Momentum v3 Regime

Historical research only. Not investment advice. These results are based on simulated backtests and may not reflect live execution, liquidity, fees, slippage, or market availability.

Intro / Thesis

This research tested the thesis: Coinbase momentum signals on KXBTC15M are regime-dependent: they only work when BTC is trending intraday in the same direction as the short-term momentum signal. Adding change_1h direction, VWAP alignment, and SMA trend filters ensures entries only fire when short-term momentum aligns with the broader intraday trend. This should filter out the August 3-9 regime where short-term momentum was counter-trend noise.

The run explored one Kalshi crypto strategy shape across 100 deterministic variants. Each variant changed risk bounds, loop cadence, position sizing, and signal sensitivity while keeping the underlying thesis intact.

Variant and Strategy Explanation

The base DSL was treated as the control shape. The research runner generated a family around that shape, persisted every successful candidate as a runnable Turbine strategy, and ranked the family by ROI with PnL as a tie-breaker.

version: 1
platform: kalshi
strategy: custom
strategy_name: "Momentum Signal v3 Regime"
market:
  series_ticker: KXBTC15M
risk:
  max_position: 50
  price_floor: 0.05
  price_ceiling: 0.73
  max_loss: 30.0
loop:
  interval: 10
edge:
  btc:
    provider: coinbase
    symbol: BTC-USD
    fields: [price, change_5m, velocity_1m, change_1h, sma_20_1m, vwap_1h]
    refresh: 5s
rules:
  - name: exit_near_close
    when:
      all:
        - field: time_to_expiry
          op: "<="
          value: "2m"
    action: sell_all

  - name: stop_loss
    when:
      all:
        - field: unrealized_pnl
          op: "<"
          value: -25.0
    action: sell_all

  - name: take_profit
    when:
      all:
        - field: unrealized_pnl
          op: ">"
          value: 15.0
    action: sell_all

  - name: momentum_yes_entry
    when:
      all:
        - field: edge.btc.change_5m
          op: ">"
          value: 0.001
        - field: edge.btc.velocity_1m
          op: ">"
          value: 0
        - field: edge.btc.change_1h
          op: ">"
          value: 0
        - field: edge.btc.price
          op: ">"
          value_field: edge.btc.vwap_1h
        - field: edge.btc.price
          op: ">"
          value_field: edge.btc.sma_20_1m
        - field: price
          op: ">="
          value: 0.05
        - field: price
          op: "<="
          value: 0.73
        - field: spread
          op: "<="
          value: 0.015
        - field: time_to_expiry
          op: ">="
          value: "4m"
        - field: time_to_expiry
          op: "<="
          value: "10m"
        - field: position_size
          op: "=="
          value: 0
    action: buy_yes
    size: 25

  - name: momentum_no_entry
    when:
      all:
        - field: edge.btc.change_5m
          op: "<"
          value: -0.001
        - field: edge.btc.velocity_1m
          op: "<"
          value: 0
        - field: edge.btc.change_1h
          op: "<"
          value: 0
        - field: edge.btc.price
          op: "<"
          value_field: edge.btc.vwap_1h
        - field: edge.btc.price
          op: "<"
          value_field: edge.btc.sma_20_1m
        - field: price
          op: ">="
          value: 0.05
        - field: price
          op: "<="
          value: 0.73
        - field: spread
          op: "<="
          value: 0.015
        - field: time_to_expiry
          op: ">="
          value: "4m"
        - field: time_to_expiry
          op: "<="
          value: "10m"
        - field: position_size
          op: "=="
          value: 0
    action: buy_no
    size: 25

Top Results

• #1 BTC strategy · floor 0.32 / ceil 0.55: ROI 59.48%, PnL 29.74, Sharpe 0.67, win rate 71.43%, max drawdown -19.60, trades 14.
• #2 BTC strategy · floor 0.36 / ceil 0.55: ROI 59.48%, PnL 29.74, Sharpe 0.67, win rate 71.43%, max drawdown -19.60, trades 14.
• #3 BTC strategy · floor 0.41 / ceil 0.55: ROI 59.48%, PnL 29.74, Sharpe 0.67, win rate 71.43%, max drawdown -19.60, trades 14.
• #4 BTC strategy · floor 0.45 / ceil 0.55: ROI 56.26%, PnL 28.13, Sharpe 0.97, win rate 75.00%, max drawdown -1.77, trades 8.
• #5 BTC strategy · floor 0.09 / ceil 0.55: ROI 43.78%, PnL 21.89, Sharpe 0.49, win rate 62.50%, max drawdown -19.60, trades 16.

Bottom Results

• #95 BTC strategy · floor 0.05 / ceil 0.95: ROI -183.24%, PnL -91.62, Sharpe -0.92, win rate 59.65%, max drawdown -114.72, trades 114.
• #96 BTC strategy · floor 0.09 / ceil 0.95: ROI -183.24%, PnL -91.62, Sharpe -0.92, win rate 59.65%, max drawdown -114.72, trades 114.
• #97 BTC strategy · floor 0.14 / ceil 0.95: ROI -183.24%, PnL -91.62, Sharpe -0.92, win rate 59.65%, max drawdown -114.72, trades 114.
• #98 BTC strategy · floor 0.18 / ceil 0.95: ROI -183.24%, PnL -91.62, Sharpe -0.92, win rate 59.65%, max drawdown -114.72, trades 114.
• #99 BTC strategy · floor 0.23 / ceil 0.95: ROI -183.24%, PnL -91.62, Sharpe -0.92, win rate 59.65%, max drawdown -114.72, trades 114.

Conclusion

The best-performing branch of this thesis was BTC strategy · floor 0.32 / ceil 0.55, which suggests that this parameter region deserves manual inspection before any live deployment. The gap between the top and bottom variants was 242.72 percentage points of ROI, so the shape appears sensitive to parameter choices rather than uniformly robust.

Long Disclaimer

This report is educational research generated from historical simulations. It is not financial, investment, legal, tax, or trading advice, and it is not a recommendation to buy, sell, deploy, or automate any strategy. Prediction markets can be illiquid and volatile; live fills, fees, spreads, latency, market resolution, settlement behavior, outages, data quality, and position limits can materially change outcomes. Backtested performance is not evidence of future performance. Review every DSL, market, risk rule, and live deployment setting yourself before running any strategy.