2026-11-01
(UTC)Range-bound BTC intraday with alternating breadth cycles; short momentum pockets outperformed, several long momentum buckets lost heavily
Executive summary
Market: Market stayed 1h 'range' all day while breadth oscillated between expansion, contraction and recovery; participation moved between BTC-led risk-off and broad risk-off states.
Perf: Short momentum rotations produced most positive theoretical PnL (several phase clusters); several long momentum strategies produced concentrated losses today (theoretical PnL, fees/funding excluded).
- Throughout the UTC day BTC 1h bias remained 'range' while breadth and participation cycled across ten rule-based phases.
- Short-direction momentum_rotation variants netted positive theoretical PnL overall; long-direction variants netted material theoretical losses.
- CatchTheWave long showed large negative concentration in contraction/recovering phases but a strong positive pocket in one late recovering phase.
- Several poor long outcomes were concentrated in a small set of trades/phases (outliers present).
- All PnL cited is theoretical (Trade.pnl_amount / pnl_percentage) and excludes fees and funding.
Market phases (10)
| Phase | Start | End | Duration | BTC bias 1h | Breadth state | Participation | Mean breadth | Max transition risk |
|---|---|---|---|---|---|---|---|---|
| P1_range_expanding_btc_led_risk_off | 00:01:27+00:00 | 01:01:19+00:00 | 75 min | range | expanding | btc_led_risk_off | 0.640 | 0.370 |
| P2_range_stable_btc_led_risk_off | 01:16:20+00:00 | 02:31:08+00:00 | 90 min | range | stable | btc_led_risk_off | 0.692 | 0.370 |
| P3_range_contraction | 02:46:08+00:00 | 05:31:10+00:00 | 180 min | range | contracting | mixed_dispersion | 0.520 | 0.370 |
| P4_range_expanding_btc_led_risk_off | 05:46:21+00:00 | 07:01:18+00:00 | 90 min | range | expanding | btc_led_risk_off | 0.730 | 0.370 |
| P5_range_stable_mixed_dispersion | 07:16:10+00:00 | 12:01:23+00:00 | 300 min | range | stable | mixed_dispersion | 0.559 | 0.370 |
| P6_range_contraction | 12:16:37+00:00 | 13:31:04+00:00 | 90 min | range | deteriorating | broad_risk_off | 0.313 | 0.370 |
| P7_range_recovering_mixed_dispersion | 13:46:02+00:00 | 16:30:58+00:00 | 180 min | range | recovering | mixed_dispersion | 0.443 | 0.370 |
| P8_range_contraction | 16:45:59+00:00 | 19:01:12+00:00 | 150 min | range | deteriorating | broad_risk_off | 0.204 | 0.370 |
| P9_range_stable_broad_risk_off | 19:16:08+00:00 | 20:31:01+00:00 | 90 min | range | stable | broad_risk_off | 0.095 | 0.370 |
| P10_range_recovering_broad_risk_off | 20:45:58+00:00 | 23:46:01+00:00 | 195 min | range | recovering | broad_risk_off | 0.331 | 0.370 |
Transitions
-
01:16 —
P1_range_expanding_btc_led_risk_off→P2_range_stable_btc_led_risk_off: breadth_state shifted from expanding -> stable (mean_breadth_score fell slightly); participation_state remained btc_led_risk_off; btc_bias_1h stayed 'range'. -
02:46 —
P2_range_stable_btc_led_risk_off→P3_range_contraction: breadth_state shifted stable -> contracting (mean_breadth_score decreased); participation_state moved btc_led_risk_off -> mixed_dispersion; btc_bias_1h unchanged. -
05:46 —
P3_range_contraction→P4_range_expanding_btc_led_risk_off: breadth_state contracted -> expanding (breadth_score rose); participation_state shifted mixed_dispersion -> btc_led_risk_off; btc_bias_1h stayed 'range'. -
07:16 —
P4_range_expanding_btc_led_risk_off→P5_range_stable_mixed_dispersion: breadth_state expanding -> stable; participation_state moved btc_led_risk_off -> mixed_dispersion; btc_bias_1h remained 'range'. -
12:16 —
P5_range_stable_mixed_dispersion→P6_range_contraction: breadth_state stable -> deteriorating/contracting (sharp drop in mean_breadth_score); participation_state shifted mixed_dispersion -> broad_risk_off; btc_bias_1h unchanged. -
13:46 —
P6_range_contraction→P7_range_recovering_mixed_dispersion: breadth_state deteriorating -> recovering (delta_breadth_1h turned positive on average); participation_state moved broad_risk_off -> mixed_dispersion; btc_bias_1h stayed 'range'. -
16:45 —
P7_range_recovering_mixed_dispersion→P8_range_contraction: breadth_state recovering -> deteriorating/contracting (mean_breadth_score declined); participation_state shifted mixed_dispersion -> broad_risk_off; btc_bias_1h remained 'range'. -
19:16 —
P8_range_contraction→P9_range_stable_broad_risk_off: breadth_state contracting -> stable (breadth_score bottomed then flattened); participation_state remained broad_risk_off; btc_bias_1h unchanged. -
20:45 —
P9_range_stable_broad_risk_off→P10_range_recovering_broad_risk_off: breadth_state stable -> recovering (mean_delta_breadth_1h turned positive); participation_state stayed broad_risk_off; btc_bias_1h stayed 'range'.
Strategy performance analysis
momentum_rotation_v2
short
strong
Evidence: 33 closed trades, win_rate 66.67%, theoretical pnl_amount_sum 22.6497 (Trade.pnl_amount; theoretical; fees and funding excluded). Mean duration 244 min; time-expired exits visible.
Caveats: No low sample caveat. Some exits were time-based; review concentration across assets to check whether a few large winners dominate aggregated pnl.
momentum_rotation_score
short
positive
Evidence: 25 closed trades, win_rate 60.0%, theoretical pnl_amount_sum 3.93 (theoretical; fees and funding excluded). Mean duration 175 min; all exits 'time_expired'.
Caveats: Sample size moderate. PnL magnitude modest relative to trade count; check whether a few trades produced the net positive result.
CatchTheWave
short
neutral
Evidence: 3 closed trades, win_rate 33.33%, theoretical pnl_amount_sum -0.2622 (theoretical; fees and funding excluded). Mean duration 36 min.
Caveats: low sample size — not statistically meaningful. Results concentrated in 3 trades; treat as inconclusive.
momentum_pullback_v1
long
neutral
Evidence: 2 closed trades, win_rate 50.0%, theoretical pnl_amount_sum -2.2875 (theoretical; fees and funding excluded). Mean duration 217 min.
Caveats: low sample size — not statistically meaningful. Two trades do not support a stable performance assessment.
BosPullback
short
poor
Evidence: 1 closed trade, win_rate 0%, theoretical pnl_amount_sum -8.0585 (theoretical; fees and funding excluded). Mean duration 118 min.
Caveats: low sample size — not statistically meaningful. Single-trade loss may be an outlier.
momentum_rotation_score
long
poor
Evidence: 34 closed trades, win_rate 38.24%, theoretical pnl_amount_sum -25.9544 (theoretical; fees and funding excluded). Mean duration 172 min; almost all exits were time-based.
Caveats: Sample size adequate. Losses were broad across trades rather than a single outlier, suggesting systematic underperformance for long leg today.
BalanceBreakoutRegime
short
poor
Evidence: 5 closed trades, win_rate 20.0%, theoretical pnl_amount_sum -31.766 (theoretical; fees and funding excluded). Mean duration 326 min.
Caveats: Sample size borderline (5 trades). PnL concentrated in losses — review whether position sizing or a single large loss dominated aggregated result.
PavLongMomentum4h
long
poor
Evidence: 6 closed trades, win_rate 0%, theoretical pnl_amount_sum -36.9425 (theoretical; fees and funding excluded). Mean duration 616 min; trailing MA exits recorded.
Caveats: Sample size moderate. Long durations and systematic losses suggest strategy struggled in today's breadth contraction periods.
momentum_rotation_v2
long
poor
Evidence: 38 closed trades, win_rate 42.11%, theoretical pnl_amount_sum -41.7968 (theoretical; fees and funding excluded). Mean duration 285 min; many time-expired exits.
Caveats: Sample size robust. Losses were distributed across many trades; check whether long selection suffered from regime-specific adverse outcomes.
CatchTheWave
long
poor
Evidence: 47 closed trades, win_rate 27.66%, theoretical pnl_amount_sum -63.0802 (theoretical; fees and funding excluded). Mean duration 35 min.
Caveats: Sample size robust. Losses concentrated in specific phases (see phase cross-view); presence of both large clusters of losers and a late positive pocket suggests state-dependence.
BosPullback
long
poor
Evidence: 13 closed trades, win_rate 0%, theoretical pnl_amount_sum -103.961 (theoretical; fees and funding excluded). Mean duration 802 min.
Caveats: Sample size moderate. All trades lost; check whether signals were exposed to adverse breadth/participation states or a few large position-size losses.
Strategy × Phase cross-view
| Strategy | Dir | Phase | Trades | Win rate | PnL sum | PnL% mean |
|---|---|---|---|---|---|---|
| CatchTheWave | long | P8_range_contraction | 11 | 0.0% | -87.56 | -0.414 |
| CatchTheWave | long | P7_range_recovering_mixed_dispersion | 8 | 0.0% | -64.46 | -0.618 |
| CatchTheWave | long | P10_range_recovering_broad_risk_off | 5 | 80.0% | 56.76 | 0.802 |
| BosPullback | long | unknown_phase | 5 | 0.0% | -40.08 | -1.319 |
| BosPullback | long | P6_range_contraction | 4 | 0.0% | -31.90 | -1.536 |
| CatchTheWave | long | P6_range_contraction | 2 | 100.0% | 31.88 | 0.695 |
| BosPullback | long | P5_range_stable_mixed_dispersion | 3 | 0.0% | -24.00 | -1.809 |
| BalanceBreakoutRegime | short | P9_range_stable_broad_risk_off | 3 | 0.0% | -23.75 | -1.129 |
| momentum_rotation_v2 | short | P1_range_expanding_btc_led_risk_off | 4 | 25.0% | -22.35 | -3.338 |
| momentum_rotation_v2 | long | unknown_phase | 7 | 28.6% | -22.28 | -1.870 |
| momentum_rotation_v2 | short | P5_range_stable_mixed_dispersion | 7 | 100.0% | 19.30 | 2.200 |
| CatchTheWave | short | P8_range_contraction | 1 | 100.0% | 16.10 | 2.147 |
| CatchTheWave | long | P3_range_contraction | 4 | 50.0% | 16.02 | 0.040 |
| PavLongMomentum4h | long | P3_range_contraction | 2 | 0.0% | -15.98 | -3.108 |
| momentum_rotation_score | short | P8_range_contraction | 5 | 100.0% | 15.42 | 1.976 |
| momentum_rotation_score | long | P7_range_recovering_mixed_dispersion | 4 | 0.0% | -14.38 | -2.334 |
| momentum_rotation_v2 | short | P8_range_contraction | 3 | 100.0% | 14.23 | 2.498 |
| momentum_rotation_v2 | long | P3_range_contraction | 8 | 50.0% | 10.16 | 0.137 |
| momentum_rotation_score | short | P3_range_contraction | 3 | 33.3% | -9.85 | -2.410 |
| momentum_rotation_v2 | short | P6_range_contraction | 2 | 100.0% | 9.83 | 2.485 |
| momentum_rotation_v2 | short | P7_range_recovering_mixed_dispersion | 4 | 75.0% | 8.96 | 1.659 |
| momentum_rotation_v2 | long | P1_range_expanding_btc_led_risk_off | 3 | 100.0% | 8.86 | 2.275 |
| momentum_rotation_score | long | P4_range_expanding_btc_led_risk_off | 5 | 20.0% | -8.32 | -0.863 |
| CatchTheWave | short | P4_range_expanding_btc_led_risk_off | 1 | 0.0% | -8.26 | -0.305 |
| CatchTheWave | short | P10_range_recovering_broad_risk_off | 1 | 0.0% | -8.10 | -0.682 |
| BosPullback | short | P5_range_stable_mixed_dispersion | 1 | 0.0% | -8.06 | -2.022 |
| momentum_rotation_v2 | long | P6_range_contraction | 1 | 0.0% | -8.03 | -8.530 |
| CatchTheWave | long | P4_range_expanding_btc_led_risk_off | 1 | 0.0% | -8.02 | -0.818 |
| BalanceBreakoutRegime | short | P8_range_contraction | 1 | 0.0% | -8.01 | -0.805 |
| momentum_rotation_v2 | long | P8_range_contraction | 1 | 0.0% | -8.00 | -4.262 |
Market ↔ Strategy observations
These are 1-day observational associations (phase × strategy) and do not imply persistent edges; confidence tags reflect sample size and pattern strength.
P5_range_stable_mixed_dispersion
×
momentum_rotation_v2
short
medium
Observed 7 trades in this phase with 7 wins and theoretical pnl_amount_sum +19.299; short rotation trades clustered as winners within the stable/mixed-dispersion window.
P8_range_contraction
×
momentum_rotation_score
short
high
Observed 5 trades in this phase with 5 wins and theoretical pnl_amount_sum +15.4154; short-score variant performed well in contraction snapshots.
P8_range_contraction
×
CatchTheWave
long
high
Observed 11 trades in this phase with 0 wins and theoretical pnl_amount_sum -87.5607; long CatchTheWave trades clustered large negative outcomes during this contraction phase.
P10_range_recovering_broad_risk_off
×
CatchTheWave
long
medium
Observed 5 trades in this phase with 4 wins and theoretical pnl_amount_sum +56.76; CatchTheWave long showed a late positive pocket in a recovering, broad-risk-off window.
Lessons & hypotheses
Lessons
- Range 1h bias with cycling breadth produced pockets where short-rotation variants outperformed while many long momentum buckets lost.
- Performance clustering by phase was evident: some strategies had concentrated wins/losses inside specific breadth/participation phases.
- Large negative theoretical PnL for several long strategies was concentrated in a subset of trades/phases, suggesting state-dependent vulnerability.
- All PnL discussed is theoretical (Trade.pnl_amount / pnl_pct) and excludes fees/funding; execution effects may change realized outcomes.
Testable hypotheses
- If market is in a 'range' 1h bias with 'stable' breadth and mixed_dispersion participation (P5-like), then momentum_rotation_v2 short returns are higher on average than in other phases.
- If breadth_state is 'contraction' and participation is 'broad_risk_off' (P8-like), then CatchTheWave long has lower expected returns than in recovering phases.
- If momentum_rotation_score enters short during contraction snapshots, then win_rate and per-trade pnl will be higher than its long leg's performance in the same phase.
- Do long-direction momentum strategies (PavLongMomentum4h, BosPullback, momentum_rotation_v2 long) exhibit systematically worse returns when mean_breadth_score < 0.35?
Followups
- Backtest momentum_rotation_v2 short restricted to P5-like regimes over last 180 days and compare to its cross-regime baseline.
- Analyze CatchTheWave long returns segmented by phase for the past 365 days to quantify loss pockets in contraction vs recovery.
- Measure per-trade contribution distribution for long momentum strategies today to identify outlier trades that dominate losses.
- Run an attribution study: pnl vs phase frequency to determine whether today's long losses align with higher exposure to P6/P8-like snapshots.