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Hypotheses

Binance USD-M Multi-Lookback Ensemble Trend Long-Short Basket (Established Majors, Frozen Lookback Fan 20/40/80/160, Averaged Trend Score, Weekly Rebalance, Overfit-Resistant)

A long-short, daily managed-futures trend basket across ~10 established, confirmed-full-history Binance USD-M majors (BTC, ETH, SOL, BNB, XRP, DOGE, ADA, LTC, LINK, BCH), designed explicitly to be OVERFIT-RESISTANT BY…

Hypothesis

A long-short, daily managed-futures trend basket across ~10 established, confirmed-full-history Binance USD-M majors (BTC, ETH, SOL, BNB, XRP, DOGE, ADA, LTC, LINK, BCH), designed explicitly to be OVERFIT-RESISTANT BY CONSTRUCTION — the analyst-prescribed fix for why the vol-targeted dual-timeframe variant was abandoned. That variant had a genuine, strong edge (+392%, Sharpe 2.59 at defaults) but the walk-forward optimizer OVERFIT it by tuning a single fast_lookback (20→13), spiking in-sample while out-of-sample……Show moreShow less

A long-short, daily managed-futures trend basket across ~10 established, confirmed-full-history Binance USD-M majors (BTC, ETH, SOL, BNB, XRP, DOGE, ADA, LTC, LINK, BCH), designed explicitly to be OVERFIT-RESISTANT BY CONSTRUCTION — the analyst-prescribed fix for why the vol-targeted dual-timeframe variant was abandoned. That variant had a genuine, strong edge (+392%, Sharpe 2.59 at defaults) but the walk-forward optimizer OVERFIT it by tuning a single fast_lookback (20→13), spiking in-sample while out-of-sample collapsed to a negative holdout. The fix here removes the exploitable parameter entirely: instead of one tunable lookback, the trend signal for each asset is the AVERAGE of trend signs computed at a FROZEN FAN of lookbacks (20, 40, 80, 160 days). There is no single lookback for an optimizer to over-concentrate on — the fan is fixed, so the IS/OOS overfit-collapse mode is structurally defused, and the strategy is built to optimize for OOS robustness, not max-IS Sharpe. This is the standard CTA multi-horizon robustness technique. It stays strictly inside the ONLY validated edge (DAILY symmetric trend on established majors — the promoted AbsoluteMomentum sibling is Sharpe 1.48; intraday/4H single-bar directional and short-only variants are all refuted), uses pure majors' daily OHLCV (data-safe — broad-alt/HL baskets die on data), and is genuinely distinct from every placed single-signal basket (it is a multi-horizon ENSEMBLE, not one lookback / breakout / rank). Long-short and symmetric improves the 87%-long skew; weekly rebalance keeps fees trivial; the near-empty tunable surface resists the overfitting that has been the recurring strategy-level killer.

Backtest and paper results are hypothetical. Trading involves risk of loss.