SOL HYPERLIQUID 15-Minute Daily-Anchored VWAP Mean-Reversion Long-Only with ATR Volatility Filter (Single Asset, 3-Parameter, Short-Horizon, Intraday-Closed)

A LONG-ONLY SHORT-HORIZON intraday mean-reversion strategy on SOL-USD.HYPERLIQUID perpetual using 15-MINUTE bars and OHLCV-only data. Mechanism: classic daily-anchored VWAP mean-reversion at 15m resolution, deliberately modeled on the surviving ETH 1H VWAP Excursion MR pattern (Sharpe 4.70 paper) but transplanted to a NEW VENUE (HYPERLIQUID, 4.9% → 20% target) and a NEW TIMEFRAME BUCKET (short_1m_15m, 2.2% → 10% target) — hitting the TWO most under-represented quotas in the 1113-experiment portfolio simultaneously. On each 15m close, the strategy computes (a) the day's anchored VWAP (sum(close*volume)/sum(volume) since 00:00 UTC, reset at every UTC midnight), (b) the rolling standard deviation of (close - VWAP) across all bars elapsed in the current day, and (c) the z-score = (close - VWAP) / std. Entry requires z-score <= -2.0 (price 2σ below day VWAP, signifying intraday over-extension to the downside) AND a volatility filter: rolling 20-bar ATR-as-pct-of-price >= 0.40% per 15m (filters out grindingly-low-vol periods where the VWAP signal is noise) AND time-of-day < 22:00 UTC (ensures at least 2 hours remain in the UTC day for the position to revert and exit before forced day-end close). Position size 10% of equity, long-only, no leverage requested (HL margin venue but we use 1x). Exit on EARLIEST of: (a) z-score returns to >= 0.0 (close touches or crosses VWAP — primary edge captured), (b) hard daily time stop at 23:45 UTC (close before day-end VWAP reset to avoid stale-anchor exposure), (c) hard PnL stop loss at -1.5% of position notional (cap tail loss). This is explicitly NOT a breakout strategy (the failed mechanism class), NOT a fast-twitch signal (slow daily-anchored VWAP, not RSI(2)), NOT cross-sectional on correlated majors (single asset), NOT drawdown accumulation (no multi-day hold), NOT pair MR with 4-leg fees (single leg, HL fees ~0.09% RT). It directly inherits the SURVIVING ETH-VWAP-MR mechanism class with venue+timeframe transplant for portfolio diversification. SOL is chosen over ETH/BTC because (1) SOL has higher intraday vol than majors so the z=2σ signal triggers more often; (2) SOL/BTC correlation is lower than ETH/BTC, providing portfolio diversification; (3) HYPERLIQUID's lower fees on a fast-trading strategy compound to a meaningful edge advantage over Binance.