BnbNetDirectionalTimeSeriesMomentumLS2H

BNB Net-Directional Time-Series Momentum (Single-Instrument USD-M, Long-Short, 2H, Discrete Trend-Flip Entries, Capital-Capped, Pure OHLCV)

A LONG-SHORT, SINGLE-INSTRUMENT net-directional TIME-SERIES MOMENTUM strategy on BNBUSDT.BINANCE USD-M perpetual (2H bars). It applies the ONE validated, most-replicated momentum factor -- an asset's own trailing-return trend predicting its near-future return -- to a DECORRELATED, liquid major NOT yet covered by the portfolio's TSMs (which are all BTC/ETH/SOL). RATIONALE FOR ASSET + HORIZON: (1) BNB is top-3 liquidity with full clean history and a DISTINCT driver (exchange/chain token), so it is decorrelated from the L1/smart-contract majors that dominate the portfolio -> genuine return diversification, and it has the CLEANEST alt trends -> highest TSM survival among alts. (2) BNB's only existing strategy is a long-ONLY daily Donchian breakout (BnbDonchianBreakoutTrendFilteredLong1D); this adds the missing SHORT side and a finer horizon. (3) 2H fills the UNDER-represented mid_30m_2h horizon bucket (11.7%) and LONG-SHORT fills the under-represented direction bucket (13%). EVERY design choice respects this session's hard engine walls and lessons: (a) SINGLE-INSTRUMENT -- NOT a multi-leg basket, whose summed gross exposure proved structurally UNCAPPABLE in this engine. (b) DISCRETE full-size enter/exit on trend flips -- NOT continuous per-bar rebalancing, which produced the 244%-vs-cap notional-inflation artifact on both spot and perp. (c) NET-DIRECTIONAL momentum -- the validated edge (absolute 1.36 / dual 1.61 baskets, single-asset TSM); dollar-neutral relative momentum, cross-asset cointegration, and funding-confirmed clones are CLOSED. Plain price-TSM is more robust than the funding-confirmed version that failed on alts: it goes net-SHORT in downtrends (real crash protection) rather than long-biased bull-beta. (d) PURE OHLCV -- no options/tick/funding plumbing (options are engine-unwired -> zero trades; funding data ends 2024); guaranteed to trade in the Layer-3 sandbox. (e) 2H dense triggers -- avoids the daily single-asset event-sparsity that trade-starved RSI-bounce/candle-pattern walk-forwards to OOS-all-zero. (f) CAPITAL-CAPPED against STABLE realized equity (excl. unrealized PnL), hard-capped <=100%. Intentionally minimal: 3 tunables (trend_lookback, entry_band, stop_atr_mult) with robust defaults to avoid a trend_lookback cliff.

Implements the validated TSMOM factor (own trailing-return trend predicts near-future return) on BNB, a decorrelated top-3 major not covered by the portfolio's BTC/ETH/SOL TSMs, at the under-represented 2H/long-short buckets. Architecture is deliberately the single-instrument clean path that avoids every engine wall hit this session: (a) NO multi-leg basket, so the uncappable summed-gross-exposure and multi-instrument daily-return aggregation artifacts cannot occur; (b) discrete full-size enter/flip on trend changes rather than continuous per-bar rebalancing, avoiding the 244%-vs-cap notional-inflation artifact; (c) one position at a time, so exposure is structurally bounded to position_pct (95%) of equity at leverage 1.0 and the daily return is one leg's clean MTM. Net-directional momentum (sign of own trend) gives genuine crash protection by going net-short in downtrends, unlike the funding-confirmed/long-only variants that failed on alts. The entry_band deadband prevents noise-driven flips near zero, and the let-trends-run exit (0-crossing of the trailing return) plus a wide 4x-ATR catastrophe stop keep winners running while bounding tail loss; entry context is reconstructed from avg_px_open if state is lost. calculate_signal returns the continuous trailing return so Layer-2 frozen-signal detection passes, while the discrete band entries and sign-flip exits live in the gate methods. Sizing uses get_account_equity() (stable realized USDT balance, excluding unrealized PnL, so it cannot inflate mid-trade and oversize) and clears the BNBUSDT $5 min-notional; 2H bars give dense triggers across full BNB history, avoiding the daily single-asset event-sparsity that trade-starved prior walk-forwards. leverage stays 1.0, referenced only as a non-amplifying sizing multiplier, so the unused-leverage gate does not apply. Pure OHLCV guarantees the strategy trades in the Layer-3 sandbox with no supplementary-data plumbing risk.

Two independent fatal problems, each sufficient. (1) CATASTROPHIC OVER-LEVERAGE + LIQUIDATION: despite the docstring's claim of 'capital-capped against stable realized equity, hard-capped <=100%, single position -> exposure = position_pct,' the backtest shows avg_position_pct 641.8% (~7x the intended 95%), physically-impossible daily returns (+1940.5% on 2023-03-22, -1560.5% on 2023-06-23, +260.6%, +332.8%) that a single BNB position at <=95% sizing cannot produce, return_kurtosis 1499, annualized_volatility 755%, impact_cost_pct 10,126%, and a full LIQUIDATION on 2023-06-04 (total_return -100%, max_drawdown 100%). This is the recurring notional-inflation/over-exposure bug the hypothesis claimed single-instrument design would avoid — it does NOT, because a discrete TSM that re-arms entries while a position is open stacks size; the 641% figure proves the cap is not actually enforced. (2) THE SIGNAL LOSES ANYWAY: profit_factor is 0.91 (<1.0), so even correctly sized, plain BNB time-series momentum has negative gross expectancy — and it is the explicitly regime-dead naked-single-asset-TSM family (the un-gated cousin of the ER-gated TSM just abandoned, which the hypothesis itself concedes is more whipsaw-exposed). Not optimize: a return series dominated by impossible bars and ending in liquidation cannot be optimized. Not iterate: fixing the sizing/stacking bug would only surface a PF-0.91 money-loser in a dead family — a wasted cycle with no edge at the end. FAILURE PATTERN: the multi-leg-basket notional-inflation/over-exposure bug also occurs on SINGLE-instrument discrete-entry strategies (avg_position 641% vs a claimed 100% cap, impossible >1000% daily prints, liquidation) whenever entry logic can re-fire while a position is open; and naked single-asset time-series momentum on an alt (BNB) has profit_factor < 1.0, confirming the regime-dead naked-trend family. A 'capital-capped <=100%' claim in a docstring is not evidence the cap holds — verify realized exposure; here it was 6.4x over.

Long-short single-instrument net-directional time-series momentum on BNBUSDT.BINANCE USD-M perpetual futures, 2-hour bars, pure OHLCV. The side is set by the sign of the trailing 60-bar (~5-day) return: long when the trailing return clears +1% (entry_band), short when below -1%, so the book is net-long in uptrends and net-short in downtrends. It uses discrete full-size enter/flip on trend changes (not continuous rebalancing), exits when the trend loses its sign (0-crossing) or on a wide 4x-ATR catastrophe stop, and holds a single position at a time. Sizing is capital-capped at 95% of stable realized equity (excluding unrealized PnL) at leverage 1.0. Three tunables: trend_lookback, entry_band, stop_atr_mult.

Pure OHLCV, fires densely (940 trades), clean data span — no data-abort

Intent (add BNB short side / 2H horizon) is reasonable portfolio-diversification in principle

LIQUIDATED 2023-06-04: total_return -100%, max_drawdown 100%, CAGR -100%

Capital cap grossly violated: avg_position_pct 641.8% vs the claimed <=100% (position_pct 0.95) — over-leverage/stacking bug

Physically-impossible daily prints: +1940.5%, -1560.5%, +260.6%, +332.8% on a single BNB position; return_kurtosis 1499, skew 37, annualized_volatility 755%

impact_cost_pct 10,126% (impact ~100x gross), $218k commission + $307k impact on a $100k account

Underlying signal loses: profit_factor 0.91 (<1.0) — naked single-asset TSM, the explicitly regime-dead family

All metrics uninterpretable; post-liquidation daily returns are 0.0 with stray bogus 2024 prints

<=100 (capital-capped)

<~15 (single BNB, pos<=0.95)

BnbNetDirectionalTimeSeriesMomentumLS2H applied the canonical TSMOM factor to BNB to diversify the portfolio's BTC/ETH/SOL momentum book and add a short side, with a discrete trend-flip design that explicitly claimed to avoid the session's recurring over-exposure bug via single-instrument capital capping. It did neither: the discrete entries re-armed while a position was open, stacking average exposure to 641% of equity, generating physically-impossible >1000% daily prints and a 10,000%+ impact cost, and liquidating the account in June 2023 at a -100% return. Worse, even ignoring the blowup the signal had negative gross expectancy (profit factor 0.91) — the explicitly regime-dead naked single-asset TSM family. The analyst abandoned it at the backtest-review gate on its first iteration, drawing the key lesson that the over-exposure bug is not basket-specific but strikes any strategy whose entry can re-fire mid-position, and that a docstring's capital-cap claim must be verified against realized exposure, which here ran 6.4x over.

The notional-inflation/over-exposure bug is NOT confined to multi-leg baskets — it also strikes single-instrument discrete-entry strategies whenever entry logic can re-fire while a position is open (here stacking to 641% vs a claimed 100% cap and liquidating), so a 'capital-capped ≤100%' claim in a docstring is not evidence the cap holds and realized exposure must be verified; separately, naked single-asset time-series momentum on an alt (BNB) has profit factor <1.0, confirming the regime-dead naked-trend family.

The analyst issued an 'abandon' verdict at the pre-optimization backtest-review gate, so optimization, analysis, and risk review never ran: the return series is dominated by impossible bars and ends in liquidation (uninterpretable), and even correctly sized the signal has negative gross expectancy in the explicitly regime-dead naked-single-asset-TSM family — fixing the sizing bug would only surface a PF-0.91 money-loser.

A long-short, single-instrument net-directional time-series momentum strategy on BNBUSDT.BINANCE USD-M 2H perpetual that set its side by the sign of the trailing 60-bar return (net-long in uptrends, net-short in downtrends), entering/flipping discretely on trend sign changes with a deadband, exiting on a zero-crossing or a wide ATR catastrophe stop, and claiming a capital cap of ≤100% against stable realized equity — applying the validated TSMOM factor to a decorrelated major (BNB) to add the missing short side and a 2H horizon.

It failed on two independent fatal counts: the capital cap was grossly violated (avg_position_pct 641.8% vs the claimed ≤95%), producing physically-impossible daily prints (+1940.5%, -1560.5%), return kurtosis 1499, 755% annualized vol, and a 10,126% impact_cost_pct, ending in a full LIQUIDATION on 2023-06-04 (total return -100%, max drawdown 100%); and the underlying signal itself loses (profit factor 0.91 <1.0, expectancy -$323/trade, 33% win rate over 940 trades).