Momentum Breakout LONG

Overview

Momentum Breakout LONG was designed to capture strong upward moves by entering when price breaks above the 20-candle highest high with volume confirmation and an uptrend filter.

How It Worked

1. Breakout Detection — Price closes above 20-candle high
2. Volume Confirmation — Volume >= 2.0x average
3. Trend Filter — EMA confirms uptrend
4. Enter Long — With 5% SL, 10% TP (R:R 1:2)

Why It Failed

Metric	Expected	Actual
Win Rate	>50%	37.5%
Break-even Win Rate	71.4%	-
Profit Factor	>1.0	0.42
Total PnL	Positive	-$14,115

The strategy needed a 71.4% win rate to break even with its R:R profile. At 37.5%, it was mathematically guaranteed to lose money.

Root Cause Analysis

1. Look-ahead bias in initial backtest — Early tests showed +400% returns due to a subtle coding error (using current candle data instead of previous)
2. Crypto LONG structural weakness — In the 2024-2026 bear/sideways market, momentum longs get caught in mean reversion repeatedly
3. 18 LONG strategies tested, ALL failed — This wasn’t a parameter problem. LONG momentum in crypto has no edge in the current regime

The $14,000 Lesson

This failure was one of our most expensive lessons. But it was also one of our most valuable:

“If you can’t prove it survives 2+ years of out-of-sample data, don’t trade it.”

We now require minimum 2 years of backtest data across 500+ coins before any strategy goes live.

Status: KILLED

Killed on 2026-02-05 after comprehensive 5-expert analysis confirmed negative expected value. The loss data is preserved in our Strategy Graveyard as a permanent reminder.