Edge Filter Sweep

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: Edge data filters (VWAP, EMA, change_5m thresholds) are too restrictive, causing the bot to pass on cheap Kalshi prices during favorable windows. Loosening entry bands, lowering momentum thresholds, and simplifying edge conditions should increase fill rate and capture more of those opportunities.

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: "Deep Research - Edge Filter Sweep"
market:
    series_ticker: KXBTC15M
risk:
    max_position: 5000
    price_floor: 0.01
    price_ceiling: 0.99
loop:
    interval: 10
edge:
    btc:
        provider: coinbase
        symbol: BTC-USD
        fields: [price, vwap_1h, change_5m, ema_12_1m]
        refresh: 5s
rules:
    - name: position_hard_cap
      when:
        all:
            - field: position_size
              op: ">="
              value: 5000
      action: skip
    - name: market_settled_skip
      when:
        all:
            - field: price
              op: "=="
              value: 1.00
            - field: position_size
              op: ">="
              value: 0
      action: skip
    - name: time_exit_2m
      when:
        all:
            - field: time_to_expiry
              op: "<="
              value: "2m"
            - field: position_size
              op: ">"
              value: 0
      action: cancel_all
    - name: cancel_on_no_exit
      when:
        all:
            - field: time_to_expiry
              op: "<="
              value: "30s"
            - field: position_size
              op: ">"
              value: 0
      action: cancel_all
    - name: flat_stop_loss
      when:
        all:
            - field: unrealized_pnl
              op: "<="
              value: -8
            - field: position_size
              op: ">"
              value: 0
      action: cancel_all
    - name: tp_tier0
      when:
        all:
            - field: position_size
              op: "<"
              value: 10
            - field: unrealized_pnl
              op: ">"
              value: 2
      action: sell_all
    - name: sl_tier0
      when:
        all:
            - field: position_size
              op: "<"
              value: 10
            - field: unrealized_pnl
              op: "<"
              value: -3
      action: cancel_all
    - name: tp_tier1
      when:
        all:
            - field: position_size
              op: ">="
              value: 10
            - field: position_size
              op: "<="
              value: 30
            - field: unrealized_pnl
              op: ">"
              value: 5
      action: sell_all
    - name: sl_tier1
      when:
        all:
            - field: position_size
              op: ">="
              value: 10
            - field: position_size
              op: "<="
              value: 30
            - field: unrealized_pnl
              op: "<"
              value: -6
      action: cancel_all
    - name: tp_tier2
      when:
        all:
            - field: position_size
              op: ">="
              value: 31
            - field: position_size
              op: "<="
              value: 60
            - field: unrealized_pnl
              op: ">"
              value: 7
      action: sell_all
    - name: sl_tier2
      when:
        all:
            - field: position_size
              op: ">="
              value: 31
            - field: position_size
              op: "<="
              value: 60
            - field: unrealized_pnl
              op: "<"
              value: -8
      action: cancel_all
    - name: tp_tier3
      when:
        all:
            - field: position_size
              op: ">="
              value: 61
            - field: position_size
              op: "<="
              value: 100
            - field: unrealized_pnl
              op: ">"
              value: 10
      action: sell_all
    - name: sl_tier3
      when:
        all:
            - field: position_size
              op: ">="
              value: 61
            - field: position_size
              op: "<="
              value: 100
            - field: unrealized_pnl
              op: "<"
              value: -10
      action: cancel_all
    - name: tp_tier4
      when:
        all:
            - field: position_size
              op: ">="
              value: 101
            - field: unrealized_pnl
              op: ">"
              value: 15
      action: sell_all
    - name: sl_tier4
      when:
        all:
            - field: position_size
              op: ">="
              value: 101
            - field: unrealized_pnl
              op: "<"
              value: -12
      action: cancel_all
    - name: buy_yes_above_vwap
      when:
        all:
            - field: edge.btc.price
              op: ">"
              value_field: edge.btc.vwap_1h
            - field: edge.btc.change_5m
              op: ">"
              value: 0.0004
            - field: price
              op: ">="
              value: 0.30
            - field: price
              op: "<="
              value: 0.70
            - field: spread
              op: "<="
              value: 0.03
            - field: position_size
              op: "<="
              value: 100
      orders:
        - side: yes
          action: buy
          size: 5
          price:
            reference: best_bid
            offset: 0
          post_only: true
    - name: buy_no_below_vwap
      when:
        all:
            - field: edge.btc.price
              op: "<"
              value_field: edge.btc.vwap_1h
            - field: edge.btc.change_5m
              op: "<"
              value: -0.0004
            - field: price
              op: ">="
              value: 0.30
            - field: price
              op: "<="
              value: 0.70
            - field: spread
              op: "<="
              value: 0.03
            - field: position_size
              op: "<="
              value: 100
      orders:
        - side: no
          action: buy
          size: 5
          price:
            reference: best_bid
            offset: 0
          post_only: true
    - name: accel_momentum_yes
      when:
        all:
            - field: edge.btc.change_5m
              op: ">"
              value: 0.0008
            - field: price
              op: ">="
              value: 0.20
            - field: price
              op: "<="
              value: 0.80
            - field: spread
              op: "<="
              value: 0.03
            - field: position_size
              op: "<="
              value: 100
      orders:
        - side: yes
          action: buy
          size: 5
          price:
            reference: best_bid
            offset: 0
          post_only: true
    - name: accel_momentum_no
      when:
        all:
            - field: edge.btc.change_5m
              op: "<"
              value: -0.0008
            - field: price
              op: ">="
              value: 0.20
            - field: price
              op: "<="
              value: 0.80
            - field: spread
              op: "<="
              value: 0.03
            - field: position_size
              op: "<="
              value: 100
      orders:
        - side: no
          action: buy
          size: 5
          price:
            reference: best_bid
            offset: 0
          post_only: true
    - name: late_yes_certainty
      when:
        all:
            - field: time_to_expiry
              op: "<="
              value: "4m"
            - field: edge.btc.price
              op: ">"
              value_field: edge.btc.ema_12_1m
            - field: edge.btc.change_5m
              op: ">"
              value: 0.0004
            - field: price
              op: ">="
              value: 0.15
            - field: price
              op: "<="
              value: 0.80
            - field: spread
              op: "<="
              value: 0.03
            - field: position_size
              op: "<="
              value: 150
      action: buy_yes
      size: 5
    - name: late_no_certainty
      when:
        all:
            - field: time_to_expiry
              op: "<="
              value: "4m"
            - field: edge.btc.price
              op: "<"
              value_field: edge.btc.ema_12_1m
            - field: edge.btc.change_5m
              op: "<"
              value: -0.0004
            - field: price
              op: ">="
              value: 0.20
            - field: price
              op: "<="
              value: 0.85
            - field: spread
              op: "<="
              value: 0.03
            - field: position_size
              op: "<="
              value: 150
      action: buy_no
      size: 5
    - name: late_yes_super_momentum_boost
      when:
        all:
            - field: time_to_expiry
              op: "<="
              value: "3m"
            - field: edge.btc.price
              op: ">"
              value_field: edge.btc.ema_12_1m
            - field: edge.btc.change_5m
              op: ">"
              value: 0.0012
            - field: spread
              op: "<="
              value: 0.03
            - field: price
              op: ">="
              value: 0.10
            - field: price
              op: "<="
              value: 0.85
            - field: position_size
              op: "<="
              value: 150
      action: buy_yes
      size: 10
    - name: late_no_super_momentum_boost
      when:
        all:
            - field: time_to_expiry
              op: "<="
              value: "3m"
            - field: edge.btc.price
              op: "<"
              value_field: edge.btc.ema_12_1m
            - field: edge.btc.change_5m
              op: "<"
              value: -0.0012
            - field: spread
              op: "<="
              value: 0.03
            - field: price
              op: ">="
              value: 0.15
            - field: price
              op: "<="
              value: 0.90
            - field: position_size
              op: "<="
              value: 150
      action: buy_no
      size: 10

Top Results

• #1 BTC strategy · floor 0.45 / ceil 0.82: ROI 0.62%, PnL 31.24, Sharpe 0.22, win rate 63.38%, max drawdown -14.65, trades 177.
• #2 BTC strategy · floor 0.45 / ceil 0.86: ROI 0.62%, PnL 31.24, Sharpe 0.22, win rate 63.38%, max drawdown -14.65, trades 177.
• #3 BTC strategy · floor 0.45 / ceil 0.91: ROI 0.62%, PnL 31.24, Sharpe 0.22, win rate 63.38%, max drawdown -14.65, trades 177.
• #4 BTC strategy · floor 0.45 / ceil 0.95: ROI 0.62%, PnL 31.24, Sharpe 0.22, win rate 63.38%, max drawdown -14.65, trades 177.
• #5 BTC strategy · floor 0.45 / ceil 0.64: ROI 0.60%, PnL 29.98, Sharpe 0.19, win rate 57.78%, max drawdown -11.90, trades 109.

Bottom Results

• #97 BTC strategy · floor 0.05 / ceil 0.55: ROI -0.18%, PnL -9.17, Sharpe -0.08, win rate 34.88%, max drawdown -22.22, trades 114.
• #98 BTC strategy · floor 0.09 / ceil 0.55: ROI -0.18%, PnL -9.17, Sharpe -0.08, win rate 34.88%, max drawdown -22.22, trades 114.
• #99 BTC strategy · floor 0.14 / ceil 0.55: ROI -0.18%, PnL -9.17, Sharpe -0.08, win rate 34.88%, max drawdown -22.22, trades 114.
• #100 BTC strategy · floor 0.18 / ceil 0.55: ROI -0.18%, PnL -9.17, Sharpe -0.08, win rate 34.88%, max drawdown -22.22, trades 114.
• #95 BTC strategy · floor 0.23 / ceil 0.55: ROI -0.14%, PnL -7.08, Sharpe -0.06, win rate 36.59%, max drawdown -22.22, trades 110.

Conclusion

The best-performing branch of this thesis was BTC strategy · floor 0.45 / ceil 0.82, which suggests that this parameter region deserves manual inspection before any live deployment. The gap between the top and bottom variants was 0.80 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.