LinkHyperliquidDualTimeframeMomentumConfluenceLS

LINK Hyperliquid Dual-Timeframe Momentum Confluence — Long-Short 4H Trend Aligned with the Daily Trend, Flat on Disagreement, ATR Trailing Exit (Volatility-Scaled, 3-Parameter)

A LONG-SHORT, single-instrument, pure-price directional MOMENTUM-CONFLUENCE trend follower on LINK-USD perpetual on HYPERLIQUID (LINKUSD.HYPERLIQUID), 4H primary bars with a 1D trend confirmation. This deliberately reproduces the factory's ONLY surviving recipe — the paper-stage 'BTC Dual-Timeframe Momentum Confluence' (Sharpe 1.99), a long-short 4H+1D momentum confluence that goes flat on disagreement and trails winners — and applies it to (a) the most under-represented actionable venue (HYPERLIQUID 6.5% vs 20% target), (b) the under-represented long-short direction bucket (13.7% vs an 86% long-only book), and (c) a NEW liquid major (LINK) not yet covered by the BTC (Binance), ETH-HL (Donchian), or SOL-HL variants. LINK is chosen over BTC because its trend moves are larger in percentage terms (higher beta) — which lifts per-trade capture well above Hyperliquid's ~0.09% round-trip — but it is materially LESS fat-tailed than memecoins (DOGE/WIF), so the backtest edge is not carried by one or two outlier days (the outlier-dependence abandon that killed the BNB/XRP daily trend followers). It is NOT a mean-reversion fade (L53), NOT a squeeze breakout (L54), NOT a cointegration/basis pair (dead), NOT a cross-sectional rank basket (L52), NOT a non-price-feed gate (L46), NOT options/COIN-M (L50/L51). 4H+1D on Hyperliquid gives ~2.3y of usable 4H history plus full daily history — enough to populate walk-forward windows and the 15-day holdout (trade cadence ~80–140/yr keeps the holdout non-empty) and clear of the sub-hourly HL history trap. Risk profile: ~1.5% equity risk per trade via ATR-based stop distance; volatility-scaled sizing (notional = risk_budget / (atr_mult * ATR_4H)); max single-position exposure ~25% of $100k; leverage capped at 2x (reads self.config.leverage). Exactly 3 tunable parameters (fast/slow EMA pair as a single ratio, daily-trend lookback, ATR trailing multiple) to resist the 305 overfit deaths.

Implements the hypothesis exactly: the paper-stage BTC dual-timeframe confluence recipe (fast trend must agree with a slower higher-timeframe trend, flat on disagreement, ATR trail runs winners) ported to LINK on Hyperliquid -- under-represented venue, under-represented long-short bucket, new liquid major. Genuine dual-timeframe: the daily leg is a real LINKUSD.HYPERLIQUID-1-DAY series consumed via on_extra_bar (extra_instruments carries LINKUSD.HYPERLIQUID so InstrumentResolver.resolve_extras, which pairs bar types POSITIONALLY, does not silently drop the daily feed -- the exact failure that produced a zero-trade sandbox on a prior port). Daily is a slower-timeframe context leg, so the base class's same-timeframe sync barrier never defers the 4H signal. Exactly 3 tunables as specified (fast/slow EMA pair collapsed into one ratio, daily lookback, ATR trail multiple); clamps in code are mirrored verbatim in _param_bounds so the optimizer never tests values the code rewrites. Sizing is ATR/risk-based (1.5% equity risked at the stop distance) and consumes self.config.leverage in the notional cap, so leverage=2.0 is genuinely used rather than inert; the notional cap is independent of the equity path, avoiding the compounding-sizing blowups (L15). VERIFIED OFFLINE before submitting, on the actual catalog data (5549 4H bars from 2024-01-25 + 2178 daily bars): the coded rule fires ~78 round trips/yr (197 trades over 2.5y) -- comfortably above the zero-trade gate and dense enough that a 15-day holdout is not empty -- with avg per-trade return +1.48% net of Hyperliquid's ~0.09% round-trip taker cost, ~44% win rate (winners larger than losers, as the trail intends), trade-return kurtosis 5.8 and the top-3 trades contributing only ~17% of gross profit, so the edge is not outlier-carried. Critically, the ENTIRE 4x4x4 parameter grid (ema_ratio 2.0-4.0, daily_lookback 10-30, trail 2-5) is profitable both full-sample AND over the trailing 365 days (recent avg per trade +0.18% to +1.21%), so the chosen defaults sit on a plateau rather than a spike -- the defaults are the plateau centre, not the grid maximum. Layer-2 synthetic scenarios were run locally and all six pass with a continuous, varying signal. Per-bar work is O(1) (incremental EMAs, bounded TR deque), so the 300s sandbox cap is not at risk.

Promising shape, unestablished edge, wrong venue/data for it to survive. This is the correctly-wired port of the proven dual-TF mechanism and, unlike the abandoned Donchian/breadth mirages, its edge is genuinely distributed (return_kurtosis 7.68, skew 0.22), positive every year (2024 +17.9%, 2025 +26.7%, 2026 +6.4%), with a low 8.7% drawdown, PF 1.60, and decorrelated alpha 0.13 over 195 trades. But the edge is not statistically established: Sharpe is only 0.46 with a bootstrap CI [-0.60, 1.48] that straddles zero deeply — the widest straddle of any directional candidate this batch — over a short ~2.5-year single-regime window (LINK-HL 4H history only starts 2024-01, an all-bullish period). The market is also thin: impact_cost_pct 13.4% of gross PnL with capacity only ~$5.6M, so the edge is partly a small-scale artifact that higher-turnover optimized params could worsen. Hyperliquid directional trend is the 0/97 class (L41), and the near-identical ETH-HL Donchian (Sharpe 0.49, CI-low -0.38) was just abandoned for this same profile — this LINK version is weaker on significance. Best-of-N over ~225 optimization trials on a Sharpe-0.46, CI-straddling-zero base will not clear deflated Sharpe (every directional sibling this session failed it from higher base Sharpes), and OOS windows on a 2.5-year sample are short. Abandon rather than spend the optimization budget; the distributed profile would need a longer, deeper track record than thin HL LINK can provide.

Long-short, single-leg momentum-confluence trend follower on LINKUSD.HYPERLIQUID perpetual, 4H primary bars with 1-DAY trend confirmation. Fast leg = (EMA12 - EMA30)/ATR14 on 4H bars (continuous, volatility-scaled, recomputed incrementally every bar); slow leg = sign of the 15-day daily return, read from LINKUSD.HYPERLIQUID-1-DAY bars in on_extra_bar. LONG only when the 4H spread is positive AND the daily trend is up, SHORT only when both are negative, FLAT on any disagreement. Exits on (a) a 3x-ATR trailing stop from the best close since entry, (b) the daily trend flipping against the position, or (c) the 4H spread flipping. Risk-first sizing: qty = equity * 1.5% / (3 * ATR) so the trailing-stop distance risks ~1.5% of equity per trade, capped at 25% of equity * 2x leverage (= 50% of equity notional). Three tunables: ema_ratio, daily_lookback, trail_atr_mult.

Real capacity/impact limit: impact_cost_pct 25.04%, capacity_usd ~$1.59M on thin LINK-HL. The +9.66% already absorbs the 25% impact drag (folded); edge doesn't scale past ~$1.6M. Small-book strategy — risk-officer call, not a code bug.

Pure-OHLCV trend book, 77 trades, Sharpe CI straddles zero — but return_kurtosis only 4.3 (not outlier-carried), so the hypothesis's non-fat-tailed claim holds. Needs walk-forward OOS confirmation; better-behaved than the other trend candidates.

Genuinely distributed edge, NOT an outlier mirage: return_kurtosis 7.68, skew 0.22 — the best shape of the marginal directional candidates

Positive every year (2024 +17.9%, 2025 +26.7%, 2026 +6.4%), max_drawdown only 8.7%, PF 1.60, decorrelated alpha 0.13, 195 trades; correct port of the proven dual-TF mechanism

Edge not significant: Sharpe 0.46 with CI [-0.60, 1.48] straddling zero deeply (widest straddle of the batch), over a short ~2.5-year single-regime window (LINK-HL 4H starts 2024-01)

Thin-market drag: impact_cost_pct 13.4% of gross PnL, capacity only ~$5.6M — partly a small-scale artifact

Hyperliquid directional trend is the 0/97 class (L41); near-identical ETH-HL Donchian (Sharpe 0.49, CI-low -0.38) just abandoned, and this is weaker on significance

Recent softness: rolling_sharpe negative in mid-2026 (-2.4 to -3.3) before recovering to ~0; 2026 weaker than prior years

LinkHyperliquidDualTimeframeMomentumConfluenceLS was the faithful port of the factory's one survivor — 4H+1D momentum confluence, flat on disagreement, ATR-trailed — onto LINK, chosen for higher-beta trends without memecoin fat tails. It delivered the best shape of its batch: +59.3%, PF 1.60, 1.25% per trade, an 8.7% drawdown, decorrelated alpha, and a genuinely distributed, every-year-positive return rather than the outlier mirages that had sunk its siblings. But the edge was not statistically established — Sharpe 0.46 with a confidence interval straddling zero deeply over only ~2.5 years of single-regime, thin Hyperliquid LINK history in the 0/97-survival directional class. The analyst abandoned it at backtest review, judging that optimization could not clear deflated Sharpe from so weak and short a base; it never reached optimization, analysis, or risk review.

A distributed, every-year-positive edge with a low drawdown is still not promotable when its Sharpe CI straddles zero over a short single-regime history — a correct port of a proven mechanism needs a long, multi-regime, liquid track record to establish significance, which thin ~2.5-year Hyperliquid LINK data cannot provide.

The analyst abandoned it at backtest review: the profile was the best-shaped of the marginal directional candidates but the edge is not statistically established — the widest Sharpe CI straddle of the batch over a short ~2.5-year, single-regime (all-bullish) LINK-HL history, in the 0/97-survival Hyperliquid directional-trend class, thin enough that impact is partly a small-scale artifact. Best-of-N over ~225 optimization trials on a Sharpe-0.46 base would not clear deflated Sharpe, as every directional sibling from higher base Sharpes had already failed.

A long-short, single-instrument dual-timeframe momentum-confluence trend follower on LINKUSD.HYPERLIQUID (4H primary + 1D confirmation, 3 parameters) that went long/short only when the ATR-normalized 4H EMA spread agreed with the daily trend, stood flat on disagreement, and trailed winners with an ATR stop — a faithful port of the factory's one paper-stage survivor (BTC dual-TF momentum) to a new venue and major.

The backtest (LINKUSD.HYPERLIQUID 4H, 924 data days from 2024-01) returned +59.3% over 195 balanced trades (100L/95S) with profit factor 1.60, avg_trade_return_pct 1.25%, an 8.7% max drawdown, decorrelated alpha 0.13, and — notably — a genuinely distributed edge (kurtosis 7.68, skew 0.22, positive every year: 2024 +17.9%, 2025 +26.7%, 2026 +6.4%). But Sharpe was only 0.46 with a CI [-0.60, 1.48] straddling zero deeply, impact cost was 13.4% of gross PnL, and capacity was thin (~$5.6M).