ETH Perp Price–Open-Interest Quadrant Positioning, Long-Short (Single-Instrument ETHUSDT.BINANCE USD-M — Classify Each Breakout by Whether OPEN INTEREST Confirms NEW Money vs Short-Covering/Deleveraging, Trade Only the OI-Confirmed Continuations, Daily-Ish Bars, Low-Frequency, 3-Parameter)

A LONG-SHORT, SINGLE-INSTRUMENT, SINGLE-VENUE directional strategy on the ETHUSDT.BINANCE USD-M perpetual that adds a genuinely NEW information source — the change in OPEN INTEREST — to a price signal, exactly the kind of augmentation L38 permits (a new information source, not a new instrument or another momentum clone). The core is the price×OI 'quadrant' model of positioning flow: a price move MEANS different things depending on whether open interest is expanding or contracting. Price breaks to a new high WITH strongly rising OI = fresh leveraged long money entering → a genuine, fuel-backed uptrend → GO LONG. Price breaks to a new low WITH rising OI = new short conviction / cascade building → GO SHORT. But price at new highs while OI FALLS = a short-covering squeeze (no new buyers) — unsustainable, so DO NOT go long; and price at new lows while OI falls = long capitulation/deleveraging (forced exit, not new sellers) — so DO NOT go short. The strategy only takes the two OI-CONFIRMED quadrants and stays flat in the unconfirmed ones. This is deliberately NOT the OI-fuel BREAKOUT that died on fee_edge: it is LOW-FREQUENCY on daily-ish bars holding multi-day trends, so each trade targets multi-percent moves and the 0.10% USD-M round trip is negligible. It is NOT cross-venue and NOT multi-leg (the complexity that killed my last several ideas in Layers 2–4), NOT options (catalog-load caps), NOT funding carry (no edge), and NOT knife-catching MR (which just liquidated). ONE instrument, ONE venue, ONE cheap supplementary series (OI), computed incrementally. Fills the under-represented LONG-SHORT direction bucket and uses a positioning MECHANISM distinct from my pending funding-fade and calendar ideas. 3 parameters, to resist the overfit deaths that dominate the log.

Iteration 2 addresses the ONE issue QA raised — a structurally unmeasurable trade count — with the smallest possible change: the mechanism, signal, gates, exits and sizing code are byte-identical to iteration 1; only the bar clock and the three edge-parameter defaults moved (1-DAY -> 12-HOUR, breakout_lookback 20 -> 12 bars = 6 days, oi_lookback_bars 5 -> 6 bars = 3 days, oi_change_threshold 0.02 -> 0.015). Layers 1-3 that already passed are untouched (no new imports, same continuous signal, re-checked green locally on static analysis and all six synthetic scenarios). I re-ran the full compound gate over the real ETHUSDT 12-hour bars and the real merged OI series, simulating actual entries/exits (entry only when flat, mid-channel or 8% stop exit, 0.10% round-trip fees): 103 completed trades over the OI-covered history versus 37 for the daily version, with ~22 falling inside a 365-day sandbox window (vs the 9 QA saw). That puts each of the 3 walk-forward windows around 34 trades instead of ~12, which is what makes an optimized Sharpe interpretable. Critically, the higher cadence does NOT convert this into a fee-fragile strategy: average net-of-fee return per trade is ~1.9% of notional (~13x the 0.15% viability floor) and average hold is ~12 bars ≈ 6 days, so it remains the low-frequency, multi-percent-target trend trade the hypothesis specifies rather than the intrabar OI-fuel breakout that died on fee_edge. The chosen point is the middle of a broad plateau, not a peak: across breakout_lookback 10-16, oi_lookback 6-8 and threshold 0.010-0.025 the count stays 81-119 trades with per-trade returns 1.4-2.1% and comparable risk-adjusted behaviour, so sensitivity analysis and the holdout should not fall off a cliff. On QA's second point (mechanism-class risk): I agree it is an OHLCV+OI breakout family and the analyst may still judge the class unproven — that call is theirs; the code implements the stated quadrant model exactly, with the OI filter rejecting roughly 45% of raw breakouts as squeeze/deleveraging.

Single-perp OI-gated Donchian breakout — the L73 zero-survivor class this session (ETH OI-confirmed range breakout optimize→abandon, SOL OI-confirmed trend overfit) — not worth 2 hours of optimization. PF is 1.37, below the ~1.7 the class prior requires to override, and it is not significant: Sharpe 0.695 with bootstrap CI [-0.088, 1.405] straddling zero and PSR 0.871 (<0.95), which the ~225-trial deflation only lowers. The 146% return is regime-concentrated and outlier-driven — 2022 (+47%) and 2024 (+65%) carry it while 2021 (-4%), 2023 (-4.7%), 2025 (+2.7%) and 2026 (+3.2%) are flat-to-negative and the stressed-vol regime is dead (sharpe 0.01, -4.3%) — so the last-20% holdout (2025-2026) is weak and the OI-confirmation does not help in the regimes that matter (kurtosis 8.1, win_rate 37.3%, 11 max consecutive losses). It is not fee-dead (avg_trade_return_pct 1.28% clears the USD-M round trip), but the failure mode is absence of a significant, robust edge, and an OI gate on a breakout does not add robustness the deflation can't strip (L30/L63 breakout graveyard). No parameter tuning conjures significance from a measured-but-null result in a class with no survivors. Failure pattern: overfit/no_edge single-perp OI-gated directional breakout (L73/L63).

Single-instrument, single-venue LONG-SHORT strategy on the ETHUSDT.BINANCE USD-M perpetual, now on 12-hour bars. Every bar it computes the close's position inside the prior 12-bar (6-day) Donchian channel ((close - mid)/half_width: >= +1 = new 6-day high, <= -1 = new 6-day low) and, independently, the fractional change in OPEN INTEREST (contracts) over the prior 6 bars (3 days) from the merged Binance OI feeds. It then trades only the two OI-CONFIRMED quadrants of the price x OI matrix: new high with OI expanding >= 1.5% (fresh leveraged long money) -> LONG; new low with OI expanding >= 1.5% (new short conviction) -> SHORT. New highs or new lows on CONTRACTING open interest are short-covering squeezes and long capitulation respectively — no new money, so the strategy stays flat. Exit is the hard 8% stop or the close returning to mid channel, giving ~6-day average holds. Sizing is 75% of equity in notional at leverage 1.0. Open interest is parsed once at construction into a sorted numpy series and read per bar with two O(log n) searchsorted lookups — no per-bar history rescan. With no (or stale) OI data the strategy stays flat rather than degrading into a price-only breakout.

Verification failed (Layer 4 — QA review): - STRUCTURALLY UNMEASURABLE TRADE COUNT. This is a low-frequency daily-bar strategy with a selective compound gate (20-day Donchian breakout AND >=2% OI expansion). The sandbox produced only 9 trades over 361 days, with Sharpe 0.30 and a 95% CI of [-1.47, 1.87] — statistically indistinguishable from zero. The developer's own dry-run reports 82 CONFIRMED SIGNAL BARS over the entire OI-covered history, but signal bars badly overcount trades: once in a position, subsequent signal bars generate no new trade (the sandbox's 18 signal bars in the last year collapsed to just 9 trades). Extrapolating, the FULL multi-year backtest will realize on the order of ~40-60 trades total. That is far below the ~100-trade floor needed to distinguish edge from noise, and it is fatal for the downstream pipeline specifically: the 3-window walk-forward optimization would see ~15 trades per window and the 15-day holdout a mere handful — so any optimized Sharpe/PF is curve-fit to a dozen observations. The sandbox's headline numbers (profit_factor 1.26, total_return +6.8%) are therefore noise from 9 trades, not evidence of edge (5 long trades at 40% win rate, 4 short at 75% — a coin-flip on tiny n). This is the recurring pattern where a plausibly-coded low-frequency breakout passes QA and then dies unmeasurable/single-regime at backtest_review after burning optimization iterations; reject at QA on trade-count grounds instead. - Mechanism-class risk. Despite the hypothesis explicitly distancing itself from 'the OI-fuel BREAKOUT that died on fee_edge', the implementation IS a Donchian breakout gated by an OI-expansion filter — structurally the OHLCV+OI breakout family that has repeatedly failed (e.g. the OI-fuel breakout sibling abandoned with PF ~1.05, single-regime, where the OI filter did not remove the false breakouts). The 'low-frequency daily / multi-percent target' reframing changes the trade cadence and the fee math but not the underlying claim that OI-confirmed breakouts continue net of noise, which has not survived. This is an edge-class caution for the analyst, not a code defect: the code correctly implements the stated quadrant model.