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All hypotheses

Hypotheses

BTC Liquidity-Sweep Continuation, Long-Short (Single-Instrument BTCUSDT.BINANCE Perp, TRADE-TICK Driven — Detect a Large Aggressive Volume BURST That Sweeps Resting Liquidity, Trade WITH the Sweep for Short-Term Continuation, Fee-Aware Large-Event-Only, Tight Stop / Time Stop, 3-Parameter)

A LONG-SHORT, single-instrument, EVENT-DRIVEN microstructure strategy on BTCUSDT.BINANCE USD-M perpetual that trades discrete LIQUIDITY-SWEEP events from the trade tape (trade_ticks) — structurally distinct from the…

Hypothesis

A LONG-SHORT, single-instrument, EVENT-DRIVEN microstructure strategy on BTCUSDT.BINANCE USD-M perpetual that trades discrete LIQUIDITY-SWEEP events from the trade tape (trade_ticks) — structurally distinct from the two continuous-imbalance microstructure probes already pending (BtcOrderFlowImbalanceContinuation reads a rolling CVD imbalance over minutes; EthOrderBookDepthImbalance reads resting depth skew). This reads a DISCRETE EVENT: a sudden large burst of one-sided aggressive volume that sweeps through……Show moreShow less

A LONG-SHORT, single-instrument, EVENT-DRIVEN microstructure strategy on BTCUSDT.BINANCE USD-M perpetual that trades discrete LIQUIDITY-SWEEP events from the trade tape (trade_ticks) — structurally distinct from the two continuous-imbalance microstructure probes already pending (BtcOrderFlowImbalanceContinuation reads a rolling CVD imbalance over minutes; EthOrderBookDepthImbalance reads resting depth skew). This reads a DISCRETE EVENT: a sudden large burst of one-sided aggressive volume that sweeps through resting liquidity in seconds — the footprint of an urgent/informed participant or a stop-run cascade. The evidence forcing microstructure: every bar-based directional edge on majors is now proven noise at the fee boundary (dual-TF confluence family ALL abandoned Sharpe 0.3-0.45/PF~1.19; trend baskets Sharpe ~0.3), fades/reversions are refuted (cross-sectional reversal −48%, VWAP/wick/weekend dead), and cross-sectional momentum — the one real edge — is exhausted and execution-cursed. Bars destroy the sweep signal by aggregation. The mechanism trades WITH the sweep (continuation), not against it (avoiding the dead fade family): when a large aggressive-SELL burst sweeps bids, near-term price tends to CONTINUE lower (the level was defended and is now gone, and cascades/stop-runs extend); mirror for aggressive-buy sweeps. The single decisive design choice is FEE-AWARENESS via EVENT SELECTIVITY: only sweeps whose burst volume exceeds a HIGH multiple of normal (rare, large events) trade — these are the ones that historically precede a continuation exceeding the ~0.10% round-trip cost — so the strategy trades infrequently on big moves rather than scalping (the classic microstructure fee-death). Event-driven design also keeps parameters minimal (3), directly attacking the overfit that is the #1 killer. Fills the under-represented SHORT horizon (9.0% vs 10%) and long_short direction (13.5%). Single instrument, single venue (no cross-venue infra trap). BTC has the deepest, cleanest tick tape on Binance with multi-year history → measurable event count. Adds to over-represented BINANCE — accepted; tick-tape depth is the reason and this is an exploratory probe of the encouraged large-order/liquidity-sweep niche.

Backtest and paper results are hypothetical. Trading involves risk of loss.