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Adriano 58fc10de77 research tracks H+I: volume/vol/range + alt-momentum/reversal (both NEGATIVE for alpha)

- trackH volume_vol: no uncorrelated additive edge; profitable signals are trend-in-disguise
  (corr 0.6-0.75); MR/declining-volume fade dead even at fee 0; OBV-up filter is a defensive
  DD overlay only (13.3->10.1% DD but -CAGR), not new alpha
- trackI momentum/reversal: no formulation beats 1-3-6m sign-blend OOS on both assets;
  z-score continuous momentum = same edge (corr 0.96), lower DD 8.4% but lower CAGR;
  long-horizon reversal not bankable (negative/flat standalone). ~1.3 Sharpe ceiling holds.
- TP01 (12h sign-blend) remains the deployable winner

2026-06-19 21:22:49 +02:00

4.5 KiB

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Track H — Volume, Range & Volatility-Regime signals (BTC/ETH, certified, >=12h)

Date: 2026-06-19 Script: scripts/research/trackH_volume_vol.py (runnable, self-contained) Question: does any volume / range / volatility-regime signal ADD to the deployed winner TP01 (vol-targeted trend portfolio, 12h, Sharpe ~1.32) — i.e. net-positive OOS on BOTH BTC & ETH AND uncorrelated (|corr|<~0.3) — OR work as a regime filter that lifts TP01's Sharpe / cuts its DD?

Method (honest)

Same causal per-bar engine as TrendPortfolio.net_returns: build a continuous TARGET decided with data <= close[i], HOLD it during bar i+1 (pos_held[t]=target[t-1]), gross = pos×ret, fee on |Δpos|. Identical in spirit to harness.backtest_signals (decide≤close[i], fill at close[i]); two discrete signals cross-checked through backtest_signals directly.
All features (volume z-score, OBV, ranges, realized vol) use prior/rolling windows shifted so bar i sees only <= i. 12h/1d resampled from certified 1h via resample_tf (label='left'), consumed index-based with the +1 hold → no open-label leak.
Fee 0.10% RT baseline + sweep 0.00–0.40% RT. OOS 65/35 + per-year. Grid on BOTH assets. Turnover and correlation-to-TP01 reported for every signal.
>=12h only (12h + 1d). Sub-12h excluded per the standing lesson (fees + HF-noise overfit + the 4h open-label look-ahead trap).

Signals tested

VT-long (volatility-managed long), VolBreakout (volume-z-confirmed Donchian), OBV-trend, VW-mom (volume-weighted momentum), RangeExpand (range-expansion breakout), NR7-break (narrowest-range breakout), DeclVolRev (declining-volume fade/reversal). Plus regime overlays on TP01: keep-low-vol, keep-high-vol, vol-managed ×1.5, OBV-up confirmation.

Results (12h headline, fee 0.10% RT)

signal	corr→TP01	OOS Sharpe BTC/ETH	note
VT-long	0.66 / 0.69	0.80 / 0.14	trend-in-disguise; weak OOS ETH
VolBreakout	0.69 / 0.71	0.54 / 0.49	profitable but correlated
OBV-trend	0.61 / 0.63	0.96 / 0.68	profitable but correlated; turnover ~75/yr
VW-mom	0.64 / 0.67	0.98 / 0.74	basically TSMOM; correlated
RangeExpand	0.48 / 0.49	0.37 / 1.04	lower corr but BTC weak; ETH negative on 1d
NR7-break	0.48 / 0.49	0.79 / 0.02	fails OOS on ETH
DeclVolRev	-0.15 / -0.11	-1.15 / -0.44	negative even at zero fee

Grid robustness (12h, % cells positive full+OOS on both assets): VW-mom 100%, VT-long 100%, VolBreakout 96%, RangeExpand 96%, OBV-trend 75% — but the robust ones are precisely the ones that are highly correlated to TP01. Fee sweep: trend-family signals survive to 0.40% RT; DeclVolRev gets worse with fees (it trades constantly).

Regime filters on TP01 (12h, 50/50 portfolio)

variant	full Sharpe	OOS Sharpe	maxDD	CAGR	turn/y
TP01 baseline	1.32	0.90	13.3%	16.2%	11.5
× keep LOW-vol	0.94	1.11	14.1%	7.7%	9.5
× keep HIGH-vol	0.98	0.18	9.9%	7.9%	4.9
× vol-managed ×1.5	1.33	0.96	17.9%	18.1%	15.4
× OBV-up only	1.49	1.04	10.1%	14.4%	18.2

OBV-up filter across EMA span: full Sharpe 1.49–1.52 (span 15–30), DD 7–10%, but OOS gain is marginal (0.90→1.04 at span 30) and fades for span≥45 (OOS 0.69–0.73). It cuts ~2pp CAGR and raises turnover ~60%.

Verdict (honest)

No uncorrelated additive edge exists. Every profitable volume/range/vol signal is trend in disguise (corr 0.61–0.75 to TP01) → cannot raise the 50/50 portfolio Sharpe. The genuinely lower-corr signals (RangeExpand, NR7 ~0.48) fail OOS on at least one asset.
Mean-reversion / declining-volume fade is dead — negative net AND at zero fee on both assets. Reconfirms the v2.0.0 contamination lesson; MR is not a real edge on certified data.
Vol-regime gating hurts (keep-low / keep-high both drop Sharpe to ~0.95). The vol-managed overlay is Sharpe-neutral but DD-worse.
The only non-harmful overlay is OBV-up trend-confirmation: it cuts DD (13.3%→10.1%) and nudges full Sharpe to ~1.49, but it is trend double-confirmation (de-risking), not new alpha; it costs CAGR, raises turnover, and the OOS Sharpe gain is within noise and span-sensitive. It is worth keeping in mind as a defensive DD overlay, not as a Sharpe improver.
Bottom line: the ~1.3 portfolio-Sharpe ceiling on BTC/ETH-only holds. TP01 stays the deployable winner. Volume/range/vol add nothing uncorrelated.

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