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.

blueprints/bo-h1-volregime.json

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blueprints/bo-h4-trend.json

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blueprints/channelpos-fade-h1.json

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blueprints/meanrev-z-h1.json

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blueprints/mom-vnorm-h1.json

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blueprints/trend-h4-cross.json

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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.

research/campaign-arc3-bo-h1-volregime.json

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+{
+  "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": [
+    {
+      "ref": {
+        "content_id": "f878dc0f0837bad88585286f709f55ad5058c7948554a136e544397ca3f43a59"
+      },
+      "axes": {
+        "channel_length": {
+          "kind": "I64",
+          "values": [
+            24,
+            48,
+            96
+          ]
+        },
+        "vol_long.length": {
+          "kind": "I64",
+          "values": [
+            48,
+            96,
+            192
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}

research/campaign-arc3-bo-h4-trend.json

@@ -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": [
+    {
+      "ref": {
+        "content_id": "52da5de2d914061bf90a5e3f21caedbe85a4fb84e8056a4e61b535ed7ceb78c3"
+      },
+      "axes": {
+        "channel_hi.length": {
+          "kind": "I64",
+          "values": [
+            12,
+            24,
+            48
+          ]
+        },
+        "channel_lo.length": {
+          "kind": "I64",
+          "values": [
+            12,
+            24,
+            48
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}

research/campaign-arc3-channelpos-fade-h1.json

@@ -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": {
+          "kind": "I64",
+          "values": [
+            24,
+            48,
+            96
+          ]
+        },
+        "bias.scale": {
+          "kind": "F64",
+          "values": [
+            2.0,
+            4.0,
+            8.0
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}

research/campaign-arc3-meanrev-z-h1.json

@@ -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": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}

research/campaign-arc3-mom-vnorm-h1.json

@@ -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": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}

research/campaign-arc3-trend-h4-cross.json

@@ -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,
+            96,
+            192
+          ]
+        }
+      }
+    }
+  ],
+  "process": {
+    "ref": {
+      "content_id": "41863fcae9300b334056c6f2a899e8c2672ecb29387d294e9a6e58f159ef51b4"
+    }
+  },
+  "presentation": {
+    "persist_taps": [],
+    "emit": [
+      "selection_report"
+    ]
+  }
+}