Momentum Breakout LONG

Scope note (2026-07-13): the numbers in this journal (WR 37.5 / PF 0.42) are from the original full-universe run at its registry config. The current simulator card re-measures at the top-10 signal coins with card defaults and shows a milder near-breakeven loss (PF 0.98). Scope changes the number — the kill verdict holds in both.

Overview

Momentum Breakout LONG was designed to capture strong upward moves by entering when price breaks above the highest close of the previous 20 candles with volume confirmation and an uptrend filter.

How It Worked

1. Breakout Detection — Price closes above the highest close of the previous 20 candles
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	33.3%	-
Profit Factor	>1.0	0.42
Total PnL	Positive	Negative

With SL 5% / TP 10%, the break-even win rate is 33.3% (5 / (10 + 5)). At 37.5%, the strategy actually cleared that bar — and still lost money: fees and timeout exits (positions closed at market after the max hold, often at losses between SL and TP) dragged the profit factor down to 0.42. The R:R math was not the killer; the realized exit distribution and costs were.

Root Cause Analysis

1. Look-ahead bias in initial simulation — 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

Why It Was Killed

This failure was one of our most important 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 is considered verified.

Scope note (2026-08-11): The “500+ coins” bar above was written against the Binance-era universe (~530 coins). After the OKX migration (~230 coins), the operative verified bar was updated to an OOS + walk-forward gate measured on api.pruviq.com — the coin-count threshold is no longer the gate. The principle (2+ years of out-of-sample proof) is unchanged; the specific number reflects the Binance era and does not contradict the current smaller OKX universe.

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.