BB Squeeze SHORT

BB Squeeze SHORT is a volatility expansion strategy that detects when Bollinger Band width contracts below its own moving average (the “squeeze”), then enters a short position when the bands expand. The core idea: after extreme compression, markets tend to make large directional moves.

Status: CONDITIONAL (re-classified 2026-08-17). The 2026-06-28 retirement stands as history; a later 3-value verdict re-classified it conditional — the both-window PF edge is real (IS 1.29 / OOS 1.08) but half-year walk-forward shows 2 structural loss halves, so it is not usable standalone without regime awareness. The earlier retirement remains in the history below; the current verdict is conditional. What follows is the history that led there.

Retirement verdict (2026-06-28). This preset was previously presented as verified on the strength of the Binance-era backtest below. A fresh out-of-sample re-test (product engine) failed it on three adversarial axes in choppy / range-bound (CHOP) regimes: the headline PF was bear-beta plus regime luck, not a standalone short edge. The backtest numbers remain reproducible and are kept here for the record, but we no longer claim a live directional edge — this is now a documented failure, not a recommendation.

1. Detect Squeeze — BB width contracts below 0.8x its own 10-period moving average
2. Wait for Expansion — BB width must increase >= 10% from squeeze state
3. Volume Confirmation — Volume must be >= 2.0x the 10-period average
4. Enter Short — Only during allowed hours (excludes 7 low-edge UTC hours)
5. Risk Management — SL 10%, TP 8%, max hold 48 hours

Scope note (corrected 2026-09-25): the numbers on this page (WR 68.6%, PF 2.22, 2,898 trades) come from the original Binance-era run on 535 coins (Dec 2023–Feb 2026). An earlier version of this note said the page’s coins: 235 was the OKX universe of a 2026-04-10 re-measure — there was no such re-measure: 235 was the OKX roster count copied in on 2026-05-02, and the metrics have not changed since February. Today’s coin list is on /coins.

• Total Trades: 2,898
• Win Rate: 68.6%
• Profit Factor: 2.22
• Average Win: +4.8%
• Average Loss: -5.2%
• SL Hit Rate: 7.5%
• TP Hit Rate: 42%
• TIMEOUT Rate: 50.5%

We originally tested both LONG and SHORT variants and the SHORT side looked far stronger in the Binance-era sample:

• BB Squeeze SHORT: +$794, 68.6% win rate
• BB Squeeze LONG: -$26, 51.0% win rate
• Momentum LONG: Negative PnL, 37.5% win rate

At the time we read this as short-side mean reversion having a consistent edge in the 2024–2026 market structure. The 2026-06-28 re-test reframes it: the 2024–2026 window was a falling/choppy market, so the SHORT advantage is largely bear-beta — a short book wins because price fell, not because the squeeze filter found a durable edge. The LONG result simply confirms there was no upside edge either.

1. The SL/TP setting is archived, its evidence is not — TP 8% / SL 10% came out of a sweep whose ledger was not kept, so this page states the setting without an improvement figure
2. The time filter is inherited, not validated — the 7 blocked UTC hours came from the pre-PRUVIQ AutoTrader bot’s configuration with no recorded rationale, and random 7-hour controls show no significant difference (n=6). The headline numbers are conditional on it, which is why we disclose it rather than claim it as an edge.
3. Volume is not optional — Without the 2.0x filter, false signals dominate
4. 48-hour timeout is optimal — Tested 30+ early exit variations, all underperformed

Scope note (2026-08-20): the costs below are the archived Binance-era run’s parameters (Dec 2023–Feb 2026), kept as a historical record — the same scope as the 535-coin note above. They are not what the live simulator charges today: the current engine applies 0.05% taker fee per side and slippage tiered by liquidity (0.05% Top-50 / 0.10% Top-200 / 0.20% for the rest), documented on /methodology/. The retirement verdict holds under both cost models.

All results include realistic trading costs: 0.04% futures fee per side (0.08% round-trip) and 0.02% estimated slippage per trade. Position sizing: $60 per trade with 5x leverage. These costs are deducted from every simulated trade — no cherry-picking.

The Binance-era backtest is reproducible across 535 coins and 2+ years of hourly data — that part still holds. But a fresh out-of-sample re-test killed the SHORT result on 3 adversarial axes in choppy markets: the edge was bear-beta and regime luck, not a standalone directional skill. We are keeping this page as a documented failure rather than deleting it. Default configuration shown ($60 per trade, 5x leverage, hourly scans) is what was tested; you can still run the simulation yourself, but do not treat this as a confirmed live edge.