ETH and SOL Daily Multi-Lookback Time-Series Momentum Long Portfolio

A long-only multi-symbol time-series momentum (TSMOM) strategy on the two safest non-BTC majors — ETHUSDT.BINANCE and SOLUSDT.BINANCE perpetual futures (both confirmed by the verification framework as 'always safe' on 1H/4H/1D). Uses DAILY bars. The strategy applies the Moskowitz-Ooi-Pedersen 2012 'Time Series Momentum' framework adapted to a 2-symbol crypto portfolio with multi-lookback voting — structurally distinct from every other multi-symbol strategy in the pipeline (which uses either price-level Donchian breakouts or cross-sectional ranking momentum). The mechanism: for each symbol independently, on every 7th daily bar (weekly rebalance day), compute three trailing total returns over lookback windows of 30, 60, and 90 daily bars. Each lookback votes +1 if its trailing return > 0, else 0. The symbol receives a score in {0, 1, 2, 3}. A symbol with score >= 2 is in 'positive momentum regime' and held long for the next week at 40% equity notional. A symbol with score < 2 is flat (not held). The portfolio can hold 0, 1, or 2 positions depending on regime — when both symbols are in positive momentum, gross long exposure is 80% (40% each); when only one, 40%; when neither, 100% cash. This hypothesis is decisively orthogonal to every confirmed failure pattern in the log AND to every strategy already in the pipeline: (1) NOT BTC (avoiding the 'BTC-2024+-microstructure-regime-decay' that killed 4 BTC strategies and is now session-confirmed); (2) NOT INTRADAY (the latest analyst declaration explicitly closes the intraday pattern class for the remainder of this session — TSMOM operates on DAILY bars with weekly rebalance, putting it in the 'daily multi-symbol trend-following' class that the analyst explicitly endorsed as productive); (3) NOT cross-sectional ranking (CrossSectionalMomentumWeeklyRotation8MajorsLong uses RELATIVE strength ranking — TSMOM uses ABSOLUTE trailing-return sign, a mathematically distinct mechanism that can hold ZERO positions during crypto-wide bear markets, providing structural drawdown protection that ranking-based CS-Mom cannot); (4) NOT a Donchian price-level breakout (MultiSymbolMajorCryptoFourHourDonchianBreakoutPortfolioLong tracks N-bar HIGH thresholds — TSMOM aggregates 30-90 days of return-sign information into a multi-lookback ensemble, completely different signal architecture); (5) NOT single-instrument trend-following (the failed ETH Daily Trend-Following used a single 100-bar lookback and produced 2.7 trades/year — TSMOM's multi-lookback ensemble + 2-symbol portfolio + weekly rebalance lifts trade frequency to ~30-60 per year); (6) NOT a pullback strategy; (7) NOT a mean-reversion strategy; (8) NOT a single-bar pattern; (9) Does NOT depend on supplementary data (pure OHLCV from the explicitly-safe ETH/SOL.BINANCE daily timeframe). Three free parameters total: lookback_short (30), lookback_med (60), lookback_long (90) — three integers chosen as classic TSMOM convention (Moskowitz-Ooi-Pedersen 2012 used 1, 3, 6, 9, 12-month lookbacks on equity-futures, so 30/60/90 days is the crypto-scaled equivalent of the shorter end of the academic specification). The vote threshold (2 of 3) is hardcoded geometric majority — not a free parameter. The position size (40% per symbol) is hardcoded conservative — not a free parameter. The rebalance frequency (7 daily bars) is hardcoded weekly — not a free parameter. This minimal parameter surface (3 integers) is the lowest in any hypothesis this session and structurally defends against the curve-fit-during-optimization failure mode that killed every BTC strategy. Expected trade frequency: each symbol's score transitions across the 2-threshold ~4-8 times per year (once per major regime shift), so 2 symbols × ~6 regime changes × 2 entry/exit events = ~24-30 portfolio events per year, well above the walk-forward viability floor while being statistically meaningful per-event because the underlying signal is a 90-day trailing-return aggregate (not a single-bar noise-prone trigger).