Long-Horizon Regime Robustness of the BodyRange State Engine (BRSE) on Bitcoin

This study evaluates the long-horizon robustness of the BodyRange State Engine (BRSE), a deterministic, long-only, indicator-free Bitcoin exposure framework introduced previously, without changing its decision rules, parameters, or execution convention. Rather than proposing a new BRSE variant, the analysis freezes the original weekly implementation and evaluates it across five non-overlapping three-year chronological windows from 2011 to 2026. Each window is defined independently of strategy performance. Reported diagnostics include BRSE return, continuous Bitcoin buy-and-hold return, maximum drawdown, trade count, win rate, profit factor, average trade return, best and worst completed trades, trade-duration exposure, and concentration of profit in the largest winning trades. An auxiliary regime analysis, independent of BRSE, classifies weekly Bitcoin observations as bull, bear, or sideways/transitional using a 52-week price average and its 13-week slope. BRSE produced positive returns in all five chronological windows, but performance magnitude varied materially. The earliest window, 2011-01-01 to 2014-01-01, was extreme and highly concentrated in a small number of trades. In contrast, the most recent window, 2023-01-01 to 2026-01-01, produced a 252.00% BRSE return versus 183.40% for buy-and-hold, with approximately 41.67% trade-duration exposure. Across the externally defined regime sample, BRSE exposure was 42.15% in bull weeks, 18.80% in bear weeks, and 23.73% in sideways/transitional weeks. The evidence therefore supports a selectively exposed, time-varying rather than uniformly dominant interpretation of BRSE: the external regime overlay reveals asymmetric participation across market states, while substantial opportunity cost remains possible during persistent Bitcoin appreciation.