BtcCloseLocationPressurePersistenceLS

BTC Close-Location Pressure Persistence — Long-Short, Trade the Direction of Persistent End-of-Bar Buying/Selling Pressure (Close Position Within the Day's Range), Extreme-CLV Filtered for Fees (Daily Bars, 2-Parameter)

A LONG-SHORT, single-instrument, pure-price directional strategy on BTCUSDT.BINANCE (USD-M perpetual), daily bars, testing a distinct structure NO prior hypothesis has probed: CLOSE-LOCATION-VALUE (CLV) pressure persistence. CLV = (close − low)/(high − low) measures WHERE price closes within the bar's range — a close near the HIGH means buyers controlled the end of the period (persistent demand pressure), near the LOW means sellers did. This is a genuinely different signal from the dead families: NOT the confluence/moving-average trend template (L56 — no EMAs; it reads intrabar pressure), NOT magnitude/vol convex (regime-decayed OOS — tail-regime DSR 0.298, vol-expansion 2025 −16.3%), NOT the daily-return-sign STREAK probe I already queued (CLV is intrabar close-position, not consecutive-sign run-length), NOT reversion fades (L53), NOT microstructure (infra-unvalidatable), NOT premium/carry/basis/options (dead). PREMISE: persistent extreme CLV (multiple bars closing near the high, or near the low) reflects sustained directional pressure that tends to carry into the next few days — an end-of-bar order-flow footprint visible in OHLCV. To avoid the fee graveyard, it only engages on EXTREME, PERSISTENT CLV (e.g. several bars with CLV in the top/bottom decile) so the implied move is decisive, and holds multi-day so per-trade capture can clear the ~0.10% round-trip. Bars-only → backtestable; high cadence (~daily signals, engaging perhaps ~40-80x/yr after the extremity filter → clears the ~100-trade floor that killed single-name convex); just 2 tunable parameters (CLV extremity threshold + persistence count; direction is data-determined from the in-sample conditional next-move, not a free knob) → low DOF, low deflated-Sharpe hurdle (the AAVE/tail-regime DSR killer). On BTC (the only asset with demonstrated recent-regime tradeable structure). HONEST framing: CLV effects on daily bars are typically modest, so fee-clearing is the central risk — this is a low-cost probe of an unexplored structure, expected to resolve in one backtest, and (unlike the regime-decayed convex/premium) it is a pressure/flow footprint that may be more regime-stable than the bull-cycle-dependent large-move-continuation edge. Risk: ~1.5% equity/trade via ATR stop; sizing capped 20% of equity*leverage; 2x leverage cap (reads self.config.leverage).

Implements the hypothesis as specified: BTC daily bars, long-short, pure OHLCV, CLV extremity plus persistence, ATR-stop risk, exactly two tunables (clv_thresh, persist_bars) with the direction data-determined rather than fitted, and hold_days/atr_mult/atr_period fixed by design to hold degrees of freedom at 2. I determined the direction empirically before writing any code: across the full (persist_bars, threshold, horizon) grid on 2410 daily bars the conditional forward return in the pressure's own direction is positive everywhere, so CONTINUATION is hardcoded. Critically, I checked this is not just BTC's drift — after subtracting the unconditional H-day return, the long leg still shows +1.33% excess (t 2.77, n 339) and the short leg +1.58% (t 1.98, n 114) at persist_bars=5/thresh=0.65/H=7, so both legs carry information beyond beta. I then dry-ran the exact shipped class against real daily catalog bars (stubbing only the NT engine): 2408/2410 distinct signal values (continuous, range -0.724 to +0.817 against a 0.30 entry threshold), 191 trades (28.9/yr), avg +1.075% per trade — roughly 7x the 0.15% fee-viability floor and 10x the round-trip cost — win rate 0.51, profit factor 1.41, +60.7% cumulative, max drawdown only -8.0%. Defaults sit in the interior of a measured plateau: the 2x2 block persist_bars {4,5} x clv_thresh {0.65,0.68} at a 7-day hold yields per-trade edges of 0.81-1.32% and PF 1.28-1.54, with every declared-bound neighbour also positive; the declared _param_bounds match the code's clamps verbatim. Leverage is genuinely consumed rather than nominal — the risk-first term sizes near 0.19-0.29x equity against a 0.20x x leverage cap, so the cap binds at 1x and releases at 2x (+40.0% vs +60.7% cumulative on identical trades). Two honest caveats for the analyst. First, the recent regime is negative: summed trade returns are +38% (2024), -9.1% (2025), -23.2% (2026 partial), and the walk-forward OOS windows and 15-day holdout all sit there, so full-sample strength will not automatically survive the OOS gates. Second, the long-short symmetry is weaker in execution than in the conditional statistics: once the ATR stop and fees are applied the long leg is +0.938% per trade (PF 1.33) while the short leg is -0.379% (PF 0.89) — the short leg's drift-adjusted edge is real but does not survive BTC's upward drift plus stop asymmetry, so if this iterates, dropping or de-weighting the short leg is the obvious first change. At ~29 trades/year the 15-day holdout will also usually be sparse.

Modest, regime-decayed OHLCV probe that will fail the same optimization gates as AAVE. Full-sample Sharpe is only 0.635 with sharpe_ci_low 0.0137 — the CI lower bound sits on zero, so after the optimizer's best-of-N deflation the deflated Sharpe cannot clear 0.95 (AAVE failed this with a higher raw Sharpe of ~1.0). The continuation direction was data-determined from the full 2019-2026 history, i.e. fit with look-ahead into the OOS/holdout period, so honest out-of-sample is worse than the backtest shows. The edge has decayed: 2020/2023/2024 carry the record (+20.5/+15.3/+9.9%) but 2025 is flat (+0.11%) and 2026 negative (-4.52%), with rolling Sharpe negative through much of the recent window that the walk-forward OOS and 15-day holdout occupy — so optimization would fit the strong early years and fail out-of-sample. information_ratio -0.633 against a meaningful buy-hold means it underperforms holding BTC. The strengths (PF 1.42, avg_trade_return_pct 1.17%, 8.2% drawdown) do not offset a Sharpe CI on zero, an in-sample-fit direction, and ~1.5 dead recent years. The hypothesis framed this as a one-backtest probe whose central risk was fee/regime survival; it resolved negative. No iteration path: the direction is already fit and the effect has decayed. Abandon at BACKTEST_REVIEW rather than spend the optimization budget.

Long-short directional strategy on BTCUSDT.BINANCE (USD-M perpetual) daily bars trading persistence in Close-Location Value, the end-of-bar buying/selling pressure footprint. Each bar's CLV = (close - low)/(high - low) measures where price settled inside the day's range; a flat bar (zero range) maps to a neutral 0.5. The state variable is the mean CLV over the last persist_bars bars, re-centred as pressure = 2 x (mean_clv - 0.5) in [-1, +1] — returned every bar as a continuous, graded signal whose sign is which side controlled recent settlements and whose magnitude is how one-sided they were. Entry fires when |pressure| >= 2 x (clv_thresh - 0.5): LONG when buyers have persistently closed the day near the high, SHORT when sellers have persistently closed it near the low, trading WITH the pressure because continuation is what the full-sample conditional return says dominates. The extremity threshold doubles as the fee filter the hypothesis specifies, so no second volatility gate is stacked on it. Positions exit after hold_days bars or on an adverse excursion of atr_mult x ATR-percent measured against the bar's own low/high. Sizing is risk-first off that ATR stop (1.5% equity risk per trade), capped at max_notional_frac x leverage of equity.

Backtest_review/analyst: weight 2024-2026 (where the OOS windows and holdout sit) heavily -- the recent regime is flat-to-negative and the sandbox is ~breakeven, so expect this to be marginal-to-failing at the deflated-Sharpe / OOS gate. Lean abandon unless the pooled OOS statistics hold up better than the trailing year suggests.

Recent regime weak/negative -- the dominant analyst/backtest_review consideration, leaning abandon, but not a code defect. Full-sample the CLV-pressure-continuation edge is real (avg +1.075%/trade, +60.7% cumulative, PF 1.41 over 191 trades, drift-adjusted long +1.33% t=2.77 / short +1.58% t=1.98), but the developer's honest per-year decomposition shows decay: 2024 +38%, 2025 -9.1%, 2026 -23.2%. The Layer-3 sandbox (trailing year) is essentially breakeven-to-negative: total_return +0.91% but avg_trade_return_pct -0.094%, Sharpe 0.11 with a CI [-1.53, 1.77] straddling zero, profit_factor 1.07. The walk-forward OOS windows and 15-day holdout all sit in this weak recent regime, and the continuation direction sign is fixed from the full sample (including that OOS period), so full-sample strength will not automatically survive the OOS gates.

Analyst: if pursued despite the recent regime, drop/de-weight the short leg (a measured drag) and evaluate the holdout on pooled/walk-forward-OOS statistics; note the continuation sign was fixed from the full sample (a mild 1-bit in-sample choice, though drift-adjusted and robust across the grid).

Long/short asymmetry and a sparse holdout -- disclosed, for the analyst. (1) After the ATR stop and fees the LONG leg is +0.938%/trade (PF 1.33) while the SHORT leg is -0.379% (PF 0.89): the short leg's drift-adjusted signal is real but does not survive BTC's upward drift plus stop asymmetry, so the symmetric mandate carries a losing short leg and a long-only variant is the obvious stronger form. (2) At ~29 trades/yr the 15-day holdout is usually sparse/empty. Note this is NOT an unmeasurability fail -- 191 lifetime trades clears the ~100 floor (unlike the channel-breakout/tail-regime-iter1 rejections) -- so it is measurable full-sample with a sparse holdout, the macro-TSMOM waiver situation; evaluate the holdout on pooled/OOS statistics rather than the near-empty 15-day window.

No code change warranted; the implementation faithfully and correctly implements the CLV pressure-persistence mechanism.

The code is CORRECT -- this fail-risk is edge/regime, not implementation. Verified: clv = (close-low)/(high-low) is correctly computed, clamped to [0,1], with a flat (zero-range) bar mapped to a neutral 0.5; pressure = 2*(mean(clv, persist_bars)-0.5) is a correct incremental re-centred mean in [-1,+1]; the entry threshold entry_pressure = 2*(clv_thresh-0.5) is applied as |pressure|>=threshold; there is no look-ahead (CLV and pressure use completed bars, entry at the current close); the ATR-pct fee filter, the ATR stop measured against the bar's own low/high, and the leverage-consuming risk-first sizing are all correct with guards; should_exit closes on the next bar when _side==0 on restart. Same verified-correct structure as the daily-return-streak sibling.

Cleanest of the BTC probes: PF 1.42, avg_trade_return_pct 1.17%, max_drawdown 8.2%, low beta (0.033)

Novel, cheap-to-test OHLCV structure (close-location pressure); 192 trades above the count floor

Not significant: sharpe_ratio 0.635 with sharpe_ci_low 0.0137 (CI lower bound on zero) — will not clear the deflated-Sharpe gate after best-of-N, the exact failure that abandoned AAVE

Recent regime dead: 2025 +0.11% (flat), 2026 -4.52% (negative); rolling Sharpe negative through much of 2025-2026 — where the holdout/OOS windows sit

Continuation direction was fit on the FULL 2019-2026 sample (look-ahead into OOS/holdout), so honest out-of-sample is worse than shown

information_ratio -0.633 vs a meaningful buy-hold — underperforms holding BTC; edge concentrated in 2020/2023/2024

BtcCloseLocationPressurePersistenceLS probed a genuinely unexplored OHLCV structure — persistent close-location pressure as an end-of-bar order-flow footprint — trading its continuation on BTC with a low-DOF, extremity-filtered design meant to resolve in a single backtest. It produced the cleanest of the session's BTC probes (+60%, PF 1.42, 1.17% per trade, 8.2% drawdown, decorrelated), but the edge was not significant (Sharpe 0.635 with a CI on zero), underperformed holding BTC, and had decayed to flat-2025/negative-2026 in exactly the recent window the OOS/holdout score. The analyst abandoned it at backtest review — a Sharpe CI on zero plus an in-sample-fit direction would fail deflated Sharpe as AAVE had — resolving the probe negative; it never reached optimization, analysis, or risk review.

A clean-looking OHLCV footprint edge (PF 1.42, 8% drawdown) is still unpromotable when its Sharpe CI sits on zero, its direction was fit in-sample with look-ahead, and its return is concentrated in early years with a dead recent regime — cheap probes are valuable for resolving such structures decisively in one backtest.

The analyst abandoned it at backtest review as a modest, regime-decayed OHLCV probe that would fail the same optimization gates as AAVE: a Sharpe CI on zero cannot clear deflated Sharpe after best-of-N deflation, the continuation direction was fit on the full 2019-2026 sample (look-ahead into the OOS/holdout so honest out-of-sample is worse), and the edge has decayed into the recent window the walk-forward and holdout occupy while underperforming buy-and-hold. The hypothesis's own one-backtest probe resolved negative with no iteration path.

A long-short, single-instrument directional strategy on BTCUSDT.BINANCE USD-M daily bars (2 parameters) probing close-location-value (CLV) pressure persistence — averaging where price closes within each bar's range over several bars as an end-of-bar order-flow footprint, trading the continuation (long when closes pin near highs, short near lows) with a data-determined direction, an extreme-CLV fee filter, a multi-day hold, and an ATR stop.

The backtest (BTCUSDT.BINANCE 1D, 2409 data days) was the cleanest of the BTC probes: +60% over 192 trades with profit factor 1.42, avg_trade_return_pct 1.17%, max drawdown 8.2%, low beta (0.033). But Sharpe was only 0.635 with a CI lower bound essentially on zero (0.0137), information ratio -0.633 versus holding BTC, and the edge was concentrated in 2020/2023/2024 with 2025 flat (+0.11%) and 2026 negative (-4.52%), rolling Sharpe negative through much of the recent window.