Strategies · Record

a5-17-run-length-vs-expectation

a5 / a5-17-run-length-vs-expectation @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Lightning Screen: Aggregate expectancy -0.0533R over 6946 resolved trades is negative/flat (PF=0.922), with 4/4 qualifying years (n>=15) agree with the aggregate sign.

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
Regime-conditioned
a5-17-run-length-vs-expectation
Mechanism parent
None declared.
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 -0.0533R over 6946 resolved trades is negative/flat (PF=0.922), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
CLOSED
REJECTEDLightning Screen: Aggregate expectancy -0.0533R over 6946 resolved trades is negative/flat (PF=0.922), with 4/4 qualifying years (n>=15) agree with the aggregate sign.

Evidence recorded

Quoted from the campaign record — never recomputed here
Screen n (FIXED_2R)
6,946
Expectancy
-0.053R
Profit factor
0.92
Win rate
31.6%
Total R
-370
Max DD
390R
Longest L streak
21
Trades / year
1939.4
SplitWindownExpectancyPFMax 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
new independent mechanism

Frozen specification

Snapshotted at intake — not re-read from a live module
Mechanism hypothesis
A same-sign close run that far exceeds the length implied by the market's OWN recent up-fraction is over-extended. A2's failed-trend-persistence entry explicitly carves out fixed-streak exhaustion counting as a mechanism it is distinct from -- this is that uncounted mechanism, normalized against a base rate rather than a fixed count.
Long rule
p = up-close fraction over trailing 240; expected run E = 1/p for a DOWN run. Trigger when a down run reaches >= 2.5 x E and >= 5 bars; enter LONG on the first opposite-sign close.
Short rule
Mirrored for an over-extended up run. Exhaustion arm only -- deliberately NOT a mirror pair, so the trigger is tested once rather than twice.
Entry trigger
Fires on the first close against the over-extended run.
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 run's own extreme.
Exit
FIXED_2R via the shared TradeTracker, max-hold backstop.
Session restriction
RTH only — The up-close base rate differs structurally between sessions, so pooling them would make the expectation meaningless.
Causality
The up-fraction population is the trailing window and the run is counted 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
multiple = 2.5 (number) — Run length as a multiple of its base-rate expectation.minRun = 5 (integer) — Absolute minimum run length.

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

History

Every dated event this record appears in, newest first
2026-09-17
a5-17-run-length-vs-expectation@a5-v1 registeredREJECTED · LIGHTNING_SCREEN
[a5] Lightning Screen: Aggregate expectancy -0.0533R over 6946 resolved trades is negative/flat (PF=0.922), with 4/4 qualifying years (n>=15) agree with the aggregate sign.
research-output/strategy-lab/experiment_registry.json