5-min bars | z look 288 | gate |z|>=1.5 | enter t+1 | horizons (5, 15, 30, 60) min | no costs. IS < 2024-03-01 00:00:00 <= OOS. Each signal uses its own venue's price.
| signal | ref | coins | h(min) | n | IC all | rev all | IC OOS | rev OOS |
|---|---|---|---|---|---|---|---|---|
| BIN_DEPTH_IMB | binance | 8 | 5 | 477,455 | +0.0028 | -0.169 | +0.0021 | -0.124 |
| BIN_DEPTH_IMB | binance | 8 | 15 | 477,455 | +0.0027 | -0.240 | +0.0013 | -0.116 |
| BIN_DEPTH_IMB | binance | 8 | 30 | 477,455 | +0.0019 | -0.339 | +0.0011 | -0.291 |
| BIN_DEPTH_IMB | binance | 8 | 60 | 477,455 | -0.0001 | -0.231 | +0.0007 | -0.413 |
| BIN_L1_QIMB | binance | 2 | 5 | 6,527 | +0.0008 | +0.041 | -0.0012 | +0.378 |
| BIN_L1_QIMB | binance | 2 | 15 | 6,527 | +0.0041 | -0.091 | -0.0025 | +0.476 |
| BIN_L1_QIMB | binance | 2 | 30 | 6,527 | +0.0085 | -0.546 | -0.0013 | -0.188 |
| BIN_L1_QIMB | binance | 2 | 60 | 6,527 | +0.0063 | -0.615 | +0.0009 | -0.272 |
| BIN_L1_MPDEV | binance | 2 | 5 | 5,809 | +0.0175 | -0.210 | +0.0190 | -0.442 |
| BIN_L1_MPDEV | binance | 2 | 15 | 5,809 | +0.0172 | -0.850 | +0.0077 | -0.674 |
| BIN_L1_MPDEV | binance | 2 | 30 | 5,809 | +0.0112 | -0.911 | -0.0036 | -0.618 |
| BIN_L1_MPDEV | binance | 2 | 60 | 5,809 | +0.0062 | -0.997 | -0.0070 | -0.481 |
| BIN_TAPE_OBI | binance | 2 | 5 | 65,783 | -0.0074 | +0.193 | -0.0074 | +0.193 |
| BIN_TAPE_OBI | binance | 2 | 15 | 65,782 | -0.0068 | +0.373 | -0.0068 | +0.373 |
| BIN_TAPE_OBI | binance | 2 | 30 | 65,780 | -0.0058 | +0.329 | -0.0058 | +0.329 |
| BIN_TAPE_OBI | binance | 2 | 60 | 65,776 | -0.0042 | +0.454 | -0.0042 | +0.454 |
| BIN_TAKERFLOW | binance | 8 | 5 | 160,971 | -0.0055 | +0.252 | -0.0055 | +0.252 |
| BIN_TAKERFLOW | binance | 8 | 15 | 160,971 | -0.0042 | +0.309 | -0.0042 | +0.309 |
| BIN_TAKERFLOW | binance | 8 | 30 | 160,970 | -0.0042 | +0.472 | -0.0042 | +0.472 |
| BIN_TAKERFLOW | binance | 8 | 60 | 160,967 | -0.0033 | +0.825 | -0.0033 | +0.825 |
| BYBIT_OB_IMB5 | bybit | 2 | 5 | 9,588 | -0.0040 | +0.083 | -0.0114 | +0.701 |
| BYBIT_OB_IMB5 | bybit | 2 | 15 | 9,587 | -0.0063 | +0.790 | -0.0094 | +1.546 |
| BYBIT_OB_IMB5 | bybit | 2 | 30 | 9,587 | -0.0022 | +0.178 | -0.0033 | -0.365 |
| BYBIT_OB_IMB5 | bybit | 2 | 60 | 9,587 | -0.0066 | +1.037 | -0.0068 | +0.277 |
| BYBIT_OB_IMB25 | bybit | 2 | 5 | 9,619 | +0.0045 | +0.008 | -0.0040 | +0.747 |
| BYBIT_OB_IMB25 | bybit | 2 | 15 | 9,619 | -0.0053 | +0.914 | -0.0106 | +1.734 |
| BYBIT_OB_IMB25 | bybit | 2 | 30 | 9,618 | +0.0010 | -0.294 | +0.0020 | -0.612 |
| BYBIT_OB_IMB25 | bybit | 2 | 60 | 9,617 | -0.0048 | +1.152 | +0.0033 | -2.195 |
| BYBIT_OFI | bybit | 2 | 5 | 8,133 | -0.0215 | +1.771 | -0.0156 | +1.383 |
| BYBIT_OFI | bybit | 2 | 15 | 8,132 | -0.0124 | +1.618 | +0.0004 | -0.327 |
| BYBIT_OFI | bybit | 2 | 30 | 8,131 | -0.0130 | +2.634 | -0.0019 | +0.742 |
| BYBIT_OFI | bybit | 2 | 60 | 8,130 | -0.0037 | +0.899 | +0.0079 | -1.473 |
rev = fade the signal-z (bps/trade gross). IC is pooled correlation. A family needs gross ~>4bps to survive a 2bps maker round trip.