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.
2026-07-13 18:07:26 +02:00
parent 36bbe76114
commit de92b4283d
13 changed files with 598 additions and 0 deletions
@@ -0,0 +1,84 @@
+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc3-bo-h1-volregime",
+  "description": "Arc 3 family bo-h1-volregime: Conditioning the Arc-1 H1 donchian breakout on a volatility-EXPANSION regime reshapes the breakout R-distribution. The base signal is the prev-bar channel breakout (long_latch = Latch(close > prev-bar RollingMax, close < prev-bar RollingMin), short_latch the mirror). The regime is non-directional: on H1 returns r = close \u2212 Delay(close,1), vol_short = Sqrt(SMA(r\u00b2, Ls)) and vol_long = Sqrt(SMA(r\u00b2, L",
+  "seed": 0,
+  "data": {
+    "instruments": [
+      "GER40",
+      "US500",
+      "EURUSD",
+      "XAUUSD"
+    ],
+    "windows": [
+      {
+        "from_ms": 1514764800000,
+        "to_ms": 1782863999999
+      }
+    ]
+  },
+  "risk": [
+    {
+      "vol": {
+        "length": 3,
+        "k": 2.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 6.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 12.0
+      }
+    }
+  ],
+  "cost": [
+    {
+      "vol_slippage": {
+        "slip_vol_mult": 0.1
+      }
+    }
+  ],
+  "strategies": [
+    {
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+            192
+          ]
+        }
+      }
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+    "emit": [
+      "selection_report"
+    ]
+  }
+}
@@ -0,0 +1,84 @@
+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc3-bo-h4-trend",
+  "description": "Arc 3 family bo-h4-trend: Porting the Arc-1 donchian-breakout + EMA(12)/EMA(48) trend-gate pair verbatim from H1 (Resample 60) to H4 (Resample 240) will stabilize the instrument-dependent R-distribution reshaping observed in Arc 1: on coarser 4-hour bars the same channel-breakout-with-trend-confirmation signal should produce a more consistent bias sign and a more uniform per-instrument expectancy across GER40/US500/EURUSD/",
+  "seed": 0,
+  "data": {
+    "instruments": [
+      "GER40",
+      "US500",
+      "EURUSD",
+      "XAUUSD"
+    ],
+    "windows": [
+      {
+        "from_ms": 1514764800000,
+        "to_ms": 1782863999999
+      }
+    ]
+  },
+  "risk": [
+    {
+      "vol": {
+        "length": 3,
+        "k": 2.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 6.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 12.0
+      }
+    }
+  ],
+  "cost": [
+    {
+      "vol_slippage": {
+        "slip_vol_mult": 0.1
+      }
+    }
+  ],
+  "strategies": [
+    {
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+        "content_id": "52da5de2d914061bf90a5e3f21caedbe85a4fb84e8056a4e61b535ed7ceb78c3"
+      },
+      "axes": {
+        "channel_hi.length": {
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+          "values": [
+            12,
+            24,
+            48
+          ]
+        },
+        "channel_lo.length": {
+          "kind": "I64",
+          "values": [
+            12,
+            24,
+            48
+          ]
+        }
+      }
+    }
+  ],
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+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}
@@ -0,0 +1,84 @@
+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc3-channelpos-fade-h1",
+  "description": "Arc 3 family channelpos-fade-h1: Position within the recent H1 range mean-reverts: when the H1 close sits near the top of the prior N-bar high/low channel (pos toward 1) price tends to fall back, and near the bottom (pos toward 0) it tends to rebound. The blueprint fades that position \u2014 bias = Bias(-(pos-0.5)*scale), i.e. short the top of the channel, long the bottom. CONFIRM if this fade produces positive net-of-cost pooled WF-O",
+  "seed": 0,
+  "data": {
+    "instruments": [
+      "GER40",
+      "US500",
+      "EURUSD",
+      "XAUUSD"
+    ],
+    "windows": [
+      {
+        "from_ms": 1514764800000,
+        "to_ms": 1782863999999
+      }
+    ]
+  },
+  "risk": [
+    {
+      "vol": {
+        "length": 3,
+        "k": 2.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 6.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 12.0
+      }
+    }
+  ],
+  "cost": [
+    {
+      "vol_slippage": {
+        "slip_vol_mult": 0.1
+      }
+    }
+  ],
+  "strategies": [
+    {
+      "ref": {
+        "content_id": "2663716da7ab72dc287a13e01c4b529efd0cd7b9afc3516fe500e102cb61fcdb"
+      },
+      "axes": {
+        "channel_length": {
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+          "values": [
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+          ]
+        },
+        "bias.scale": {
+          "kind": "F64",
+          "values": [
+            2.0,
+            4.0,
+            8.0
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
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+    }
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+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}
@@ -0,0 +1,84 @@
+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc3-meanrev-z-h1",
+  "description": "Arc 3 family meanrev-z-h1: On H1 bars, price deviations from the local mean mean-revert, so fading the deviation carries positive expectancy. We compute a rolling z-score z = (close \u2212 SMA(close,L)) / rollingStd(close,L) over a window L spanning ~1\u201310 trading days of H1 bars, and take bias = Bias(\u2212z \u00b7 scale), i.e. we go short when close is stretched above its local mean and long when stretched below. CONFIRM if pooled WF-OOS",
+  "seed": 0,
+  "data": {
+    "instruments": [
+      "GER40",
+      "US500",
+      "EURUSD",
+      "XAUUSD"
+    ],
+    "windows": [
+      {
+        "from_ms": 1514764800000,
+        "to_ms": 1782863999999
+      }
+    ]
+  },
+  "risk": [
+    {
+      "vol": {
+        "length": 3,
+        "k": 2.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 6.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 12.0
+      }
+    }
+  ],
+  "cost": [
+    {
+      "vol_slippage": {
+        "slip_vol_mult": 0.1
+      }
+    }
+  ],
+  "strategies": [
+    {
+      "ref": {
+        "content_id": "d4e341ef35e8dad90a9a26cf484a1f2d1b71bb631a7e5fb4d547779066ba5bea"
+      },
+      "axes": {
+        "window": {
+          "kind": "I64",
+          "values": [
+            24,
+            96,
+            240
+          ]
+        },
+        "fade.scale": {
+          "kind": "F64",
+          "values": [
+            0.5,
+            1.0,
+            2.0
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
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+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}
@@ -0,0 +1,84 @@
+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc3-mom-vnorm-h1",
+  "description": "Arc 3 family mom-vnorm-h1: On H1 bars, the SIGN of vol-normalized momentum carries directional information: score = (close - close_{t-n}) / sqrt(mean of squared 1-bar returns over L bars) is a unit-free, risk-adjusted momentum that should be positive before up-moves and negative before down-moves, so a bias equal to sign(score) (squashed by Bias) should earn a positive net-of-cost expectancy_r on H1 and generalize across in",
+  "seed": 0,
+  "data": {
+    "instruments": [
+      "GER40",
+      "US500",
+      "EURUSD",
+      "XAUUSD"
+    ],
+    "windows": [
+      {
+        "from_ms": 1514764800000,
+        "to_ms": 1782863999999
+      }
+    ]
+  },
+  "risk": [
+    {
+      "vol": {
+        "length": 3,
+        "k": 2.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 6.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 12.0
+      }
+    }
+  ],
+  "cost": [
+    {
+      "vol_slippage": {
+        "slip_vol_mult": 0.1
+      }
+    }
+  ],
+  "strategies": [
+    {
+      "ref": {
+        "content_id": "05045dfaa1e399c12505e21dc87c36a61b7bbfda75c0bebc2e95a9be5bfd9e42"
+      },
+      "axes": {
+        "mom_lag.lag": {
+          "kind": "I64",
+          "values": [
+            24,
+            72,
+            120
+          ]
+        },
+        "vol_avg.length": {
+          "kind": "I64",
+          "values": [
+            24,
+            72,
+            120
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
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+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}
@@ -0,0 +1,84 @@
+{
+  "format_version": 1,
+  "kind": "campaign",
+  "name": "arc3-trend-h4-cross",
+  "description": "Arc 3 family trend-h4-cross: H4 trend slope expressed in realized-volatility units carries directional information: the sign and vol-normalized magnitude of EMA(fast)-EMA(slow) on H4 (240-min) bars predicts forward returns. The bias is bias = clamp( (ema_fast - ema_slow) / realized_vol / scale, -1, +1 ), a unit-free conviction score. CONFIRM if pooled walk-forward OOS expectancy_r is positive with low prob_le_zero, net-of-cos",
+  "seed": 0,
+  "data": {
+    "instruments": [
+      "GER40",
+      "US500",
+      "EURUSD",
+      "XAUUSD"
+    ],
+    "windows": [
+      {
+        "from_ms": 1514764800000,
+        "to_ms": 1782863999999
+      }
+    ]
+  },
+  "risk": [
+    {
+      "vol": {
+        "length": 3,
+        "k": 2.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 6.0
+      }
+    },
+    {
+      "vol": {
+        "length": 60,
+        "k": 12.0
+      }
+    }
+  ],
+  "cost": [
+    {
+      "vol_slippage": {
+        "slip_vol_mult": 0.1
+      }
+    }
+  ],
+  "strategies": [
+    {
+      "ref": {
+        "content_id": "f5d723c4d7dbf5cb5e8e6d775ef69f8831cce1e7272dd5441e9d5d2b23f9af7a"
+      },
+      "axes": {
+        "ema_fast.length": {
+          "kind": "I64",
+          "values": [
+            6,
+            12,
+            24
+          ]
+        },
+        "ema_slow.length": {
+          "kind": "I64",
+          "values": [
+            48,
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+            192
+          ]
+        }
+      }
+    }
+  ],
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+    "emit": [
+      "selection_report"
+    ]
+  }
+}