#量化 #短线交易策略

Market Sentiment Killer 🥷 Quantitative Small Test Phase 2

Is the volatility in the first minute of each hour significantly higher than the remaining 59 minutes?

Everyone is welcome to vote based on their own experience and guess the result this time.

If you have any questions you'd like to test, you can leave a message in the comments, and I will select some interesting questions for backtesting.

Follow Market Sentiment Killer, and the answer will be revealed to you in the next issue!

========== The following are the results of the last backtest ============

(Used Binance's nearly one-year BTC spot data for backtesting)

If the BTC price continuously falls for n minutes (n >= 4), and then stops falling at minute n+1, what is the probability of rising or falling at minute n+2 significantly deviating from 50%?

Detailed statistical analysis:

Total valid sample size: 14608 (consecutive declines and stop)

Next minute direction distribution:

Rise: 7452 times (51.0%)

Fall: 7156 times (49.0%)

Conclusion: There is indeed a 1% advantage in win rate here, but considering transaction fees/slippage, it may not be enough to obtain sufficient EV. More indicators can be combined for signal optimization.