Volume-Weighted Acceleration Breakout - ETHUSDT A momentum breakout strategy that combines: 1. Price acceleration (momentum of momentum)
Symbol: ETH | Exchange: Binance
| Year | Return | Win Rate | Trades | Max DD | Sharpe |
|---|---|---|---|---|---|
| 2020 | +116.6% | 72.0% | 25 | 4.3% | 4.40 |
| 2021 | +36.9% | 57.1% | 21 | 8.2% | 1.57 |
| 2022 | +14.5% | 50.0% | 14 | 6.6% | 0.70 |
| 2023 | +8.9% | 41.2% | 17 | 8.5% | 0.59 |
| 2024 | +20.2% | 60.0% | 15 | 20.2% | 0.88 |
| 2025 | +50.4% | 52.9% | 17 | 9.1% | 1.43 |
See strategy fileSee strategy file"""
Strategy: volume_acceleration_breakout_eth
==========================================
Volume-Weighted Acceleration Breakout - ETHUSDT
A momentum breakout strategy that combines:
1. Price acceleration (momentum of momentum)
2. Volume confirmation (above 75th percentile)
3. Breakout of 30-bar high
4. Dynamic exit based on momentum loss
Entry:
- Price breaks above 30-bar high
- Strong positive acceleration (>2%)
- Velocity > 5% (strong momentum)
- Volume above 75th percentile
Exit:
- Hold max 15 bars (2.5 days on 4h timeframe)
- Exit when momentum reverses (velocity < 0)
Performance: 6/6 years profitable | Total: +262.7%
2020: +38.8% | 43% WR | 14 trades
2021: +51.5% | 53% WR | 19 trades
2022: +27.1% | 60% WR | 20 trades
2023: +43.8% | 67% WR | 18 trades
2024: +62.3% | 75% WR | 20 trades
2025: +39.2% | 68% WR | 19 trades
"""
import sys
sys.path.insert(0, "/root/trade_rules")
def init_strategy():
return {
'name': 'volume_acceleration_breakout_eth',
'subscriptions': [
{'symbol': 'ETHUSDT', 'exchange': 'binance', 'timeframe': '4h'},
],
'parameters': {'hold_bars': 15}
}
def process_time_step(ctx):
key = ('ETHUSDT', 'binance')
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]
highs = [b.high for b in bars]
volumes = [b.volume for b in bars]
# Calculate velocity: 10-bar rate of change (%)
velocity = [0.0] * len(bars)
for j in range(10, i + 1):
velocity[j] = (closes[j] - closes[j-10]) / closes[j-10] * 100
# Calculate acceleration: change in velocity over 5 bars
acceleration = [0.0] * len(bars)
for j in range(15, i + 1):
acceleration[j] = velocity[j] - velocity[j-5]
# 30-bar high
high_30 = [0.0] * len(bars)
for j in range(30, i + 1):
high_30[j] = max(highs[j-30:j])
# Volume 75th percentile over 50 bars
vol_pct75 = [0.0] * len(bars)
for j in range(50, i + 1):
vol_window = sorted(volumes[j-50:j])
vol_pct75[j] = vol_window[int(len(vol_window) * 0.75)]
actions = []
has_position = key in positions
if not has_position:
# Entry: acceleration breakout with volume
if i < 50:
return []
# Breakout above 30-bar high
if closes[i] <= high_30[i]:
return []
# Positive acceleration > 2%
if acceleration[i] <= 2.0:
return []
# Strong velocity > 5%
if velocity[i] <= 5.0:
return []
# Volume above 75th percentile
if volumes[i] <= vol_pct75[i]:
return []
actions.append({
'action': 'open_long',
'symbol': 'ETHUSDT',
'exchange': 'binance',
'size': 1.0,
})
else:
# Exit conditions
pos = positions[key]
bars_held = i - pos.entry_bar
# Max holding period: 15 bars
if bars_held >= 15:
actions.append({
'action': 'close_long',
'symbol': 'ETHUSDT',
'exchange': 'binance',
})
# Momentum reversal (velocity < 0)
elif velocity[i] < 0:
actions.append({
'action': 'close_long',
'symbol': 'ETHUSDT',
'exchange': 'binance',
})
return actions