BTC BINANCE Futures 4H Connors RSI(2) Oversold Mean-Reversion Long-Only with 200-Bar Bull Regime Filter (3-Parameter, No Stop-Loss, Direct Implementation of 'Connors Needs 4H Refresh' Analyst Recommendation)

A long-only single-instrument SHORT-TERM MEAN-REVERSION strategy on BTCUSDT.BINANCE perpetual futures using 4-HOUR bars and OHLCV-only data. Mechanism: classic Larry Connors RSI(2) oversold signal — enter long when RSI(2) drops below oversold_threshold (default 5, deeply oversold) AND price is above the 200-bar SMA (confirmed bull regime). Exit when RSI(2) recovers above 50 (momentum normalized) OR after 12 bars (~2 day time cap). This is the FACTORY-PRESCRIBED REFRESH of the Connors mechanism class per the ETH Daily Consecutive-Down-Day Pullback abandon notes: 'THE LARRY CONNORS MECHANISM CLASS NEEDS A 4H BAR REFRESH: future hypotheses should test 2-down-day patterns at 4H (~6x more bars, more conjunction opportunities, faster mean-reversion). The daily-timeframe version of this mechanism is empirically dead on crypto majors.' This proposal implements that EXACT recommendation but uses RSI(2) (the original Connors mechanism, single signal) instead of N-down-day pattern (the failed daily variant). STRATEGIC RATIONALE: (1) DIRECT IMPLEMENTATION OF ANALYST RECOMMENDATION — the Connors mechanism class is specifically named in the abandon notes as needing 4H bar refresh. RSI(2) is the ORIGINAL Connors mechanism (Connors-Alvarez 2009 'Short Term Trading Strategies That Work') from which the N-down-day variant was derived. (2) MECHANISM CHOICE — RSI(2) is structurally DIFFERENT from prior failed mechanisms: (a) NOT a breakout (uses oversold momentum, opposite signal class — entries occur during selling pressure not after upward breaks); (b) NOT a Bollinger Band signal (uses 2-period momentum, not 20-period standard deviation — single tunable threshold vs BB's std-multiplier which produced 5 cliffs on BTC 4H); (c) NOT a drawdown accumulation (entries fire on 2-bar momentum, not 90-bar high deviation — no buy-and-hold disguise risk); (d) NOT cross-sectional (single asset, no correlation collapse); (e) NOT a pair MR (no 4-leg fee burden). (3) PORTFOLIO QUOTA POSITION — fills proven MR mechanism class with a NEW signal type. Distinct from EthFuturesOneHourVwapExcursionMRLong (VWAP signal at 1H), LinkFuturesFourHourRangeMRLowVolLong (range-bound MR with vol filter), EthBtcRatioFourHourBollingerMRLongPair (FAILED pair Bollinger MR). RSI(2) is a fast-twitch momentum-MR signal not present in the 1111-experiment portfolio. (4) DECISIVE FAILURE-MODE AVOIDANCE: NO stop_loss parameter — explicit fix for LINK/ETH iter-2 optimizer-reversal failure. NO tunable max_hold_bars (12 hard-coded). NO tunable exit_rsi_threshold (50 hard-coded). Only 3 tunable parameters (rsi_period, oversold_threshold, position_pct). Risk bounded by (a) 200-bar bull regime filter (only trade in confirmed up-trends), (b) 12-bar hard time exit, (c) 30% position sizing. (5) FEE MATH EXPLICITLY VIABLE: per-trade typical 1-3% recovery × 30% sizing = 0.3-0.9% gross per winner. Net of 0.10% RT Binance USD-M fees = 0.2-0.8% per winner. Per losing trade (time exit at 12 bars without recovery): typical 0.5-2% loss × 30% = 0.15-0.6% per loss. At literature-validated win rate 65-72% (Connors RSI(2) documented win rate): EV = 0.68 × 0.5% − 0.32 × 0.4% = 0.34% − 0.13% = +0.21% per trade NET, comfortably above 0.15% futures viability floor. (6) AVOIDS ALL SYSTEM-WIDE FAILURE PATTERNS: NOT breakout (system-wide moratorium); NOT drawdown accumulation (avoids buy-and-hold disguise infrastructure issue); NOT cross-sectional momentum/reversal (single asset); NOT pair MR (single instrument); NOT funding/premium/OI/skewness (different signal class entirely); NOT cross-venue. (7) HOLDOUT-FAVORABLE: RSI(2) oversold mean-reversion has DOCUMENTED edge in chop/range-bound regimes — exactly the 2024-2026 regime. Unlike breakout strategies which decay in chop, RSI(2) MR INTENSIFIES in chop because momentum extremes mean-revert more reliably when there's no sustained trend. The factory's 'holdout is the strongest predictor' insight WORKS FOR this strategy.