Universe: ['DOGE', 'ADA'] @5Min | Bybit ob500 flow bars | window 2024-01 (feed starts 2023-12-30) | capital $100,000 | 5bps/side + slip | fills t+1 open, intrabar stops
| Strategy | Trades | PF | WR | Ret | MaxDD | Sharpe | Fees$ | Verdict |
|---|---|---|---|---|---|---|---|---|
| OBIMB_continue_h36_L5_z2.0 | 636 | 0.689 | 25.8% | -4.9% | 5.1% | -1.40 | 2,533 | REJECT |
| OFI_continue_h36_z2.0 | 634 | 0.681 | 27.8% | -5.5% | 5.8% | -1.27 | 2,626 | REJECT |
| OBIMB_continue_h12_L5_z1.5 | 746 | 0.618 | 37.0% | -4.8% | 5.0% | -2.00 | 2,774 | REJECT |
| OBIMB_continue_h12_L25_z1.5 | 744 | 0.612 | 35.8% | -5.6% | 5.8% | -2.00 | 2,897 | REJECT |
| OBIMB_revert_h12_L5_z1.5 | 746 | 0.579 | 33.8% | -5.2% | 5.4% | -2.25 | 2,756 | REJECT |
| OFI_revert_h12_z1.5 | 744 | 0.554 | 34.7% | -6.2% | 6.5% | -2.56 | 2,858 | REJECT |
| OFI_continue_h12_z1.5 | 744 | 0.552 | 35.8% | -6.0% | 6.4% | -2.48 | 2,846 | REJECT |
Edge families
- OBIMB: Bybit L500 depth-imbalance z over top-N levels; ride or fade
- OFI: Cont-Kukanov-Stoikov order-flow imbalance z on the best quote; continue or revert
Feed: Bybit ob500 JSONL (500-level snapshot + deltas), aggregated to 5-min flow bars (data/bybit_orderbook.py).