BtcDailyCloseAbovePriorHighContinuationLong

BTC Daily Close-Above-Prior-Day-High Continuation Long with 200-SMA Bull Regime Filter

A long-only single-instrument 2-BAR PRICE-CONTINUATION strategy on BTCUSDT perpetual futures using daily bars and OHLCV-only data, with a 200-SMA bull regime filter. The trigger is a specific 2-bar price relationship documented by Linda Raschke ('Street Smarts: High Probability Short-Term Trading Strategies', 1996) and used widely in classical momentum-trading literature: today's CLOSE is above yesterday's intra-day HIGH (not just above yesterday's close — strictly above the prior session's peak). This is mechanistically NOVEL within the portfolio: 2-bar Bullish Engulfing requires specific BODY geometry relationships (current body fully engulfs prior body); Three White Soldiers requires 3 specific bullish bars in sequence; HH/HL requires 5-bar positional dominance on BOTH ends; Wide Range Bar measures range relative to 14-bar average; Pivot Low requires a local minimum geometry. NONE use the simple but structurally meaningful 'close decisively breaks prior high' relationship. The economic mechanism: when BTC's close exceeds the prior day's high, it represents (a) buyers absorbed all of yesterday's selling pressure AND added new demand at higher prices, (b) trapped shorts from yesterday's high are now under water and forced to cover, (c) systematic momentum traders observe the close above prior-high as a continuation confirmation, providing follow-through flow. This is a stricter signal than 'close > prior close' (which can occur in mere chop) and looser than Three White Soldiers (which requires 3 bars). It captures the single decisive breakout event. BTC is chosen because (a) BTC has lost a strategy slot recently (Three White Soldiers failed Layer 3) — this fills the BTC daily-pattern coverage gap, (b) BTC daily futures data path was used by Three White Soldiers + multiple regime filters (data-fetching is empirically attempted on this path), (c) BTC's deep institutional flow makes 'close above prior high' statistically meaningful — institutional momentum systems systematically respond to these breaks. Only 2 explicit parameters (regime SMA period, stop-loss pct) — among the SIMPLEST strategies in the portfolio.

Implements the hypothesis' novel-within-portfolio signal: 'close decisively breaks the prior day's high', distinct from engulfing-body geometry, Three White Soldiers, HH/HL positional dominance, or range-relative bars. calculate_signal returns the CONTINUOUS breakout distance (close - prior_high)/prior_high every bar (positive on a decisive break, near-zero on a marginal poke, negative when back inside range), satisfying the varies-bar-to-bar requirement, while should_enter applies the discrete gate: break distance > threshold AND close > 200-SMA. The 200-SMA filter is the documented failure-mode remover (bear-market failed breaks). Exit uses the symmetric 2-bar breakdown (close < prior low) plus stop/take-profit/regime-break/time-cap, keeping the logic coherent with the entry geometry. Only regime_sma_period and stop_loss_pct are exposed as core tunables per the 'simplest strategies' design intent. Venue is BINANCE USD-M futures per the explicit 'perpetual futures' hypothesis and the referenced BTC daily-futures data path used by the prior Three White Soldiers slot (cheaper ~0.10% round-trip than spot, no funding charged for a price-only edge); leverage stays 1.0 and is not used to amplify sizing (position_size is capital-and-risk based), so there is no leverage_set_but_unused condition. Sizing is capital-relative with a per-trade notional cap and a risk-based cap; daily holds clear the fee hurdle.

The 2-bar 'close above prior day's high' continuation signal has been fairly tested on BTC daily — over an adequate 116-trade sample it shows no meaningful edge: Sharpe 0.287 with sharpe_ci_low -0.927 (CI straddles zero), profit_factor 1.14, win_rate 34%, NEGATIVE alpha (-0.004), expectancy just $63/trade, and it is fee-marginal (impact_cost_pct 6.34%, commission 3.92% of gross). The weak positive is concentrated in 2023-2024 (2021 -4.6) and outlier-carried (kurtosis 57.6, skew 6.05). This is the adequate-sample-near-zero-edge signature (not a too-few-trades densification case, and no code bug to iterate on), matching the weak-price-pattern class of its Three White Soldiers sibling that already failed. Not optimize: a base Sharpe of 0.287 with a CI through zero and negative alpha is far below the best-of-N deflation luck bar, so optimizing the 2 core parameters cannot manufacture edge where the signal is fee-marginal and would predictably fail the deflated-Sharpe and recent-window holdout gates (the repeated pattern this session). The regime filter works, but the underlying continuation signal simply carries no promotable edge on BTC daily; abandon rather than spend 2 hours optimizing a fee-marginal base.

Long-only OHLCV-only BTCUSDT.BINANCE daily strategy that enters when today's close finishes strictly above yesterday's intra-day high (a 2-bar Raschke-style continuation break) while the close is above its 200-day SMA (bull regime). Exits on the symmetric 2-bar failure (close below the prior day's low), an 8% stop, a 25% take-profit, a regime break below the 200-SMA, or a 30-bar time cap. Two economically-primitive parameters (regime SMA period, stop-loss pct); the rest are fixed execution defaults. Leverage 1.0.

Clean, faithful implementation with an adequate sample: 116 longs / 0 shorts, zero plumbing drops; the 200-SMA regime filter correctly kept it out of the 2020/2022 bear years.

Simple 2-parameter design (low overfitting surface) and a novel-to-portfolio price pattern.

Near-zero edge on a fair 116-trade sample: Sharpe 0.287 with sharpe_ci_low -0.927 (CI straddles 0), profit_factor 1.14, win_rate 34%, NEGATIVE alpha (-0.004), expectancy just $63/trade.

Fee-marginal: impact_cost_pct 6.34%, commission 3.92% of gross — costs consume most of the thin gross edge; tail_ratio 0.15.

Concentrated and outlier-carried: profit is essentially 2023 (+4.7) and 2024 (+6.1), 2021 -4.6; return_kurtosis 57.6, skew 6.05.

Base Sharpe 0.287 with CI through zero sits far below the deflation luck bar — optimizing the 2 params won't create edge and would predictably fail DSR/holdout.

BtcDailyCloseAbovePriorHighContinuationLong tested a simple, novel-to-portfolio 2-bar continuation trigger — close above the prior day's high in a 200-SMA uptrend — as a fill for BTC's daily-pattern coverage gap after Three White Soldiers failed. The implementation was clean (116 longs, no plumbing drops, regime filter correctly avoiding the 2020/2022 bears), but the backtest revealed essentially no edge: Sharpe 0.287 with a CI straddling zero, PF 1.14, 34% win rate, negative alpha, $63/trade expectancy, and fee-marginal costs, with the thin positive concentrated in 2023–2024 and outlier-carried. On iteration 1 the analyst abandoned it at backtest review as the adequate-sample-near-zero-edge signature of a weak price pattern, declining to spend optimization on a fee-marginal base that would predictably fail deflation. The regime filter was sound; the continuation signal simply carries no promotable edge on BTC daily.

The 200-SMA regime filter worked, but the underlying 'close above prior high' continuation pattern is a weak price signal with no edge on BTC daily once fees are counted — an adequate-sample-near-zero-edge result (mirroring its failed Three White Soldiers sibling) should be abandoned rather than optimized, since tuning two parameters cannot create edge that isn't there.

The analyst abandoned it at the pre-optimization backtest-review gate: on a fair sample the continuation signal carried no promotable, fee-covering edge (Sharpe 0.287, CI through zero, negative alpha), so optimizing the two parameters was judged unable to manufacture edge and likely to fail the deflated-Sharpe/holdout gates, and optimization was never run.

A long-only, 2-parameter BTCUSDT.BINANCE daily strategy entering on a classical Raschke continuation trigger — today's close strictly above yesterday's intraday high — gated by a 200-SMA bull-regime filter, exiting on a close below the prior day's low, a stop, a regime break, or a time cap.

Over an adequate 116-trade sample (116 longs, 0 shorts) it showed near-zero edge: Sharpe 0.287 with sharpe_ci_low -0.927 (CI straddling zero), profit factor 1.14, 34% win rate, negative alpha (-0.004), expectancy just $63/trade, total return 11.2, and fee-marginal costs (impact 6.34%, commission 3.92% of gross) — with profit concentrated in 2023 (+4.7) and 2024 (+6.1) against 2021 -4.6 and outlier-carried (kurtosis 57.6, skew 6.05).