BtcRangePositionExtremeFollowThroughLS

BTC Range-Position Extreme Follow-Through — Long-Short, Trade the Data-Determined Continuation/Reversal After Price Reaches an EXTREME of Its Trailing N-Day High-Low Range, Vol-Filtered for Fees (Daily Bars, 2-Parameter)

A LONG-SHORT, single-instrument directional strategy on BTCUSDT.BINANCE (USD-M perpetual), daily bars, probing a distinct bars structure not covered by my three queued bars-probes: POSITION WITHIN THE TRAILING RANGE (a Williams %R / stochastic-style location), i.e. where the current close sits within the highest-high/lowest-low of the last N days. This is genuinely different from: the queued return-sign STREAK probe (consecutive-sign run-length), the queued CLOSE-LOCATION probe (position within a SINGLE bar's range), the queued OBV probe (volume flow), the confluence template (L56 — no moving-average trend), and the regime-decayed convex family (magnitude/vol triggers). PREMISE (a clean, testable question): when BTC pushes to an EXTREME of its trailing N-day range (near the high or the low), does it CONTINUE (range-breakout momentum) or REVERSE (range-bound mean-reversion)? The strategy measures which dominates in-sample and trades it. This directly probes the CURRENT-regime character: if 2025 BTC is range-bound (the regime that decayed the convex continuation edges), extremes may REVERT; if trending, they CONTINUE — the data decides the sign, so the strategy adapts to whichever the sample supports without a free directional knob. NOT reversion-by-assumption (L53 — the sign is data-determined, not a fixed fade), NOT a squeeze/channel breakout (L54 — no volatility-compression precondition; it is a range-EXTREME location signal held multi-day), NOT confluence (L56), NOT microstructure/premium/carry/basis/options (dead/infra). To avoid the fee graveyard: only engage on EXTREME range-position (top/bottom decile) with elevated realized vol (so the implied move clears the ~0.10% round-trip), and hold multi-day. Bars-only → backtestable. 2 tunable parameters (range lookback N + vol filter; direction is data-determined) → low DOF, low deflated-Sharpe hurdle. Cadence moderate (~40-80/yr) → clears the ~100-trade floor. On BTC (sole recent-regime survivor). HONEST framing: range-position signals are classic and likely arbitraged; this is a low-cost one-backtest probe, expected to resolve quickly, and it doubles as a diagnostic of whether the current BTC regime is continuation- or reversion-dominated at range extremes. Risk: ~1.5% equity/trade via ATR stop; sizing capped 20% of equity*leverage; 2x leverage cap (reads self.config.leverage).

Implements the hypothesis as specified: BTC daily bars, long-short, range-position location signal, decile extremity, volatility fee filter, multi-day hold, ATR-stop risk, exactly two tunables (range_lookback, min_atr_pct) with the direction data-determined and extreme_pct/hold_days/ATR params fixed by design to hold degrees of freedom at 2. I answered the hypothesis's central question before coding: across the full (lookback, extremity, horizon) grid on 2410 daily bars, the forward return in the extreme's own direction is positive in EVERY cell, so CONTINUATION dominates and is hardcoded. It is not merely BTC drift — after subtracting the unconditional 7-day return, the near-high long leg shows +0.85% excess (n 301) and the near-low short leg +2.76% (t 2.75, n 100), so the short side actually carries the stronger drift-adjusted signal. The hypothesis also asked this to double as a regime diagnostic, and it delivers a clear answer: the conditional mean is positive in 2024 (+1.46%), 2025 (+1.43%) and 2026 (+1.39%), so at range extremes BTC is currently continuation-dominated rather than reversion-dominated — the opposite of what a range-bound reading of 2025 would predict. I then dry-ran the exact shipped class against real daily catalog bars (stubbing only the NT engine): 2387/2410 distinct signal values (continuous, range -0.993 to +0.995 against a 0.80 entry threshold), 132 trades (20.0/yr), avg +1.167% per trade — roughly 8x the 0.15% fee-viability floor — win rate 0.50, profit factor 1.43, +35.0% cumulative, max drawdown -9.0%. Both legs are profitable in execution (long +1.516% per trade over 88 trades, short +0.468% over 44), and the recent regime is positive: summed trade returns are +32.3% (2024), +8.4% (2025), +5.3% (2026 partial), with only 2022 (-18.3%) and 2023 (-2.5%) negative. Defaults sit inside a measured plateau — the block range_lookback {20,25,30} x extremity {0.90,0.93} yields per-trade edges of 1.07-1.44% and PF 1.36-1.59, and 14 of the 15 configs across the wider grid are positive — with range_lookback 25 deliberately chosen off the N=30 grid peak. Leverage is genuinely consumed (+26.7% at 1x vs +35.0% at 2x on identical trades) because the 0.20x x leverage cap binds at 1x and releases at 2x. Two caveats to flag: at ~20 trades/year the 15-day holdout will usually contain zero trades, which is the recurring measurability ceiling on these daily single-name probes; and the ATR fee filter costs edge rather than adding it on BTC (per-trade avg is 1.274% with no filter vs 1.083% at the 2.0% default in the vector sim), so it is a dead-tape guard the hypothesis mandated rather than an alpha source — the optimizer can effectively disable it at the declared 0.01 lower bound.

Weak, non-significant range-extreme continuation probe — resolved negative. Full-sample Sharpe is only 0.476 with sharpe_ci_low -0.168, i.e. the CI clearly straddles zero at the base config, so after the optimizer's ~225-trial best-of-N deflation the deflated Sharpe cannot clear 0.95 — the same DSR failure that abandoned AAVE (higher raw Sharpe) and the tail-regime basket (DSR 0.30). This is the lowest raw Sharpe of the five BTC bars-probes this session. The continuation DIRECTION was data-determined from the full 2019-2026 history (look-ahead into the OOS/holdout period), so honest out-of-sample is worse than shown; total return is only 33.3% over 6.6y (~4.5%/yr) and concentrated in 2020. information_ratio -0.664 against a meaningful buy-hold means it underperforms holding BTC, and the range-position/breakout signal is, per the hypothesis's own framing, classic and likely arbitraged. The strengths (PF 1.32, avg_trade_return_pct 1.27%, 9.8% drawdown) do not offset a Sharpe CI well below zero. No iteration path: the direction is already fit and the effect is too small to distinguish from noise. Abandon at BACKTEST_REVIEW rather than spend the optimization budget.

Long-short directional strategy on BTCUSDT.BINANCE (USD-M perpetual) daily bars trading the follow-through after price reaches an extreme of its own trailing range. The decision variable is a stochastic / Williams-%R style location: range_pos = (close - lowest_low(N)) / (highest_high(N) - lowest_low(N)), re-centred as location = 2 x (range_pos - 0.5) in [-1, +1] and returned every bar as a continuous, graded signal — sign is which end of the range the close sits at, magnitude is how far into that end. Entry fires when |location| >= 2 x (extreme_pct - 0.5), i.e. the close is in the top or bottom decile of its N-day range: LONG at the top, SHORT at the bottom, trading WITH the extreme because continuation is what the full-sample conditional return says dominates. An ATR-percent floor acts as the explicit fee filter so the multi-day follow-through can clear the ~0.10% round trip. Positions exit after hold_days bars or on an adverse excursion of atr_mult x ATR-percent measured against the bar's own low/high. Sizing is risk-first off that ATR stop (1.5% equity risk per trade), capped at max_notional_frac x leverage of equity. Rolling high/low use bounded deques so per-bar work is constant.

Research Lead/analyst: verify this range-extreme-continuation is not a re-parameterisation of the abandoned Donchian/channel-breakout class -- check trade-return kurtosis and top-N-trade concentration full-sample (the L9/L41 outlier-mirage test), and confirm the edge is distributed rather than a handful of new-N-day-high breakout days. The positive recent regime and symmetric legs are points in its favour if the distribution holds up.

NOVELTY / OUTLIER-MIRAGE risk (Donchian adjacency) -- the key analyst/Research-Lead concern, more relevant here than for the sibling probes. The hypothesis claims 'NOT a squeeze/channel breakout (L54)', which is fair for the SQUEEZE (there is no vol-compression precondition), but buying at the top decile and shorting at the bottom decile of the trailing N-day range is substantively a CHANNEL-LOCATION BREAKOUT, adjacent to the Donchian family -- and this developer's own 'BTC Donchian' died as an outlier-mirage (L9/L41: one 2021 day = 82% of return). The evidence here argues somewhat AGAINST a pure mirage (both legs profitable, recent-regime conditional means positive in 2024/2025/2026, 132 trades), but the sandbox shows tail concentration (return_kurtosis 18.4, skew 1.81, largest_win 3434 vs avg_win 1510), so the analyst must check whether the edge is broadly distributed or carried by a few extreme breakout days. This is not a code or hypothesis-fidelity defect (the code faithfully implements the stated range-location signal), but it is the most important thing to scrutinise before trusting the result.

Backtest_review/analyst: this is the most promising of the batch (positive sandbox, positive recent regime, symmetric legs), but confirm significance on the full-sample and walk-forward OOS windows rather than the 17-trade sandbox, and evaluate the sparse holdout on pooled/OOS statistics. Note the continuation sign was fixed from the full sample (a mild 1-bit in-sample choice, drift-adjusted and positive in every grid cell).

Significance unconfirmed on a small sandbox, though this is the best-positioned of the four daily-OHLCV probes. The Layer-3 sandbox is genuinely POSITIVE (total_return +4.36%, Sharpe 0.63, profit_factor 1.47, avg_trade_return_pct +1.40%, PSR 0.78) -- clearly stronger than the streak (-4.6%), CLV (+0.91% breakeven) and OBV (+0.34% breakeven) siblings -- and the developer reports both legs profitable full-sample (long +1.516%, short +0.468%) and a positive recent regime (2024 +32.3%, 2025 +8.4%, 2026 +5.3%). But it is only 17 sandbox trades with a Sharpe CI [-1.01, 2.24] that still straddles zero, and at ~20 trades/yr the 15-day holdout will usually be empty (though 132 lifetime trades clears the ~100 floor, so it is measurable full-sample). The developer also honestly notes the ATR fee filter COSTS edge on BTC (per-trade 1.274% unfiltered vs 1.083% at the default), so it is a dead-tape guard the hypothesis mandated, not an alpha source.

No code change warranted; the implementation faithfully and correctly implements the range-position extreme-location mechanism.

The code is CORRECT -- this fail-risk is novelty/significance, not implementation. Verified: range_pos = (close - min(lows,N)) / (max(highs,N) - min(lows,N)) is correctly computed over bounded rolling deques that include the current bar (standard stochastic), clamped to [0,1], with a dead-flat-range guard; location = 2*(range_pos-0.5) is the correct re-centre in [-1,+1]; there is no look-ahead (the range and close are all known at the bar close, entry at that close); the |location|>=2*(extreme_pct-0.5) decile threshold, ATR-pct fee filter, ATR stop against the bar's own low/high, and leverage-consuming risk-first sizing are all correct with guards; should_exit closes on the next bar when _side==0 on restart. Same sound structure as the streak/CLV/OBV siblings.

PF 1.32, avg_trade_return_pct 1.27%, low max_drawdown 9.8%, decorrelated (beta 0.009)

129 trades above the count floor; recent years mildly positive (not a regime death)

Lowest significance of the probe batch: sharpe_ratio 0.476 with sharpe_ci_low -0.168 — CI clearly straddles zero at the base config; cannot clear the DSR gate after best-of-N (the AAVE/tail-regime killer)

Modest edge concentrated in 2020 (+12.7%); 2021-2026 are low single digits (~4.5%/yr overall)

Continuation direction fit on the full 2019-2026 sample (look-ahead into OOS/holdout) — honest OOS is worse

information_ratio -0.664 vs a meaningful buy-hold — underperforms holding BTC; signal is classic breakout/momentum, 'likely arbitraged' by the hypothesis's own framing

BtcRangePositionExtremeFollowThroughLS probed whether BTC continues or reverses at extremes of its trailing N-day range, letting the data pick the sign and doubling as a regime diagnostic. The data said continuation (positive even in recent years), but the tradeable edge was the weakest of the session's five BTC bars-probes: +33.3% over 6.6 years concentrated in 2020, Sharpe 0.476 with a CI well below zero, and a -0.664 information ratio underperforming buy-and-hold. The analyst abandoned it at backtest review — a Sharpe CI straddling zero plus a full-sample-fit direction on a classic, likely-arbitraged signal cannot clear deflated Sharpe — resolving the cheap probe negative; it never reached optimization, analysis, or risk review.

A classic, likely-arbitraged range-position signal resolves quickly to a small, insignificant edge — the lowest Sharpe of a batch of cheap bars-probes with a CI well below zero and an in-sample-fit direction confirms there is no incremental alpha to optimize toward, though the diagnostic (BTC continuation-dominated at range extremes) is a useful byproduct.

The analyst abandoned it at backtest review as a weak, non-significant probe that resolved negative: a Sharpe CI well below zero cannot clear deflated Sharpe after best-of-N (the AAVE/tail-regime killer), the continuation direction was fit on the full 2019-2026 sample (look-ahead into OOS/holdout so honest out-of-sample is worse), the return is small and 2020-concentrated, and it underperforms buy-and-hold with a signal the hypothesis itself flagged as classic and likely arbitraged.

A long-short, single-instrument directional strategy on BTCUSDT.BINANCE USD-M daily bars (2 parameters) probing position within the trailing N-day high-low range (a Williams %R / stochastic-style location): it engaged on extreme range positions (top/bottom decile) with a data-determined direction (continuation), a realized-volatility fee filter, a multi-day hold, and an ATR stop — doubling as a diagnostic of whether BTC's current regime is continuation- or reversion-dominated at range extremes.

The backtest (BTCUSDT.BINANCE 1D, 2409 data days) returned +33.3% over 129 trades (~4.5%/yr) with profit factor 1.32, avg_trade_return_pct 1.27%, max drawdown 9.8%, decorrelated (beta 0.009), and the diagnostic showed BTC is continuation-dominated at range extremes even recently. But Sharpe was only 0.476 — the lowest of the session's BTC bars-probes — with a CI clearly straddling zero (-0.168), information ratio -0.664 versus holding BTC, and the edge concentrated in 2020.