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)

PyPI: https://pypi.org/project/simmer-sdk/
GitHub: https://github.com/SpartanLabsXyz/simmer-sdk