a5-14-impulse-pullback-velocity-asymmetry

a5 / a5-14-impulse-pullback-velocity-asymmetry @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy is positive (0.0050R) but the top 10 winning trades alone account for 127.7% 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

Momentum / trend

a5-14-impulse-pullback-velocity-asymmetry

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_CONCENTRATEDAggregate expectancy is positive (0.0050R) but the top 10 winning trades alone account for 127.7% of total R -- the apparent edge is fragile.

CLOSED

REJECTEDLightning Screen: Aggregate expectancy is positive (0.0050R) but the top 10 winning trades alone account for 127.7% of total R -- the apparent edge is fragile.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

3,105

Expectancy

+0.005R

Profit factor

1.01

Win rate

33.5%

Total R

Max DD

51R

Longest L streak

Trades / year

867.7

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 retracement MAGNITUDE asymmetry (shallow vs deep) and was rejected. A5.14's binding condition is TIME -- pullback bar-count strictly greater than impulse bar-count -- a dimension no prior family used. It also absorbs input candidates #5, #6 and #20, which were three wordings of this same mechanism. Declared descendant; carries A2's negative prior.

Frozen specification

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

Mechanism hypothesis

A fast impulse met by a SLOW pullback implies unfilled demand; the binding condition is TIME, not retracement depth.

Long rule

Impulse >= 1.5 x ATR(14,5M) within 5 bars; pullback retraces 30-61.8% of it while taking STRICTLY MORE bars than the impulse did; first close back in the impulse direction: enter LONG next bar open.

Short rule

Mirrored for a downward impulse.

Entry trigger

Three-stage on closed bars. A retracement deeper than the band, or one completed in fewer bars than the impulse, cancels the setup.

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 pullback extreme.

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH only — Bar-count velocity is not comparable across the session boundary, where bar arrival reflects liquidity rather than urgency.

Causality

Impulse and pullback are both measured over completed bars before the resumption close. 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

MODERATE

Required data

MNQ 1-minute OHLC

Campaign data window

MNQ 2022-06-03..2026-09-15

Parameters

impulseAtr = 1.5 (number) — Minimum impulse size in ATR.retraceMin = 0.3 (number) — Minimum retracement fraction.retraceMax = 0.618 (number) — Maximum retracement fraction.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-14-impulse-pullback-velocity-asymmetry@a5-v1 registeredREJECTED · LIGHTNING_SCREEN

[a5] Lightning Screen: Aggregate expectancy is positive (0.0050R) but the top 10 winning trades alone account for 127.7% of total R -- the apparent edge is fragile.

research-output/strategy-lab/experiment_registry.json