策略 02已关闭
Informed Flow Detection
volume passes without moving price → someone is absorbing/accumulating → price follows them
策略正文暂以英文显示，中文翻译进行中。
关键指标：
2,090 signals → MFE/MAE = 0.99 across all types
- 为何存在优势 / 假设
- An equities-microstructure classic: absorption, stealth buy/sell, breakout-after-quiet as signs of informed order flow.
- 构造
- Tick bars (500), 3 detectors: absorption (vol>2× + low price impact), stealth divergence (sell% vs direction), post-quiet breakout.
- 测试数据
- Binance aggTrades, 90 days, 5 coins — 2,090 signals.
- 结果
- MFE/MAE = 0.99 across all types — direction after the signal is random. A strength filter does not help.
- 验证
- Large sample; every type and filter is noise.
- 根因
- Crypto futures carry no informed flow like equities: wash-trading + delta-neutral MM blur buy/sell classification. Closes the whole TIB/VIB/DIB/CVD block.
- 结论
- Dead. sell%/buy% in crypto carries no directional information.
- 来源
scripts/research/informed_flow_detector.py · archive/CASCADE_TICK_BARS_RESEARCH.md
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