20260115_035941_bitfinex_tBTCUSD_pullback_to_value.md

# Discovery Run: 20260115_035941

**Exchange:** bitfinex
**Symbol:** tBTCUSD
**Focus:** pullback to value
**Started:** Thu Jan 15 03:59:41 CET 2026

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The background task I started earlier has completed. The defensive strategy has been successfully created and saved. Here's the final summary:

## Defensive Strategy Created Successfully

**Strategy Name:** `defensive_vol_squeeze`  
**Location:** `/var/lib/scriptrunner/staging_15m/defensive_vol_squeeze.py`

### Key Characteristics

| Attribute | Value |
|-----------|-------|
| Symbol | tBTCUSD |
| Exchange | Bitfinex |
| Timeframe | 15m |
| Role | defensive |
| Strategy Type | Volatility squeeze breakout |

### Performance Summary (Training: Jan-Sep 2025)

| Metric | Value |
|--------|-------|
| Gross Return | +11.4% |
| Net Return (after slippage) | +5.5% |
| Total Trades | 102 (~11/month) |
| Max Drawdown | 1.1% |
| Win Rate | ~61% |
| Profitable Months | 8/9 |

### Defensive Role Validation

| Gate | Requirement | Actual | Status |
|------|-------------|--------|--------|
| Max Drawdown | < 12% | 1.1% | ✅ PASS |
| Net Return | ≥ 0% | +5.5% | ✅ PASS |
| Min Trades | ≥ 5 | 102 | ✅ PASS |

### Strategy Logic

The strategy exploits a specific market condition: **volatility expansion from extreme squeeze**. After extensive analysis showing that 15m BTC is essentially a random walk for most patterns, I discovered that when ATR z-score drops below -1.5 (extreme low volatility) and then expands, following the breakout direction yields a consistent edge of ~0.1% per trade gross (~0.05% net after costs).

**Entry:** Wait for ATR z-score < -1.5, then enter when z-score increases by >0.3, following the breakout bar direction.

**Exit:** Take profit at 0.8%, stop loss at 0.5%, or time exit after 5 bars.

The strategy will now be automatically validated on unseen Oct-Dec 2025 data by the discovery script.

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**Completed:** Thu Jan 15 04:28:20 CET 2026