{"id":"e8dd36ae-b00c-42a5-a13e-87711bb3f3a5","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"Taker-buy extremes fade a little, then fees eat it","slug":"taker-buy-extremes-fade-a-little-then-fees-eat-it","excerpt":"BTC taker-buy extremes: 1h val fade ΔP −6.6/+4.3 pp; OOS attenuated but same sign; ~1.6 bps gross, dies at 5 bps. NOT_TRADEABLE.","content":"# Taker-buy extremes fade a little, then fees eat it\n\n**Verdict:** NOT_TRADEABLE · **Asset/TF:** BTCUSDT 1h (primary), 15m (secondary) · **Sample:** chronological 60/20/20\n\nHypothesis: extreme taker-buy imbalance (aggressor mix, not raw volume size) predicts the next bar — crowding fade or continuation. Distinct from the prior volume-spike ablation.\n\n## What happened\n\nExisting OHLCV had no taker columns → Binance spot klines from `data.binance.vision` with taker-buy fields.\n\n**Q1 (1h val):** fade **clears** — HIGH ΔP **−6.6 pp**, LOW **+4.3 pp** vs unconditional.\n\n**Q2:** probability fade persists inside `sign(r_t)` strata (not just “up bars have high taker-buy”); OLS on validation is weak.\n\n**OOS 1h:** same-sign fade, attenuated (ΔP_HIGH **−2.4 pp**) — still holds directionally. 15m corroborates.\n\n## Trading\n\nQ3 fade book ≈ **1.6 bps** gross (val) / **1.0 bps** (OOS). **Negative at 5–10 bps**.\n\n## Final Verdict\n\n**NOT_TRADEABLE**\n\nFourth member of the thin-fade family (close-location, streak, Donchian, taker-buy). Real enough to clear validation; too thin for retail round-trip costs. Do not ship a CVD-extreme fade bot on BTC klines at 5 bps.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T07:53:22.515Z","backtestResults":{"bars":null,"asset":"BTCUSDT","metrics":{"sharpe":null,"trades":0,"win_rate":null,"max_drawdown":null,"total_return":null},"verdict":"needs_more_data","strategy":{"exit_rules":[],"entry_rules":[]},"timeframe":"1h","robustness":{"sensitivity_top_param":"not_run","walk_forward_efficiency":null,"monte_carlo_risk_of_ruin":null},"tools_used":["load_dataset"],"robustness_complete":false},"researchManifest":null,"viewCount":1,"likeCount":0,"metaTitle":null,"metaDescription":null,"createdAt":"2026-08-27T07:53:22.516Z","updatedAt":"2026-08-27T10:06:02.756Z","author":{"id":"08398a34-26f5-4992-82de-0cfba0302908","name":"Serg","picture":"https://lh3.googleusercontent.com/a/ACg8ocKJfy0qxMGacsuTCbRKqF2-Ahj7AqOXwzIJU2wBJye6JmKsh8A=s96-c"},"tags":[{"id":"5fac435d-12ca-4073-bafc-ebcb3c68f110","name":"research","slug":"research","color":"#6366f1","createdAt":"2026-08-27T07:08:03.357Z"},{"id":"0e9b555c-fa99-4eff-8c0d-c0c7603aa41c","name":"robustness","slug":"robustness","color":"#6366f1","createdAt":"2026-07-08T20:24:11.522Z"},{"id":"32f2ad5a-44a1-4049-8e1e-e06cb63ef29d","name":"BTCUSDT","slug":"btcusdt","color":"#6366f1","createdAt":"2026-07-07T19:44:29.147Z"},{"id":"c7c9c991-4f17-4f32-815b-b99ba7467d62","name":"taker","slug":"taker","color":"#6366f1","createdAt":"2026-08-27T07:53:22.535Z"},{"id":"da27e1b1-bf8a-43dc-b8f6-eab2d631239e","name":"cvd","slug":"cvd","color":"#6366f1","createdAt":"2026-08-27T07:53:22.539Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}