ETC OKX Stretch Breakout Preference with Opposite-Channel Protection

Hypothesis

Derived by the Research Lead from Arturo López's Stretch Breakout Channel: implement the article's one-sided Opening Range Breakout Preference on ETCUSDT.OKX using 5-minute execution bars and completed UTC daily bars. Preserve the source's 10-day Stretch calculation, entry threshold and opposite-channel protective stop. Complete its unspecified trend preference with a daily SMA, sizing with an equity-relative risk budget, and holding period with a same-day exit. A UTC day is a research-defined session on this continuous market. Because its opening price becomes available when the first 5-minute bar closes, orders are armed then, prospectively; days whose first bar already touched the intended entry are skipped. Stops trigger intrabar in the platform; exchange-hosted protection is not required. The supplied figure shows NZD/USD during June–August 2013, retail buy/sell stop clusters and buying-volume annotations, with no identifiable candle interval or Stretch channel; it supplies no additional executable rules. Source performance claims remain unverified.

The source supplies a concrete mechanism, so prior losses do not justify declining it. ORBP avoids independently opposing positions and preserves intrabar entry and protection. OKX is under-represented at 2.6%, and long/short research addresses the largest directional imbalance, with long-only at 79.5%. ETC avoids repeatedly testing BTC. Corpus concentration was empty, so its historical share cannot be asserted. A single instrument preserves the source's mechanism; adding options or cross-venue legs merely to satisfy quotas would change the submitted idea. Unlike the failed LTC R-Breaker, this contract uses the source's minimum-opening-excursion statistic, one directional preference and no failed-extension reversal.

negative_expectancy: decline optimization of this ETC/UTC-session operationalization. Substantial executed losses after costs, including before reported liquidation, provide no demonstrated edge worth tuning through the sole permitted trend-lookback parameter. This rejects the Research Lead's adaptation, not Arturo López's original strategy or session breakouts generally. Review execution and reporting inconsistencies separately without assuming their cause.

Implementation

UTC-session ETC OKX Stretch breakout with daily-SMA preference, prospective stop entry, opposite-channel intrabar protection and same-day exit.

Uses the ten-day mean minimum opening excursion. At 00:05 UTC, completed daily close versus SMA selects one direction and freezes opening-price plus/minus Stretch channels. Entries sit one tick beyond the selected channel; first-bar touches are skipped. Unfilled stops cancel at 06:00 UTC; entry fills immediately receive opposite-channel protection. Positions exit at 23:55 UTC. Risk is 0.5% equity capped at 30% notional, without added filters or take-profit. Daily observations after the session open are excluded. Only trend_lookback is tunable, within 10–60. Source performance remains unverified.

Verification Results

Use a GTD entry stop expiring at the UTC cutoff or a clock-based cancellation timer, retaining the bar-based cancellation as a fallback.

The 06:00 entry deadline depends on receiving a primary bar. During a feed gap spanning the cutoff, the GTC entry stop remains active and can fill before the next bar callback cancels it.

The four closed sandbox positions averaged -0.466% net return. This small smoke-test sample does not establish profitability; evaluate costs and directional results over full history.

Backtest Review

Sharpe

-1.63

Total return

-100.00%

Max drawdown

100.00%

Trades

998

Win rate

29.9%

Profit factor

0.63

998 closed positions provide a substantial executed sample, including both directions and same-day exits.

Net average trade return is -0.7163% versus the supplied 0.15% futures review floor; profit factor is 0.6318 and Sharpe is -1.6318. QA's economic concern is borne out.

Losses precede reported liquidation: 815 positions closed before 2025-06-14 sum to -99,827.17 USDT, with profit factor 0.6555.

Trade records include entries after the 06:00 cutoff and two entries on one day. Post-liquidation trading and avg_position_pct of 106.94% also require separate execution/reporting review; their causes are unverified.

benchmark_meaningful is false, so buy-and-hold comparison is excluded.

The required outbox file could not be written because this session permits read-only filesystem access.

Outcome Summary

This ETC/UTC-session adaptation needs evidence of positive net expectancy, while its execution and reporting inconsistencies require separate review without assuming their causes.

Backtest review voted to abandon because substantial losses after costs, including losses before reported liquidation, showed no demonstrated edge worth optimizing through the sole tunable trend lookback. Optimization, post-optimization analysis and risk review were not reached.

Trade ETCUSDT.OKX session breakouts using a 10-day Stretch channel, daily SMA direction preference, opposite-channel protection, equity-relative sizing and same-day exits.

The backtest reported 998 closed positions, -100% total return, -1.6318 Sharpe and 100% maximum drawdown, with liquidation reported. Average net trade return was -0.7163%, and profit factor was 0.6318.

Analysis

Stretch Breakout Channel