Universe: BTC/ETH pairs + 8-symbol cross-section | window: BTC/ETH depth from 2023-01, alts from 2025-07 (to 2026-07/08) | capital $100,000 | fees 5bps/side + slip + volume caps | fills t+1 open, intrabar stops
| Strategy | Trades | PF | WR | Ret | MaxDD | Sharpe | CAGR | AvgHold | Fees$ | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|
| DEPTHIMB@5Min_continue_w_h36_z2.0 | 7,604 | 0.605 | 28.5% | -0.4% | 0.4% | -8.64 | -0.1% | 14.8 | 242 | REJECT |
| DEPTHIMB@5Min_revert_w_h36_z2.0 | 9,340 | 0.592 | 28.5% | -0.5% | 0.5% | -10.00 | -0.1% | 15.2 | 308 | REJECT |
| DEPTHIMB@5Min_continue_w_CS_h36_z2.0 | 9,318 | 0.579 | 28.6% | -0.5% | 0.5% | -10.29 | -0.1% | 14.9 | 309 | REJECT |
| DEPTHIMB@5Min_continue_h36_z2.0 | 9,138 | 0.577 | 28.0% | -0.5% | 0.5% | -10.22 | -0.1% | 14.6 | 305 | REJECT |
| DEPTHIMB@5Min_continue_w_h36_z2.0 | 9,324 | 0.572 | 28.4% | -0.5% | 0.5% | -10.42 | -0.1% | 14.9 | 308 | REJECT |
| DEPTHFLUSH@5Min_revert_h36_z3.0 | 4,326 | 0.564 | 27.0% | -0.2% | 0.2% | -7.15 | -0.1% | 16.4 | 138 | REJECT |
| DEPTHIMB@5Min_continue_h36_z1.5 | 16,578 | 0.536 | 26.2% | -1.0% | 1.0% | -15.11 | -0.3% | 14.0 | 573 | REJECT |
| DEPTHFLUSH@5Min_revert_h36_z2.0 | 11,082 | 0.535 | 26.0% | -0.7% | 0.7% | -12.33 | -0.2% | 16.1 | 386 | REJECT |
| DEPTHIMB@5Min_continue_CS_h12_z1.5 | 20,770 | 0.470 | 32.2% | -1.2% | 1.2% | -19.98 | -0.3% | 8.5 | 730 | REJECT |
| DEPTHIMB@5Min_revert_h12_z1.5 | 20,742 | 0.469 | 32.1% | -1.2% | 1.2% | -20.00 | -0.3% | 8.3 | 729 | REJECT |
| DEPTHFLUSH@5Min_revert_CS_h12_z2.0 | 14,462 | 0.465 | 32.4% | -0.9% | 0.9% | -16.90 | -0.2% | 8.3 | 528 | REJECT |
| DEPTHFLUSH@5Min_continue_h12_z2.0 | 14,452 | 0.462 | 32.5% | -0.9% | 0.9% | -16.98 | -0.2% | 8.3 | 528 | REJECT |
| DEPTHIMB@5Min_continue_h12_z1.5 | 20,722 | 0.456 | 31.0% | -1.2% | 1.2% | -20.42 | -0.3% | 8.4 | 727 | REJECT |
| DEPTHFLUSH@5Min_revert_h12_z2.0 | 14,434 | 0.451 | 31.9% | -0.9% | 0.9% | -17.29 | -0.2% | 8.3 | 528 | REJECT |
| DEPTHIMB@5Min_continue_w_h12_z1.5 | 20,796 | 0.447 | 31.0% | -1.2% | 1.2% | -20.72 | -0.3% | 8.6 | 726 | REJECT |
Edge families
- DEPTHIMB: L2 resting-depth imbalance z (bid vs ask notional near mid); ride or fade extremes
- DEPTHFLUSH: z of k-bar change in ask-side notional — liquidity withdrawal flush; fade or ride
Feed: Binance USDT-M daily bookDepth snapshots (~20s cadence, notional within +/-0.2/1/2/3/4/5% of mid) aggregated to 5-min mean resting notional per side (data/book_depth.py). First test of the previously-pending L2 depth family.