a5-15-trend-embedded-compression

a5 / a5-15-trend-embedded-compression @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Execution+Statistical Gate: Bootstrap 95% CI [-0.0353, 0.1113]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.

Lifecycle

completed

Outcome

fail

Phase

Phase A

Research gate

EXECUTION_STAT

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

a5-15-trend-embedded-compression

Mechanism parent

a03-vol-contraction-expansion

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

passed

Robust

passed

Exec/stat

failed

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

SURVIVED_LIGHTNING_SCREENAggregate expectancy 0.0367R (PF=1.056) over 1606 resolved trades, 3/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 33.9% (below the 50% concentration flag). Survives the Lightning Screen -- NOT validated.

ROBUSTNESS

ROBUSTNESS_SURVIVEDNo single-year dependence, no severe winner concentration (no preregistered neighborhood declared).

EXECUTION STAT

EXECUTION_STAT_FAIL_CI_INCLUDES_ZEROBootstrap 95% CI [-0.0353, 0.1113]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.

CLOSED

REJECTEDExecution+Statistical Gate: Bootstrap 95% CI [-0.0353, 0.1113]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.

Evidence recorded

Quoted from the campaign record — never recomputed here

Screen n (FIXED_2R)

1,606

Expectancy

+0.037R

Profit factor

1.06

Win rate

34.6%

Total R

Max DD

51R

Longest L streak

Trades / year

449.1

Split	Window	n	Expectancy	PF	Max DD
Discovery	—	—	—	—	—
Validation	—	—	—	—	—
Holdout	—	—	—	—	—

Bootstrap CI

95% CI -0.035R .. +0.111R · P(expectancy > 0) = 84%

Winner concentration

Top 5 16.9% · top 10 33.9% · top 20 67.8% of total R.

Leave-one-year-out

No sign flip when any single year is removed.

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-vol-contraction-expansion

Note

Legacy volCompression, A0.3 and A2's BB/Keltner squeeze all tested compression -> expansion unconditionally and direction-agnostically, and all were rejected. In A5.15 the trend stack is a REQUIRED precondition and direction is fixed by the trend rather than by the break. Declared descendant; carries those negative priors.

Frozen specification

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

Mechanism hypothesis

Compression INSIDE an intact trend is continuation coiling, not a reversal setup -- the trend gate is a required precondition, not a filter bolted on afterwards.

Long rule

close > SMA50 > SMA200 for 20 consecutive bars; range(10) <= P25(trailing 240) with no close crossing SMA50 during it; a close above the compression band: enter LONG next bar open.

Short rule

Mirrored for a downtrend.

Entry trigger

Edge-triggered on the break; re-arms only once a new compression forms.

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 compression band's opposite boundary.

Exit

FIXED_2R via the shared TradeTracker, max-hold backstop.

Session restriction

RTH only — The compression percentile population is dominated by thin overnight ranges if sessions are pooled.

Causality

Both moving averages and the compression percentile end at the trigger bar. 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

trendBars = 20 (integer) — Consecutive bars the trend stack must hold.compWindow = 10 (integer) — Compression measurement window.compPercentile = 0.25 (number) — Compression percentile.

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

History

Every dated event this record appears in, newest first

2026-09-17

a5-15-trend-embedded-compression@a5-v1 registeredREJECTED · EXECUTION_STAT

[a5] Execution+Statistical Gate: Bootstrap 95% CI [-0.0353, 0.1113]R includes zero -- the raw edge is not statistically distinguishable from noise at this sample size.

research-output/strategy-lab/experiment_registry.json