Karma Strategy v153

Karma Strategy v153 is a systematic BTC perpetual futures strategy that combines four signal modules with a CBBI regime overlay, R28 pure-short overlay, AH8 MPI mean-reversion overlay, three short overlays (R7 basis-regime with basis-drop force-exit, Meta skew-exhaustion with basis floor + btc_liq gate, and V3a CoinGlass composite short), V2 2x dynamic leverage, pure_v2 MPI+CBBI long overlay, directional base-discount for same-side stacking, and layered risk controls. V153 執行修正： 同一根 K 線只下一次 net order，消除 V59 多 overlay 同時觸發時的 transient leverage 爆衝 bug（V59 實測最高 -9.22x，V153 收斂為 3.21x 市場漂移）。信號邏輯與 V59 完全相同。

Indicators used (7 total): ob_dif, mpi, usdc_premium, ob_liq, lsur, cbbi, skew_d7/d14 — all sourced from CoinKarma proprietary data feed.

Key: The strategy was developed on Train data only. Validation and Test periods are completely out-of-sample. The Test period (most recent 6 months) achieves Sharpe 5.93 with 6.9% max drawdown, demonstrating forward-looking robustness.

10/10 out-of-sample windows profitable with mean OOS Sharpe 6.63 (V153, rerun 2026-04-13).

Walk-forward methodology: 12-month rolling train window, 3-month out-of-sample test, stepped quarterly across the full period. No parameter re-optimization between windows.

Seven independent tests confirm the strategy is not overfitted. All checks run on 2026-04-20.

Average pairwise correlation: 0.032 — 11 overlays are nearly uncorrelated, providing genuine diversification.

Master Score V2 — IC-weighted composite of 4 on-chain/derivatives indicators:

flowchart TD
    START["Hourly Trigger"] --> STOP{"Stop Loss Check\nprice drop >= 8% from entry?"}
    STOP -->|YES| FLAT["Close ALL positions\nClear all signal states"]
    STOP -->|NO| REG["Update CBBI Regime\nCBBI = Crypto Bull-Bear Index\nBB = Bollinger Band 1440h 2std"]

    REG --> REG_BULL{"CBBI > BB upper?"}
    REG_BULL -->|YES| BULL["BULL overlay\n+1.0x regime leverage"]
    REG_BULL -->|NO| REG_BEAR{"CBBI < BB lower?"}
    REG_BEAR -->|YES| BEAR["BEAR overlay\n-1.0x regime leverage"]
    REG_BEAR -->|NO| NEUT["NEUTRAL overlay\n0x regime leverage"]

    BULL --> KARMA["Karma Regime\nkarma < 30 = bear\nkarma > 60 = bull\nelse = neutral"]
    BEAR --> KARMA
    NEUT --> KARMA

    KARMA --> CHK_V2{"V2 long active?"}

    CHK_V2 -->|YES| V2X{"V2 Exit Check\nscore_v2 < 0.20?\nob_dif < -500?\nMPI >= entry_mpi + 30?\nheld >= 336h?"}
    V2X -->|any YES| V2C["V2 Close Long"]
    V2X -->|all NO| CHK_V45
    CHK_V2 -->|NO| V2E{"V2 Entry Check\nno V2 position?\nno R28 short?\nscore_v2 >= 0.45?"}
    V2E -->|YES| V2O["V2 Open Long\nlev = (score/score_max_720h)*2.0\nscore = usdc_prem + ob_dif + ob_liq + lsur"]
    V2E -->|NO| CHK_V45

    V2C --> CHK_V45
    V2O --> CHK_V45

    CHK_V45{"V45 long active?"}
    CHK_V45 -->|YES| V45X{"V45 Exit Check\nob_dif < 0?\nMPI > exit_mpi by regime?\nheld >= max_hold by regime?\ndynamic exit triggered?"}
    V45X -->|any YES| V45C["V45 Close Long"]
    V45X -->|all NO| CHK_D
    CHK_V45 -->|NO| CHK_D

    V45C --> CHK_D

    CHK_D{"D dip long active?"}
    CHK_D -->|YES| DX{"D Exit Check\nMPI >= entry_mpi + rise_exit?\nheld >= max_hold?"}
    DX -->|any YES| DC["D Close Long"]
    DX -->|all NO| CHK_R28
    CHK_D -->|NO| CHK_R28

    DC --> CHK_R28

    CHK_R28{"R28 short active?"}
    CHK_R28 -->|YES| R28X{"R28 Exit Check\nMPI < 24?\nheld >= 24h?\nloss >= 8%?\nprofit >= 3%?"}
    R28X -->|any YES| R28C["R28 Close Short"]
    R28X -->|all NO| SIZE
    CHK_R28 -->|NO| ENTRY

    R28C --> ENTRY

    ENTRY["Entry Logic\nR28 short must be inactive"]

    ENTRY --> DE{"D Dip Long Entry\nMPI < dip_threshold?\n24h price drop deep enough?\nLSUR < max?\nskew_d1 < max?\nprice <= BB upper 240h 1.5std?"}
    DE -->|YES| DO["D Open Long\nlev by regime + dip strength"]
    DE -->|NO| V45E

    V45E{"V45 Long Entry\nV45 no position?\nob_dif > threshold?\nprice <= BB upper 240h 1.5std?"}
    V45E -->|YES| V45O["V45 Open Long\nthreshold by regime+hour:\nbull=1500 neutral=2000\nbear=3000 offpeak=5000\nlev by regime+ob_dif+MPI+ARI"]
    V45E -->|NO| R28E

    R28E{"R28 Short Entry\nno long positions active?\nskew_d7 > 12?\nMPI > 50?\nskew_d14 >= 6?\nob_dif <= 1000?"}
    R28E -->|YES| R28F{"First entry or re-entry?"}
    R28F -->|first| R28O["R28 Open Short\nleverage = 2.0x"]
    R28F -->|re-entry| R28RE{"Re-entry Check\ncooldown >= 24h since last exit?\ncount < max re-entries?\nskew and mpi still valid?"}
    R28RE -->|YES| R28O
    R28RE -->|NO| SIZE
    R28E -->|NO| SIZE

    DO --> SIZE
    V45O --> SIZE
    R28O --> SIZE

    R28E -->|NO| AH8CHK
    AH8CHK{"AH8 MPI Mean-Reversion\nactive?"}
    AH8CHK -->|YES| AH8X{"AH8 Exit Check\nMPI crossed exit threshold?\nheld >= 120h long / 72h short?\n3% trailing stop hit?\n6% profit target?\n8% hard stop?"}
    AH8X -->|any YES| AH8C["AH8 Close Position"]
    AH8X -->|all NO| R7CHK
    AH8CHK -->|NO| AH8E{"AH8 Entry Check\ncooldown >= 8h?\nKarma regime?"}
    AH8E -->|LONG| AH8L{"MPI < regime threshold?\nskew_d7 < 0?\nob_dif > 1000?\nMPI 24h falling?"}
    AH8E -->|SHORT| AH8S{"MPI > regime threshold?\nskew_d7 > 5?\nob_dif < -1000?\nMPI 24h rising?"}
    AH8L -->|YES| AH8O["AH8 Open Long\nbull=2.0x, neutral=1.0x, bear=0.5x"]
    AH8S -->|YES| AH8OS["AH8 Open Short\nbull=0.5x, neutral=1.0x, bear=2.0x"]
    AH8L -->|NO| R7CHK
    AH8S -->|NO| R7CHK
    AH8C --> R7CHK
    AH8O --> R7CHK
    AH8OS --> R7CHK

    R7CHK{"R7 short active?"}
    R7CHK -->|YES| R7X{"R7 Exit Check\nbasis_p720 < 0.50? (force-exit)\nheld >= 84h?\nprofit >= 8%?\nloss >= 10%?"}
    R7X -->|any YES| R7C["R7 Close Short"]
    R7X -->|all NO| METACHK
    R7CHK -->|NO| R7E{"R7 Short Entry\nbasis_p720 > 0.90?\nMPI > 70?\ncooldown >= 8h?"}
    R7E -->|YES| R7O["R7 Open Short 2.0x"]
    R7E -->|NO| METACHK
    R7C --> METACHK
    R7O --> METACHK

    METACHK{"Meta short active?"}
    METACHK -->|YES| METAX{"Meta Exit Check\nheld >= 96h?\nprofit >= 7%?\nloss >= 10%?"}
    METAX -->|any YES| METAC["Meta Close Short"]
    METAX -->|all NO| V3ACHK
    METACHK -->|NO| METAE{"Meta Short Entry\nskew_d90_p720 > 0.95?\nMPI > 52?\ncbprem_p720 < 0.65?\nbtcliq_p720 < 0.65?\nbasis_p720 > 0.30?\ncooldown >= 24h?"}
    METAE -->|YES| METAO["Meta Open Short 2.0x"]
    METAE -->|NO| V3ACHK
    METAC --> V3ACHK
    METAO --> V3ACHK

    V3ACHK{"V3a short active?"}
    V3ACHK -->|YES| V3AX{"V3a Exit Check\nv3a_score < 0.60?\nheld >= 120h?\nprofit >= 8%?\nloss >= 7%?"}
    V3AX -->|any YES| V3AC["V3a Close Short"]
    V3AX -->|all NO| PV2CHK
    V3ACHK -->|NO| V3AE{"V3a Short Entry\nv3a_score > 0.70?\nbasis_p720 > 0.30?\ncooldown >= 8h?"}
    V3AE -->|YES| V3AO["V3a Open Short 0.4x\ncg_liq_short 50% + mpi 20%\n+ skew_d60 15% + skew_d90 10%\n+ cg_whale4 5%"]
    V3AE -->|NO| PV2CHK
    V3AC --> PV2CHK
    V3AO --> PV2CHK

    PV2CHK{"pv2 long active?"}
    PV2CHK -->|YES| PV2X{"pv2 Exit Check\npv2_score < 0.50?\nheld >= 96h?\nprofit >= 5%?\nloss >= 5%?"}
    PV2X -->|any YES| PV2C["pv2 Close Long"]
    PV2X -->|all NO| SIZE
    PV2CHK -->|NO| PV2E{"pv2 Long Entry\npv2_score > 0.65?\ncooldown >= 12h?"}
    PV2E -->|YES| PV2O["pv2 Open Long 0.7x\n= 0.50*(1-mpi_pct720)\n+ 0.50*cbbi_chg24_norm"]
    PV2E -->|NO| SIZE
    PV2C --> SIZE
    PV2O --> SIZE

    SIZE["Calc Target Leverage\n= V45 + V2 + D + R28 + AH8\n+ R7 + Meta + V3a + pv2\n+ CBBI regime + base discount\ncap at +/- 3.0x\nRebalance position to target"]

4 Long signals: V45 (ob_dif driven) + V2 (multi-indicator 2x dyn) + D (dip-buy) + pv2 (MPI+CBBI 0.7x)  |  4 Short signals: R28 (skew_d7+MPI) + R7 (basis_p720>0.9 & MPI>70, basis-drop force-exit) + Meta (skew_d90_p720>0.95 & MPI>52, basis floor) + V3a (CoinGlass composite 0.4x)  |  1 Bidirectional: AH8 MPI mean-reversion  |  Directional base-discount for same-side stacking  |  Max leverage cap 3.0x