research: Arc 3 — six data-only signal families, designed engine-blind

Six confirm/refute families (vol-normalized momentum, mean-reversion
z-fade, vol-regime-gated breakout, H4 EMA trend, H4 breakout port,
channel-position fade) authored by engine-blind agents from a distilled
reference card plus the CLI validation loop, adversarially design-reviewed,
then run over 4 instruments x 3 stop regimes. Five honest nulls; one
candidate (vol-normalized momentum on US500, WF-OOS P<=0.05 in all three
regimes) forwarded to the Arc 4 breadth test.

docs/arc-3-hypothesis-fanout.md

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+# Arc 3 — six new data-only signal families, designed engine-blind
+
+**Date:** 2026-07-13
+**Engine:** aura @ `84e1075` (release build)
+**Blueprints:** `blueprints/{mom-vnorm-h1,meanrev-z-h1,bo-h1-volregime,trend-h4-cross,bo-h4-trend,channelpos-fade-h1}.json`
+**Campaigns:** `research/campaign-arc3-*.json`
+
+## Method
+
+Two experiments in one arc.
+
+**The research question:** which signal families expressible in the std
+vocabulary alone carry directional information on H1/H4 bars? Six families,
+each a confirm/refute hypothesis (a base signal or a conditioner-over-base),
+were run over the Arc 1 four-instrument matrix × three stop regimes
+(vol{3,k2} = Arc 1, vol{60,k6}, vol{60,k12} = the Arc 2c ladder) with
+vol-proportional slippage, through the Arc 1 pipeline (deflated screen →
+90/30 WF → pooled-OOS bootstrap → generalize).
+
+**The meta-experiment:** every blueprint was designed by an agent that had
+*no access to engine sources* — only a distilled authoring reference card
+(node vocabulary with port tables, op-script grammar, document schemas, unit
+semantics, design rules) plus the CLI validation loop (`graph build`,
+`introspect --params`, three-tier `campaign validate`). Each design passed an
+independent adversarial design review (look-ahead, unit-consistency, wiring,
+grid sanity, hypothesis shape) before anything ran. Result: 6/6 families
+built and validated green on the first run attempt — evidence that the
+deployment posture (docs + self-describing CLI, no sources) is sufficient
+for the authoring role *if* the semantic gaps named in Arc 2's engine-gap
+list are closed by documentation.
+
+## The families and their verdicts
+
+| family | hypothesis (compressed) | verdict |
+|---|---|---|
+| `mom_vnorm_h1` | sign of (close − close₋ₙ)/realized-vol carries direction | **candidate** on US500; null elsewhere |
+| `meanrev_z_h1` | H1 deviations from SMA in std units revert | null |
+| `bo_h1_volregime` | vol-expansion regime reshapes the H1 breakout | null (no reshaping that survives) |
+| `trend_h4_cross` | H4 EMA-spread in vol units carries direction | null, OOS strongly negative |
+| `bo_h4_trend` | Arc 1 pair stabilizes on H4 bars | null — textbook IS-overfit signature |
+| `channelpos_fade_h1` | position in the recent range mean-reverts | null, extreme churn |
+
+## Findings
+
+1. **Vol-normalized momentum on US500 is the only regime-robust OOS positive
+   of the whole program.** Pooled WF-OOS gross bootstrap: mean +0.171
+   (P(E[R]≤0) = 0.026, n=8951) at vol{3,k2}; +0.102 (P = 0.036) at vol{60,k6};
+   +0.071 (P = 0.044) at vol{60,k12}. Winner parameters are stable
+   (mom_lag=72 ≈ 3 days, vol_avg=24) across regimes, and full-window net (at
+   slippage stress) turns positive at wide stops (+0.012 at k6, +0.028 at
+   k12). Deflated scores stay slightly negative — within its own 9-member
+   family the winner is not distinguishable from luck; the OOS consistency
+   across three (correlated) regimes is what makes this a candidate rather
+   than a null. GER40 leans the same way gross (OOS +0.10, P 0.15) without
+   getting there; EURUSD and XAUUSD are OOS noise.
+2. **The H4 breakout is a lesson in why the pipeline exists.** Full-window
+   nets look excellent (XAUUSD: 7–9/9 members net-positive per regime, best
+   +0.37; US500 deflated +0.028 at k6) while the WF-OOS bootstraps are noise
+   (P 0.37–0.79) and generalize floors are the worst of the arc (−0.55 to
+   −1.40, sign 0/4). 90-day refit windows on H4 bars leave ~540 bars per
+   window — the refits chase noise the full-window fit averages away.
+   Without the WF/MC stages this family would have been a false discovery.
+3. **Conditioners keep failing on this breakout.** Arc 1's trend gate and
+   arc 3's vol-expansion gate both fail to produce a reshaping that survives
+   the pipeline — the base H1 breakout's instrument-dependence (Arc 1's
+   core finding) is not explained by trend or vol regime.
+4. **Mean-reversion families select at the grid edge** (`meanrev_z_h1` picks
+   window=24 and fade=0.5, both extreme values; `channelpos_fade_h1` runs
+   14 000–26 000 trades) — the H1 mean-reversion hypothesis wants a faster
+   timescale than this grid, and pays for it in churn. A refinement would
+   need finer bars and a cost-realistic churn budget, not more grid points.
+
+## Verdict
+
+Five honest nulls and one candidate. `mom_vnorm_h1` earns a breadth test
+(`research/campaign-arc4-breadth-mom-vnorm.json`, 22 instruments) against
+the always-long beta control (`research/campaign-control-always-long.json`)
+— US500 2018–2026 is a secular bull market, and a 3-day momentum long-lean
+on an index that mostly rose must beat beta, not zero, before it is
+interesting. See `docs/arc-4-breadth-and-controls.md`.
+
+## Engine friction
+
+None new beyond the Arc 2 list. The campaign path carried six new blueprint
+families, a degenerate one-member control sweep, and 22-instrument matrices
+without a single executor complaint; every authoring error was caught at
+`graph build` / three-tier validate time with a message that named the
+problem.