Strategies · Record

a5-19-inter-extreme-spacing

a5 / a5-19-inter-extreme-spacing @ a5-v1 · code 67d8d64

campaign strategyREJECTED

Validation Gate: Discovery expectancy 0.1243R flips sign to -0.0225R on the untouched Validation split.

Lifecycle
completed
Outcome
fail
Phase
Phase A
Research gate
VALIDATION
Engine
strategy lab
Market
MNQ
Timeframe
MNQ 1-minute OHLC
Side
BOTH

Tracking

Family, lineage and what this record needs next
Mechanism family
Market structure / FVG / liquidity
a5-19-inter-extreme-spacing
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
passed
Robust
passed
Exec/stat
passed
Validation
failed
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 0.0941R (PF=1.148) over 866 resolved trades, 3/4 qualifying years (n>=15) agree with the aggregate sign, top-10 winner concentration 24.5% (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_SURVIVEDBootstrap CI excludes zero and the edge survives up to 0.5pt adverse slippage.
VALIDATION
VALIDATION_FAIL_SIGN_FLIPDiscovery expectancy 0.1243R flips sign to -0.0225R on the untouched Validation split.
CLOSED
REJECTEDValidation Gate: Discovery expectancy 0.1243R flips sign to -0.0225R on the untouched Validation split.

Evidence recorded

Quoted from the campaign record — never recomputed here
Screen n (FIXED_2R)
866
Expectancy
+0.094R
Profit factor
1.15
Win rate
36.6%
Total R
81
Max DD
28R
Longest L streak
17
Trades / year
241.8
SplitWindownExpectancyPFMax DD
Discovery2022-06-03..2025-03-31688+0.124R1.2020R
Validation2025-04-01..2025-12-31178-0.022R0.9728R
Holdout—————
Discovery → Validation
Expectancy degradation +0.147R (positive means Validation came in weaker than Discovery).
Bootstrap CI
95% CI +0.003R .. +0.194R · P(expectancy > 0) = 98%
Winner concentration
Top 5 12.3% · top 10 24.5% · top 20 49.1% 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
Yes.

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
The elapsed TIME between successive session extremes carries information. Every one of the 65 prior mechanisms measures price, volume, or fixed clock windows -- none measures event SPACING. This is not a volatility proxy: a market can make rapid small extremes at low realized volatility and slow large ones at high volatility.
Long rule
Track the session running high. gap_n = bars between the nth and (n-1)th new session high. When n >= 3 and gap_n <= 0.5 x median(previous gaps): enter LONG next bar open.
Short rule
Mirrored on the session running low.
Entry trigger
Fires on the bar that sets the accelerating new extreme; once per session.
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 most recent opposing confirmed swing pivot (k=5); falls back to the session's opposite extreme if none exists yet.
Exit
FIXED_2R via the shared TradeTracker, max-hold backstop.
Session restriction
RTH only, running extremes reset at 09:30 ET — Session extremes are a session-scoped construct; carrying them overnight would make the spacing statistic meaningless.
Causality
Every gap is the distance between two already-observed extremes and the median uses only prior gaps. 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
ratio = 0.5 (number) — Gap compression ratio versus the median of prior gaps.minExtremes = 3 (integer) — Extremes required before the median is meaningful.

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

History

Every dated event this record appears in, newest first
2026-09-17
a5-19-inter-extreme-spacing@a5-v1 registeredREJECTED · VALIDATION
[a5] Validation Gate: Discovery expectancy 0.1243R flips sign to -0.0225R on the untouched Validation split.
research-output/strategy-lab/experiment_registry.json