Trading Research Share Report
Batch pass_three_20260311_bounded · Last updated 2026-03-11T09:52:09Z
Executive summary
- This batch is an early research readout rather than a final strategy verdict.
- The least bad average segment was Breakout on 1h data at -0.43%.
- The weakest average segment was Mean Reversion on 1h data at -8.90%.
- The best run that actually traded was Breakout · BTC · 1h · range 24 / hold 6 with total return 2.16%.
- Interpret these as research signals about direction and quality, not as production-ready trading systems.
Best trading run in this batch: Breakout · BTC · 1h · range 24 / hold 6
Assets covered
3
BTC, ETH, SOL
Total experiment runs
24
Research batch
Best observed return
2.16%
Including all runs
Scope and assumptions
Exchange: binance
Fee: 10.0 bps
Slippage: 5.0 bps
This report summarizes research tests on BTC, ETH, and SOL using 15m, 1h data, with 4h available as higher-timeframe context. The goal is not to prove a strategy works, but to learn which directions deserve deeper study.
Average return by strategy and timeframe
Mean Reversion / 15m
-2.25%
Mean Reversion / 1h
-8.90%
Current research conclusions
This batch was used to decide whether more selective signals and larger timeframes improved the baseline results.
- 5m baseline strategies currently look weak under the present cost assumptions.
- 15m results are generally less bad than 5m results in the current baseline suite.
- Breakout currently appears less bad than momentum and mean reversion in the first pass.
- These are baseline findings, not final conclusions.
Show detailed conclusions and decision trail
- This pass moved away from raw zero-threshold signals and toward more selective entries.
- The strongest average strategy/timeframe bucket was Breakout on 1h at -0.43%.
- The weakest average bucket was Mean Reversion on 1h at -8.90%.
- Across timeframes, 15m held up best on average at -2.35%, while 1h was weakest at -4.66%.
- We now have genuinely positive runs, led by Breakout · BTC · 1h · range 24 / hold 6 at 2.16%. That is a real improvement over the first pass.
- The decision to move forward now comes from selective evidence rather than broad optimism: a few setups are starting to survive trading costs.
- The next direction should emphasize the most promising lanes rather than another broad sweep: 1h breakout and higher-threshold mean reversion deserve more attention than raw momentum.
- This decision trail matters because the project is intentionally trying to learn honestly from negative as well as positive evidence.
Top 10 runs
Best-performing runs in this batch, still subject to the current assumptions and sample window.
| Run | Trades | Total Return | Drawdown | Win Rate | Profit Factor |
|---|
| Breakout · BTC · 1h · range 24 / hold 6 | 4 | 2.16% | -0.69% | 50.00% | 4.042 |
| Breakout · BTC · 1h · range 12 / hold 3 | 5 | 0.25% | -2.17% | 40.00% | 1.110 |
| Breakout · ETH · 1h · range 24 / hold 6 | 2 | 0.17% | -0.32% | 50.00% | 1.532 |
| Breakout · ETH · 1h · range 12 / hold 3 | 4 | -0.17% | -3.34% | 50.00% | 0.951 |
| Mean Reversion · BTC · 15m · lookback 6 / hold 4 | 5 | -0.73% | -1.00% | 40.00% | 0.275 |
| Mean Reversion · SOL · 15m · lookback 6 / hold 4 | 5 | -0.78% | -1.73% | 60.00% | 0.551 |
| Mean Reversion · ETH · 15m · lookback 6 / hold 4 | 3 | -0.92% | -1.03% | 33.33% | 0.110 |
| Breakout · SOL · 15m · range 24 / hold 6 | 3 | -1.35% | -1.52% | 66.67% | 0.112 |
| Breakout · BTC · 15m · range 24 / hold 6 | 3 | -1.58% | -1.58% | 0.00% | 0.000 |
| Mean Reversion · ETH · 15m · lookback 3 / hold 2 | 8 | -1.86% | -2.52% | 25.00% | 0.267 |
Bottom 10 runs
Weakest runs in this batch. These are useful because they show what clearly did not work in this pass.
| Run | Trades | Total Return | Drawdown | Win Rate | Profit Factor |
|---|
| Mean Reversion · SOL · 1h · lookback 3 / hold 2 | 48 | -13.72% | -16.39% | 25.00% | 0.495 |
| Mean Reversion · ETH · 1h · lookback 3 / hold 2 | 42 | -11.79% | -11.88% | 42.86% | 0.452 |
| Mean Reversion · SOL · 1h · lookback 6 / hold 4 | 25 | -10.56% | -12.34% | 32.00% | 0.431 |
| Mean Reversion · BTC · 1h · lookback 3 / hold 2 | 44 | -8.73% | -11.79% | 31.82% | 0.574 |
| Mean Reversion · BTC · 15m · lookback 3 / hold 2 | 12 | -4.67% | -5.76% | 16.67% | 0.199 |
| Mean Reversion · SOL · 15m · lookback 3 / hold 2 | 15 | -4.56% | -6.38% | 33.33% | 0.313 |
| Mean Reversion · BTC · 1h · lookback 6 / hold 4 | 19 | -4.53% | -8.54% | 26.32% | 0.619 |
| Mean Reversion · ETH · 1h · lookback 6 / hold 4 | 21 | -4.09% | -9.48% | 47.62% | 0.695 |
| Breakout · ETH · 15m · range 12 / hold 3 | 5 | -3.69% | -3.69% | 0.00% | 0.000 |
| Breakout · BTC · 15m · range 12 / hold 3 | 6 | -3.52% | -3.52% | 0.00% | 0.000 |
How to read this report
This batch evaluates three strategy families across 15m, 1h, with 4h data reserved for context/regime use.
- Data basis / timeframe: the actual experiments in this report are based on 15m, 1h bar data, with 4h available as higher-timeframe context.
- Momentum means buying after a recent upward move and testing whether that move continues.
- Mean Reversion means buying after a sufficiently large adverse move and testing whether price snaps back.
- Breakout means buying when price clears a recent range by more than a minimum amount, on the assumption that the move may be starting a new leg.
- lookback <number> is how many bars backward the strategy looks when measuring the recent move or condition.
- hold <number> is how many bars the position is held after entry before exit in this simplified backtest.
- Trades is the number of completed trades the strategy actually took during the tested period.
- Total Return is the cumulative strategy result across the full tested period, after the current fee and slippage assumptions.
- Drawdown is the worst peak-to-trough decline of the strategy equity during the run.
- Win Rate is the fraction of completed trades that were profitable.
- Profit Factor is gross profit divided by gross loss; above 1 is generally better, below 1 means losses outweighed gains.
- Thresholds were added because the first-pass raw strategies traded too often and were too easily overwhelmed by costs.
- Fees and slippage are included in all runs, so results reflect friction rather than idealized fills.