MS8h Strategy — Research Summary
The production strategy. Discovered through the microstructure alpha experiment series.
Winning Configuration: VWAP Evening Dip + CVD Collapse Reversal + slope_20 Regime
| Parameter |
Value |
| Timeframe |
5m (aggregated from 1m with taker_buy_volume) |
| Session |
20:00-24:00 UTC only |
| Entry condition |
Close >0.3% below daily VWAP AND CVD 12-bar z-score < -1.0 |
| Persistence filter |
Signal true for >= 2 consecutive bars |
| Regime filter |
Yesterday's close > close 20 days ago (daily uptrend) |
| Exit |
Pure timeout after 30 bars (150 min) — no SL, no TP |
| Fees |
0.10% round-trip (maker) |
Results (14 months, Jan 2025 - Feb 2026)
- +94.4% total PnL, 13/14 months positive
- 134 trades, 53.7% WR, profit factor 7.24
- Only negative month: Jul 2025 (-4.2%)
- Shorts dominate: +70.78% (59.4% WR) vs longs +23.66% (47.7% WR)
Key Insights
- No stop loss — median MAE -0.36% before recovery, any SL fires before mean reversion completes
- slope_20 is the right regime filter — correctly blocks falling knives in downtrends
- 20:00-24:00 UTC is the best session, consistent with V8 Phase 2 findings
- MS8h alone dominates every portfolio blend (R20, Don4h all negative or marginal over 14 months)
- Kelly optimal = 37.9%, current 100% sizing = 2.6x Kelly (overleveraged)
Multi-Coin Extension
Backtested 52+ coins. Per-regime coin ranking enables swap-1-per-regime-change: +415% over 450 days.
10 live coins, 2x leverage, deployed on Kraken Futures via VPS.