Miscellaneous ideas

Here are some ideas for trading alerts.

Negative correlation between: Order Imbalance and Price

case 1

symbol:vale3
date:20210312
epoch: 1615574725 – 1615576600
stats: book_imbalance, mid_p

Alerts (screening)

check all ticker ... ** short: if price is going DOWN consistently with high trade volumes ** long: if price is going UP consistently with high trade volumes

consistently = multiple times within time range

The signals are then calculated based on these stats:

whether it is a downtrend or uptrend
whether the expected price given from the beta is overbought or oversold This model takes a mean-reverting approach:
On a BUY signal indicating oversold and uptrend, we take a LONG position. Then close the LONG position on a SELL signal.
Conversely, on a SELL signal, we take a SHORT position and closeout on a BUY signal.