BTC 5-Min Bollinger Band Mean Reversion Long (Sub-Daily Intraday)

A LONG-ONLY MEAN-REVERSION strategy on BTCUSDT perpetual futures (Binance USD-M) using 5-MINUTE bars and Bollinger Band lower-band pullback entries. RATIONALE driven by the now-DEFINITIVE session finding (18+ strategies analyzed across 5 mechanism categories, ALL FAILED): the only remaining genuinely-untested category per the analyst's explicit recommendation is 'sub-daily intraday strategies (1-minute or 5-minute mean reversion on BTC/ETH spot)'. This proposal directly addresses that recommendation. CRITICAL DIFFERENTIATION from the falsified XRP VWAP-deviation 4H mean reversion: (a) 5-MINUTE TIMEFRAME — this captures INTRADAY MICROSTRUCTURE mean reversion (driven by HFT liquidity provision, order book imbalance reversal, momentum-ignition events that snap back within 30-60 minutes) — a structurally DIFFERENT mechanism than 4H 'revert to fair value' MR. (b) BTC AS UNDERLYING — the most liquid crypto perp by 10x, with the tightest spreads and deepest order book; intraday MR works best in highly liquid markets where dislocations are quickly arbitraged back. (c) BOLLINGER BAND construct — uses 20-bar SMA + 2.5σ stddev to define an extreme excursion; this is a classic intraday-mean-reversion measure (Bollinger 1980) validated across decades of equity index futures research. (d) FEE-AWARE DESIGN — Binance USD-M perp at 0.10% RT taker fees per trade; targeting per-trade returns of 0.5-0.8% provides comfortable margin above 0.20% combined RT fee (entry + exit). DESIGN CHOICES ELIMINATING SESSION FAILURE MODES: (i) Not alt-perp trend-following (11 failures), (ii) Not cross-asset pair (class falsified at -4.86 OOS Sharpe), (iii) Not oscillator entry on 4H, (iv) Not supplementary data, (v) MAXIMALLY SIMPLE — 2 canonical Bollinger parameters (length=20, stddev=2.5). (vi) Long-only on the strongest-trending major in current regime (BTC has had positive 2024/2025/2026 due to ETF flows) — the dip-buying direction aligns with macro BTC bull regime.