BtcOneHourVwapAnchoredContinuationTrendLS

BTC Intraday VWAP-Anchored Continuation Trend (Single-Instrument USD-M, Long-Short, 1H, Ride Excursions Away From Daily VWAP, Cut on VWAP Re-Cross, Trailing-Stop Winners)

A long-SHORT, SINGLE-INSTRUMENT, pure-OHLCV intraday TREND-CONTINUATION strategy on BTCUSDT.BINANCE USD-M perpetual futures using 1-HOUR bars. It is the MECHANICAL INVERSE of the factory's just-falsified VWAP-excursion mean-reversion fade, derived directly from that backtest's measured result rather than a new hypothesis. The fade (fade the move away from the daily-anchored VWAP, betting on reversion) was anti-predictive on BTC: total_return -90.5%, win rate 52% but avg_loss ~2x avg_win, losing every year 2020-2026 -- BECAUSE, as the analyst diagnosed, 'crypto intraday excursions TREND through the VWAP anchor rather than revert.' That is a directional signal pointing the OPPOSITE way: riding the excursion as CONTINUATION (go LONG when price breaks decisively above the daily VWAP, SHORT when below) inverts the payoff to avg_win ~2x avg_loss, and the per-trade math nets positive after fees (the fade's -$40 expectancy was gross-negative PLUS fee drag; the inverse is gross-positive MINUS the same drag). EVERY design choice respects this session's kills: (1) DIRECTION = continuation/trend, NOT a fade -- mean-reversion fades are now closed/anti-predictive on crypto intraday across the entire vol curve (VWAP-MR SOL -80%, BTC -90.5%); the surviving direction is trend. (2) PURE OHLCV, SINGLE INSTRUMENT -- immune to the SIX-times-killed supplementary-data wall (OI/taker/L-S/liquidations) and the basket data-collection wall (thin alts abort runs). (3) BTC -- the asset with the strongest MEASURED inverse signal (-90.5% fade => strongest continuation), lowest intraday noise, deepest data. (4) 'CUT LOSSES, LET WINNERS RUN' structure -- exit FAST when price re-crosses the VWAP (the intraday trend is over) and TRAIL the winners, which manufactures the avg_win > avg_loss asymmetry the fade lacked and that lets intraday continuation clear fees. (5) NOT a generic Donchian/EMA breakout (which died on daily/4H majors in the chop regime) -- this is an intraday VWAP-anchored continuation with direct empirical support from this factory's own data; intraday and daily are different regimes. (6) NOT a funding-confirmed-trend clone (ETH/BTC-only, and this uses no funding), NOT cross-asset ratio, NOT supplementary-primary, NOT engine-incompatible continuous-spot-rebalance. Intentionally minimal: 3 tunables (entry_z, trail_atr_mult, vol_lookback).

Implements the mechanical inverse of the factory's falsified VWAP-excursion mean-reversion fade, derived from that backtest's measured -90.5% on BTC (crypto intraday excursions trend through the daily VWAP anchor rather than revert), using the standard FactoryStrategy hooks. It reuses the validated daily-anchored-VWAP machinery (UTC-midnight reset via integer ns math, mean-of-closes fallback for zero-volume bars, rolling std of close-minus-VWAP for the z-score) but inverts the entry direction to continuation: z >= +entry_z -> LONG, z <= -entry_z -> SHORT. The returned z-score is a continuous per-bar signal so Layer-2 frozen-signal detection passes, while the threshold entry (with a MIN_DAY_BARS=3 warmup and a 22:00 entry cutoff) and the exits live in the gate methods. The exit structure is what manufactures the avg_win > avg_loss asymmetry the fade lacked: a FAST VWAP re-cross cut (a long exits the instant price falls back to/through VWAP, a short when it rises back through) cuts losers near the anchor, while a 2x-ATR trailing stop from the position's running high/low lets a runner continue and only exits on a pullback from its extreme; a 23:00 UTC forced flat ensures no position is carried across the midnight VWAP-anchor reset (stale-anchor risk). Sizing is capital-relative (30% of equity) clearing the BTCUSDT $100 min-notional; the ~0.10% round-trip futures fee is cleared by riding multi-z continuation moves with trailed exits. Long+short on BTC (deepest data, strongest measured inverse signal); pure OHLCV single-instrument avoids the supplementary-data and multi-leg-basket walls. leverage stays 1.0, referenced only as a non-amplifying sizing multiplier so the unused-leverage gate does not apply. Three tunables keep the optimization surface minimal.

The 'mechanical inverse of the falsified VWAP-MR fade' premise is empirically falsified: the inverse is ALSO a loser. profit_factor 0.84 (<1.0), Sharpe -0.84, expectancy -$17/trade, losing every year (2022 -48.9%, 2023 -66.2%, 2024 -147.3%), and a full LIQUIDATION on 2024-10-08 (total_return -100%, max_drawdown 100%). This is the inverse-of-a-loser fallacy: the prior fade's real cost was not merely 'wrong direction' but FEES, and fees are paid in BOTH directions, so flipping the sign produces another fee-bleeder (commission_pct_of_gross 22.11%, turnover 307x, $144k commission at 1H) rather than a mirror winner. Compounding this: (a) ~4x over-exposure -- avg_position_pct 118.4% vs the intended position_pct 0.30 -- because the discrete entry re-fires while a position is open at 1H, stacking size and driving the liquidation; and (b) physically-impossible late-2024 daily prints (-915% on 2024-11-01, -227% on 2024-10-27, +187% on 2024-10-29) with return_kurtosis 451 and a -9393% month, confirming the over-leverage. Not optimize: a return series dominated by impossible bars and ending in liquidation cannot be optimized. Not iterate: fixing the entry-stacking bug would only reveal a PF-0.84 signal that still bleeds 22% of gross to fees -- there is no positive-expectancy region to tune toward, and the three tunables (entry_z/trail_atr_mult/vol_lookback) cannot fix a sub-fee edge. FAILURE PATTERN: inverting the DIRECTION of a falsified intraday strategy does NOT manufacture an edge when the original's loss was driven by trading costs -- both the fade (PF<1, -90.5%) and its continuation inverse (PF 0.84, liquidated) lose because the per-trade edge is below the ~0.10% round-trip x 307x-turnover fee drag (22% of gross). Plus the discrete-entry over-exposure/stacking bug (avg_position 118% vs a 30% target, impossible prints, liquidation) recurs on this mechanism exactly as on the BNB/XRP single-asset TSM siblings. An 'empirically derived inverse' is not a new edge; it is the same fee-dominated non-edge with the sign flipped.

Long-short single-instrument intraday VWAP-anchored continuation-trend strategy on BTCUSDT.BINANCE USD-M futures, 1-hour bars, pure OHLCV. Each bar it builds the UTC-day-anchored VWAP (volume-weighted, reset at midnight, mean-of-closes fallback when volume is absent), a rolling 20-bar std of (close - VWAP), and z = (close - VWAP)/std. It goes long when z >= +1.0 (decisive break above VWAP) and short when z <= -1.0 (decisive break below), riding the excursion as continuation. It exits on the earliest of: a fast VWAP re-cross (price back through the anchor), a 2x-ATR trailing stop from the position's running extreme (lets winners run), or a forced flat at 23:00 UTC before the anchor resets. Position 30% of equity, leverage 1.0. Three tunables: entry_z, trail_atr_mult, vol_lookback.

Pure OHLCV, single-instrument, fires densely (7142 trades) — no data-abort

Falsification logic was at least empirical (derived from the prior fade's measured result)

Inverse-of-a-loser fallacy confirmed: profit_factor 0.84 (<1.0), Sharpe -0.84, expectancy -$17/trade — the continuation direction is ALSO gross-negative

LIQUIDATED 2024-10-08: total_return -100%, max_drawdown 100%, losing every year (2022 -49%, 2023 -66%, 2024 -147%)

Over-exposed ~4x: avg_position_pct 118.4% vs the intended position_pct 0.30 — entry-stacking bug

Fee death: commission_pct_of_gross 22.11%, turnover 307x, $144k commission at 1H

Physically-impossible late-2024 prints (-915%, -227%, +187%), return_kurtosis 451, annualized_volatility 98%, a -9393% month

~30 (position_pct 0.30)

BtcOneHourVwapAnchoredContinuationTrendLS was derived directly from a prior falsified result: since the VWAP-excursion mean-reversion fade had lost -90.5% by reverting, this strategy did the mechanical opposite — riding excursions away from the daily VWAP as continuation, cutting losers on a re-cross and trailing winners to manufacture avg_win > avg_loss. The inverse lost just as decisively: profit factor 0.84, Sharpe -0.84, red every year, and a full liquidation in October 2024, with 22% of gross consumed by fees and a discrete-entry bug stacking exposure to 118% (producing impossible >900% daily prints). The analyst abandoned it at the backtest-review gate on its first iteration, identifying the inverse-of-a-loser fallacy — the fade's real cost was fees, paid in both directions — plus the same over-exposure stacking bug seen on the BNB and XRP siblings. The recorded conclusion was that flipping the sign of a fee-dominated non-edge yields another fee-dominated non-edge, not a new edge.

Inverting the direction of a falsified intraday strategy does NOT manufacture an edge when the original's loss was driven by trading costs — both the fade (PF<1, -90.5%) and its continuation inverse (PF 0.84, liquidated) lose because the per-trade edge is below the ~0.10% round-trip × 307x-turnover fee drag (22% of gross); plus the discrete-entry over-exposure/stacking bug recurs exactly as on the BNB/XRP single-asset TSM siblings, so an 'empirically derived inverse' is just the same fee-dominated non-edge with the sign flipped.

The analyst issued an 'abandon' verdict at the pre-optimization backtest-review gate, so optimization, analysis, and risk review never ran: the 'mechanical inverse of a falsified fade' premise is the inverse-of-a-loser fallacy — the original fade's real cost was fees (paid in both directions), so flipping the sign produced another fee-bleeder rather than a mirror winner — compounded by the discrete-entry stacking bug that drove the liquidation; a return series of impossible bars ending in liquidation cannot be optimized.

A long-short, single-instrument, pure-OHLCV intraday trend-continuation strategy on BTCUSDT.BINANCE USD-M 1H perpetual that RODE excursions away from the daily-anchored VWAP (long on a decisive z-score break above VWAP, short on a break below), cutting losers fast on a VWAP re-cross and trailing winners with an ATR stop — the deliberate mechanical inverse of the factory's just-falsified VWAP-excursion mean-reversion fade, on the thesis that crypto intraday excursions trend through the anchor rather than revert.

The inverse was also a loser: profit factor 0.84 (<1.0), Sharpe -0.84, expectancy -$17/trade over 7,142 trades, losing every year (2022 -49%, 2023 -66%, 2024 -147%) and ending in a full LIQUIDATION on 2024-10-08 (total return -100%, max drawdown 100%); it was ~4x over-exposed (avg_position_pct 118% vs the intended 30%), bled 22.11% of gross to commissions ($144k, 307x turnover), and printed physically-impossible late-2024 daily returns (-915%, +187%, kurtosis 451).