SOL Perp Open-Interest-Confirmed Trend (Single-Instrument USD-M, Long-Short, 2H, Conviction-Gated by Rising OI, Flat on Deleveraging)

A long-SHORT, SINGLE-INSTRUMENT, single-venue directional strategy on SOLUSDT.BINANCE USD-M perpetual futures using 2-HOUR bars, that takes a directional position ONLY when the price trend is CONFIRMED by RISING open interest. The mechanism mirrors the structure of the promoted ETH funding-confirmed trend (a crypto-native signal used as a directional confirmation on a single price-creditable leg) but deliberately swaps BOTH the signal (open-interest change instead of funding) AND the asset (SOL instead of ETH), so it is portfolio-ADDITIVE rather than a duplicate of the existing USD-M funding/TSM family. Core thesis: a price move accompanied by RISING aggregate open interest reflects NEW capital entering and taking conviction (genuine trend continuation), whereas a price move on FALLING OI reflects position unwinding / short-covering / long-liquidation (an unreliable, often-exhausting move). The strategy therefore goes long uptrends and short downtrends ONLY while OI is expanding, and stands flat when OI is contracting or when price-trend and OI disagree. CRITICAL DESIGN NOTES separating this from the closed families: (1) it is a SINGLE creditable price leg — no delta-neutral pair, no funding/basis CARRY (funding is never booked as a cash flow here); (2) OI is a SIGNAL only, exactly the role the meta-guidance says crypto-native data can validly play; (3) it is NOT cross-venue, NOT spot-perp basis, NOT COIN-M, NOT tick-driven; (4) the trend gate fires CONTINUOUSLY across every trending stretch (not on rare deep-drawdown events), so walk-forward OOS windows are densely populated — the opposite of the OOS-all-zero event-sparsity signature that killed every drawdown-accumulation variant. Intentionally minimal: 3 tunables (trend_lookback, oi_lookback, oi_rise_threshold) to resist overfitting.

The reported Layer-2 (synthetic) failure was 'SolOpenInterestConfirmedTrendLS._to_ns() takes 1 positional argument but 2 were given': _to_ns was declared @staticmethod but is invoked as self._to_ns(...), and the verification proxy rebinds strategy helpers as instance methods passing self, so the 1-arg staticmethod received 2 args. The primary fix converts _to_ns to an instance method (drop @staticmethod, add self); the call sites already use self._to_ns(...), so nothing else needs to change for Layer 2. I also pre-empted the well-established next blocker (Layer-3 OI data coverage): the standalone supplementary_data['open_interest'] source only spans ~2 months, which would cluster all trades in 2026 and produce an empty walk-forward, but the metrics stream archives the same open_interest/open_interest_value field back to ~listing. _build_oi now merges rows from BOTH 'open_interest' and 'metrics' (de-duplicated by timestamp, using the existing OI value-key and magnitude-based timestamp parsing, with 'create_time' added to the timestamp keys), and references 'metrics' so the code-aware supp loader delivers it. Both changes are confined to the OI loader and helper; the trend/OI-change signal, rising-OI confirmation entry gate, trend-reversal / OI-deleveraging / stop / max-hold exits, the continuous trend-return signal, and capital-relative sizing are byte-identical, so the passing Layer-1 checks and signal logic are preserved and the no-price-fallback fail-loud design is retained. leverage stays 1.0 (single directional leg, no amplification) so the unused-leverage gate does not apply.

Open-interest-confirmed trend on SOL produces essentially NO edge: Sharpe 0.077, CAGR +1.0%, profit_factor 1.038, expectancy +$6.7/trade — statistical break-even with a Sharpe CI straddling 0 (-1.23 to +1.20). The hypothesis explicitly transplants the promoted ETH FUNDING-confirmed trend (Sharpe 2.74) by swapping both the signal (rising OI instead of funding) and the asset (SOL instead of ETH); the result shows that rising open interest does NOT confirm SOL price trends the way funding confirmed ETH trends — the aggregate is a wash (2023 +22% offset by 2021 -7% and 2022 -14%, with 2024/2025 ~flat and 2026 negative). Because the edge is so thin, the strategy has a microscopic capacity (capacity_usd $477k, impact_cost_pct 45.78%): it is deployable only at toy scale, defeating its stated 'portfolio-additive' purpose and constituting a structural promotion blocker on its own. Not optimize: from a Sharpe-0.077 / PF-1.038 base, tuning the 3 params (trend_lookback/oi_lookback/oi_rise_threshold) is best-of-N noise that will not survive the downstream deflated-Sharpe gate, and even a successful optimization cannot clear the <$500k capacity wall. Not iterate: the accounting is clean (exposure 21%, no over-exposure bug) and it fires densely (708 trades), so there is no code defect and no specific parameter change that converts a break-even signal into a robust one — the OI-confirmation premise itself is what underperformed. FAILURE PATTERN: the funding-confirmed-trend mechanism does NOT generalize when you swap the confirming signal to open-interest change AND the asset to SOL — rising-OI confirmation yields a near-zero-Sharpe, break-even result whose thin edge collapses capacity to toy scale (sub-$500k, ~46% impact drag). A clean, densely-firing implementation of a promoted mechanism on a new signal/asset is not evidence of an edge; this OI-on-SOL transfer has none, distinguishing it from the genuine-edge BTC funding-confirmed sibling (PF 1.41) that was sent to optimize.

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['oi_lookback', 'min_notional', 'position_pct', 'stop_loss_pct', 'trend_lookback', 'max_holding_bars', 'oi_rise_threshold'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: TypeError: SolOpenInterestConfirmedTrendLS._to_ns() takes 1 positional argument but 2 were given (bar timestamp: 1735690380000) - steady_downtrend: TypeError: SolOpenInterestConfirmedTrendLS._to_ns() takes 1 positional argument but 2 were given (bar timestamp: 1735690380000) - flat_ranging: TypeError: SolOpenInterestConfirmedTrendLS._to_ns() takes 1 positional argument but 2 were given (bar timestamp: 1735690380000) - volatility_spike: TypeError: SolOpenInterestConfirmedTrendLS._to_ns() takes 1 positional argument but 2 were given (bar timestamp: 1735690380000) - zero_volume: TypeError: SolOpenInterestConfirmedTrendLS._to_ns() takes 1 positional argument but 2 were given (bar timestamp: 1735690380000) - price_gap: TypeError: SolOpenInterestConfirmedTrendLS._to_ns() takes 1 positional argument but 2 were given (bar timestamp: 1735690380000)