Buy when volume expands 2.5x+ AND price breaks 10-bar high above EMA100 Entry Conditions: - Price above EMA100 (trend filter)
Symbol: BTC | Exchange: Bitfinex
| Year | Return | Win Rate | Trades | Max DD | Sharpe |
|---|---|---|---|---|---|
| 2020 | +88.2% | 50.0% | 10 | 5.1% | 1.54 |
| 2021 | +33.8% | 33.3% | 12 | 9.9% | 0.92 |
| 2022 | -11.6% | 25.0% | 16 | 19.5% | -0.92 |
| 2023 | +27.0% | 22.2% | 18 | 11.6% | 0.74 |
| 2024 | +55.1% | 40.0% | 15 | 21.8% | 1.01 |
| 2025 | +16.2% | 25.0% | 8 | 6.5% | 0.78 |
See strategy fileSee strategy file"""
Strategy: volume_expansion_breakout
===================================
Buy when volume expands 2.5x+ AND price breaks 10-bar high above EMA100
Entry Conditions:
- Price above EMA100 (trend filter)
- Volume expansion: current bar has 2.5x+ average volume
- Price breaking out to new 10-bar high
- Bullish bar: close in upper 60% of range
Exit Conditions:
- Price closes below EMA100
Performance: 5/6 years profitable | Total: +204.1%
2020: +88.2% | 50% WR | 10 trades
2021: +33.8% | 33% WR | 12 trades
2022: -12.5% | 25% WR | 16 trades
2023: +27.2% | 22% WR | 18 trades
2024: +54.3% | 40% WR | 15 trades
2025: +13.1% | 25% WR | 8 trades
"""
import sys
sys.path.insert(0, "/root/trade_rules")
from lib import ema, sma
def init_strategy():
return {
'name': 'volume_expansion_breakout',
'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 < 200:
return []
closes = [b.close for b in bars]
highs = [b.high for b in bars]
volumes = [b.volume for b in bars]
vol_sma = sma(volumes, 20)
ema100 = ema(closes, 100)
if vol_sma[i] is None or ema100[i] is None:
return []
actions = []
has_position = key in positions
if not has_position:
# Entry: volume expansion breakout
# Trend filter: price above EMA100
if bars[i].close < ema100[i]:
return []
# Volume expansion: current bar has 2.5x+ average volume
if vol_sma[i] == 0:
return []
volume_ratio = bars[i].volume / vol_sma[i]
if volume_ratio < 2.5:
return []
# Price must be breaking out to new 10-bar high
recent_high_10 = max(highs[i-10:i])
breakout_10 = bars[i].high > recent_high_10
if not breakout_10:
return []
# Bullish bar: close in upper 60% of range
bar_range = bars[i].high - bars[i].low
if bar_range == 0:
return []
close_pos = (bars[i].close - bars[i].low) / bar_range
if close_pos < 0.6:
return []
actions.append({
'action': 'open_long',
'symbol': 'tBTCUSD',
'exchange': 'bitfinex',
'size': 1.0,
})
else:
# Exit when price closes below EMA100
if bars[i].close < ema100[i]:
actions.append({
'action': 'close_long',
'symbol': 'tBTCUSD',
'exchange': 'bitfinex',
})
return actions