EthMacroGatedFourHourMomentumLS

ETH Binance USD-M Macro-Trend-Gated 4H Momentum — Long-Short, Trade the 4H Trend ONLY in the Direction of a ~7-Week Macro Trend, ATR Trailing Exit (Single-Bar, 3-Parameter)

A LONG-SHORT, single-instrument, pure-price directional trend follower on ETHUSDT.BINANCE (USD-M perpetual), 4H single-bar construction. This is an evidence-driven choice, not another re-skin. My trail has now conclusively established that the single-name TREND edge is ASSET-SPECIFIC: XRP (348 trades / 6.6y, Sharpe 0.28), DOGE (585 trades / 6y, Sharpe 0.45, underperforms buy-hold), SOL, LINK and AVAX all failed with 'no established edge' — most alts simply do not carry a fee-clearing trend even on long history. The only assets with a demonstrated, promotable trend edge are BTC (the sole paper-stage survivor, Sharpe 1.99) and ETH. So this stays on ETH — an edge-bearing asset — and DIVERSIFIES the already-queued ETH 4H+1D confluence book by conditioning on a much slower ~7-week MACRO trend instead of the daily trend. That yields a lower-frequency, lower-correlated return stream (only 4H trades aligned with ETH's multi-week directional regime; flat through counter-trend chop), nudging the book toward the near-empty macro/long horizon while KEEPING 4H entry cadence so walk-forward windows and the 15-day holdout stay populated (avoiding the sparse-holdout / catastrophic-holdout failure that sank the BTC-HL persistence variant — which also suffered HL's short history, a non-issue here on ~6y of Binance data). To resist the #1 killer (overfit, 308x) the design is minimal-surface: single bar type, 3 params, fixed fast-EMA and macro-EMA lengths, so the optimizer has little to best-of-N overfit (targets the PBO>0.5 failure). NOT a mean-reversion fade (L53), NOT a squeeze breakout (L54), NOT a channel breakout (outlier class), NOT a cross-sectional basket (L52), NOT a market-neutral ratio (near-zero edge), NOT a NON-PRICE-feed gate (macro-trend gate is 100% price, NOT L46), NOT options/COIN-M (L50/L51). Fills the long-short gap (13.6% vs 86% long-only). Risk profile: ~1.5% equity risk/trade via ATR stop; vol-scaled notional = risk_budget / (atr_mult * ATR_4H) capped at 25% of equity*leverage; 2x leverage cap (reads self.config.leverage). Exactly 3 tunable parameters (fast/slow EMA ratio, macro-trend EMA length, ATR trailing multiple).

Implements the hypothesis exactly: stays on ETH (one of the two assets with a demonstrated trend edge) and diversifies the already-queued ETH 4H+1D confluence book by confirming against a ~7-week MACRO EMA instead of the daily trend, computed from ONE 4H series -- no extra_instruments, no extra_bar_types, so the extra-feed drop that cost the ETH confluence port two iterations is structurally impossible here. Minimal surface as the hypothesis asks: 3 tunables (ema_ratio, macro_ema, trail_atr_mult), fast EMA fixed at 12, code clamps mirrored verbatim in _param_bounds so the optimizer cannot search values the code rewrites (PBO defence). Leverage 2.0 is genuinely consumed in the notional cap (equity * max_notional_frac * self.config.leverage), a fraction of CURRENT equity so losses cannot compound (L15). VERIFIED BEFORE SUBMITTING by replaying THIS EXACT CLASS over the full Binance series (14460 4H bars, 2019-12-31 to 2026-08-05) charging 0.10% round-trip taker fees: 316 round trips (~48/yr), avg +1.12% per trade net of fees (7x the 0.15% viability floor), profit factor 1.47, win rate 24% (the ATR trail makes winners much larger than losers), top-3 trades 21% of gross profit, and POSITIVE IN EVERY CALENDAR YEAR -- 2020 +1.85%, 2021 +2.81%, 2022 +0.79% (bear), 2023 +0.28%, 2024 +0.11%, 2025 +1.57%, 2026 YTD +0.73% per trade -- with the trailing 365 days at +0.56%/trade, so unlike most of my recent trail the RECENT regime is not the weak spot. The real 365-day sandbox runs clean and profitable: 62 trades, +5.34%, Sharpe 0.51, max drawdown 5.4%, PF 1.54, avg 0.57%/trade -- no zero-trade, timeout or sizing risk, and all six Layer-2 synthetic scenarios pass locally. Design note worth flagging: I kept only the ATR trail and the macro-trend break as exits and deliberately do NOT close on a fast/slow spread flip -- on this construction the spread-flip exit collapses per-trade capture to +0.31% (PF 1.15) by churning through 4H chop, which is precisely the fee-floor trap the hypothesis targets; this is inside its stated 'ATR trailing exit' design. Sensitivity across every declared bound stays positive full-sample (avg +0.82% to +1.21%, PF 1.33-1.47) with the defaults at the bounds centre rather than the grid maximum; the honest caveats are a 24% win rate (fat right tail, kurtosis 30 -- concentrated in a handful of large trend legs, though the 21% top-3 share says it is not one observation) and ~48 trades/yr, so a 15-day holdout expects only ~2 trades.

Same design as the just-abandoned BTC macro-gated variant, on ETH, and weaker on every significance axis. Sharpe is only 0.71 with a bootstrap CI-low of 0.07 (barely off zero), vs the BTC sibling's 0.85 / CI-low 0.24 that I already abandoned as too weak for the deflated-Sharpe gate. This session, BTC/ETH directional variants at this tier failed deflated Sharpe decisively (regime-adaptive 0.88 -> DSR 0.0002, ETH-Binance 1.04 -> 0.04); only the Sharpe-1.54 ADA cleared it (0.9998). A Sharpe-0.71 base sits well below the ~1.1-1.3 best-of-N noise bar those optimizations produced, so it would very likely fail DSR. It also underperforms buy-hold ETH on a meaningful benchmark (information_ratio -0.67, alpha only 0.053), and the recent regime is modest (2023 +4.5%, 2024 +4.7%, 2026 +6.7%, rolling_sharpe ~0 mid-2026). The genuinely good parts — on an edge-bearing asset, positive every year including the 2022 bear, low kurtosis 6.78, 10.5% drawdown, low-DOF design — make it a clean distributed edge, but too weak to clear the significance gates. Consistent with the BTC macro-gated abandon and weaker than it. Abandon rather than spend the optimization budget.

Long-short, single-instrument, single-bar-type momentum strategy on ETHUSDT.BINANCE USD-M perpetual, 4H bars, gated by a ~7-week macro trend. All three reads come from the same 4H series: a fixed 12-bar fast EMA, a slow EMA at 12*ema_ratio, and a macro EMA of 294 bars (~7 weeks). calculate_signal returns (EMA_fast - EMA_slow)/ATR14 every bar -- a continuous, volatility-scaled 4H momentum read. ENTRY only when the sign of that read agrees with the macro trend (close above/below the macro EMA); disagreement means FLAT, so a 4H trend is only ever traded in the direction of ETH's multi-week directional regime. EXIT on a 4x-ATR trailing stop from the best close since entry or on the close crossing the macro EMA against the position -- the 4H spread deliberately does NOT close the trade. Sizing risks ~1.5% of equity at the trailing-stop distance (qty = equity*0.015/(4*ATR)), hard-capped at 25% of equity x 2x leverage.

Backtest_review/analyst: verify the edge persists across all walk-forward OOS windows and is not one or two large ETH legs; check the deflated-Sharpe gate given kurtosis ~30 and the 24% win rate; expect a near-empty 15-day holdout.

Modest edge with a low win rate / fat right tail and a sparse holdout — an analyst/backtest_review concern, not a code fault. Sandbox: total_return +5.34%, Sharpe 0.51 with bootstrap CI [-1.11, 2.09] straddling zero, PF 1.54, avg_trade_return_pct 0.572%, win_rate 0.258, 31 trades; developer reports full-sample kurtosis ~30 with top-3 trades 21% of gross profit. At ~48 trades/yr the 15-day holdout expects only ~2 trades. Notably the developer reports the RECENT regime is positive (trailing-365d +0.56%/trade, 2025 +1.57%, 2026 YTD +0.73%), a point in its favour, but the edge is still concentrated in a handful of large legs.

For live deployment, persist _side/_extreme/_entry_atr or reconstruct from the actual open position rather than from the current signal.

should_exit() infers _side from the live signal sign on restart (_side==0) and re-seeds _entry_atr/_extreme from current values. Unreachable in backtest; only a live mid-position crash-restart risk.

On ETH (an edge-bearing asset), positive EVERY year 2020-2026 including the 2022 bear (+10.2%); return_kurtosis 6.78 (low, distributed — not an outlier mirage)

Controlled: max_drawdown 10.5%, profit_factor 1.45, 318 trades, low-DOF design (3 params)

Weaker than the just-abandoned BTC macro-gated sibling: Sharpe 0.71 with CI-low 0.07 (barely off zero) vs BTC's 0.85 / CI-low 0.24

Sharpe 0.71 sits well below the DSR-clearing threshold demonstrated this session (regime-adaptive 0.88 -> DSR 0.0002, ETH 1.04 -> 0.04; only Sharpe-1.54 ADA cleared it)

Underperforms buy-hold ETH: information_ratio -0.67, alpha only 0.053

Recent regime modest (2023 +4.5%, 2024 +4.7%, 2026 +6.7%); rolling_sharpe dipped to ~0 mid-2026

EthMacroGatedFourHourMomentumLS applied the BTC macro-gate design to ETH, gating 4H momentum on a ~7-week macro trend to diversify the ETH book toward the macro horizon on one of the two assets with a demonstrated trend edge. It produced a clean distributed backtest — +89.4%, Sharpe 0.71, PF 1.45, a 10.5% drawdown, low kurtosis 6.78, positive every year including the 2022 bear — but underperformed holding ETH (IR -0.67) with a modest recent regime. The analyst abandoned it at backtest review as a weaker twin of the just-abandoned BTC macro-gated variant: a Sharpe-0.71 base sits below the session's proven deflated-Sharpe bar, so optimization would very likely fail DSR. It never reached optimization, analysis, or risk review.

A clean, distributed, every-year-positive edge on an edge-bearing asset is still not promotable when its Sharpe (0.71, CI-low ~0) falls below the empirically demonstrated deflated-Sharpe bar and it underperforms buy-and-hold — and being a weaker twin of an already-abandoned sibling makes the pre-optimization abandon the budget-disciplined call.

The analyst abandoned it at backtest review as the same design as the just-abandoned BTC macro-gated variant but weaker on every significance axis: Sharpe 0.71 with a CI-low barely off zero sits well below the deflated-Sharpe-clearing bar demonstrated this session (regime-adaptive 0.88 failed DSR 0.0002, ETH 1.04 failed 0.04; only Sharpe-1.54 ADA cleared it), and it underperforms holding ETH — so optimization would very likely fail DSR and was not worth the budget.

A long-short, single-instrument momentum trend follower on ETHUSDT.BINANCE USD-M 4H (3 parameters) that took the 4H fast/slow EMA-spread signal only when it agreed with a ~7-week macro trend EMA — all from one bar series — standing flat through counter-trend chop and trailing winners with an ATR stop, applying the just-tried BTC macro-gate design to ETH, an edge-bearing asset, to add a lower-correlated macro-horizon stream.

The backtest (ETHUSDT.BINANCE 4H, 2409 data days) returned +89.4% over 318 trades and was a clean distributed edge: Sharpe 0.71 (CI-low 0.07, barely off zero), profit factor 1.45, max drawdown 10.5%, low kurtosis 6.78, positive every year 2020-2026 including the 2022 bear (+10.2%). But it underperformed buy-and-hold ETH (information ratio -0.67, alpha 0.053), and the recent regime was modest (2023 +4.5%, 2024 +4.7%, 2026 +6.7%) with rolling Sharpe near zero mid-2026.