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Minima/Maxima

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Last updated 8 months ago

Introduction

The Minima/Maxima Model is a predictive ML model for assessing local tops and bottoms of market price in real-time. It leverages real-time exchange tick-level data to form a model based on directional convexity of taker volume.

Simply put, the Minima/Maxima Model’s foundation mainly lies in its ability to assess order flow’s impact on price movements under lower volatility (more stable) conditions. The incorporation of first-order and second-order derivatives allows for a more precise assessment of changes in order accumulation, enhancing the model's predictive capabilities. For this model the quality and filtering of the high frequency data is key for fine tuning the model parameters.

In practical usage, the model triggers in real-time two key price-point alerts: Max and Min. Max represents the real-time short-term resistance level or the price level at which the current trend starts to decelerate. When the model predicts a Max point, it suggests that the market is likely to encounter resistance, and there may be a higher probability of a price reversal or a slowdown in upward momentum. Conversely, Min represents the short-term support level or the price level at which buying pressure tends to strengthen. Minima/Maxima is a valuable tool in order execution of longs and shorts and is a good addition to a current trading strategy that may reduce error and execution cost by a significant margin.

Minima/Maxima Usage Guide

The Minima/Maxima model identifies in real-time short-timeframe price resistance (max) and support (min) within a 40-minute time-frame. Max indicates weakening or reversing upward momentum, while min suggests strengthening buying pressure. When consecutive maxima and minima occur, it's suitable for mean reversion strategies. Traders can enter trades at extreme levels and expect prices to revert towards the mean. Incorporating this model helps identify potential reversals and optimize trading decisions. Use the Minima/Maxima model to capitalize on short-term price dynamics and profit from mean reversion opportunities.