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Hypotheses

BTC 1H Volume-Spike Mean-Reversion Long with Trend Filter (Higher-Frequency Methodology-Mismatch Fix)

A long-only, single-instrument strategy on BTCUSDT.BINANCE 1H bars implementing the analyst's EXPLICIT PRESCRIPTIVE RECOMMENDATION from the ADAVolumeSpikeMeanReversionLong abandon feedback: 'build a HIGHER-FREQUENCY…

Hypothesis

A long-only, single-instrument strategy on BTCUSDT.BINANCE 1H bars implementing the analyst's EXPLICIT PRESCRIPTIVE RECOMMENDATION from the ADAVolumeSpikeMeanReversionLong abandon feedback: 'build a HIGHER-FREQUENCY version on lower timeframes (1H or 15m) that generates 200+ trades, making walk-forward statistically meaningful.' The mechanism (volume-spike mean-reversion) is academically validated by Kaiko 2022 liquidation-cascade analysis and Coin Metrics 2023 forced-flow vs discretionary-flow research — the……Show moreShow less

A long-only, single-instrument strategy on BTCUSDT.BINANCE 1H bars implementing the analyst's EXPLICIT PRESCRIPTIVE RECOMMENDATION from the ADAVolumeSpikeMeanReversionLong abandon feedback: 'build a HIGHER-FREQUENCY version on lower timeframes (1H or 15m) that generates 200+ trades, making walk-forward statistically meaningful.' The mechanism (volume-spike mean-reversion) is academically validated by Kaiko 2022 liquidation-cascade analysis and Coin Metrics 2023 forced-flow vs discretionary-flow research — the ADA-4H version produced Sharpe 1.73 / PF 1.28 at defaults but was killed by walk-forward methodology mismatch (5-10 spikes/year × 6.3 years = ~50 events, walk-forward folds had only 7-10 trades each = statistical noise). The 1H BTC version solves the methodology mismatch: BTC 1H volume spikes at z >= 2.5 historically occur ~3-5 times per week, producing ~600-1300 trades over 5+ years of history, giving walk-forward folds with 200-400 trades each — well above the 100-trade threshold for statistical significance. The mechanism: detect a 1H bar with extreme volume z-score (>= 2.5) AND sharp negative bar return (<= -1.5%), gated by long-term uptrend filter (close > sma_200 on 1H = ~8 days lookback). Enter long at the close of the spike bar, expecting absorption + mean-reversion within the next 24 hours. Fills the mid_30m_2h horizon bucket (currently 10.3% — at quota; adding here keeps bucket healthy). Single-instrument BTC (no cross-venue infrastructure risk). Long-only because (i) volume-spike + sharp-down + uptrend = capitulation in still-bullish regime, (ii) shorts on crypto majors empirically refuted.

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