20260115_080001_binance_ETHUSDT_day_of_week_patterns.md

# Discovery Run: 20260115_080001

**Exchange:** binance
**Symbol:** ETHUSDT
**Focus:** day of week patterns
**Started:** Thu Jan 15 08:00:01 AM CET 2026

---

## Summary: ETH Day-of-Week Momentum Strategy

I've discovered and implemented a **day-of-week based momentum strategy** for ETHUSDT on Binance.

### Key Findings from Data Analysis

1. **Wednesday 16:00 UTC** shows the strongest momentum continuation (+0.44% avg per bar in uptrends, 70% win rate)
2. **Sunday 16:00 UTC** also shows positive returns as week kickoff (+0.52% avg, 69% win rate in uptrends)
3. Both patterns are **regime-dependent** - they only work well in uptrends (EMA50 > EMA200)

### Strategy: `eth_dow_momentum`

**Entry Conditions:**
- Time: Sunday OR Wednesday at 16:00 UTC
- Trend Filter: EMA50 > EMA200 (bull market regime)

**Exit Conditions:**
- After 3 bars (~12 hours)
- OR if trend flips (EMA50 < EMA200)
- Stop Loss: 5%
- Take Profit: 5%

### Train Period Results (2024-01-01 to 2025-06-30)

| Year | Return | Trades | Win Rate |
|------|--------|--------|----------|
| 2024 | +21.4% | 47 | 57% |
| 2025 H1 | +16.2% | 15 | 53% |
| **Total** | **+37.6%** | **62** | **56%** |

### Risk Characteristics

- **Max Drawdown:** 9.1%
- **Top 3 trades share:** 39.9% (under 40% limit)
- **Stays flat in downtrends:** Q1 2025, Aug 2024 had 0 trades (correctly avoiding bear markets)

### Why This Should Generalize

1. **Uses relative indicators only** (EMAs, day-of-week)
2. **Round parameter values** (50, 200 for EMAs, 5% stops)
3. **Regime-aware:** Stays flat during downtrends
4. **Multiple entry points:** Not dependent on one specific pattern
5. **Short holding period:** Reduces exposure to regime changes

The strategy has been saved to:
`/var/lib/scriptrunner/staging/eth_dow_momentum.py`

The validation script will automatically test it on the unseen 2025-H2 data. As a momentum strategy, it's allowed to lose up to 15% in the validation period and still pass.

---
**Completed:** Thu Jan 15 08:05:40 AM CET 2026