策略 09已关闭

Cascade Tick Bars

tick/imbalance bars catch the start of a liquidation cascade for a directional entry

策略正文暂以英文显示，中文翻译进行中。

关键指标：

3 days: WR 100% (false) → 90 days: WR 47%, net −0.10%/trade, Sharpe −3.4

为何存在优势 / 假设: Information-driven bars (de Prado) should detect a flow surge earlier than time bars.
构造: Tick bars (500) + imbalance bars → cascade trigger → directional entry.
测试数据: 5 coins; 3 days (pilot) and 90 days (144 trades).
结果: On 3 days WR=100%, Sharpe 1.27 — a small-sample false signal. On 90 days WR=47%, net −0.10%/trade, Sharpe −3.4. MFE≈MAE → direction after the trigger is random.
验证: Overfitting on a short sample; on the full sample — noise.
根因: No directional information after the cascade trigger; a small sample fooled us.
结论: Dead. A showcase case: why a 3-day 100% WR means nothing. The infra (streaming aggTrades parser) was reused.
来源: archive/CASCADE_TICK_BARS_RESEARCH.md

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