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Hypotheses

BTC Intraday Session Seasonality — Trade the ONE Recurring Time-of-Day Return Window per Day (Adaptively Selected, Not Hardcoded), a Non-Trend / Non-Reversion Calendar Edge on the Under-Represented Short Horizon (BINANCE USD-M, 1H Bars, Long-Short, 3-Parameter)

A LONG-SHORT, SINGLE-INSTRUMENT BTC probe that continues the deliberate exit from the trend family — which the meta-learner has now closed (L62: single-instrument trend survival 0.003; every non-momentum trend…

Hypothesis

A LONG-SHORT, SINGLE-INSTRUMENT BTC probe that continues the deliberate exit from the trend family — which the meta-learner has now closed (L62: single-instrument trend survival 0.003; every non-momentum trend construction this session landed base Sharpe ≈0.4–0.7 and died, and the confluence 'edge-booster' thesis was directly falsified at 0.634). It explores the intraday counterpart to the pending turn-of-month sleeve: TIME-OF-DAY SESSION SEASONALITY — the tendency for crypto returns to cluster in specific UTC……Show moreShow less

A LONG-SHORT, SINGLE-INSTRUMENT BTC probe that continues the deliberate exit from the trend family — which the meta-learner has now closed (L62: single-instrument trend survival 0.003; every non-momentum trend construction this session landed base Sharpe ≈0.4–0.7 and died, and the confluence 'edge-booster' thesis was directly falsified at 0.634). It explores the intraday counterpart to the pending turn-of-month sleeve: TIME-OF-DAY SESSION SEASONALITY — the tendency for crypto returns to cluster in specific UTC windows driven by recurring session flows (US equity-hours risk-on, Asia-hours behavior, and the fixed 00:00/08:00/16:00 UTC funding-settlement times that concentrate positioning activity). The signal is purely the clock position of the bar, ORTHOGONAL to price path/trend/mean-reversion, so it is a genuine diversifier to the portfolio's one promoted (momentum) strategy rather than a correlated trend clone. It runs on the only artifact-free, non-fragile substrate this session found — single-instrument Binance USD-M pure-OHLCV (COIN-M times out at coding, HL is history-capped, Deribit option data spans only ~34 days, multi-instrument produces non-physical returns). To resist overfit, the winning window is chosen ADAPTIVELY from a trailing sample (not a hardcoded hour), and turnover is deliberately capped at ONE round trip per day to control fee drag. It fills the under-represented short-horizon bucket (8.9%). Honest framing: this is an EXPLORATION probe of an untested family whose edge may be small/decayed — but it is the correct move after trend, reversion, pairs, funding, options, cross-sectional and factor-composite families are all exhausted. It avoids the graveyards: NOT trend (L62), NOT reversion/pairs/funding/factor (dead), NOT a liquidation/quarterly feed (L61). Exactly 3 tunable parameters: the session-block width (hours), the trailing lookback for selecting the window, and the ATR stop multiple.

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