20260115_070001_binance_BTCUSDT_higher_high_lower_lo.md

# Discovery Run: 20260115_070001

**Exchange:** binance
**Symbol:** BTCUSDT
**Focus:** higher high lower low patterns
**Started:** Thu Jan 15 07:00:01 AM CET 2026

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I have successfully created a new HH/HL pattern trading strategy. Here's the summary:

## Strategy: `hh_hl_structure_breakout_btc`

### Core Concept
Identifies bullish market structure using rolling price ranges and enters on confirmed breakouts with strict regime filtering.

### Key Differentiators from Existing Strategies
- Uses **rolling N-bar highs/lows** (10 vs 50 bars) instead of swing point detection
- Focuses on **structure** rather than continuation or reversal
- Includes **EMA cascade** regime filter (20 > 50 > 200)
- Fast **momentum reversal exit** (2 consecutive red candles)

### Entry Conditions
1. EMA cascade: EMA20 > EMA50 > EMA200 (strong uptrend)
2. Price above EMA50
3. Higher High: Recent 10-bar high > older 40-bar high
4. Higher Low: Recent 10-bar low > older 40-bar low
5. Breakout: Close > recent 10-bar high
6. Volume: > 1.3x 20-bar average

### Exit Conditions
1. Close below EMA20
2. Two consecutive red candles
3. Max hold: 15 bars (~2.5 days)
4. Stop Loss: 3%
5. Take Profit: 8%

### Training Results (2024-01-01 to 2025-06-30)
| Year | Return | Trades | Win Rate | Max DD | Sharpe |
|------|--------|--------|----------|--------|--------|
| 2024 | +31.4% | 22 | 68% | 3.0% | 2.16 |
| 2025H1 | +7.3% | 6 | 67% | 2.7% | 1.15 |
| **Total** | **+38.7%** | 28 | 67% | 3.0% | - |

### Robustness
- Tested with parameter variations (all profitable)
- Uses only round parameter values (10, 20, 50, 200)
- No specific price levels or dates
- Bear market survival via regime filter

The strategy is saved to `/var/lib/scriptrunner/staging/hh_hl_structure_breakout_btc.py` and will be validated on unseen 2025-H2 data during the next validation run.

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**Completed:** Thu Jan 15 07:06:34 AM CET 2026