Crypto Multi-Day Trend
candidateMulti-day (24–72h) trend-following hold on crypto spot, targeting a 5–10% move that dwarfs Alpaca’s fixed ~0.75% round-trip cost. Enters an established daily-scale uptrend (price above a ~1-day EMA) confirmed by multi-hour momentum, but NOT overextended above trend. Directly trades the feasibility-screen finding that the horizon — not the venue — was the wall; the longer-horizon successor to alt-swing.
Pros
- + Trades the feasibility-screen result head-on: at a 1-day hold the median move already clears the taker hurdle for every symbol (66–81% oracle clear-rate).
- + Drops the tick-level flow gate that Round 2 proved is noise and was the wall on every directional arm — trend regime + slow momentum instead.
- + A 5–10% target makes the fixed ~0.75% cost negligible (~10× margin), so cost is no longer the binding constraint.
Cons
- − Multi-day holds carry real overnight/weekend gap and regime-change exposure a scalp never saw — the wide stop is the only protection between rebalances.
- − Very few, very large trades ⇒ slow statistical convergence; judging this needs a multi-week soak, not an overnight one.
- − Trend-following buys strength, which whipsaws in range-bound regimes; the extension cap and momentum gate only partly mitigate this.
- − Long warmup: the ~1-day trend EMA + 12h momentum lookback mean a symbol records no entries until it has ~1 day of bars.
Rejection gate
Reject if, after ≥30 closed trades, net-of-cost expectancy is ≤ 0, OR if it fails to beat a random-time-matched control holding the same symbols for the same horizon (i.e. the trend/momentum filter adds nothing over just being long the horizon).
Entry gate funnel (last 24h)
No gate telemetry yet — the engine flushes funnel windows every few minutes while running.
Adjustable parameters
The multi-day regime filter; price above it is the uptrend gate. 1440 ≈ 1 day. · candidate range 720–2880 (12h–2d)
Window for the trend-strength return; replaces the noisy tick-flow gate. · candidate range 360–1440 (6h–1d)
Require the trend to be underway over the lookback — buy strength, not flatness. · candidate range 1–4%
Skip vertical blow-offs a multi-day hold would give straight back. · candidate range 5–12%
Permissive mover floor; re-derive against the live vol distribution each run. · candidate range 0.03–0.1%
Wide — a multi-day hold needs room to survive intraday noise. · candidate range 3–6%
The whole point: a large move against which the fixed ~0.75% cost is negligible. · candidate range 5–10%
Skip abnormally wide/stale markets. · candidate range symbol-relative
Multi-day horizon — the regime the feasibility screen showed is viable on Alpaca. · candidate range 24–72h
Avoid stacking correlated re-entries on the same trend. · candidate range 4–12h
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