trading / confluences / b_volregime

b_volregime — high-volatility regime state DEAD

Online lane — academic (abstract only) · Scored and did not clear its own noise floor.

What it asks

Is the market in its faster gear? The bit wants the mean true range of the last 5 sessions to be at least that of the last 20.

Exact definition · verbatim docstring from backtests/conf_lab/bits.py (sha1 5473adbbf694)

Holmberg et al. 2012 — high-volatility-state gate, causal trailing form.
1 iff the mean true range of the last 5 RTH sessions strictly before the
decision day is >= the mean true range of the last 20 such sessions.

True range is defined exactly as in `_daily_atr20` (max(H-L, |H-prevC|,
|L-prevC|)), which needs a previous close, so the oldest session in the
window is consumed as the seed. Fewer than 21 prior sessions -> 0.

Evidence tier: ACADEMIC, ABSTRACT-LEVEL ONLY — the full text was not
retrieved (cert error), so the claim is labelled, not asserted.

Fixed parameters & provenance

Every parameter below was fixed in the design document before any candidate value was computed. No sweep, no tuning: a bit that needs tuning to pass has failed.

Screen analytics — screen-2026-08-07

Conditional association on mean solo R, stratified on the count of the OTHER live bits, against a per-bit prevalence-matched null (50,000 i.i.d. Bernoulli draws at this bit's own prevalence, scored on its own strata). Population: 2,882 candidates, 2,289 filled, MES, 2019-06-04 → 2026-07-31.

Per era · reported separately, never pooled into a verdict — each cell is a smaller sample than the headline

Funnel & fill conditioning · a bit that mostly predicts whether a limit FILLS is not the same discovery as a bit that predicts whether a trade WINS

Novelty vs the six live bits · high agreement means the bit is mostly restating a gate that is already in the stack

By stratum — does it work where the method actually trades? · the live A/B take rule is count >= 4, so the count>=4 rows are the only ones that could change a live trade

Status — DEAD

NULL: pooled +0.008 R, matched p=0.884 (11.6th percentile), q=0.952, and a win-rate delta of −0.043 pointing the other way from the R delta. The source claim (ORB pays in the high-volatility state) is not reproduced on this method. The evidence tier was labelled honestly from the start as ACADEMIC-ABSTRACT-ONLY: the Holmberg et al. 2012 full text was never retrieved (cert error), so the claim was labelled, never asserted.

Retest path

Not without the full text. Testing a paraphrase of an abstract is how folk-factors get laundered into a research record.

Standing caveats

• Fill model optimistic: touch fills, zero net slippage, entry-bar SL/TP not checked inside the fill minute.
• Not a holdout — 2019-2026 was selected on, tuned on and reported on before this lab existed. A good number here means 'worth pre-registering', nothing more.
• MES only; the P1 edge is MES-centric and recent-regime.
• Masters miss four Sunday-evening blocks (May-Jun 2026); data ends 2026-07-31.
• Mean solo R is an average per candidate. The solo ledger is not a book and is never summed (PROTOCOL.md §0).
• Per-era cells are reported separately and are NOT pooled into a verdict; each is a smaller sample than the headline.
• Nothing on this page is TV-verified. A backtest number becomes actionable only after an independent TradingView Pine port reproduces entries AND per-trade PnL on a Deep Backtest export.
• Screening is not certification. Promotion requires all seven PROTOCOL gates, ending in a forward paired evaluation and a Pine referee.

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