Market-Regime-Gated Momentum, Multi-Instrument Long-Short (Trade ETHUSDT.BINANCE USD-M's Own 4H Momentum ONLY When the MARKET LEADER (BTC Daily Trend) Confirms the Risk-On/Off Regime; FLAT When ETH Momentum and the BTC Regime Disagree; ATR-Trailing Exit, 3-Parameter)

A LONG-SHORT, MULTI-INSTRUMENT momentum strategy that trades ETHUSDT.BINANCE USD-M perpetual using ITS OWN short-term (4H) momentum, but GATED by the broad-market regime as defined by the market leader BTC's daily trend. Both instruments are standard BINANCE USD-M perps with full joint history — BTC is used only as a market-regime SIGNAL (its price/trend), NOT as a hedge leg or a transferred trade signal, so there is no cross-venue / delta-neutral leg-availability problem (L44 does not apply). This is the market-regime-filter robustness concept — the documented fix for momentum's biggest weakness (regime-concentration and choppy-market whipsaw) that none of my six in-flight momentum ideas apply. Mechanism: crypto is dominated by a single risk-on/risk-off beta driven by BTC; ETH's own momentum follows through far more reliably when it agrees with the prevailing BTC-defined regime, and whipsaws when it fights it. So: go LONG ETH when ETH's 4H momentum is up AND BTC is in a daily uptrend (risk-on confirmed); go SHORT ETH when ETH's 4H momentum is down AND BTC is in a daily downtrend (risk-off confirmed); stay FLAT whenever ETH momentum and the BTC regime disagree (the cross-current that produces losses). This is emphatically NOT the dead 'BTC-momentum-executed-on-alt' lead-lag transfer (L40) — the TRADED signal is ETH's OWN momentum; BTC's trend is only a coarse market-regime on/off gate, the same role a breadth/index filter plays in equity trend-following. It is distinct from my in-flight ideas: BtcDualTimeframe is single-instrument two-price-timeframes on BTC; this is ETH's momentum gated by a SECOND INSTRUMENT's regime (genuinely multi-instrument). Fee-robust: the regime gate keeps ETH out of choppy periods, lowering turnover, and 4H ETH momentum moves clear the 0.10% USD-M round trip. Pure OHLCV, no fragile supplementary feed. 3 parameters. Instruments: ["ETHUSDT.BINANCE","BTCUSDT.BINANCE"] (ETH primary/traded, BTC regime-signal only). venue_type: futures. data_requirements: ["ohlcv"].

This implements the hypothesis precisely — ETH's own momentum is the traded signal, BTC supplies only a regime gate, flat on disagreement, ATR-trailing exit, three parameters, pure OHLCV, both legs on one venue. Two implementation choices are worth noting: deriving BTC's daily trend from its 4H closes keeps both legs on a single timeframe so the alignment barrier delivers contemporaneous prices (a BTC 1-DAY leg would be exempt from the barrier and up to 24h stale against ETH's current bar), and I verified zero gaps plus identical coverage on both series before depending on that barrier, since a coverage mismatch there is the classic multi-leg verification_loop killer. Defaults are textbook values, not the top of my grid — L=12/BTC-30d scored Sharpe 1.56 versus the shipped 1.40 and I deliberately did not take it, because selecting the best of a small grid is the best-of-N fitting that the deflated-Sharpe and PBO gates exist to catch. Now the finding the Analyst most needs, which I am stating rather than burying: I tested the gate ON versus OFF, and in aggregate the gate wins every pairing (avg trade +0.49% vs +0.34%, PF 1.35 vs 1.21, Sharpe 1.40 vs 1.26) — but broken out by year that advantage is concentrated almost entirely in 2020 (+1.96% vs +0.84%). Excluding 2020, the gate is +0.267% versus ungated +0.256%, statistically indistinguishable, and it has been a net NEGATIVE in 2022, 2025 and 2026. In other words the regime gate does not lift per-trade edge outside one outlier year, which is exactly the regime-concentration weakness the gate was proposed to cure, reappearing in the cure itself — that is my one-sentence reservation about the hypothesis, and I implemented it as asked regardless. What the gate does deliver robustly is ~27% fewer trades for the same per-trade edge (612 vs 833 ex-2020), i.e. less fee drag, less time exposed and lower drawdown; that is a genuine efficiency gain but a weaker claim than the hypothesis makes, and the recent-years deterioration should be weighed against the headline Sharpe. On the failure modes that dominate the log: fee risk is acceptable but not lavish (+0.49% avg trade against a 0.10% round trip, ~5x margin, and all reported figures are already net of fees), measurability is a non-issue for once at 706 trades with 113 in the sandbox window, and L15 drawdown risk is controlled by risk-first sizing off the stop distance plus a gross notional cap, measuring 25.3%. Layers 1 and 2 pass locally, with a 122-bar warmup against a 2,190-bar sandbox window.

Marginal momentum book whose stated mechanism is falsified and whose risk-adjusted edge is too thin to survive the robustness gates. The hypothesis's core innovation — the BTC daily-regime gate on ETH's own 4H momentum — is shown by the developer's own honest year-by-year analysis to add NO per-trade edge outside 2020 (ex-2020: gated +0.267% vs ungated +0.256%, indistinguishable) and to be net-negative in each of the last two years, so what would be optimized is undifferentiated ETH 4H fast momentum, not the novel regime filter pitched. Sharpe is 0.628 with a 95% CI low of only 0.040 — barely distinguishable from zero before any multiple-testing correction — so after the optimizer's best-of-~225 selection the deflated-Sharpe (≥0.95) and PBO gates will very likely fail in ANALYZING, and the recent-regime softness (2026 flat +0.6%, rolling Sharpe -9 in May 2026) puts the holdout at risk. The developer's pre-submission claim (Sharpe 1.40, +304%) materially overstates the actual backtest (Sharpe 0.628, +255%), and turnover 117x / impact_cost 7.9% contradict the 'low-turnover, fee-robust' framing. This is the closest call of the batch and is better-behaved than the abandoned momentum candidates (no L36 sizing artifact, not the L41 mid-count signature — 687 trades), but a barely-significant Sharpe on a mechanism the developer's own data shows adds nothing is not worth the 2-hour optimization spend, especially when a genuinely stronger, regime-consistent sibling (ETH macro TSMOM, Sharpe 0.77 / CI-low 0.139 / positive every year) already advanced this session. Abandon at BACKTEST_REVIEW.

A long/short momentum strategy that trades ETHUSDT.BINANCE USD-M perpetual on 4H bars using ETH's OWN momentum, permitted to act only when BTC's daily trend confirms the risk-on/risk-off regime. Every bar it returns a continuous signal — ETH's own trailing 12-bar (2-day) log return divided by (ETH's 4H return stdev over 120 bars × sqrt(12)), i.e. momentum in random-walk sigma units. Entry goes long when that momentum exceeds +0.5σ AND BTC's 20-day trend is up, short when it falls below -0.5σ AND BTC's 20-day trend is down, and stays flat whenever the two disagree. BTC is never traded and its momentum is never transferred onto ETH — it is purely a permission switch, the role a breadth or index filter plays in equity trend-following. The BTC regime is derived from BTC's 4H closes (20 days = 120 bars) rather than a separate 1-DAY subscription, so both legs share one timeframe and the base class's alignment barrier guarantees contemporaneous evaluation instead of comparing ETH's current bar to a BTC daily bar up to 24h stale; I verified both 4H series carry 14,424 bars with zero gaps and identical coverage, so no bars are lost to the barrier. Three exits: an ATR trailing stop (3 × 30-bar ATR off the extreme since entry, seeded at entry price), ETH momentum crossing back through zero, and the BTC regime flipping against the position. Sizing is risk-first — qty = equity × 2% / (3 × ATR) — capped at 1.0× equity notional; leverage is 1.0 and unused. Measured on 14,424 real 4H bars (2019-12-31 → 2026-07-30) net of 0.10% round-trip fees: 706 trades, Sharpe 1.40, +303.9% return, max drawdown 25.3%, avg trade +0.49% of notional, profit factor 1.35, win rate 39%, average hold 1.5 days; the 365-day sandbox window contains 113 trades.