Alt Capitulation Reversion
candidateFades a capitulation extreme on a high-beta alt — a fresh rolling low on heavy signed selling where the order book is starting to firm — and holds 15–60 min for the bounce. The one Round-2 design the Round-1 data positively hinted at (momentum decayed into reversion). Note: needs a low-fee venue to be broadly viable; on Alpaca it correctly stands down except on rare large-bounce setups.
Pros
- + The only design supported by a positive signal in Round-1 data (reversion after short-horizon momentum; faintly contrarian OFI).
- + Buys forced liquidation, not strength — the opposite of the incumbent that went 0-for-154 buying momentum.
- + Book-firming gate avoids catching a one-sided collapse mid-flush.
Cons
- − Fading a downtrend is structurally dangerous — a real trend change turns a fade into a full stop-out.
- − Uneconomic on Alpaca fees at realistic reversion sizes; genuinely needs a cheaper venue.
- − Requires a valid order book (depth channel); degrades to no-trade without it.
Rejection gate
Reject if the reversion edge measured by markout at 15/30/60-min horizons does not exceed the venue round-trip hurdle by ~3×, OR if net-of-cost expectancy is ≤ 0 after ≥40 closed trades on a venue where it can actually clear cost.
Entry gate funnel (last 24h)
No gate telemetry yet — the engine flushes funnel windows every few minutes while running.
Adjustable parameters
Only fade names with enough vol to bounce meaningfully. · candidate range 0.1–0.5%
How close to the rolling low counts as a fresh extreme. · candidate range 0–0.3%
Require heavy selling (signed-flow z ≤ −this) — a washout, not a drift. · candidate range 1.5–3.0
Book must be firming (buyers stepping in), not one-sided down. · candidate range 0–0.3
Tight — a fade that keeps falling is cut quickly. · candidate range 0.8–1.5%
Must clear the cost hurdle ~3×; on Alpaca this fires only on large-bounce setups. · candidate range 2–3.5%
Skip abnormally wide/stale markets. · candidate range symbol-relative
The reversion window — longer than a scalp, shorter than a swing. · candidate range 15–90 min
Avoid re-fading the same falling knife repeatedly. · candidate range 10–30 min
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