Hypotheses
LINK Binance USD-M Taker-Aggression Shift Contrarian, Single-Leg Long/Short, 4H Decision Clock, Fixed 48h Exit
LINKUSDT.BINANCE on 4H bars. Signal s = the 24h mean of the supplementary 'metrics' field taker_long_short_vol_ratio (5-min data since Dec 2021) divided by its 96h mean. Do not use the 'taker_ratio' key, which only…
Hypothesis
LINKUSDT.BINANCE on 4H bars. Signal s = the 24h mean of the supplementary 'metrics' field taker_long_short_vol_ratio (5-min data since Dec 2021) divided by its 96h mean. Do not use the 'taker_ratio' key, which only holds about 52 days. Go long when s is at or below the trailing-1-year 10th percentile and short when it is at or above the 90th percentile, holding 48h. The strategy is flat otherwise; expected time in market is about 25-35%. It sits on the over-weighted BINANCE venue because this feed only exists for Binance USD-M and HL (lesson 160).
Analysis
数字货币因子模型
Backtest and paper results are hypothetical. Trading involves risk of loss.