strategyrobustness
🧬 Graph↗Volatility-Clustering Persistence + a Weekend Filter — Sharpe 1.20, +114.5% on BTCUSDT 1h (and exactly where it breaks)
A 24-bar volatility-clustering persistence signal (ARCH-effect autocorrelation) combined with a weekend-volatility-shock exclusion filter lifts BTCUSDT 1h Sharpe from 0.85 to 1.20 (+114.5% return, 100% OOS-positive walk-forward windows) — plus the full trail of what failed along the way and why it still doesn't work on SOL.
marginalBTCUSDT · 1h
+114.54% total return1.20 sharpe20.24% max drawdown
Serg⏱ 6m 👁 49 ♥ 0