Universe: 1Hour={BTC ETH SOL XRP LINK AVAX DOGE ADA}, 5Min={BTC ETH} | capital $100,000 | fees 5bps/side + slip + volume caps | fills t+1 open, intrabar stops
| Strategy | Edge | TF | Hold | Trades | PF | WR | Ret | MaxDD | Sharpe | CAGR | AvgHold | Fees$ | Fund$ | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEASON@1Hour_h4 | SEASON | 1Hour | 4h | 730 | 1.212 | 44.4% | +0.0% | 0.1% | 0.17 | +0.0% | 2.9 | 36 | -3 | THIN |
| SEASON@1Hour_LO_h8 | SEASON | 1Hour | 8h | 642 | 0.957 | 40.5% | -0.0% | 0.3% | -0.10 | -0.0% | 6.0 | 36 | -6 | REJECT |
| BASIS@1Hour_h4 | BASIS | 1Hour | 4h | 1,146 | 0.852 | 45.9% | -0.1% | 0.1% | -0.39 | -0.0% | 2.8 | 53 | -3 | REJECT |
| CARRY@1Hour_LO_h8 | CARRY | 1Hour | 8h | 996 | 0.782 | 47.2% | -0.1% | 0.2% | -0.57 | -0.1% | 6.2 | 61 | -6 | REJECT |
| BASIS@1Hour_h8 | BASIS | 1Hour | 8h | 876 | 0.696 | 43.6% | -0.1% | 0.1% | -0.55 | -0.1% | 6.1 | 45 | -4 | REJECT |
| OICASCADE@1Hour_continue_h4 | OICASCADE | 1Hour | 4h | 602 | 0.659 | 46.8% | -0.1% | 0.2% | -0.52 | -0.1% | 2.7 | 31 | -0 | REJECT |
| OICASCADE@1Hour_h4 | OICASCADE | 1Hour | 4h | 592 | 0.645 | 50.0% | -0.1% | 0.2% | -0.53 | -0.1% | 2.7 | 30 | -0 | REJECT |
| VPIN@5Min_h36 | VPIN | 5Min | 3h | 9,198 | 0.615 | 27.9% | -0.4% | 0.4% | -12.52 | -0.2% | 16.5 | 279 | -2 | REJECT |
| LEADLAG@1Hour_LO_h8 | LEADLAG | 1Hour | 8h | 2,870 | 0.599 | 43.3% | -0.1% | 0.1% | -2.03 | -0.1% | 6.2 | 38 | -1 | REJECT |
| LEADLAG@1Hour_h4 | LEADLAG | 1Hour | 4h | 2,920 | 0.595 | 43.7% | -0.1% | 0.1% | -3.82 | -0.1% | 2.9 | 34 | -0 | REJECT |
| BREAKOUT@5Min_LO_h36 | BREAKOUT | 5Min | 3h | 14,998 | 0.589 | 27.6% | -0.7% | 0.7% | -16.78 | -0.3% | 16.4 | 445 | -6 | REJECT |
| TAKERFLOW@1Hour_h4 | TAKERFLOW | 1Hour | 4h | 7,974 | 0.576 | 44.6% | -1.7% | 1.7% | -1.88 | -0.8% | 2.8 | 383 | -12 | REJECT |
| OBI@5Min_LO_h36 | OBI | 5Min | 3h | 12,328 | 0.576 | 26.7% | -0.6% | 0.6% | -16.02 | -0.3% | 14.1 | 389 | -5 | REJECT |
| BREAKOUT@1Hour_LO_h4 | BREAKOUT | 1Hour | 4h | 6,574 | 0.570 | 44.1% | -1.6% | 1.6% | -1.61 | -0.8% | 2.9 | 294 | -19 | REJECT |
| TAKERFLOW@1Hour_continue_h4 | TAKERFLOW | 1Hour | 4h | 7,850 | 0.557 | 43.4% | -2.1% | 2.1% | -1.89 | -1.1% | 2.8 | 374 | +14 | REJECT |
| TAKERFLOW@1Hour_h8 | TAKERFLOW | 1Hour | 8h | 6,492 | 0.521 | 45.4% | -2.0% | 2.0% | -1.74 | -1.0% | 6.0 | 324 | -21 | REJECT |
| PAIRSZ@1Hour_h4 | PAIRSZ | 1Hour | 4h | 7,548 | 0.493 | 44.1% | -2.2% | 2.2% | -2.42 | -1.1% | 2.9 | 373 | +18 | REJECT |
| BREAKOUT@5Min_h12 | BREAKOUT | 5Min | 1h | 17,990 | 0.493 | 33.7% | -0.9% | 0.9% | -23.29 | -0.4% | 8.9 | 568 | -3 | REJECT |
| VPIN@5Min_revert_h12 | VPIN | 5Min | 1h | 6,678 | 0.489 | 34.4% | -0.3% | 0.3% | -14.43 | -0.2% | 8.4 | 210 | -1 | REJECT |
| OBI@5Min_h12 | OBI | 5Min | 1h | 16,896 | 0.485 | 33.2% | -0.9% | 0.9% | -23.49 | -0.4% | 8.6 | 550 | -3 | REJECT |
| FLOW@5Min_h12 | FLOW | 5Min | 1h | 18,314 | 0.485 | 33.0% | -1.0% | 1.0% | -24.25 | -0.5% | 8.8 | 605 | +0 | REJECT |
| VPIN@5Min_h12 | VPIN | 5Min | 1h | 6,660 | 0.485 | 34.3% | -0.3% | 0.3% | -14.54 | -0.2% | 8.4 | 209 | -1 | REJECT |
| POSITION@1Hour_h4 | POSITION | 1Hour | 4h | 8,498 | 0.433 | 44.4% | -2.7% | 2.7% | -2.89 | -1.3% | 2.9 | 395 | +0 | REJECT |
| CARRY@1Hour_h4 | CARRY | 1Hour | 4h | 1,308 | 0.424 | 47.4% | -0.5% | 0.5% | -1.88 | -0.2% | 2.9 | 67 | -5 | REJECT |
| FLOW@1Hour_h4 | FLOW | 1Hour | 4h | 9,208 | 0.418 | 43.7% | -3.1% | 3.2% | -2.78 | -1.5% | 2.9 | 423 | -0 | REJECT |
| PAIRSZ@1Hour_h8 | PAIRSZ | 1Hour | 8h | 6,022 | 0.414 | 45.1% | -2.8% | 2.8% | -2.50 | -1.4% | 5.9 | 322 | +27 | REJECT |
| BREAKOUT@1Hour_h4 | BREAKOUT | 1Hour | 4h | 7,912 | 0.411 | 44.7% | -2.7% | 2.7% | -2.50 | -1.4% | 2.8 | 346 | -8 | REJECT |
| POSITION@1Hour_h8 | POSITION | 1Hour | 8h | 6,938 | 0.401 | 44.1% | -2.8% | 2.8% | -2.37 | -1.4% | 6.1 | 331 | +1 | REJECT |
| OICASCADE@1Hour_h8 | OICASCADE | 1Hour | 8h | 562 | 0.398 | 51.6% | -0.3% | 0.4% | -0.95 | -0.1% | 5.6 | 29 | -1 | REJECT |
| FLOW@1Hour_LO_h8 | FLOW | 1Hour | 8h | 6,824 | 0.383 | 44.2% | -2.7% | 2.7% | -2.48 | -1.4% | 6.1 | 322 | -39 | REJECT |
| BREAKOUT@1Hour_h8 | BREAKOUT | 1Hour | 8h | 6,484 | 0.368 | 45.3% | -2.9% | 2.9% | -2.85 | -1.5% | 6.1 | 279 | -15 | REJECT |
| CASCADE_LITE@1Hour_h4 | CASCADE_LITE | 1Hour | 4h | 178 | 0.156 | 47.2% | -0.1% | 0.1% | -1.82 | -0.1% | 2.7 | 8 | -1 | REJECT |
| CASCADE_LITE@1Hour_continue_h4 | CASCADE_LITE | 1Hour | 4h | 176 | 0.154 | 45.5% | -0.1% | 0.1% | -1.82 | -0.1% | 2.7 | 8 | -1 | REJECT |
| CASCADE_LITE@1Hour_h8 | CASCADE_LITE | 1Hour | 8h | 174 | 0.107 | 47.1% | -0.1% | 0.1% | -1.70 | -0.1% | 5.4 | 7 | -1 | REJECT |
Edge families
- BREAKOUT: Donchian window break + volume expansion, ATR-scaled score
- LEADLAG: BTC impulse z-score leads corr-gated alts (1-bar lag)
- PAIRSZ: log-ratio z>=2.0 mean reversion on cointegrated pairs
- FLOW: bar-placement flow proxy x volume/trade-count z (OBI lite)
- CARRY: fade extreme annualized funding (crowded-side contrarian)
- BASIS: fade extreme perp-vs-spot premium (basis reversion)
- CASCADE_LITE: post-cascade reversion via funding-shock proxy (OI pending)
- OICASCADE: real OI collapse + same-direction flush, revert/continue
- POSITION: fade extreme top-trader long/short ratio (Binance)
- TAKERFLOW: fade/ride extreme taker aggressive-flow ratio (real OBI)
- SEASON: hour-of-day bitcoin drift, expanding-window (Padysak-Vojtko)
- VPIN: volume-bucket VPIN on trade tape; ride/revert informed flow
- OBI: tick-exact OBI z on tape (aggressor buy vs sell vol)
Feeds: Hyperliquid hourly funding/premium (data/hyperliquid.py); Binance USDT-M 5-min OI / top-trader / taker-flow metrics and full trade tape -> 5-min signed volume (data/binance_vision.py). Pending: L2 book depth (bookDepth zips exist — OBI depth edge), liquidationSnapshot (not published on data.binance.vision), cross-venue arb, news, on-chain.
Funding: hourly funding accrued on held positions from the Hyperliquid cache (long pays rate>0, short receives); the flat per-bar short approximation is off when funding feeds.