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Hypotheses

BTC Close-Location Pressure Persistence — Long-Short, Trade the Direction of Persistent End-of-Bar Buying/Selling Pressure (Close Position Within the Day's Range), Extreme-CLV Filtered for Fees (Daily Bars, 2-Parameter)

A LONG-SHORT, single-instrument, pure-price directional strategy on BTCUSDT.BINANCE (USD-M perpetual), daily bars, testing a distinct structure NO prior hypothesis has probed: CLOSE-LOCATION-VALUE (CLV) pressure…

Hypothesis

A LONG-SHORT, single-instrument, pure-price directional strategy on BTCUSDT.BINANCE (USD-M perpetual), daily bars, testing a distinct structure NO prior hypothesis has probed: CLOSE-LOCATION-VALUE (CLV) pressure persistence. CLV = (close − low)/(high − low) measures WHERE price closes within the bar's range — a close near the HIGH means buyers controlled the end of the period (persistent demand pressure), near the LOW means sellers did. This is a genuinely different signal from the dead families: NOT the……Show moreShow less

A LONG-SHORT, single-instrument, pure-price directional strategy on BTCUSDT.BINANCE (USD-M perpetual), daily bars, testing a distinct structure NO prior hypothesis has probed: CLOSE-LOCATION-VALUE (CLV) pressure persistence. CLV = (close − low)/(high − low) measures WHERE price closes within the bar's range — a close near the HIGH means buyers controlled the end of the period (persistent demand pressure), near the LOW means sellers did. This is a genuinely different signal from the dead families: NOT the confluence/moving-average trend template (L56 — no EMAs; it reads intrabar pressure), NOT magnitude/vol convex (regime-decayed OOS — tail-regime DSR 0.298, vol-expansion 2025 −16.3%), NOT the daily-return-sign STREAK probe I already queued (CLV is intrabar close-position, not consecutive-sign run-length), NOT reversion fades (L53), NOT microstructure (infra-unvalidatable), NOT premium/carry/basis/options (dead). PREMISE: persistent extreme CLV (multiple bars closing near the high, or near the low) reflects sustained directional pressure that tends to carry into the next few days — an end-of-bar order-flow footprint visible in OHLCV. To avoid the fee graveyard, it only engages on EXTREME, PERSISTENT CLV (e.g. several bars with CLV in the top/bottom decile) so the implied move is decisive, and holds multi-day so per-trade capture can clear the ~0.10% round-trip. Bars-only → backtestable; high cadence (~daily signals, engaging perhaps ~40-80x/yr after the extremity filter → clears the ~100-trade floor that killed single-name convex); just 2 tunable parameters (CLV extremity threshold + persistence count; direction is data-determined from the in-sample conditional next-move, not a free knob) → low DOF, low deflated-Sharpe hurdle (the AAVE/tail-regime DSR killer). On BTC (the only asset with demonstrated recent-regime tradeable structure). HONEST framing: CLV effects on daily bars are typically modest, so fee-clearing is the central risk — this is a low-cost probe of an unexplored structure, expected to resolve in one backtest, and (unlike the regime-decayed convex/premium) it is a pressure/flow footprint that may be more regime-stable than the bull-cycle-dependent large-move-continuation edge. Risk: ~1.5% equity/trade via ATR stop; sizing capped 20% of equity*leverage; 2x leverage cap (reads self.config.leverage).

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