LtcDailyChannelTrendAtrSizedLongShort

LTC Daily Trend Following with ATR Volatility Sizing

A simple daily-timeframe trend-following strategy on LTCUSDT futures. LTC is one of the oldest, most liquid altcoins with strong momentum characteristics during regime shifts (halvings, BTC correlation phases). The strategy uses a single continuous signal: the position of the daily close within a 50-day price channel, normalized to [-1, +1]. When the signal crosses above +0.6 (price near the 50d high), enter long. When below -0.6, enter short. Position size is volatility-adjusted using 14-day ATR so risk per trade stays constant across volatility regimes. Daily bars mean only ~50-100 trades per year, making fee drag minimal (~0.10% RT vs typical 5-15% daily move targets). This avoids the frozen-signal problem because the channel-position signal is continuous and varies every bar — entry/exit conditions are simple threshold crossings, not AND-chains of filters.

Implements the hypothesis directly: a single continuous channel-position signal normalized to [-1,+1] that varies every bar (avoiding the frozen-signal failure mode), with simple +/-0.6 threshold crossings for entry rather than AND-chains of filters. The signal is computed in calculate_signal and thresholded in should_enter; should_exit handles reversion-to-neutral, the ATR stop, and a time stop. ATR(14) volatility sizing keeps dollar risk per trade constant across regimes (risk_per_trade fraction of equity divided by the 2.5*ATR stop distance), exactly the 'risk per trade stays constant across volatility regimes' requirement. Daily bars keep turnover low (~50-100 trades/yr) so the ~0.10% round-trip taker fee is negligible against multi-percent daily moves. Venue is BINANCE USD-M futures at leverage 2.0 because the strategy takes short positions (requires a margin, short-capable venue); leverage is genuinely consumed via the notional cap in position_size (equity*max_notional_pct*leverage), so the backtest is not byte-identical to leverage=1. Only OHLCV is used — no supplementary data, no extra instruments or bar types — minimizing the Layer-3 data-availability surface." }

No edge in the base mechanism. The 50-day channel-position trend strategy on LTC daily has negative expectancy across 2020-2026: profit_factor 0.70, expectancy -67/trade, Sharpe -1.52 (CI [-2.58, -0.48] entirely below zero), losing in every year except 2020. The fatal flaw is the payoff structure: avg_win (378) ~ avg_loss (382) is a ~1.0 payoff ratio, so a 41.4% win rate is guaranteed-negative — trend-following requires winners far larger than losers, but the channel signal whipsaws (avg hold ~1 day despite a 40-bar time stop), cutting winners as fast as losers. The signal is implemented correctly (401/401 entries, balanced 182L/219S) and sized cleanly (ATR vol targeting holds exposure at 12.7%, drawdown 28%, no over-exposure) — so the -24% result is the genuine, undistorted edge, and it is negative. Because sizing is clean and the sample is ample (401 trades), there is nothing for optimization to rescue; this is a hypothesis-level failure, not a code/sizing bug. Not worth 2 hours of optimization.

Single-instrument long-AND-short daily trend-following on LTCUSDT.BINANCE USD-M perp, pure OHLCV. The signal is the close's position within a 50-day high/low channel, normalized to [-1,+1] and continuous every bar. Enters long when the signal > +0.6 (price riding the channel top) and short when < -0.6 (price pinned to the channel bottom). Exits on signal reversion through the exit threshold toward mid-channel, an ATR(14) stop-loss at 2.5*ATR from entry, or a 40-bar time stop. Position size targets constant per-trade risk via ATR (size = equity*risk_per_trade/(2.5*ATR)), capped at equity*max_notional_pct*leverage. Leverage 2.0.

Signal functions cleanly: 401 entries from 2276 bars, 0 dropped; balanced long-short (182L/219S)

ATR volatility targeting works as designed: avg_position_pct 12.7%, annualized_vol 6.5%, max_drawdown 28% — no over-exposure, clean sizing

Ample sample (401 trades) — the negative result is informative, not noise

Negative edge: profit_factor 0.70, expectancy -67/trade, total_return -24.3%, Sharpe -1.52 (CI entirely below 0, PSR 0.002)

Symmetric payoff (avg_win 378 ~ avg_loss 382) with 41.4% win rate — fatal for trend-following, which needs avg_win >> avg_loss

Loses every year except 2020 (2021 -6.9%, 2022 -7.3%, 2025 -13.4%) — fails across all regimes

Whipsaws: ~1-day avg hold despite 40-bar time stop / 50-day channel — signal cuts winners as fast as losers

This strategy aimed for a simple, whipsaw-resistant daily trend follower on LTC, using a continuous 50-day channel-position signal for two-sided entries and ATR volatility targeting to stabilize risk. The mechanism fired cleanly across 401 balanced trades with textbook-clean sizing (12.7% exposure, 28% drawdown), but it had a genuinely negative edge — profit factor 0.70, Sharpe -1.52 with the whole CI below zero, -24.3% total return, and losses in every year but 2020. The analyst abandoned it at the backtest-review gate on the first iteration, identifying a fatal payoff structure (avg win ≈ avg loss at a 41.4% win rate, with ~1-day holds cutting winners short) as a hypothesis-level failure with nothing for optimization to rescue, so it never advanced to optimization or risk review.

Trend-following is structurally doomed without a payoff ratio well above 1 — a symmetric avg-win≈avg-loss profile at a sub-50% win rate is guaranteed negative, and a channel-position signal that whipsaws into ~1-day holds cuts winners as fast as losers, so clean ATR sizing cannot rescue an absent edge.

The backtest-review analyst issued an 'abandon' verdict: the signal was implemented and sized correctly, so the -24% result is the genuine undistorted edge — and the fatal flaw is the payoff structure, a ~1.0 payoff ratio (avg win 378 ≈ avg loss 382) combined with a 41.4% win rate, which is guaranteed-negative for trend-following because the channel signal whipsaws (~1-day average hold) and cuts winners as fast as losers.

A single-instrument long-and-short daily trend-following strategy on LTCUSDT Binance futures (2.0x leverage) using a continuous 50-day channel-position signal normalized to [-1,+1] — going long above +0.6 (price near the channel top) and short below -0.6 — with ATR-based volatility sizing to keep per-trade risk constant across regimes.

Across an ample 401 trades (182 long / 219 short) it returned -24.3% with profit factor 0.70, expectancy -$67/trade, Sharpe -1.52 (CI [-2.58, -0.48] entirely below zero, PSR 0.002), a 41.4% win rate, a 28% max drawdown, and losses in every year except 2020; sizing was clean (avg position 12.7%, annualized vol 6.5%, no over-exposure).