Non-cumulative instantaneous (bid−ask)/(bid+ask) per interval |
102999 points 2026-03-06T09:16 → 2026-07-27T01:14 UTC |
signal: |Δ|>0.2 within 1–4 pts |
traded only if |Δ|≥0.3, ≥24h between trades
Strategy: on each signal, trade in the jump's direction. Book +600 points when the
favourable move reaches it; if not reached within 1 day, exit at the current price (mark-to-market).
Realized P/L is the points booked at exit. Direction = sign of the imbalance jump (up → LONG).
Signals / Trades
31
12 long / 19 short
+600 hit within 1d
26
84% · else time-exit
Win rate
84%
realized P/L > 0
Mean P/L / trade
+444
median +600 pts
Total realized
+13761
best +600 / worst -745
Median time to +600
3h 10m
median DD -412 / worst -2077
Grouped results
Span = how many ~2-min intervals the >0.2 jump took (1 = most abrupt, 4 = built up over ~8 min).
ΔinstRatio = size of the imbalance jump. P/L = realized points.
Exit: target (+600 hit) or time-exit (1d MTM).
Group by:
ΔinstRatio bucket × Span
Each ΔinstRatio bucket broken down by span (1–4). Bold = bucket subtotal; indented = per-span.