# v78.2 Confirmed Range Reversion — Research Specification

Date: 2026-07-19

## Decision

v78.1 remains immutable evidence and is not promoted. v78.2 is a separate paper/research-only candidate with fresh state, run identity, journals and promotion evidence.

## Falsifiable hypothesis

v78.1 lost edge mainly because mixed BTC/ETH trend states were labelled as ranges and entries faded RSI extremes before a reversal was confirmed. v78.2 should improve recent-window profit factor and loss-streak behaviour by trading only a measured low-trend range and requiring a Bollinger-band re-entry toward VWAP. If it cannot pass the existing independent 50-lifecycle, three-week, PF, drawdown, concentration, cost and integrity gates, the project pauses rather than loosening gates.

## Strategy identity

- ID: `research_v78_2_confirmed_range_reversion`
- Version: `v78.2.0`
- Universe: BTC, ETH, SOL, LINK, HYPE
- Mode: paper-only / research-only
- Live order authority: none
- Mainnet signing authority: none

## Range gate

BTC and ETH must both provide valid closed-candle features. The aggregate gate requires:

- Wilder-style aggregate 15m ADX <= 22 and each primary <= 25,
- aggregate absolute 1h SMA spread <= 0.8% and each primary <= 1.2%,
- aggregate absolute 4h SMA spread <= 1.5% and each primary <= 2.0%,
- 20-period Bollinger width between 0.20% and 4.0%,
- valid VWAP/Bollinger/data-quality inputs.

A mixed trend is no longer treated as a range by default.

## Entry gate

Long:

- candle trades through the lower Bollinger band,
- candle closes back above the lower band,
- close remains below 96-bar 15m VWAP,
- RSI <= 40,
- 1h/4h spreads are not materially bearish.

Short is mirrored at the upper band and is blocked in a materially bullish 1h or 4h trend.

Both sides additionally require coin ADX <= 25, non-breakout volume ratio <= 1.8, acceptable Bollinger width, fresh real data and external source quality. Expected VWAP edge must be at least 3x estimated round-trip friction.

## Execution and lifecycle

- primary paper entry: passive post-only `Alo` limit at the current read-only L2 best bid/ask,
- live L2 midpoint must remain within 0.25% of the closed-candle signal price,
- conservative queue model: candle must cross beyond the limit by 0.5 bps; at the 10-USDC cap a qualifying cross is treated as a full paper fill and remains an explicit research assumption,
- same fill candle enforces a crossed stop immediately and defers ambiguous same-bar targets,
- gap-through stops fill from the adverse candle open before additional exit slippage,
- maximum wait: two new 15m bars,
- pending order cancels if range/data quality invalidates,
- maximum one pending/open portfolio position,
- all-in stop risk budget <= 0.075 USDC including maker entry fee and conservative taker exit fee/slippage,
- notional cap <= 10 USDC,
- stop beyond the signal candle extreme with ATR buffer,
- target at entry-time VWAP,
- stop/target exits use adverse taker fill assumptions,
- no-reversion time exit after eight new 15m bars,
- stop wins same-bar ambiguity conservatively.

## Data provenance

Entry, exit, signal and order records retain strategy/version/process-run/window/coin identity. Each process restart gets a fresh run ID while open lifecycle rows retain their originating run. Data-window IDs hash actual OHLCV content and candle continuity/duplicates are fail-closed. CoinGecko now includes HYPE. Binance crowding remains available only for BTC/ETH/SOL/LINK; HYPE uses CoinGecko plus native Hyperliquid candle, L2, funding and OI data and cannot inherit fake Binance values. Entry source attribution is a mandatory v78.2 promotion gate.

The runtime holds an exclusive process lock, samples current funding as candles advance, accounts for skipped candle intervals, and marks lifecycle data gaps degraded rather than silently pausing exposure time.

## Promotion

The existing hard gates remain unchanged. Pending maker orders now also block promotion. The 2026-07-25 v78.1 deadline must not be interpreted as a v78.2 live decision: v78.2 starts a fresh independent validation window.