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Hypotheses

BTC Efficiency-Ratio Regime-Gated Time-Series Momentum (Single-Instrument USD-M, Long-Short, 4H, Trades Trend Only When Price Is Efficiently Trending, Flat in Chop, Discrete Capital-Capped)

A LONG-SHORT, SINGLE-INSTRUMENT, net-directional momentum strategy on BTCUSDT.BINANCE USD-M perpetual (4H bars) whose DISTINCT MECHANISM is a KAUFMAN EFFICIENCY-RATIO (ER) REGIME GATE: it takes the validated…

Hypothesis

A LONG-SHORT, SINGLE-INSTRUMENT, net-directional momentum strategy on BTCUSDT.BINANCE USD-M perpetual (4H bars) whose DISTINCT MECHANISM is a KAUFMAN EFFICIENCY-RATIO (ER) REGIME GATE: it takes the validated net-directional time-series-momentum trade ONLY when the market is in an EFFICIENTLY-TRENDING regime (ER high) and STANDS FLAT when price action is choppy/mean-reverting (ER low). This directly attacks the single failure mode that drained EVERY trend strategy this session -- WHIPSAW IN CHOP: the long-horizon……Show moreShow less

A LONG-SHORT, SINGLE-INSTRUMENT, net-directional momentum strategy on BTCUSDT.BINANCE USD-M perpetual (4H bars) whose DISTINCT MECHANISM is a KAUFMAN EFFICIENCY-RATIO (ER) REGIME GATE: it takes the validated net-directional time-series-momentum trade ONLY when the market is in an EFFICIENTLY-TRENDING regime (ER high) and STANDS FLAT when price action is choppy/mean-reverting (ER low). This directly attacks the single failure mode that drained EVERY trend strategy this session -- WHIPSAW IN CHOP: the long-horizon trend basket ate a 43.7% drawdown from slow whipsaw, the daily TSM held long through the 2021 top, and intraday fades all died. No strategy in the 1,177-experiment portfolio uses a regime gate to suppress trading in chop -- the analyst explicitly encourages 'market-regime-aware' designs, and the ER gate is the principled tool for it. EVERY design choice respects this brief's hard engine walls and lessons: (1) DISCRETE ON/OFF entries (enter full target size when ER>threshold AND trend agrees; exit fully when ER<threshold OR trend flips) -- NOT continuous per-bar rebalancing, which produced the 244%-vs-64%-cap notional-inflation artifact on BOTH spot and perp; discrete trades are trackable and bounded. (2) SINGLE-INSTRUMENT -- NOT a multi-leg basket, whose summed gross exposure proved structurally UNCAPPABLE in this engine (BTC-ETH-SOL stuck at 265% across four fixes). (3) NET-DIRECTIONAL momentum -- the validated edge (absolute 1.36 / dual 1.61 baskets, single-asset TSM); dollar-neutral relative momentum and cross-asset cointegration are CLOSED. (4) PURE OHLCV -- no options/tick/book plumbing (options are engine-unwired -> zero trades; this is guaranteed to trade in the Layer-3 sandbox). (5) 4H -- dense triggers, avoiding the daily single-asset event-sparsity that trade-starved RSI-bounce/candle-pattern walk-forwards to OOS-all-zero. (6) CAPITAL-CAPPED against STABLE realized equity (excl. unrealized PnL), hard-capped <=100% -- the explicit fix for the recurring >100%-notional bug. (7) Fills the under-target long_short direction (13%). BTC for cleanest trends/highest survival; the ER gate, not the asset, is the differentiator vs the plain TSM. Intentionally minimal: 3 tunables (trend_lookback, er_lookback, er_threshold).

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