LINK Daily 21/55-EMA Trend Continuation with Volatility Filter (Long-Only)
Hypothèse
A long-only single-instrument trend-continuation strategy on LINKUSDT perpetual futures using daily bars and OHLCV-only data. This proposal applies the architecture proven on SOL Daily 21/55-EMA Trend Continuation with Volatility Filter (Sharpe 3.81, paper_stage) to LINK. Asset selection is justified by LINK-SPECIFIC empirical evidence — NOT a theoretical fractal-edge argument: LINK 1D Multi-Week Trend Continuation produced Sharpe 2.55 (promoting), which is direct empirical proof that LINK responds to daily EMA-based trend-following constructions. The Multi-Week Trend success establishes that LINK has clean daily trend persistence; the 21/55 EMA + volatility filter uses DIFFERENT EMA periods (21/55 vs 30/80) and a DIFFERENT timing trigger (yesterday's-high breakout vs 5-day-high continuation) than the existing LINK Multi-Week, capturing a different segment of LINK's trend dynamics. Importantly, this proposal explicitly addresses the recently-documented architecture-mirror failures (5 abandonments this session: BNB Golden Cross, ETH Spot Drawdown, SOL Spot Drawdown, LINK 4H Volume Breakout, AVAX Calm-Regime). The LINK 4H Volume Breakout failure was specifically a TIMEFRAME-MISMATCH issue (LINK's 4H volume is too diffuse for the 1.5× threshold), but the daily timeframe is where LINK's trend signature works — exactly the timeframe of this proposal. Additionally: (a) NO bait-and-switch — strictly LINKUSDT.BINANCE perp throughout, (b) sensitivity_passed=true with cliff_count=0 REQUIRED before optimization, (c) ATR-volatility-adjusted exits (no fixed-percentage trail). Existing LINK strategies in pipeline: LinkDailyMultiWeekTrendContinuationLong uses 30/80 EMA + 20-day momentum + 5-day-high continuation (Sharpe 2.55). This proposal uses 21/55 EMA + breakout-above-prior-day-high + 2% volatility floor — mechanism-orthogonal at the same daily timeframe. Combined, the two LINK strategies capture different segments of LINK's daily trend dynamics. Single-dominant-filter design, NOT a multi-condition AND-gate. Calibrated for ~10-25 entries/year — well above the sparsity-failure threshold.
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