ChaoZhang QQE MOD + SSL Hybrid + Waddah Attar Explosion, faithful BTC futures translation

Hypothesis

Translate the supplied Pine strategy on BTCUSDT.BINANCE 4-hour bars, matching the author's published backtest interval. The author separately suggests 1-hour bars; that is not the published backtest setting. Evaluate signals at bar close and submit orders afterward. Preserve the source's indicator calculations and defaults listed below. Its date-range condition is commented out, so it must not restrict trading. Display settings and computed SSL1, SSL2, ATR bands, QQE trend counters, and the first QQE threshold do not affect orders. The published performance is unverified.

This is one concrete strategy, and the user requested its original BTC futures implementation rather than a diversified variant. No source rule or parameter is optimized before the first test.

verification_loop: sandbox_timeout: Verification failed (Layer 3 — sandbox backtest): smoke test exceeded the 300s wall-clock limit on a ~20000-bar window (2400 days of BTCUSDT.BINANCE-4-HOUR-LAST-EXTERNAL). This almost always means per-bar work that scales with history — e.g. rescanning the full funding/supplementary series, or rebuilding a list and calling min()/sorted() inside calculate_signal()/on_bar() on every bar. Precompute sorted timestamp arrays ONCE in __init__ and use bisect, or cache lookups keyed by timestamp, so per-bar cost is O(log n) not O(n).

Implementation

Faithful translation of ChaoZhang's QQE MOD + SSL Hybrid + Waddah Attar Explosion on BTCUSDT.BINANCE 4h. Long when a fresh QQE MOD green bar, close above the HMA(60) Keltner upper channel and baseline, and WAE uptrend above the explosion line all fire on the same bar (mirror for shorts). Stop at the 10-bar swing low/high as a venue-resting reduce-only stop; position sized to risk 2% of equity at that stop, capped at 20x notional. Exit early on an SSL exit-line (HMA 15) cross only while the trade is in profit.

Iteration 3 fixes only the Layer-3 sandbox timeout; trading logic is unchanged. Each HMA was rebuilt from scratch every bar (root(len) inner WMA pairs re-reading bar objects), and statistics.pstdev, which uses exact fraction arithmetic, ran on 70 values per bar. Those two alone cost about 31s on 20k bars, before any engine overhead. Now each HMA keeps float deques and buffers its inner 2*WMA(len/2)-WMA(len) series, so it does one inner WMA pair per bar and gives the same values with the same warmup. The standard deviations are a plain-float two-pass population stdev over the fixed 50- and 20-bar windows. Per-bar cost is O(lookback), independent of history. Platform adaptations are unchanged: risk-based sizing capped at leverage notional, and a reduce-only stop-market at the swing level submitted on position open.

Verification Results

sandbox_timeout: Verification failed (Layer 3 — sandbox backtest): smoke test exceeded the 300s wall-clock limit on a ~20000-bar window (2400 days of BTCUSDT.BINANCE-4-HOUR-LAST-EXTERNAL). This almost always means per-bar work that scales with history — e.g. rescanning the full funding/supplementary series, or rebuilding a list and calling min()/sorted() inside calculate_signal()/on_bar() on every bar. Precompute sorted timestamp arrays ONCE in __init__ and use bisect, or cache lookups keyed by timestamp, so per-bar cost is O(log n) not O(n).

Iteration History

Verification failed (Layer 1.5 — hypothesis/config consistency) [class=hypothesis_mismatch]: - optimization_plan fixes leverage at 20

Outcome Summary

A future iteration needs to complete sandbox verification before its performance can be assessed.

After three iterations, the run was abandoned during verification because the sandbox backtest timed out. Later review and optimization stages were not reached.

The strategy translated a QQE MOD, SSL Hybrid, and Waddah Attar Explosion signal combination to BTCUSDT Binance futures on four-hour bars.

No completed backtest report or return, Sharpe, or trade count is available. The Layer 3 sandbox backtest exceeded its 300-second limit on an approximately 20,000-bar window.

Analysis

QQE MOD + SSL Hybrid + Waddah Attar Explosion