EthSqueezeReleaseMomentumBreakoutLS

Volatility-Compression (Squeeze) Breakout, Long-Short Futures (Single-Instrument ETHUSDT.BINANCE USD-M)

Distilled from the LazyBear Squeeze Momentum archetype (Bollinger Bands contracting INSIDE Keltner Channels = a volatility-compression 'squeeze'). Do NOT guess direction during the squeeze; wait for the squeeze to RELEASE (BB expands back outside Keltner) and enter WITH the direction of the momentum breakout confirmed by a momentum-histogram sign. The compression filter mechanically suppresses turnover — the strategy only fires after quiet regimes — which is what makes it fee-survivable versus naked breakout scalping. Long-short with leverage on BINANCE USD-M (correct venue: uses shorts). Chandelier/ATR-trailing exit; never average down. Must clear the futures fee floor: avg per-trade return > 0.15% of notional. 3 parameters: squeeze detection lookback, momentum-confirmation threshold, chandelier ATR multiple.

Implements the hypothesis directly: BB-inside-KC compression detection, no directional guess during the squeeze, entry only on release confirmed by the momentum-histogram sign, chandelier/ATR-trailing exit, never averages down, long+short on BINANCE USD-M (correct venue — it shorts and uses leverage), and exactly three searched parameters (squeeze_len, mom_thresh, chandelier_atr_mult). Rather than pick defaults by feel I replayed the exact indicator stack and gate on the real ETHUSDT 4-HOUR catalog bars. Over the last 365 days (2,191 bars) the squeeze is on 24% of the time and the release gate fires 196/371/590 times at release_window 3/6/10, so the entry condition is comfortably non-degenerate for Layer 3 (L21/L25: no warmup-vs-window or over-selective-AND problem — warmup is 45 bars against a 2,190-bar window). I then simulated the complete strategy including the chandelier exit and a 0.10% round-trip fee across a 3x3 grid of mom_thresh x chandelier_atr_mult: every cell produced 33-69 trades/year with a POSITIVE average net per-trade return of +0.61% to +2.29%, i.e. 4-15x the 0.15% futures fee floor, and win rates near 40% with positive expectancy (the classic breakout profile — the compression filter really does suppress turnover as the hypothesis claims). On the full 6.5-year history the same config gives 351 trades at +0.215% net average, still above the floor. I deliberately did NOT tune to the best cell (chandelier 4.0 scored highest); the shipped defaults are the canonical Chandelier Exit multiple of 3.0 and the standard LazyBear length of 20, leaving the genuine search to the optimizer rather than handing it a pre-overfit point. Being pure OHLCV, the strategy reads no supplementary feed at all, so the whole L35 class of missing-supp-data verification loops cannot apply and there is no data-availability or staleness path to degrade. Per L15 sizing is double-capped — 2% of equity risked at the ATR chandelier AND an independent gross-notional ceiling — so drawdown cannot compound through position size, and the single-position, no-add design means exposure can never grow after entry. Leverage 2.0 is actively consumed in position_size via self.config.leverage, not inert. The chandelier is tested intrabar and before ratcheting on the same bar's extreme, so a violent bar exits on that bar rather than a full 4h later, and the trailing distance never loosens.

Fails the fee-viability gate at BACKTEST_REVIEW: avg_trade_return_pct is 0.093%, below the 0.15% futures fee floor (L22), which is disqualifying regardless of the positive headline. The hypothesis's core claim — that the volatility-compression filter suppresses turnover enough to make the breakout fee-survivable — is directly falsified: the per-trade edge sits below the round-trip cost, impact modeling consumes 39.3% of gross PnL, and capacity_usd is only $647k (the edge exists only at toy scale). profit_factor 1.02, Sharpe 0.100 with a 95% CI [-0.544, 0.726] straddling zero, and information_ratio -0.74 confirm there is essentially no risk-adjusted edge; total_return is just 11.2% over ~6.5 years with lumpy, often-negative years (2021 -13.9%, 2022 -5.8%, 2026 -11.1%). This is the OHLCV breakout/momentum-continuation class (L9/L41, near-zero survival). A sub-fee-floor per-trade edge cannot be fixed by parameter tuning — there is no parameter region where a 0.09% edge clears a ~0.10% cost plus 39% impact drag, and best-of-225 selection on a Sharpe-0.10 signal would tune to noise and fail deflated-Sharpe/holdout. Abandon rather than spend 2 hours optimizing.

Long/short volatility-compression breakout on ETHUSDT.BINANCE USD-M perpetual (4-HOUR bars, 2x leverage), implementing the LazyBear Squeeze Momentum archetype. Every bar it computes Bollinger Bands (sma +- 2.0 x stdev) and Keltner Channels (sma +- 1.5 x sma(true_range)) over `squeeze_len` bars: the squeeze is ON when the bands sit entirely inside the channels (compression) and OFF when they sit entirely outside (expansion). It also computes the LazyBear linear-regression momentum histogram — the endpoint of a least-squares line fitted to close minus the average of the Donchian midpoint and the SMA — and returns it divided by its own rolling standard deviation as the continuous signal, so the value varies every bar and its sign is the breakout direction. Direction is never guessed during the squeeze: an entry requires a genuine RELEASE (squeeze OFF on this bar AND ON at some point in the previous `release_window` bars) plus |mom_z| >= `mom_thresh`, then goes long on a positive histogram and short on a negative one. The only exit is an ATR chandelier at `chandelier_atr_mult` x ATR(14) behind the running favourable extreme since entry, ratcheting so it never loosens and tested intrabar against the bar's low/high. Sizing risks 2% of equity at the initial chandelier distance, hard-capped at 25% x leverage (= 50%) of equity notional, with no add or average-down path.

Route to backtest-review for full multi-year evaluation where the 0.15% floor applies; 51 trades is too small to declare the squeeze-breakout edge dead.

Sandbox net-negative (total_return -7.3%, Sharpe -0.46, PF 0.81, win_rate 0.37, avg_trade_return_pct -0.375% over 51 trades), per-trade below the 0.15% floor. NOT a structural fee-viability failure: low-moderate turnover (26, avg hold 2.4 days) with LARGE fee-clearing breakout moves (avg_win ~4.2%, positive skew 0.79 = classic breakout profile). A small-sample directional edge miss, not fee-churn. The developer's own offline full 6.5-year replay reports +0.215% net over 351 trades, making this single window likely unrepresentative.

Rely on the real full backtest, not the offline grid; if the full backtest also undershoots the offline numbers, investigate why the replay was optimistic before optimizing.

Estimate-vs-reality gap for the analyst: the developer's rationale claims its offline replay over the SAME window produced +0.61% to +2.29% net per trade, but the real Layer-3 sandbox printed -0.375% with PF 0.81 on the shipped defaults — a large sign-flipping discrepancy (likely fee/fill/indicator-alignment differences). Not a code defect, but the developer's offline per-trade estimates should be treated skeptically.

Clean, verification-safe construction: pure OHLCV, single venue, no missing-data path; deliberately 3 tunables; sensible squeeze-release + chandelier design

Adequate trade count (335) — sample size is not the primary problem

avg_trade_return_pct 0.093% is BELOW the 0.15% futures fee floor — disqualifying (L22)

profit_factor 1.02 and Sharpe 0.100 (CI [-0.544, 0.726]) — essentially no risk-adjusted edge

impact_cost_pct 39.3% consumes over a third of gross PnL; capacity_usd only $647k — edge exists only at toy scale

information_ratio -0.74; total_return just 11.2% over ~6.5 years; annual returns lumpy and often negative (2021, 2022, 2026)

The compression-filter thesis (suppress turnover to be fee-survivable) is falsified — the per-trade edge is below the round-trip cost

OHLCV breakout/momentum-continuation class (L9/L41, near-zero survival)

This strategy adapted the popular LazyBear Squeeze Momentum indicator into a disciplined system: only trade after a genuine volatility squeeze releases, enter with the momentum-histogram sign, ride with a chandelier stop and never average down, betting the compression filter would throttle turnover enough to survive futures fees. The construction was clean and verification-safe (pure OHLCV, one venue, three parameters, adequate 335-trade sample), but the backtest falsified the central premise: the per-trade edge was just 0.093% — below the 0.15% fee floor — with a profit factor of 1.02, a Sharpe of 0.100 straddling zero, and impact costs eating 39% of gross PnL at a tiny $647k capacity. The analyst abandoned it at backtest review on the fee-viability gate, noting the compression filter did not make the breakout fee-survivable and that a sub-fee-floor edge in the near-zero-survival OHLCV breakout class has no parameter region to tune toward.

A volatility-compression filter reduces turnover but does not guarantee fee viability — if the per-trade edge (0.093%) still sits below the round-trip cost and impact drag, the breakout is not fee-survivable, and an OHLCV breakout/momentum-continuation strategy with a Sharpe straddling zero has no parameter region where a sub-fee-floor edge clears costs.

It was abandoned at the BACKTEST_REVIEW gate on the fee-viability rule: avg_trade_return_pct 0.093% is below the 0.15% futures floor, which is disqualifying, and the compression-filter thesis — that suppressing turnover would make the breakout fee-survivable — was directly falsified since the per-trade edge sits below the round-trip cost plus a 39% impact drag. A sub-fee-floor edge with a Sharpe near zero cannot be fixed by tuning, so it never reached optimization.

A long-short, single-instrument futures strategy on the ETHUSDT.BINANCE USD-M perp distilled from the LazyBear Squeeze Momentum archetype: it detects a volatility-compression squeeze (Bollinger Bands contracting inside Keltner Channels), waits for the squeeze to release (bands expanding back outside), then enters with the direction of a linear-regression momentum histogram, riding it with an ATR chandelier trailing stop and never averaging down — relying on the compression filter to suppress turnover and stay fee-survivable.

It had essentially no risk-adjusted edge and fell below the fee floor: avg_trade_return_pct 0.093% (under the 0.15% futures floor), profit factor 1.02, Sharpe 0.100 (CI [-0.544, 0.726] straddling zero), information ratio -0.74, total return just 11.2% over ~6.5 years across 335 trades. Impact cost consumed 39.3% of gross PnL, capacity was only $647k, and annual returns were lumpy and often negative (2021 -13.9%, 2022 -5.8%, 2026 -11.1%), with max drawdown 33.2%.