exploring-order-book-predictability

Unverified ML strategy on Crypto by toma-x. BotFinder score 18 out of 100.

Deep learning approach for market price prediction, in JAX

Source: github

Explorer/Crypto/exploring-order-book-predictability
18
Data index
CryptoMLMedium risk⚠ Unverified

exploring-order-book-predictability

toma-xGitHub
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Max drawdown
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Sharpe
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Profit factor
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Win rate
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Track record
2.7y
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About

exploring-order-book-predictability

Exploring order book predictability in cryptocurrency markets in a deep learning perspective using JAX Overview This project explores predictability in cryptocurrency markets, focusing on Bitcoin, the most widely known and liquid cryptocurrency. We use a Convolutional Neural Network (CNN), implemented with FLAX and JAX. Our experiment shows clear sign of short/mid term predictability in a trading perspective. Business understanding The order book contains the bid and ask orders placed by all the market participants, this book convolve a lot of information on the current state of a given market. While this is difficult to use the order book and read it with the naked eye, a machine can efficiently read and extract crucial information from the order book. The objective of our analysis is to identify which books are leading to movements in the market. Data dowload and processing The study referenced in [5] implies that the initial level provides the most valuable information. In line with this perspective, the data used is the BTCUSDT book ticker (the first level of the order book), pub

Jupyter NotebookOpen-sourcebinancebitcoincryptocryptocurrencyexchangehfthigh-frequency-tradinglimit-order-book
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⚠ No verified equity curve — no track-record source connected.

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Source
toma-x
Since 2013 · 1 bots

Open-source maintainer on GitHub.

Trust 0Profile
Score & reliability18/100
Perf data0/35
Community0/25
Evidence8/20
Recency10/10
Verification0/10

Data-completeness & trust index (not a profitability rating)

Source facts
Stars60
Forks17
Open issues1
LanguageJupyter Notebook
License—
Last update2024-05-20
Created2024-01-24
Website
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