Bundle -- Crypto Momentum Fade Trader
This is a template.
The default signal detects strong directional streaks in crypto 5-minute interval markets and fades them using conviction-based sizing. The skill handles all the plumbing (interval parsing, streak detection, trade execution, safeguards). Your agent provides the alpha.
Strategy Overview
Polymarket lists 5-minute interval markets for BTC, ETH, and SOL: "Will BTC be Up or Down in the 14:00-14:05 ET interval?" These resolve to YES (up) or NO (down) based on the actual price movement. When a coin moves sharply in one direction over 15-30 minutes -- 3 to 6 consecutive strong same-direction intervals at >58% probability -- the NEXT interval tends to mean-revert. This is the "momentum fade," a well-documented microstructure effect in crypto markets where short-term directional momentum exhausts itself and reverses.
Edge
Unlike a generic streak trader that counts any streak of >50% intervals, this skill specifically targets strong directional moves where each interval in the streak exceeds the FADE_THRESHOLD (default 58%). This filters out noise and focuses on genuine momentum exhaustion events. The fade is structurally sound because:
- Microstructure mean-reversion -- short-horizon crypto returns exhibit negative autocorrelation after extended directional moves, documented across BTC, ETH, and SOL on 5-minute timeframes
- Retail momentum chasing -- Polymarket participants observe a streak and price the next interval as a continuation, creating a systematic overpricing of momentum
- Arbitrage-free pricing constraint -- the 5-minute return distribution has bounded variance; after 3+ consecutive strong-direction intervals, the conditional probability of continuation drops below the unconditional probability
- Bundle structure -- each interval resolves independently, so a streak of 3 strong-up intervals does not mechanically cause the 4th to also be up
Signal Logic
- Discover crypto interval markets via keyword search (
Bitcoin Up or Down, BTC Up or Down, Ethereum Up or Down, Solana Up or Down) with a get_markets(limit=200) fallback
- Parse each question to extract (coin, date, start_time, end_time) using regex
- Group intervals by (coin, date) and sort by time
- Scan each group for streaks of
FADE_LENGTH+ consecutive intervals where ALL have probability >= FADE_THRESHOLD (strong-up) or <= 1 - FADE_THRESHOLD (strong-down)
- After detecting a strong move, check the NEXT interval:
- Strong-up streak -> next interval should mean-revert down; if still priced >=
NO_THRESHOLD, sell NO
- Strong-down streak -> next interval should mean-revert up; if still priced <=
YES_THRESHOLD, buy YES
- Size by conviction (distance from threshold), not flat amount
Remix Signal Ideas
- Binance/Coinbase websocket -- feed real-time order flow data to detect momentum exhaustion before the 5-minute interval resolves; trade the interval market while the fade is still mispriced
- Funding rate signal -- when perpetual funding rates are extremely positive/negative, the fade has higher expected value because leveraged positions are being unwound
- Volume profile -- weight the streak detection by actual trading volume in each interval; high-volume directional moves exhaust faster than low-volume drifts
- Cross-coin correlation -- if BTC has a strong-up streak and ETH/SOL have not yet followed, the fade on BTC is weaker (genuine broad move) vs. BTC-only streaks (more likely noise)
- Volatility regime -- adjust FADE_THRESHOLD dynamically based on realised volatility; in high-vol regimes, require stronger streaks before fading
Safety & Execution Mode
The skill defaults to paper trading (venue="sim"). Real trades only with --live flag.
| Scenario | Mode | Financial risk |
|---|
python trader.py | Paper (sim) | None |
| Cron / automaton | Paper (sim) | None |
python trader.py --live | Live (polymarket) | Real USDC |
autostart: false and cron: null mean nothing runs automatically until configured in Simmer UI.
Required Credentials
| Variable | Required | Notes |
|---|
SIMMER_API_KEY | Yes | Trading authority. Treat as a high-value credential. |
Tunables (Risk Parameters)
All declared as tunables in clawhub.json and adjustable from the Simmer UI.
| Variable | Default | Purpose |
|---|
SIMMER_MAX_POSITION | 40 | Max USDC per trade at full conviction |
SIMMER_MIN_TRADE | 5 | Floor for any trade (min USDC regardless of conviction) |
SIMMER_MIN_VOLUME | 3000 | Min market volume filter (USD) |
SIMMER_MAX_SPREAD | 0.10 | Max bid-ask spread |
SIMMER_MIN_DAYS | 1 | Min days until resolution |
SIMMER_MAX_POSITIONS | 10 | Max concurrent open positions |
SIMMER_YES_THRESHOLD | 0.38 | Buy YES only if market probability <= this |
SIMMER_NO_THRESHOLD | 0.62 | Sell NO only if market probability >= this |
SIMMER_FADE_THRESHOLD | 0.58 | Min probability for a "strong" interval in streak detection |
SIMMER_FADE_LENGTH | 3 | Min consecutive strong intervals to trigger a fade |
Edge Thesis
Crypto 5-minute interval markets on Polymarket exhibit momentum chasing by retail participants. When a coin moves sharply in one direction -- 3+ consecutive intervals where each is priced at >58% in the same direction -- the pricing of the next interval systematically overestimates continuation probability. This is a direct consequence of short-horizon mean-reversion in crypto microstructure: after extended directional moves, the conditional probability of further continuation drops below the market-implied probability. The fade exploits this gap with conviction-based sizing that scales with the distance from the trading threshold.
Dependency
simmer-sdk by Simmer Markets (SpartanLabsXyz)
