BtcHyperliquid4hVwapMeanReversionLongShort

Hyperliquid BTC 4-Hour Mean-Reversion, LONG/SHORT (Single-Instrument HYPERLIQUID Perp, Pure OHLCV, Counter-Trend Fade of 4H Dislocations With EXPLICIT Target>Stop Geometry Gate, Mild Daily-Regime Filter, Flip-Via-Flat, Fixed-Fractional Sizing — Grounded in the 4H-Momentum-Breakeven Evidence That BTC REVERTS at 4H While It TRENDS Daily, Mechanism-Distinct/Low-Correlation to the Promoted Daily-Momentum Book, Fills Long-Short + HL Venue, Tail-Safe, Low-Parameter)

A LONG-SHORT, SINGLE-INSTRUMENT, 4-HOUR mean-reversion strategy on BTCUSD.HYPERLIQUID that fades stretched 4H dislocations from a 4H VWAP/EMA on both sides, exiting on reversion to the mean. The thesis is EVIDENCE-GROUNDED, not assumed: the HL BTC 4H MOMENTUM book came back BREAKEVEN (PF 0.99, Sharpe -0.05) while the HL BTC DAILY TS-momentum was strong enough to PROMOTE (Sharpe 0.68, PF 1.59). Momentum working at daily but NOT at 4H is direct evidence that at the 4H timescale BTC does not continue — it REVERTS. So a 4H counter-trend fade on BTC targets a genuinely different, low-correlation edge from the promoted daily-momentum book (counter-trend vs trend), satisfying the analyst's directive to 'pursue 4H on a DIFFERENT mechanism/instrument, not another BTC momentum clone.' It is on the CONFIRMED-CLEAN instrument (HL BTC sizes 90-97%; over-exposure localized to BINANCE + HL SOL) and the CONFIRMED-DEEP/evaluable cadence (HL 4H ~1.3yr, 178-trade class, 15-day holdout ~90 bars — the validatable sub-daily cadence, NOT the 2-month sub-hourly wall, NOT the daily holdout-sparsity wall). Paired with the pending HL ETH 4H reversion, it tests whether 4H reversion is a venue-wide edge on the two clean majors (per-instrument validation). It fills the dominant direction gap (long_only 85.9% vs <=55%) and the under-weight HL venue (7.4% vs >=20%). CRITICAL GEOMETRY FIX (carried from what works): every prior VWAP-reversion failed on INVERTED geometry (avg_win < avg_loss); this uses an EXPLICIT gate — only enter when distance(price, mean target) >= geom_mult x stop_distance (geom_mult > 1), net of the ~0.09% HL round-trip — so avg_win > avg_loss BY CONSTRUCTION. MILD REGIME FILTER: skip counter-trend fades against a VERY strong opposing daily trend (don't short-fade in a strong daily uptrend, don't buy-dip in a strong daily downtrend) to avoid the knife-catch tail, while still allowing reversion in neutral/normal regimes (the dominant 4H state). Bug-avoiding: pure OHLCV, ONE fixed-fractional size per entry, NO dynamic resizing, leverage 1.0, dual flat guard, flip-via-flat. PRE-REGISTERED ACCEPTANCE: (1) GEOMETRY — realized avg_win > avg_loss, else the gate failed -> abandon. (2) EDGE-vs-REDUNDANCY — must show low correlation / distinct return profile vs the promoted daily-momentum book (if it merely re-expresses daily momentum, abandon as redundant). (3) SIZING — avg_position_pct ~95-100%; mild benign winning-leg notional drift acceptable (4H BTC momentum showed 120.9% with plausible returns), but >~150% with impossible single-period returns -> escalate. 4H depth already confirmed (no data-wall kill-switch needed). Low parameter count (mean lookback, stretch threshold, geom_mult, regime EMA, ATR stop, time stop).

Implements the hypothesis as an evidence-grounded counter-trend complement: HL BTC momentum was breakeven at 4H (PF 0.99) but promoted at daily (Sharpe 0.68), which is direct evidence BTC reverts at the 4H timescale, so a 4H fade targets a genuinely different, low-correlation edge from the promoted daily-momentum book (satisfying the analyst's 'different mechanism, not another BTC momentum clone' directive). It runs on the confirmed-clean instrument (HL BTC sizes 90-97%; over-exposure localized to BINANCE + HL SOL) and the confirmed-deep, evaluable cadence (HL 4H ~1.3yr, ~90-bar 15-day holdout — avoiding both the sub-hourly 2-month wall and the daily holdout-sparsity wall), filling the dominant long-only direction gap and the under-weight HL venue. The CRITICAL geometry fix from prior inverted-geometry VWAP failures is made structural: the explicit gate target_dist >= geom_mult * stop_dist is checked before any entry, so every trade taken has its reversion target larger than its stop and avg_win > avg_loss by construction (reinforced by a min_target_pct floor that clears fees). The mild, asymmetric regime filter cuts the knife-catch tail by disabling only the side facing a very strong opposing trend while preserving two-sided reversion in the dominant neutral 4H state. Construction stays defect-avoiding: single-instrument pure OHLCV (no funding, no extra legs, no options), LONG/SHORT with flips routed through flat structurally (the base engine evaluates an entry only when flat, so opposing fills never net), ONE fixed-fractional size (notional = 0.95 * equity, qty = notional/price) with no dynamic resizing, leverage 1.0 so the engine margin model and in-strategy notional agree (avg_position_pct ~95-100%). Pre-registered acceptance: (1) realized avg_win > avg_loss or the gate failed -> abandon; (2) must show low correlation / distinct return profile vs the promoted daily-momentum book or abandon as redundant; (3) sizing avg_position_pct ~95-100% with benign drift acceptable, but >~150% with impossible single-period returns -> escalate.

Abandon — over a healthy, fully-validatable sample (219 trades, ~1.3yr deep 4H data, clean sizing) the strategy is a net loser with negative per-trade expectancy (total_return -32.6%, Sharpe -0.83, profit_factor 0.80, avg_trade_return -$173, max_drawdown 54.8%), which is a robust no-edge result, not noise. The three pre-registered gates pass only technically/hollowly and do not rescue it: (1) GEOMETRY passes at parity — avg_win $1561 vs avg_loss $1553 (1.005x) — so the book needs ~50% win rate but gets 44.3% and therefore loses; the explicit geom_mult ENTRY gate again fails to deliver realized avg_win>avg_loss because the EXITS (18-bar time stop, percentage stop, and the VWAP mean drifting toward price) truncate winners back to roughly the stop distance — the same exit-geometry flaw that sank the prior VWAP-reversion books, unfixable by an entry filter. (2) The CENTRAL THESIS is directly contradicted by the result: 'momentum was breakeven at 4H, therefore BTC reverts at 4H' does NOT follow — reversion is also a loser (PF 0.80), so both momentum (PF 0.99) and reversion (PF 0.80) lose at 4H BTC, meaning the 4H timescale simply has no tradable autocorrelation edge net of the ~0.09% round-trip; optimization cannot manufacture an edge that is absent in both directions. The recent sub-period is positive (2025 +24.4%, 2026 +3.9%) and the cadence is genuinely validatable, which makes this the most borderline review of the batch, but the full-period negative expectancy (driven by 2024 -52%), the parity geometry, and the contradicted premise make 2 hours of optimization poor EV — an optimizer would curve-fit the 2025-2026 regime and likely die on DSR/PBO post-optimization. Not iterate: there is no code-level bug (the geometry fix is present and the construction is clean); the failure is structural (reversion-exit truncation + no autocorrelation edge at 4H BTC), not a parameter the developer can change. PRESERVED FINDINGS for the research lead: (a) 4H BTC is autocorrelation-efficient net of fees — BOTH trend (PF 0.99) and counter-trend (PF 0.80) fail, so stop proposing single-asset 4H BTC directional-autocorrelation books (momentum OR reversion); a 4H edge on BTC would need a different signal class (e.g. volatility, funding, cross-sectional), not faster/slower trend/reversion; (b) the VWAP-reversion family's inverted/parity geometry is NOT fixable by an entry-side geom_mult gate — it requires an EXIT redesign that lets winners run to the full mean target without time-stop/mean-drift truncation while keeping the stop tight; until that is solved, further VWAP-reversion clones should be deprioritized.

Long/short 4-hour mean-reversion strategy on BTCUSD.HYPERLIQUID, pure OHLCV. Computes a rolling 4H VWAP (typical-price*volume over 24 bars) and a stretch score = (VWAP - close)/ATR. Fades dislocations on both sides: buys when price is stretched below the mean, shorts when stretched above, exiting on reversion to the VWAP. An EXPLICIT geometry gate only permits entries when the distance to the mean target is >= 1.5x the ATR stop distance (and the target is >= 0.4% to clear the ~0.09% HL round-trip), so the reversion capture exceeds the stop by construction (avg_win > avg_loss). A mild daily-regime filter (42-bar EMA, 10% band) blocks buy-dips in a strong downtrend and short-fades in a strong uptrend while allowing reversion in neutral regimes. Exits on reversion to the mean, a side-aware 1.5-ATR stop frozen at entry, a 3% stop backstop, or an 18-bar time stop. Long/short with flips routed through flat, one fixed-fractional position (95% of equity notional) per entry, no dynamic resizing, leverage 1.0.

On the genuinely validatable cadence: deep 4H data (5065 bars, ~1.3yr from 2024-01-22), 219 trades (91 long / 128 short) — the 15-day holdout and walk-forward windows would be well-populated (no data-wall or sparsity issue).

Sizing clean (avg_position_pct 100.3%, metrics_reliable=true, no impossible jumps) and genuinely distinct from the promoted daily-momentum book (beta 0.026, benchmark_correlation 0.045) — passes the redundancy gate.

Recent sub-period is positive (2025 +24.4%, 2026 +3.9%), and avg_win ($1561) technically exceeds avg_loss ($1553).

Net loser over the full sample: total_return -32.6%, Sharpe -0.83, profit_factor 0.80, avg_trade_return -$173 (NEGATIVE), max_drawdown 54.8% with an 830-day drawdown duration. 2024 was -52%.

The GEOMETRY gate passes only at parity (avg_win/avg_loss = 1.005x), so the strategy needs ~50% win rate but gets 44.3% → loses. The geom_mult ENTRY gate again fails to produce realized avg_win>avg_loss because EXITS (18-bar time stop, % stop, VWAP mean drifting to price) truncate winners to ~stop size — the recurring VWAP-reversion exit-geometry problem.

The central thesis is contradicted: 'momentum breakeven at 4H ⟹ BTC reverts at 4H' does not hold — reversion also loses (PF 0.80). Both momentum (PF 0.99) and reversion (PF 0.80) lose at 4H BTC, i.e. the timescale has no tradable autocorrelation edge net of fees.

BtcHyperliquid4hVwapMeanReversionLongShort was the most carefully reasoned and most borderline run of the batch: it ran on the genuinely validatable 4H cadence (no data wall), sized cleanly, passed the redundancy gate against the promoted daily-momentum book, and even had a positive recent sub-period (2025 +24.4%). But its evidence-grounded thesis — that BTC must revert at 4H because momentum was breakeven there — was falsified by its own result: reversion lost too (PF 0.80), so both directions fail and the 4H timescale carries no tradable autocorrelation edge net of fees. The explicit geometry gate again passed only at parity because exits (time stop, % stop, mean-drift) truncated winners to roughly the stop size, the same flaw that sank prior VWAP-reversion books. The reviewer abandoned it pre-optimization as poor EV, preserving two findings: stop proposing single-asset 4H BTC directional-autocorrelation books, and the VWAP-reversion family needs an exit redesign before any further clones.

4H BTC is autocorrelation-efficient net of fees — both momentum (PF 0.99) and reversion (PF 0.80) fail — so single-asset 4H BTC directional books are a dead end; a 4H BTC edge would need a different signal class (volatility, funding, cross-sectional), and the VWAP-reversion family's parity geometry is unfixable by an entry gate because exits truncate winners — it requires an exit redesign that lets winners run to the full mean target.

The analyst abandoned it at the backtest-review gate, before optimization, because over a healthy sample it was a robust negative-expectancy loser whose three pre-registered gates passed only hollowly: the geometry gate at parity (so 44.3% win rate loses), and the central thesis was directly contradicted — reversion also loses at 4H BTC, so both trend and counter-trend fail, meaning the 4H timescale has no tradable autocorrelation edge net of fees.

A long/short, single-instrument, OHLCV-only 4-hour mean-reversion strategy on BTCUSD.HYPERLIQUID (fade stretched 4H dislocations from a VWAP, explicit target>stop entry-geometry gate, mild daily-regime filter, flip-via-flat, leverage 1.0), grounded in the evidence that BTC momentum was breakeven at 4H but promoted at daily — inferring BTC reverts at the 4H timescale — as a low-correlation counter-trend complement to the promoted daily-momentum book.

Over a fully validatable sample (219 trades, 91 long / 128 short, ~1.3yr deep 4H data) it was a net loser: -32.6% total return, Sharpe -0.83, profit factor 0.80, 44.3% win rate, avg_trade_return -$173, 54.8% max drawdown (2024 was -52%); the geometry gate passed only at parity (avg_win $1,561 vs avg_loss $1,553 = 1.005x), though sizing was clean (avg_position_pct 100.3%) and it passed the redundancy gate (beta 0.026, correlation 0.045 vs daily momentum).