Penny-Jump 'Elephant' Restated for Bars: Trade Alongside a Freshly Posted Resting-Depth Elephant (Binance Vision bookDepth OBI Surge) on SOLUSDT.BINANCE 15m, Exit When the Elephant Is Pulled, 4h Clock, ATR Stop, Long-Short

Derived by the Research Lead from Zero, 'High-frequency trading strategy: Penny Jump' (FMZ forum, 2015-06-06, https://www.fmz.com/bbs-topic/36): the article's mechanism is that a large resting order (an 'elephant') reveals a participant's intent, so a trader positions on the elephant's side one tick ahead of it and uses the elephant as a backstop, leaving quickly if the support disappears; the article adds that elephants are often decoys pulled before they trade. The literal one-tick penny jump is NOT testable here: it earns ~0.01% per trade against a 0.04-0.10% round trip and relies on queue priority / sub-second cancels (capability queue_or_latency_edge is unsupported). This operationalization keeps the information claim and moves it to a horizon that can clear fees. RETRY NOTE (labelled change): a previous contract on the same seed (SOLUSDT.BINANCE 15m, fade a PULLED wall only when price stayed flat for an hour) produced 0 entries over 19,700 sandbox bars because it stacked a k-sigma pull with a flat-price condition. This version keeps the same instrument, timeframe and data source but triggers on the elephant's APPEARANCE (a one-sided surge of resting depth), which on the 2023-01..2026-06 SOL bookDepth history occurs about 180 times/year at |z|>=3.0 and about 400/year at |z|>=2.5 (firing-rate count only, no returns examined; about 50 events at z=3.0 and 120 at z=2.5 fall inside the 2026-03-15..2026-06-26 part of a recent sandbox window), and uses the article's decoy warning as the EXIT (elephant pulled -> leave). DATA: supplementary key `book_depth` (Binance Vision bookDepth for SOLUSDT, resting notional in the +/-1..5% bands, ~30 s snapshots aggregated by the loader into a per-minute obi = (bid_notional - ask_notional)/(bid_notional + ask_notional), keyed at minute end; history 2023-01-01 to 2026-06-26, daily Vision updates thereafter). Read it only with supp_as_of / supp_window (point in time). SIGNAL on each 15-MINUTE bar close: obi15 = mean of the minute obi values inside the bar (ignore minutes with |obi| > 0.9 as snapshot glitches; if fewer than 5 valid minutes or the newest obi is older than 30 minutes, the signal is undefined and no entry is allowed). base = mean of obi15 over the previous `base_bars` bars (excluding the current bar). delta = obi15 - base. z = (delta - mean(delta over the last `z_window` bars)) / std(delta over the last `z_window` bars), requiring at least half of z_window valid values. A BID ELEPHANT event is z crossing up through +z_entry (z >= z_entry and the previous bar's z < z_entry); an ASK ELEPHANT event is z crossing down through -z_entry. EXECUTION: market orders at the signal bar's close (the faithful equivalent of a next-bar-open fill on this 24/7 venue, per the capability registry). Risk route (a): an intrabar protective stop (reduce-only stop-market, matched inside the bar by the platform's simulated venue; live mirrors the fills - no exchange-resting order is required) at stop_atr x ATR(14 bars) from entry; size so that the loss at the stop is risk_pct = 1.0% of equity, with notional capped at 1.3x equity (leverage config 2.0; 1.3x SOL is ~110% annualized position volatility, inside the 120% conservative cap). Single netted position, long-short, flat most of the time.