This document provides an introductory overview of how Narion characterises the timing and persistence of price expansion following structural ignition events.
Specifically, it outlines:
- Why temporal characterisation is necessary beyond signal detection and regime assessment
- The three measurements that define post-ignition price path quality
- How expansion unfolds differently across volatility regimes
- The concept of propagation persistence states
- Why exit architecture must be aligned to the regime, not fixed across all conditions
This note assumes familiarity with the Ignition Detection and Volatility Conditioning introductions. Reading those first is recommended.
1. The Temporal Gap in Signal Frameworks
Structural detection identifies when conditions are favourable for expansion. Volatility conditioning establishes how strongly that expansion is likely to develop.
However, a third question remains unanswered by both layers:
When will the expansion occur — and will it persist long enough to be realised?
This is not a minor operational detail. The timing and duration of a post-ignition move directly determines:
- How long a position needs to be held
- What constitutes an appropriate exit window
- How to distinguish a developing move from a failed one
- What adverse price movement is tolerable before the trade is invalidated
Without a temporal framework, even a correctly identified signal in the right regime cannot be managed effectively.
2. The Metric Triad: Three Dimensions of Outcome Quality
The PTDF evaluates post-ignition price paths using three complementary measurements:
MFE — Maximum Favourable Excursion
The peak positive price displacement from entry within a defined forward window. This represents the best outcome achievable had the exit been timed perfectly. It measures expansion magnitude.
MAE — Maximum Adverse Excursion
The maximum negative price displacement from entry before the position is exited or the MFE is achieved. This measures the worst interim drawdown experienced. It captures the cost of holding through noise before a move develops.
T_MFE — Time to Maximum Favourable Excursion
The elapsed time from entry to the moment of peak price displacement. This is the primary timing measurement. It answers the question: how long after entry does the best available outcome occur?
The relationship between these three metrics — not any one in isolation — defines outcome quality. A large MFE achieved slowly with a large MAE tells a very different structural story than the same MFE achieved quickly with minimal adverse movement.
Key Derived Ratios
| Ratio | Meaning |
|---|---|
| MAE / MFE | Health diagnostic: below 1.0 indicates a favourable trade; above 1.0 indicates adverse movement exceeded the gain |
| MFE / T_MFE | Temporal efficiency: magnitude per unit time held — captures the rate of value realisation |
3. The Three Propagation States
Based on the joint behaviour of T_MFE, MFE, and MAE, three distinct post-ignition outcomes are observed:
FAST-PERSISTENCE
The expansion develops within the first 60–240 seconds of entry. Price moves decisively in the expected direction. MAE is small relative to MFE. The move reaches its peak early and cleanly.
This state is characteristic of Expansion regime conditions, where high transmission efficiency accelerates the resolution of structural imbalance.
SLOW-PERSISTENCE
The expansion eventually develops, but over a materially longer horizon — typically 900–1,100 seconds (15–20 minutes). The price may stall or drift laterally after ignition before the directional move begins. MAE may be elevated relative to fast-persistence cases.
This state is characteristic of Transitional regime conditions, where moderate energy sustains eventual propagation but does not accelerate it.
ABSORPTION
No meaningful expansion occurs. The structural imbalance is consumed by passive liquidity without producing directional price movement. MAE exceeds MFE. The position accumulates adverse movement without a corresponding gain.
This is the primary failure mode. It is most prevalent in Compression regime conditions, but can occur across all regimes when passive liquidity is sufficient to neutralise the ignition geometry.
All three states are possible following any ignition event. The regime determines the probability of each — it does not eliminate the others. Absorption in an Expansion regime is rare but structurally possible.
4. Regime-Conditional Timing
A structurally significant finding of the PTDF is the inverse relationship between volatility regime and time to expansion:
Higher volatility → faster expansion. Lower volatility → slower expansion (or none).
This relationship operates through the transmission efficiency mechanism. High-volatility environments deplete passive liquidity rapidly, producing fast resolution of structural imbalance. Low-volatility environments replenish passive liquidity continuously, slowing or preventing resolution.
| Regime | Expected T_MFE | Propagation State |
|---|---|---|
| Compression | Undefined — absent propagation | Absorption dominant |
| Transitional | 900–1,100 seconds | Slow-Persistence |
| Expansion | 60–240 seconds | Fast-Persistence |
Speed and magnitude co-move in Expansion regimes — the same mechanism that accelerates propagation also amplifies it. In Transitional regimes, magnitude potential may exist but is distributed over a much wider time window, requiring patience rather than speed.
5. The Exit Architecture Problem
A critical operational implication of the PTDF is that fixed exit rules — the same time window applied to every trade regardless of regime — are structurally mismatched to at least one regime class.
An exit window calibrated to Fast-Persistence (e.g. 240 seconds) will:
- Correctly capture the full MFE for Expansion-regime trades
- Prematurely truncate Slow-Persistence Transitional-regime trades — exiting at the early stall point before the delayed expansion develops
Empirical observation confirms this cost: a Transitional-regime trade observed to reach +0.217% at 4 minutes continued to +0.341% at 20 minutes. The incremental unrealised gain from the early exit was +0.124% — a 57% reduction in realised outcome.
This is not a signal failure. The ignition was correct. The volatility regime was correctly classified. The exit architecture was simply not matched to the temporal profile of the regime.
The temporal framework is not only about understanding when expansion occurs. It is about designing exit rules that are appropriate for the specific regime — and recognising that one size cannot optimally serve all conditions.
6. Early Diagnostic Behaviour
In Expansion regimes, the first 60–120 seconds after ignition carry significant diagnostic information:
| Early Behaviour | Interpretation | Implication |
|---|---|---|
| Price moves directionally within 60–120s | Fast-Persistence confirmed | Hold within exit window; full MFE capture likely |
| Price stalls without adverse movement | Uncertain — possible delayed development | Monitor; time-based exit will engage if no progress |
| Price moves adversely immediately | Absorption indicated | Exit; adverse movement without corresponding gain |
This early-time diagnostic property is unique to Expansion regimes. In Transitional regimes, early stalling is an expected feature of Slow-Persistence — not a signal of failure.
7. Temporal Efficiency as a Quality Metric
Beyond individual trade outcomes, the PTDF introduces temporal efficiency as a composite performance measure:
Temporal Efficiency = MFE / T_MFE
This expresses how much price movement is captured per unit of time held — the rate of value realisation.
Fast-Persistence trades in Expansion regimes exhibit high temporal efficiency: large gains in short windows, with minimal time exposure. Slow-Persistence trades in Transitional regimes exhibit lower temporal efficiency: comparable gains over much longer windows, accumulating holding cost and variance throughout.
Understanding this distinction is essential for accurate performance attribution across different regime environments.
8. System Context
The Propagation & Temporal Dynamics Framework is the third analytical layer in the Narion IFAE architecture:
| Layer | Role |
|---|---|
| Detection Layer | Identifies structural readiness (IDF) |
| Conditioning Layer | Evaluates transmission efficiency via regime classification (VCF) |
| Evaluation Layer | Characterises post-ignition timing, persistence, and path dynamics (PTDF) |
| Reliability Layer | Validates statistical consistency over time |
The PTDF completes the operational assessment by specifying not only whether and how strongly a move is likely — but when it will occur and how to manage the position through its development.
This note provides a conceptual overview. The complete framework includes:
- Full metric triad methodology (MFE, MAE, T_MFE definitions and calibration)
- Regime-conditional T_MFE distribution analysis with empirical data
- Three-state propagation taxonomy with regime associations and exit fit characterisation
- Integrated three-layer outcome matrix and adaptive exit surface research path
Available within Narion Pro and Pro+ tiers.
Request Early Access →Related Frameworks
- Ignition Detection Framework (IDF)
- Volatility Conditioning Framework (VCF)
- System Reliability & Adaptive Validation Framework (SRAVF)
⚠️ Disclaimer: This document is provided for informational and educational purposes only. It does not constitute investment advice or a trading recommendation. All structural observations are probabilistic and subject to market conditions. This document is part of the Narion Institutional Flow Anticipation Engine (IFAE) research series.