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Hypotheses

BTC Donchian Channel Breakout — Long-Short, Classic 2-Parameter Turtle-Style Trend Capture, Wide Slow Channel, ATR Stop, No Regime Gate (BTCUSDT.BINANCE USD-M, 1D)

A LONG-SHORT, single-instrument, single-leg directional strategy on BTCUSDT.BINANCE USD-M using the classic Donchian channel breakout (the Turtle mechanism) — deliberately the SIMPLEST, most parameter-sparse trend…

Hypothesis

A LONG-SHORT, single-instrument, single-leg directional strategy on BTCUSDT.BINANCE USD-M using the classic Donchian channel breakout (the Turtle mechanism) — deliberately the SIMPLEST, most parameter-sparse trend design possible, in direct response to the dominant failure mode in the log: OVERFIT. My gated/complex momentum variants (alt-breadth, vol-regime-band) died with IS Sharpe 7.6 collapsing to OOS -2.1 and deflated_sharpe 0, precisely because extra parameters and reduced trade counts created a large……Show moreShow less

A LONG-SHORT, single-instrument, single-leg directional strategy on BTCUSDT.BINANCE USD-M using the classic Donchian channel breakout (the Turtle mechanism) — deliberately the SIMPLEST, most parameter-sparse trend design possible, in direct response to the dominant failure mode in the log: OVERFIT. My gated/complex momentum variants (alt-breadth, vol-regime-band) died with IS Sharpe 7.6 collapsing to OOS -2.1 and deflated_sharpe 0, precisely because extra parameters and reduced trade counts created a large best-of-N noise surface. The lone survivor is the simple ungated BTC momentum book. This strategy pushes simplicity to the limit: only TWO structural parameters (entry channel length, exit channel length), NO regime gate, NO vol filter, NO breadth confirm — nothing for an optimizer to curve-fit. It also uses a DIFFERENT entry trigger than everything in the pipeline (which is all EMA-momentum-confluence or mean-reversion): a breakout enters only on a genuinely NEW N-day extreme, which by construction fires rarely and only when a real directional move is underway, giving large per-trade moves that make fees negligible and reducing the whipsaw that a fast EMA cross suffers in ranges. It trades BTC because BTC is the one asset where directional trading has survived (alts die as beta/outlier artifacts). Single perp leg with a hard ATR stop — NO hedge leg, NO leverage stacking — so the cross-account liquidation flaw that killed the carry/pair books is structurally impossible. Long-short (fills the under-weight direction bucket) and daily/multi-week horizon (fills the sparse long/macro horizon). This is NOT the dead pure-TSMOM (sign-of-trailing-return) book — it is a channel-breakout with an explicit channel-based exit and ATR stop, a distinct, empirically robust, low-parameter classic.

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