MB L Fade
Mean-reversion long · All regimes · Demo
MB L Fade goes long the most beaten-down tokens in the universe - names ranked in the bottom 25% by cross-sectional momentum (XS < 25) - when they are in freefall (TS 5–35) and therefore primed to snap back. This is the mirror image of MB S, which shorts recent winners expecting mean reversion. L Fade targets recent losers expecting the same mechanic to work in reverse.
The short-term reversal effect is well-documented in crypto and stronger than in equities: extreme losers in one period tend to outperform in the next, especially when the broader market stabilises. The strategy's primary risk management is a consecutive loss gate- any symbol that loses twice in a row is blocked from re-entry, preventing capital being repeatedly deployed into “falling knives” that never bounce.
The Edge - Backtest Evidence
Before deployment, the strategy was backtested against 3 weeks of live MB score data (June 15 – July 5 2026, 784k score rows, 4h candle forward returns). The edge is real and materialises across all market regimes.
The XS 90+ short bucket (Bot22) already confirms the mechanic: extreme gainers mean-revert so hard that shortingthem loses money (−$2.79 avg expectancy). By symmetry, extreme losers (XS < 25) bounce. The consecutive loss gate raises win rate from 74% (no gate) to 92.8% by blocking the small set of chronic non-bouncers.
Entry Logic
Every 4 hours the rebalance loop pulls the full 150-symbol universe from the MB API, sorts it ascending by XS score (lowest first - the opposite of all other MB strategies), and filters through three gates. The five most beaten-down names that pass all gates are entered long.
Exit Mechanisms
Three independent exits fire in order of aggression. The first one to trigger wins.
| Mechanism | Trigger | Purpose |
|---|---|---|
| Stop-loss | −8% vs entry | Hard floor - exits the rare true falling knife that doesn't bounce |
| Max hold | 8 hours after entry | Bounces resolve within 8h; holding longer captures a different (and unvalidated) thesis |
| Book trail | Profit ≥ 2.5%; then 1% pullback | Locks in gains on sharp bounce moves without waiting for the next 4h rebalance |
Risk Parameters
MB L Fade launched July 2026 and is in active data collection on Bybit Demo. The backtest covers 3 weeks of live score data - a strong signal but a short window. All five regime slots are open. Configuration will be reviewed after the first month of live operation.
How It Differs From MB L
| Dimension | MB L | MB L Fade |
|---|---|---|
| Thesis | Momentum - ride recent winners higher | Mean reversion - buy recent losers expecting a bounce |
| XS entry zone | XS 70–90 (top performers) | XS < 25 (bottom performers) |
| Sort order | Descending combined score - best first | Ascending XS - most beaten-down first |
| Regime restriction | Longs only in risk_on | All regimes - bounce works everywhere |
| Stop loss | 16% (momentum needs room) | 8% (bounce trade - quick or exit) |
| Max hold | 4h rebalance cycle | 8h hard cap |
Timing & Execution
- Rebalance fires every 4 hours. At each cycle the full 150-symbol universe is rescored.
- Candidates are sorted ascending by XS score - the five most beaten-down names are entered first.
- Up to 5 positions open simultaneously. $500 notional per leg, 2× leverage = $1,000 exposure per position.
- The consecutive loss gate is checked at every rebalance. Blocked symbols are logged but not counted against the slot limit.
- Book trail arms at +2.5% profit and trails 1% - captures fast bounce moves without waiting 4 hours.
- No BTC direction gate, no alt-BTC spread gate, no dispersion gate - macro directional filters are irrelevant for a short-duration bounce strategy.