From 29462ba2011dc46adcb2eaa4888f5e091f07f910 Mon Sep 17 00:00:00 2001 From: Stanley Isaac Date: Tue, 19 May 2026 16:56:30 +0000 Subject: [PATCH] Add idea 079: AVAXUSDT regime-aware momentum 30m --- ...-079-avaxusdt-regime-aware-momentum-30m.md | 44 +++++++++++++++++++ 1 file changed, 44 insertions(+) create mode 100644 ideas/idea-079-avaxusdt-regime-aware-momentum-30m.md diff --git a/ideas/idea-079-avaxusdt-regime-aware-momentum-30m.md b/ideas/idea-079-avaxusdt-regime-aware-momentum-30m.md new file mode 100644 index 0000000..91a9ed0 --- /dev/null +++ b/ideas/idea-079-avaxusdt-regime-aware-momentum-30m.md @@ -0,0 +1,44 @@ +# Idea 079: AVAXUSDT Regime-aware momentum + +## Summary + +Document a PyP Quant strategy candidate for AVAXUSDT on 30m candles using a SGDClassifier approach focused on regime-aware momentum. + +## Market Hypothesis + +AVAXUSDT may show repeatable behavior when regime-aware momentum conditions align with volatility, trend, and recent structure filters. The first implementation should stay conservative and treat this as an educational research candidate, not a production trading recommendation. + +## Candidate Features + +- Recent return over 3, 6, and 12 bars. +- ATR-normalized candle range and close location value. +- Rolling volatility percentile over 50 and 200 bars. +- Distance from EMA 20, EMA 50, and EMA 200. +- Session flag or market-hours bucket where applicable. +- Prior swing high and swing low distance. + +## Label Design + +- Predict whether the forward 30m move exceeds an ATR-normalized threshold. +- Use neutral labels when the forward return is too small to justify risk. +- Tune the horizon separately for trend, range, and scalp variants. + +## Risk Controls + +- Require minimum confidence before emitting UP or DOWN. +- Block signals during abnormal spread, missing candles, or low-liquidity windows. +- Cap exposure per instrument and stop after a daily drawdown limit. +- Validate stop-loss and take-profit levels with PPE simulation before live use. + +## Backtest Checklist + +- Compare against HOLD and simple moving-average baselines. +- Run walk-forward splits with no future leakage. +- Inspect trade count, profit factor, max drawdown, win rate, and average adverse excursion. +- Review behavior by session, volatility regime, and weekday. + +## Implementation Notes + +This idea is intentionally Markdown-only. A future template can add `strategy.py`, `quant.config.json`, and a focused README once PPE results justify turning the idea into executable code. + +Closes #157