EtcFourHourTrendMajorBreadthGatedLS

ETC Perp 4H Trend, Gated by MAJOR-COMPLEX BREADTH — Long-Short Directional Momentum on ETCUSDT.BINANCE That Trades ONLY When a Majority of the Top-5 Majors Confirm the Same Market-Wide Regime (breadth is a signal-only overlay, no second fee-paying leg; ATR-chandelier exit, 3-parameter)

A LONG-SHORT, DIRECTIONAL, single-traded-instrument 4H trend follower on ETCUSDT.BINANCE USD-M perpetual (listed 2020-01-16, 6.6 years of 4H history verified in the catalog, top-50 liquidity, NEVER traded in this factory's 3084-experiment corpus). The novelty is the confirmation variable: instead of confirming the trend with something measured on the SAME price series (volume surge, path efficiency, dual-timeframe, OI, taker flow, funding — all already spent here), the trade is gated by CROSS-SECTIONAL BREADTH of the major complex. Five majors (BTC, ETH, SOL, XRP, BNB, DAILY bars) are carried as SIGNAL-ONLY extra instruments — never traded, so no second round-trip is paid and lesson L95 does not apply: the position stays outright and directional. Breadth b = fraction of available majors whose daily close is above their own 50-day SMA. Premise: an idiosyncratic 4H trend on a mid-cap alt is mostly noise, but the same trend embedded in a market-wide regime (b ≥ 0.6 up, b ≤ 0.4 down) is a real risk-appetite move that persists for days; standing flat in the disagreement zone removes the chop that kills single-name alt trend followers. Deliberately 3 parameters (mom_lookback, atr_mult, breadth_threshold).

Implements the hypothesis exactly: ONE traded instrument (ETCUSDT perp, outright and directional), with the confirmation variable coming from a DIFFERENT cross-section rather than the same price series. The five majors are declared in extra_instruments/extra_bar_types purely for signal -- no order is ever submitted on them (only _submit_entry/_submit_exit on the primary), so no second round-trip fee is paid and the book carries no hedge leg. Breadth is recomputed in on_extra_bar() from each major's own 50-day SMA using only bars already delivered, so it is point-in-time; majors with fewer than breadth_sma_days daily bars are excluded and breadth is undefined (no trading) until at least min_majors=3 qualify. The daily extra legs are a slower timeframe than the 4H primary, so the base class's same-timeframe alignment barrier does not gate the primary bar. The three core parameters named in the hypothesis (mom_lookback, atr_mult, breadth_threshold) drive entry, exit and sizing; I added one small signal-quality parameter, entry_atr_thresh (default 0.5 ATR), because entering on a bare zero-crossing of the momentum score would churn 4H bars right at the anchor and hand the ~0.10% round-trip fee the whole edge -- the threshold plus the zero-crossing exit creates a hysteresis band. Expected firing rate: breadth in regime roughly half the time and |signal| > 0.5 ATR roughly a third of bars, so entries are frequent enough (hundreds of trades over 6.6 years of 4H history) while the chandelier holds winners for days; per-trade moves are multiple percent (4H ETC ATR is ~1-2% of price, the trail is 3x that), comfortably above the fee floor. Venue is futures because the strategy goes short; leverage is left at 1.0 and notional hard-capped at 90% of equity, with per-trade risk capped at 1.5% of equity by the ATR stop, to avoid the compounding-sizing blowups seen in past trend strategies.

Long/short 4H trend follower on ETCUSDT.BINANCE USD-M perpetual, gated by cross-sectional breadth of the major complex. The continuous signal is (close - SMA(mom_lookback)) / ATR(atr_period) -- distance from the momentum anchor in ATR units, computed every bar. Five majors (BTC, ETH, SOL, XRP, BNB) are carried as DAILY signal-only extra instruments and are never traded: breadth b = fraction of available majors whose daily close is above their own 50-day SMA. A long requires signal > entry_atr_thresh AND b >= breadth_threshold (0.6); a short requires signal < -entry_atr_thresh AND b <= 1 - breadth_threshold (0.4). Inside the disagreement zone the strategy stands flat. Exits on an ATR chandelier trail (atr_mult x ATR off the excursion extreme), a momentum sign flip, or breadth flipping into the opposite regime. After a trail stop the same side is locked out until momentum crosses back through zero, so a stop inside an intact regime cannot immediately re-enter. Sizing is risk-budget based (risk_pct of equity against the ATR stop distance), hard-capped at max_notional_frac of equity; no leverage.

Hypothesis is deliberately 3-parameter, but `_param_bounds` exposes NINE tunables to the optimizer — the anti-overfit intent is diluted. Suggest freezing all but mom_lookback / atr_mult / breadth_threshold.

`calculate_signal` returns 0.0 as its missing-data sentinel, and `should_exit` treats signal<=0 (long) / >=0 (short) as a momentum flip — so a flat-price stretch with ATR==0 unconditionally flattens the book and pays a round trip on a non-signal. Add a `_signal_valid` flag.

Chandelier `_hh`/`_ll` are seeded from the first POST-entry bar (position is opened after `calculate_signal` runs), so the entry bar's extreme never enters the trail anchor. Cosmetic — it can only loosen the stop, never fire early.

Sandbox (unoptimized) is profitable but thin in risk-adjusted terms: Sharpe 0.26 (CI -0.49 to 1.04), max DD 34.5% with a 1514-day underwater stretch, win rate 29.9% / PF 1.19 — a trend-follower payoff shape, so not disqualifying, but the return is carried by a fat right tail (largest win $31k vs avg win $2.9k, kurtosis 16.3) and the normal-vol tercile is already negative (-1.27%). Check first at backtest review: (1) ABLATION of the breadth gate (run with breadth_threshold=0.5, gate effectively off) — the entire novelty is the cross-sectional overlay, and if gated and ungated books are within noise, the stated edge is not what produces the return; (2) CAPACITY — impact_cost_pct 23.6% of gross with capacity_usd only $1.79M on a mid-cap alt, still under the 50% soft floor but the optimizer raising risk_pct/max_notional_frac could push it through. Also 9 optimizable parameters vs the hypothesis's stated 3 — watch PBO in phases 2/3.

Numerically viable sample: 469 trades over 6.6 years (2429 days) of 4H ETC data, metrics_reliable=true, 242 long / 227 short — a real two-sided book, not a degenerate or frozen signal.

Per-trade edge well clear of costs: avg_trade_return_pct 1.11% vs the 0.15% BINANCE USD-M floor (7x); commissions only 4.85% of gross. Not a fee-fragility case.

Trades match the stated mechanism: short ETC through the March-2020 crash (majors below their 50d SMAs => breadth-down) and long into the Aug-2026 rally; 28.4% win rate with 2.9:1 payoff is the correct trend-follower shape and the 2d8h hold matches a 4H chandelier trail.

Entry diagnostics clean: 469 signals -> 469 submissions, 0 dropped on size/notional/cash, 0 bars waiting on extra legs — the 5 signal-only daily majors are wired correctly and cost no second round trip.

Positive through most stress windows (covid +7.1%, luna +9.2%, rate-shock-2022 +27.3%).

Risk-adjusted result is thin and not distinguishable from zero: Sharpe 0.279, bootstrap CI [-0.466, 1.052] straddles 0, PSR 0.718, PF 1.139.

Time-concentrated: 2021 (+47.7%) and 2022 (+28.6%) carry everything; 2023/2024/2025 all negative — 4 of 7 years positive (57%, under the 60% hard-gate line), with a 1514-day max-drawdown duration.

Regime attribution contradicts the premise: normal-vol tercile is -42.1% (Sharpe -0.33) while calm and stressed carry the result — the breadth gate is supposed to remove exactly that middle-regime chop.

22.2 of the 71.9-point headline (31%) is open-position unrealized at backtest end.

Tight capacity: impact already 30.1% of gross, capacity ~$1.1M on a mid-cap alt.

9 tunable parameters vs the hypothesis's advertised 3 — real PBO risk in phases 2/3.