Extracted algorithm research record
ETH Momentum Breakout
A volatility-squeeze momentum breakout strategy for major crypto tokens.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 80.0/100. Neither is a performance result.
Names identify source records. Inclusion is not an endorsement or a claim of authorship, ownership or reuse permission. Check the source license before reusing any implementation.
Extraction warnings
Claim warnings
- HIGH PROFIT FACTOR: claimed 3.08. Treat as an in-sample or curve-fitted figure until reproduced out of sample.
- VERY THIN SAMPLE: 12 trades. Performance figures over so few trades are indistinguishable from luck.
Recorded market & execution profile
- Recorded markets
- ETHUSDT
- Recorded timeframes
- 1H–8H
- Recorded sessions
- Not specified
- Recorded regime
- breakout
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| Bollinger Bands | {"length": 20, "mult": 2} | close |
| Keltner Channels | {"length": 20, "mult": 1.5} | close |
| SMA | {} | close |
| RSI | {"period": 14} | close |
Extracted strategy rules
Recorded long-entry rules
- Volatility Squeeze — Bollinger Bands compress inside Keltner Channels for ≥3 bars
- Breakout Confirmation — price breaks BB + 0.3× ATR margin, candle body ≥40% of range
- Momentum — linear regression of price vs SMA positive and accelerating
- Volume Spike — volume > 1.8× 20-period SMA
- RSI Filter — RSI(14) below 75
- Daily Regime Filter — price within 35% of 200-EMA, ATR in normal range
- Cooldown — 12-bar wait after each exit
Recorded short-entry rules
- Not specified in the extracted record.
Recorded exit rules
- Peak-retrace trailing exit (tracks highest close since entry)
Recorded filters
- Cooldown — 12-bar wait after each exit
- Stop loss
- 2.0× ATR
- Take profit
- 3.5× ATR
- Position sizing
- Not specified
Questions about this record
What entry rules are recorded for ETH Momentum Breakout?
Long: Volatility Squeeze — Bollinger Bands compress inside Keltner Channels for ≥3 bars Breakout Confirmation — price breaks BB + 0.3× ATR margin, candle body ≥40% of range Momentum — linear regression of price vs SMA positive and accelerating Volume Spike — volume > 1.8× 20-period SMA RSI Filter — RSI(14) below 75 Daily Regime Filter — price within 35% of 200-EMA, ATR in normal range Cooldown — 12-bar wait after each exit Short: Not specified. These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: ETHUSDT. Timeframes: 1H–8H. These are source-recorded labels, not verified execution behavior.