ETH USD-M Intraday Floor-Trader Pivot Reversion, Long-Short (BINANCE Perp, 15m Bars, Fade Touches of Prior-Day-Derived S1/R1 Support-Resistance Back Toward the Central Pivot, Ranging-Regime Gated, Static Levels Not Rolling Bands, 3-Parameter)

A LONG-SHORT, single-instrument intraday mean-reversion strategy on ETHUSDT.BINANCE (USD-M perpetual, 15-minute bars) built on classic FLOOR-TRADER PIVOT LEVELS. Each UTC day, the strategy computes the standard daily pivot set from the PRIOR day's high/low/close: Pivot P = (H+L+C)/3; R1 = 2P - L; S1 = 2P - H; R2 = P + (H-L); S2 = P - (H-L). Intraday it fades the first clean touch of S1/S2 (buy) or R1/R2 (sell) and targets reversion to the central pivot P. This is deliberately a DIFFERENT reversion primitive from the factory's promoted SOL VWAP-reversion winner: VWAP-reversion fades a ROLLING, continuously-recomputed z-score band, whereas pivots are STATIC price levels fixed at 00:00 UTC and watched by a large population of discretionary/algo intraday traders — the edge is partly self-fulfilling (resting liquidity clusters at these well-known levels). It uses a DIFFERENT instrument (ETH, not SOL) to de-cluster the portfolio's SOL intraday concentration. It avoids every recent graveyard: no funding-level signal (L13), no liquidation feed (L3), no options (L23), no cross-sectional/dollar-neutral basket (L12), no cross-venue carry (L1), no Hyperliquid (L11), no 200-SMA regime timing, no rotation-of-majors duplicate (L24). Only 3 tunable parameters to hold down overfitting (the #1 killer, 202x). It fills three of the most under-represented, survivable portfolio buckets at once: LONG-SHORT (14.9% vs targeted majority long-only), SHORT-horizon 1m-15m (5.5% vs >=10% target), and single-venue OHLCV (no fragile supplementary feed). Routed to BINANCE (not Hyperliquid) because short-horizon validation needs multi-year sub-hourly history that only Binance provides at 15m.

Iteration 3 targets the one thing the now-trustworthy backtest exposed: a gross-negative fade edge because entries were being run over (win_rate 0.33, 'fades run over more often than they revert', PF 0.74, commission 24.72% of gross). Root cause in the entry rule: it fired on any touch whose close was merely above the stop, so the bar's close could still be BELOW the support level (or above the resistance) — i.e. entering directly into a level price was slicing through. The fix is a rejection-confirmation: the touch bar must wick to the level AND close back on the reverting side of it (close >= level for supports, close <= level for resistances), so only levels that were tested and HELD are faded. This is the classic, minimal remedy for the exact failure mode named, it raises the per-fade win-rate and gross edge, and by qualifying fewer bars it also cuts the turnover-driven fee drag. It is fully faithful to the reversion hypothesis (still fading touches of static pivot levels toward P) and leaves every validated component untouched — deterministic fixed-fraction sizing (which fixed the systemic exposure/liquidation defect), the min_reward fee gate, the ER ranging gate, intrabar stop/target detection, imports, and leverage 1.0. Only the two entry conditions changed.

Verification failed (Layer 4 — QA review): - FEE/EDGE FAILURE (trustworthy backtest). profit_factor 0.73 (net losing), win_rate 0.37; avg_trade_return_pct is nominally +0.0404% but far below round-trip cost and swamped by commission 18.75% of gross (74,930) over 2680 trades. Account bled to -100% and LIQUIDATED (2021-11-29). Fades reach the pivot target only 37% of the time; stops dominate. High-turnover fee-death (L6/L16). - RISK-CONTROL FAILURE: leverage 1.0 with a documented 1x notional cap, yet avg_position_pct 497.47% and full LIQUIDATION, with annualized_volatility 1891%, skew 33.3, kurtosis 1170.9. A truly 1x-capped position cannot average ~5x equity nor liquidate under normal ETH moves — the in-strategy cap is not the effective size the engine accepts, or tight-stop sizing blows past 1x. Same defect signature as the sibling SOL ORB (227% + liquidation). - Pivot mechanics are otherwise correct and faithful: prior-day H/L/C accumulated per session, standard set computed at rollover (P=(H+L+C)/3, R1=2P-L, S1=2P-H, R2=P+range, S2=P-range); fade S1/S2->BUY and R1/R2->SELL to P, structural stop beyond level, ER ranging gate, one trade/level/day, session time exit, long-short ETH 15m, static levels not rolling band. Alignment matches; the block is the outcome.

Verification failed (Layer 4 — QA review): - FEE/EDGE FAILURE on a now-CLEAN, trustworthy backtest. With the sizing defect fixed the metrics are diagnostic (annualized_volatility 3.92%, avg_position_pct 16.46%, liquidated=False, metrics_reliable) — and the trustworthy result proves the pivot-fade edge is NEGATIVE: total_return -40.97%, Sharpe -2.46 (PSR 0.00, CI [-3.25,-1.63] entirely negative), PF 0.74, win_rate 0.33, omega 0.67, CAGR -7.73%. avg_trade_return_pct +0.0074% is essentially zero and far below round-trip cost, and commission is 24.72% of gross (29,368) over 2404 trades. The min_reward_pct 0.5% gate and er_max 0.45 did not create a positive edge — fades are run over more often than they revert, and fees bury the near-zero gross edge. Definitive fee-death (L6/L16) for the pivot-reversion family on ETH 15m. - CREDIT / RESOLVED: deterministic fixed-fraction sizing (notional = notional_frac*equity, 0.15x) correctly fixed the systemic sizing defect. avg_position_pct is now 16.46% (~notional_frac 0.15), liquidated=False, annualized_volatility collapsed 1891%->3.92% — confirming the risk-based/(tiny stop_dist)-vs-leverage-cap collision was the cause of the prior 497% exposure and liquidation. The intrabar low/high stop/target detection is also a correct fix. These are validated and not the reason for the fail. - Pivot mechanics remain faithful (P=(H+L+C)/3, R1=2P-L, S1=2P-H, R2=P+range, S2=P-range from prior-day H/L/C; fade S1/S2->BUY and R1/R2->SELL to P; ER ranging gate; one trade/level/day; session time exit; long-short ETH 15m; static levels). Alignment correct; the block is the negative edge.

Verification failed (Layer 4 — QA review): - FEE/EDGE FAILURE PERSISTS on a third clean, trustworthy backtest. The rejection-confirmation entry did NOT flip the edge: win_rate 0.33 -> 0.346 (noise), commission 24.72% -> 21.98% of gross, trades 2404 -> 2241. Still decisively negative: total_return -37.36%, Sharpe -2.22 (PSR 0.00, CI [-3.09,-1.39] entirely negative), PF 0.77, omega 0.70, CAGR -6.89%, max_consecutive_losses 26. avg_trade_return_pct +0.0128% — essentially zero, far below round-trip cost. The pivot-fade edge on ETH 15m does not exist net of fees (L6/L16). - RESOLVED / RETAINED: deterministic fixed-fraction sizing still correct — avg_position_pct 16.33% (~notional_frac 0.15), liquidated=False, annualized_volatility 4.03%. Intrabar low/high stop/target retained. Working fixes, not the reason for the fail. - Mechanics remain faithful and the iter-3 rejection-confirmation is a correct, minimal implementation (support: low wicks to level AND close >= level AND close < P; resistance symmetric). Pivot formulas, ER gate, min_reward gate, one-trade-per-level-per-day, session time exit, long-short ETH 15m all correct. The block is the persistent negative edge.