Retired: 2026-05-28
53%
break-even 49.7% at its realized average win/loss
re-measured (top 10 coins · 1H · 2026-10-06): 29.64%
Percentage of trades that were profitable
1.14
re-measured (top 10 coins · 1H · 2026-10-06): 0.82
Gross profit / gross loss ratio
as published (10 coins · 1H · 2026-03-27)
Marks next to a metric: ~ = borderline (PF between break-even and 1.5; win rate ≤5 pts above break-even, or 50–55% if none shown) · ! = below the bar, or the strategy is already retired or shelved — a closed verdict outranks its number. No mark = clears it and is still standing.
Loses in both the bull and the bear window of our backtest. 'Retired' in the strictest sense — no regime where it worked.
Card re-measured: 2026-10-06 · 13,308 trades analyzed
Overview
The Volume Profile POC strategy exploits the principle that price gravitates back toward the area of highest traded volume — the Point of Control (POC). When price drifts too far from the POC, the strategy enters a counter-trend position expecting reversion.
Discovered 2026-03-27 during a multi-strategy sweep on 10 coins. The original run showed near-zero correlation with the other strategies, which made it look like an independent diversifier. The important caveat: 10 coins is below our n≥30 minimum-sample standard, so this is not enough evidence to confirm an independent edge. The numbers below are reproducible but should be read as a small-sample lead, not a verified result.
How It Works
- Volume Profile — computed over a rolling 168-bar (1-week) window using only completed bars (no look-ahead bias)
- POC identification — the price level with the highest traded volume in the window
- Deviation trigger — entry fires when current price deviates >3% from POC
- LONG — price is below POC (sell pressure pushed it too far down; expect recovery)
- SHORT — price is above POC (buy pressure pushed it too far up; expect reversion)
- Exit — TP 5% / SL 2% / max-hold timeout
Why It Works (Thesis)
High-volume price levels represent market consensus — prices where the most participants are comfortable transacting. When price departs significantly from this consensus zone, it is often driven by short-term momentum or thin-liquidity moves rather than a genuine change in fair value. The 3% deviation filter keeps the strategy out of small, noisy moves. The 1-week volume window is long enough to identify stable equilibrium zones but short enough to adapt to changing market regimes.
The near-zero correlation with trend and breakout strategies would make it valuable for portfolio construction if it held up — it appears to profit during choppy, range-bound markets when trend strategies underperform. But on a 10-coin sample this remains a hypothesis, not a confirmed diversification benefit.
Results (2026-03-27 backtest)
| Metric | Value |
|---|---|
| Coins tested | 10 |
| Coins profitable | 10/10 |
| Win rate | 53.0% |
| Profit factor | 1.14 |
| Sharpe ratio | 2.76 |
| PF range | 1.02–1.37 |
OOS 6/6 windows PASS — all 6 out-of-sample rolling windows produced PF > 1.00 (range: 1.03–1.15). This was encouraging, but all of it rests on the same 10-coin universe, which is below our n≥30 minimum-sample standard — so it does not meet the bar for a confirmed edge.
Portfolio correlation ≈ 0 with the other strategies in the original run. If it holds on a larger universe, this would offer genuine diversification — but on 10 coins it is a lead, not a confirmed property.
Default Parameters
| Parameter | Value | Notes |
|---|---|---|
| Volume window | 168 bars | 1 week of 1H candles |
| Deviation threshold | 3.0% | Minimum drift from POC to enter |
| Stop loss | 2% | Tight SL appropriate for high-WR mean reversion |
| Take profit | 5% | 2.5:1 reward-to-risk ratio |
Caveats
- Insufficient sample (n=10 coins), below our n≥30 standard. The original run only ever had a small-sample lead, never a confirmed edge — the re-measurement below is what settled it.
- Thin edge (PF 1.14) — small even in the original run. Position sizing should reflect this.
- Not yet validated on the full coin universe.
- Works best in range-bound markets; may underperform during strong sustained trends.
- Not live-tracked on OKX. Backtest only.
Update (2026-08-08): retired
The numbers above are the original 2026-03-27 run (10 coins, 1H). A current measurement on the simulator’s universe reversed the sign, and this preset is now published in the failures section of the grid:
| Original (2026-03-27) | Current (2026-08-08) | |
|---|---|---|
| Profit factor | 1.14 | 0.82 |
| Win rate | 53.0% | 29.8% |
| Total return | — | -1,650.3% |
| Sharpe | — | -3.25 |
| Trades | — | 12,749 |
Source: src/config/simulator-presets.ts (volume-profile, measuredAt: 2026-08-08).
We are leaving the original numbers in place rather than overwriting them — the gap
between a small-sample lead and a full-universe measurement is the point.