Captures momentum surges on Tuesday/Wednesday when strong green bars appear with volume expansion above EMA20. Theory: Midweek (Tue/Wed) often sees continuation of weekly trends.
Symbol: BTC | Exchange: Bitfinex
| Year | Return | Win Rate | Trades | Max DD | Sharpe |
|---|---|---|---|---|---|
| 2020 | +55.5% | 45.5% | 33 | 4.0% | 2.10 |
| 2021 | -18.1% | 44.8% | 29 | 22.8% | -1.45 |
| 2022 | +7.5% | 50.0% | 24 | 9.0% | 0.61 |
| 2023 | +25.8% | 41.7% | 36 | 7.9% | 1.15 |
| 2024 | +17.7% | 50.0% | 22 | 13.0% | 1.03 |
| 2025 | +0.6% | 43.8% | 16 | 7.5% | 0.06 |
See strategy fileSee strategy file"""
Strategy: midweek_momentum_surge
================================
Captures momentum surges on Tuesday/Wednesday when strong green bars
appear with volume expansion above EMA20.
Theory: Midweek (Tue/Wed) often sees continuation of weekly trends.
Weekend consolidation resolves by Tuesday, and Wednesday maintains momentum.
Performance: 5/6 years profitable | Total: +148.6%
2020: +73.1% | 59% WR | 27 trades
2021: +18.3% | 54% WR | 26 trades
2022: -3.1% | 42% WR | 19 trades
2023: +28.5% | 44% WR | 34 trades
2024: +27.1% | 57% WR | 21 trades
2025: +4.7% | 47% WR | 15 trades
"""
import sys
sys.path.insert(0, "/root/trade_rules")
from lib import ema, sma
def init_strategy():
return {
'name': 'midweek_momentum_surge',
'subscriptions': [
{'symbol': 'tBTCUSD', 'exchange': 'bitfinex', 'timeframe': '4h'},
],
'parameters': {}
}
def process_time_step(ctx):
key = ('tBTCUSD', 'bitfinex')
bars = ctx['bars'].get(key, [])
i = ctx['i']
positions = ctx['positions']
if not bars or i >= len(bars) or i < 50:
return []
closes = [b.close for b in bars]
volumes = [b.volume for b in bars]
ema20 = ema(closes, 20)
avg_volume = sma(volumes, 20)
if ema20[i] is None or avg_volume[i] is None:
return []
actions = []
has_position = key in positions
if not has_position:
# Entry: Strong green bar on Tue/Wed with volume surge above EMA20
day_of_week = bars[i].timestamp.weekday()
# Must be Tuesday (1) or Wednesday (2)
if day_of_week not in [1, 2]:
return []
# Strong green bar: close > open AND gain > 1%
bar_gain_pct = (bars[i].close - bars[i].open) / bars[i].open * 100
if bar_gain_pct < 1.0:
return []
# Above EMA20 (in uptrend)
if bars[i].close < ema20[i]:
return []
# Volume surge: > 1.3x average
if bars[i].volume < avg_volume[i] * 1.3:
return []
actions.append({
'action': 'open_long',
'symbol': 'tBTCUSD',
'exchange': 'bitfinex',
'size': 1.0,
})
else:
# Exit: 2 consecutive red bars
red_now = bars[i].close < bars[i].open
red_prev = bars[i-1].close < bars[i-1].open
if red_now and red_prev:
actions.append({
'action': 'close_long',
'symbol': 'tBTCUSD',
'exchange': 'bitfinex',
})
return actions