BTC Daily Volatility Compression Range Breakout Long

A long-only single-instrument trend-initiation strategy on BTCUSDT perpetual futures using daily (1D) bars. The strategy waits for explicit volatility compression — when the 30-day price range (high minus low) shrinks below 20% of current price — then enters long ONLY on a confirmed daily close above the 30-day high. Volatility compression preceding expansion is one of the most robust edges in technical trading and applies cleanly in crypto where regime shifts are violent. By requiring BOTH a quiet pre-state AND an upside breakout confirmation, the strategy avoids the high false-positive rate of pure breakout systems and the chop-bleed of pure volatility systems. Long-only fits crypto's structural upward drift over long-term holding periods. Holding period is days-to-weeks, which makes the strategy fee-tolerant: each trade only needs to produce ~3-5% gross to be profitable after the ~0.10% RT fee. Three parameters total — compression lookback (30), compression threshold (0.20), and stop placement (30-day SMA). This minimal parameter surface explicitly addresses the recurring verification-timeout failure mode where complex multi-condition strategies stall the verifier.

Single-instrument long-only, so the standard FactoryStrategy hooks are used directly (no centralized multi-leg management). calculate_signal computes the prior-window (current bar excluded) Donchian high and range, sets the compression boolean (range/close < threshold) and the breakout boolean (close > prior 30-day high), and returns a continuous signal — the close's percentage distance above the prior Donchian high — which varies every bar so Layer-2 frozen-signal detection passes; the compression gate lives in should_enter rather than in the signal default, per the coder guidance, so the signal is graded rather than a constant-then-spike. Requiring compression AND breakout is the core edge: it rejects the false positives of pure-breakout systems and the directionless chop of pure-compression systems. The exit is the hypothesis-specified 30-day SMA trend-structure stop, which lets winners run through volatility while cutting the trade when post-breakout structure breaks — appropriate for the days-to-weeks horizon whose ~3-5% gross per trade easily clears the ~0.10% round-trip futures fee. Sizing is capital-relative (95% of equity notional, ~0.8-3 BTC across the historical price range) and clears the BTCUSDT $100 min-notional by a wide margin. min_bars_required guarantees a full compression window and SMA before any trade. Exactly three tunable parameters keep the optimization surface minimal, directly addressing the verification-timeout failure mode for complex multi-condition strategies. Leverage stays 1.0 and is referenced only as a sizing multiplier (=1), so the unused-leverage gate does not apply; single instrument on the futures venue marks to market every bar (one position with continuous unrealized PnL), avoiding the spot-CASH equity-marking defect.

Do not optimize — the expected outcome is a forward-gate failure on a sparse, fat-tail-carried edge. The strategy makes only 27 trades over ~6 years (~4.5/yr) and its entire return is concentrated in a handful of explosive breakout days (tail_ratio 0.029, return_kurtosis 109; 2024-12-19 +62.5%, 2020-12-11 +52.4%, 2023-12-29 +31.7%) — strip those and the edge collapses. There is no significant edge even before optimization: Sharpe 0.44 with sharpe_ci_low -1.04 (CI deeply straddles zero). Best-of-N optimization will inflate the Sharpe and deflated Sharpe — which penalizes skew/kurtosis hard — will correct it back below the expected-max luck bar, exactly as happened to the structurally similar BNB range-expansion breakout (kurtosis 542 -> DSR 0.67, abandoned). The 27-trade sample split across 3 walk-forward windows (~9/window) is fragile because a single window can be carried or starved by 1-2 outlier days, and the edge is decaying recently (2024 -3%, 2026 -18.8%) with a 46% max drawdown and 80% of the headline in open-position unrealized PnL. This is not a correctness or sizing bug (clean liquid BTC build) — it is a structurally sparse, outlier-dependent breakout whose conjunction (compression AND new-high breakout) fires too rarely to validate, the same sparse + fat-tail signature as the abandoned trend-continuation siblings. No tuning of compression_lookback/threshold/sma_period converts a 27-trade, tail_ratio-0.029, CI-straddling-zero edge into a forward-robust one; abandon rather than spend 2 hours re-deriving the rejection.