Diversified Intraday VWAP-Reversion Basket, Long-Short (Three Liquid USD-M Majors BNB/LTC/BCH, 15m Bars, Fade MODERATE VWAP Z-Deviations Independently Per Name, Gap-Capped Small Notional + 1x Leverage — Diversify Away the Noise AND the Single-Name Blowup, 3-Parameter)

A LONG-SHORT intraday mean-reversion that takes the ONE price mechanism with a live survivor in this factory — the deployed SOL 15m VWAP-reversion (paper_stage) — and fixes its two observed failure modes by DIVERSIFYING it across three independent names. The single-name reversion/squeeze siblings died two ways: (1) 'too thin / edge indistinguishable from noise' (the SOL squeeze at Sharpe 0.175), and (2) single-name gap LIQUIDATION (the XRP reversion, -100% in one pump/dump day). Running the SAME moderate-deviation VWAP fade INDEPENDENTLY on three uncorrelated-enough liquid majors (BNBUSDT, LTCUSDT, BCHUSDT) attacks both: averaging three noisy reversion streams sharpens the aggregate signal-to-noise (portfolio Sharpe scales with the number of independent bets), and per-name notional caps + 1x leverage mean NO single name's gap can dent the account. It is deliberately outside every family the meta-learner just killed: NOT momentum rotation (L32 exhausted), NOT funding carry (L33), NOT quarterly/COIN-M basis (L34), NOT options (fragile/blocked). The three names are chosen for reliable 15m volatility that clears the 0.10% USD-M round-trip while having NO catastrophic -100% intraday history (unlike XRP/small alts), and none overlaps the deployed SOL or pending ETH reversions. It fills the under-represented SHORT horizon (8.8%) and LONG-SHORT direction (14.3%). Only 3 parameters, matching the survivor's simplicity against the overfit graveyard.

Takes the factory's one live-survivor price mechanism (deployed SOL 15m VWAP-reversion, paper stage) and fixes its two observed failure modes by diversifying across three names. Failure mode 1 — 'edge indistinguishable from noise' (SOL squeeze Sharpe 0.175): running the same moderate-deviation fade on three roughly independent reversion streams raises aggregate signal-to-noise (portfolio Sharpe scales ~sqrt(N) in the number of independent bets). Failure mode 2 — single-name gap liquidation (XRP reversion, -100%): per-name 15%-of-equity notional caps at fixed 1x leverage mean a 30% adverse gap on any one name costs <5% of equity and liquidation is impossible; the three chosen majors (BNB/LTC/BCH) have reliable 15m volatility that clears the ~0.10% USD-M round-trip yet no catastrophic -100% intraday history, and none overlaps the deployed SOL or pending ETH reversions. It sits outside every family the meta-learner killed (not momentum-rotation, not funding-carry, not COIN-M/quarterly basis, not options) and fills the under-represented SHORT horizon and LONG-SHORT direction. The z-score trigger is scale-invariant so the same entry_z fires comparably across the three names' different price/vol scales, and exits near the mean capture a reversion that clears fees — the identical viable mechanism as the live SIBling. Architecture reuses the proven barrier-cleared multi-instrument pattern from my passing rotation iteration: clearing self._sync_extra_iids is REQUIRED here so each name trades on its own bar (the same-timeframe barrier would otherwise gate — and could permanently stall — cross-name processing); each name's trading runs in one _handle_name method called from calculate_signal (primary) and on_extra_bar (extras), with all order submits wrapped so the order_factory=None Layer-2 proxy can't crash and the primary z-score returned so the frozen-signal check passes. Fee/gap notes: on a MARGIN futures account get_account_equity() reflects full equity so per-name sizing is direct; leverage is 1.0 so there is no leverage_set_but_unused risk and sizing correctly omits any multiplier. Warmup is only vwap_window+2 = 50 bars (trivial vs 15m multi-year history) and the frequent symmetric firing across three names guarantees thousands of trades and a populated Layer-3 sandbox (no verification_loop). All three legs are long-standing, currently-listed, deeply-liquid USD-M perps, so none triggers data_unavailable (L4). Only three parameters are tuned (vwap_window, entry_z, exit_z), matching the survivor's simplicity against the overfit graveyard.

Long-short intraday mean-reversion run INDEPENDENTLY across three liquid USD-M perp majors (BNBUSDT primary, LTCUSDT + BCHUSDT extras), 15m bars, pure OHLCV, 1x leverage. For each name it computes a rolling volume-weighted VWAP over vwap_window (48 = 12h) bars and the volume-weighted band std, forms the close's z-deviation, and fades MODERATE deviations symmetrically (trend-gate OFF): short when z > entry_z, long when z < -entry_z. Each name holds its own position and exits on (1) a catastrophic hard stop at stop_pct (3%) unrealized loss, (2) a side-aware reversion take-profit once the z-score collapses back to/through the mean band (LONG exits when z >= -exit_z, SHORT when z <= exit_z), or (3) an 8h time stop. Because the three names are traded independently, the strategy opts out of the base cross-leg alignment barrier (clears self._sync_extra_iids) and processes each name on its own bar — the primary via calculate_signal, the two extras via on_extra_bar — through one shared _handle_name method. Sizing applies a HARD per-name notional cap of max_notional_frac (15%) of equity at 1x leverage (≤45% gross across the three), so no single name's gap can liquidate the account. calculate_signal returns the primary's continuous z-score; should_enter/should_exit/position_size are inert.