BTC 4H Failed-Breakdown Reclaim Long (Multi-Bar Structural Stop-Hunt Pattern)

A long-only, single-instrument strategy on BTCUSDT.BINANCE 4H bars implementing a MULTI-BAR STRUCTURAL pattern — the analyst's explicit recommendation from the ADAHammerReclaimAbsorptionLong abandon feedback ('MULTI-BAR PATTERN ENSEMBLES — at least adds confirmation that single-bar shapes lack'). The mechanism: identify the 10-bar Donchian low (excluding the current bar) as a structural reference level; detect a BREAKDOWN event when any of the last 2 bars made a new low BELOW that reference; detect a RECLAIM event when the current bar CLOSES BACK ABOVE the reference level AND closes bullishly (close > open). The combination (breakdown + reclaim within 2 bars + bullish close) signals a 'failed breakdown' / stop-hunt absorption — algorithmic flow swept liquidity at the obvious low, the sweep failed to trigger sustained selling, and buyers absorbed and reclaimed the level. Critically distinct from the failed ADAHammerReclaimAbsorptionLong (PF 0.45 abandon) because: (a) requires an ACTUAL structural breakdown of a historical price level, not just a single-bar lower wick (a wick may not be a real breakdown if it doesn't violate the 10-bar reference); (b) the reclaim is tied to a specific REFERENCE PRICE LEVEL (the prior 10-bar low), not just bar-body geometry; (c) MULTI-BAR pattern (breakdown bar at t-1 or t-2, reclaim bar at t) vs single-bar geometry; (d) applied to BTCUSDT (institutional liquidity, less retail noise than ADA). Trend-filtered (close > sma_100) to prevent fading actual downtrends per the Keltner-failure lesson. Long-only because (i) the absorption thesis works most reliably in confirmed uptrends, (ii) short-only directional on crypto majors has been empirically refuted. Single-instrument on confirmed-working BTC 4H bars (BtcFourHourVolumeBreakoutLong validates this bar type).

Implements the analyst's explicit multi-bar-ensemble prescription and fixes every flaw of the abandoned ADAHammerReclaimAbsorptionLong (PF 0.45): (a) it requires an ACTUAL breakdown of a historical reference PRICE LEVEL — the Donchian low computed over a window that excludes the current bar and the breakdown bars, so the sweep is measured against a level set before it — not a single-bar wick; (b) the reclaim is defined relative to that reference level, not bar-body geometry; (c) it is genuinely multi-bar (breakdown at t-1/t-2, reclaim at t); (d) it runs on BTC's institutional liquidity. The SMA(100) uptrend filter prevents fading real downtrends (the Keltner lesson), and long-only matches the absorption thesis's reliability in uptrends and the empirical refutation of short-only crypto-major directional bets. The swept low doubles as the structural stop, giving a tight, well-defined risk that drives risk-based sizing (avg_win can exceed avg_loss). calculate_signal returns a continuous distance-above-reference each bar (clamped to ±50) so Layer-2 synthetic scenarios are never frozen and no invalid (>1e9) signal can occur. Leverage stays at 1.0 so sizing references no margin leverage (avoiding the inert-leverage gate); the bar type BTCUSDT.BINANCE-4-HOUR is the validated, reliable data path.

Near-zero edge on an adequate sample — a genuine no-edge result, not optimizable or under-sampled. With 176 trades (~29/yr, well above the walk-forward floor), the strategy returns Sharpe 0.28, profit_factor 1.08 (barely above breakeven), alpha +0.0007 (~zero), CAGR 1.69%, and sharpe_ci_low -1.02 (deeply straddles 0). The entire +21.9% total return comes from a single year (2024 +21.9%); the other six years are flat-to-negative (4 of 7 negative: 2020 -0.7%, 2021 -0.6%, 2022 -7.0%, 2023 -2.2%, 2025 -1.3%), so the pattern only 'worked' in one strong-trend regime. NOT optimize: PF 1.08 / Sharpe 0.28 will fail the deflated-Sharpe gate, and a 225-trial sweep would curve-fit to the 2024-specific configuration. NOT iterate: this is the key distinction from the thin-sample candidates I sent back for density (BNB, BTC/ETH-TSM, ETH volume-surge) — those had ~35-42 trades, but THIS has a full 176-trade sample that already demonstrates the edge is absent (alpha ~0), so it is not a density/parameter problem and tuning cannot manufacture predictive power that 176 trades show isn't there. The failed-breakdown-reclaim / absorption pattern family is empirically weak on majors: the prior single-bar ADAHammerReclaimAbsorption was abandoned at PF 0.45, and this stronger multi-bar structural version only reaches PF 1.08 — still no real edge. FAILURE PATTERN: structural failed-breakdown reclaim (Donchian-low sweep + bullish reclaim + trend filter) on BTC 4H generates an adequate trade count but no predictive edge — PF ~1.08, alpha ~0, Sharpe 0.28 with the entire return concentrated in one trend year (2024) and 4 of 7 years negative; the reclaim/absorption pattern family does not predict continuation on crypto majors, single-bar or multi-bar.