Liquidity-Sweep VWAP Reversion
candidateFades a downward liquidity flush — price poking the rolling low on strong aggressive selling, then the book refilling on the bid — targeting reversion toward VWAP with a stop just below the sweep low. With the Phase 5 order-book feed it confirms the sweep from L2 depth imbalance; without a book it falls back to the degraded microprice-rebound proxy (a conservative lower bound).
Pros
- + Reversion after a stop-run is one of the more robust intraday crypto edges.
- + Targets a move back to VWAP — usually large enough to clear even taker costs.
- + With book depth it separates a genuine sweep (bid replenishing) from a real breakdown — the main degraded failure mode.
Cons
- − Alpaca depth is coarse and can lag; book confirmation reduces but does not remove false fades in a true breakdown.
- − Taker entry to catch the turn pays the spread exactly when it is widest.
- − Catching a falling knife: a fresh low right after entry is the main failure mode.
Rejection gate
Reject if fade setups show no positive reversion edge to VWAP after realistic Alpaca costs, or if even with the depth gate the detector cannot separate sweeps from trend continuations well enough to be net positive across two volatility regimes.
Entry gate funnel (last 24h)
No gate telemetry yet — the engine flushes funnel windows every few minutes while running.
Adjustable parameters
How close to the rolling low the flush must reach to count as a sweep. · candidate range 0.05–0.30%
The flush should be an unusually large range, not routine noise. · candidate range 0.7–0.95
Signed flow must be strongly negative — a real aggressive sell sweep. · candidate range 1.5–3.0
Microprice must lean back up — evidence the sweep is being absorbed. · candidate range 0.10–0.30 spread
If a fresh low prints the sweep failed — cut it. · candidate range 0.10–0.40%
Sweeps blow spreads out; skip if still abnormally wide. · candidate range symbol-relative
One fade per sweep; do not stack into a trending flush.
When a valid L2 book is available, require the bid depth to have rebuilt before fading (Phase 5 depth gate). Off = always use the degraded proxy.
Top-N book imbalance must have recovered to at least this on the bid — evidence swept liquidity is replenishing. · candidate range 0.0–0.3
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