20260115_110001_binance_SOLUSDT_day_of_week_patterns.md

# Discovery Run: 20260115_110001

**Exchange:** binance
**Symbol:** SOLUSDT
**Focus:** day of week patterns
**Started:** Thu Jan 15 11:00:01 AM CET 2026

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The strategy is working correctly. Let me provide a summary.

## Summary: sol_wednesday_momentum Strategy

I've developed a **day-of-week momentum strategy** for SOLUSDT that exploits Wednesday's historically strong returns in crypto markets.

### Strategy Logic

**Entry Conditions:**
1. **Day**: Wednesday only (weekday=2)
2. **Hour**: 00:00 or 08:00 UTC (Asian/European session overlap)
3. **Regime filter**: EMA(50) > EMA(200) - only trade in confirmed uptrends
4. **Momentum filter**: Close > EMA(20) - confirm near-term strength

**Exit**: Time-based after 48 hours (12 x 4h bars)

### Train Performance (2024-01-01 to 2025-06-30)

| Period | Return | Trades | Win Rate |
|--------|--------|--------|----------|
| 2024-H1 | +36.7% | 8 | 38% |
| 2024-H2 | +14.9% | 8 | 62% |
| 2025-H1 | +19.6% | 4 | 75% |
| **Total** | **+73.6%** | **22** | **59%** |

### Key Metrics
- **Sharpe Ratio**: 1.59 (avg across years)
- **Max Drawdown**: 13.2%
- **Profit Factor**: 3.59
- **Average Trade**: +3.3%

### Validation Gates (Momentum Role)
- ✓ Max DD: 13.2% < 40%
- ✓ Avg Sharpe: 1.59 > -0.5
- ✓ Total Trades: 22 > 3
- ✓ Total Return: +73.6% > -15%
- ✓ Both train years profitable

### Robustness Features
- Uses only **relative indicators** (EMAs, time patterns)
- No specific price levels or dates referenced
- **Regime filter** naturally avoids bear market entries
- Strategy **stays flat** when conditions aren't met
- Profitable across all three half-year periods tested

The strategy has been saved to `/var/lib/scriptrunner/staging/sol_wednesday_momentum.py` for automated validation on the unseen 2025-H2 data.

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**Completed:** Thu Jan 15 11:07:23 AM CET 2026