires on the first close back inside the prior-day range following a breach that failed to reach acceptance. 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

The breach extreme -- the furthest point the failed repricing reached.

Exit

STRUCTURAL: the prior-day range midpoint (PDH+PDL)/2. Recorded under variant "STRUCTURAL_PD_MIDPOINT". Not FIXED 2R -- the destination is the claim. Where the midpoint sits closer than the stop distance, the shared buildStructuralVariant causal-R:R guard rejects the target and the trade records no result rather than a sub-1R win; that constraint is disclosed, not engineered around.

Session restriction

RTH only — Same prior-day-levels-are-RTH-constructs reason as A5.12, with which this shares its level definition.

Causality

PDH/PDL come from the completed prior RTH session; the breach and the failure are both confirmed on closed 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

acceptCloses = 5 (integer) — Acceptance-run length that must NOT be reached, shared with A5.12.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-13-prior-day-extreme-failed-acceptance@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy is positive (0.1854R) but the top 10 winning trades alone account for 121.4% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json