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All hypotheses

Hypotheses

ETH Perp Taker-Flow Climax Exhaustion Reversal — Tape-Driven, Long-Short: Fade a Blow-Off Burst of One-Sided Aggressive Taker Volume That FAILS to Extend Price (CVD/Price Divergence), Snap-Back to the Micro-Mean (ETHUSDT.BINANCE USD-M, Trade-Tick Driven, Short-Horizon, 3-Parameter)

A LONG-SHORT, single-instrument MICROSTRUCTURE reversal driven by TRADE TICKS (aggTrade tape), not OHLCV bars — a deliberately different data family from every bar-based mean-reversion/momentum strategy in the…

Hypothesis

A LONG-SHORT, single-instrument MICROSTRUCTURE reversal driven by TRADE TICKS (aggTrade tape), not OHLCV bars — a deliberately different data family from every bar-based mean-reversion/momentum strategy in the graveyard, and outside the funding-carry and options families that keep colliding/dying. The edge is aggressor EXHAUSTION: crypto perps regularly print climactic bursts where aggressive market orders pile in on one side (a buying or selling climax) and the LAST tranche of takers is filled at progressively……Show moreShow less

A LONG-SHORT, single-instrument MICROSTRUCTURE reversal driven by TRADE TICKS (aggTrade tape), not OHLCV bars — a deliberately different data family from every bar-based mean-reversion/momentum strategy in the graveyard, and outside the funding-carry and options families that keep colliding/dying. The edge is aggressor EXHAUSTION: crypto perps regularly print climactic bursts where aggressive market orders pile in on one side (a buying or selling climax) and the LAST tranche of takers is filled at progressively worse prices while price fails to make a new extreme — i.e. cumulative signed taker volume (CVD) diverges from price. That footprint marks liquidity absorption by passive size, and it is systematically followed by a short snap-back as the aggressive flow is spent. We measure signed taker volume directly from trade ticks (buyer-vs-seller-initiated), detect a climax + divergence, and fade it for a bounded micro-reversion. This is NOT the AVAX 15m wick-rejection fade (that read OHLCV wicks off completed bars); the trigger here is the TAPE's aggressor imbalance and its divergence from price, a signal invisible in bar data. Trade ticks (Binance aggTrades) have multi-year history, so walk-forward windows and the 15-day holdout populate. Fills the under-represented short-horizon bucket (8.8% vs ≥10%) and the long-short bucket (14%). 3 parameters: climax-flow z threshold, divergence confirmation, and reversion target/stop.

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