Universe: BTC/ETH @5Min | window: 2024-01-01..2024-03-30 (feed ends 2024-03-30) | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| BOOKIMB@5Min_continue_h36_z2.0 | 966 | 0.636 | 26.9% | -0.0% | 0.0% | -3.10 | -0.0% | 16.9 | 33 | REJECT |
| BOOKMPDEV@5Min_continue_h36_z2.0 | 946 | 0.633 | 27.3% | -0.0% | 0.0% | -3.12 | -0.0% | 16.7 | 32 | REJECT |
| BOOKIMB@5Min_revert_h36_z2.0 | 966 | 0.617 | 27.5% | -0.0% | 0.0% | -3.30 | -0.0% | 16.8 | 33 | REJECT |
| BOOKIMB@5Min_revert_h12_z1.5 | 1,832 | 0.501 | 32.6% | -0.1% | 0.1% | -5.91 | -0.0% | 9.1 | 60 | REJECT |
| BOOKIMB@5Min_continue_h12_z1.5 | 1,846 | 0.464 | 31.5% | -0.1% | 0.1% | -6.33 | -0.0% | 9.1 | 60 | REJECT |
| BOOKMPDEV@5Min_revert_h12_z1.5 | 1,788 | 0.463 | 32.6% | -0.1% | 0.1% | -6.18 | -0.0% | 9.1 | 58 | REJECT |
| BOOKMPDEV@5Min_continue_h12_z1.5 | 1,800 | 0.414 | 30.3% | -0.1% | 0.1% | -6.85 | -0.0% | 9.1 | 59 | REJECT |
Edge families
- BOOKIMB: L1 queue imbalance z (best-bid vs best-ask qty at the touch); fade or ride extremes
- BOOKMPDEV: microprice-deviation z ((microprice-mid)/mid); ride (mid drifts toward the heavy side) or fade
Feed: Binance USDT-M daily bookTicker (L1 best bid/ask on every book update) aggregated to 5-min mean bars (data/book_ticker.py). First test of the top-of-book layer.