Polymarket Mean Reversion Pro

Advanced mean reversion signal engine for Polymarket. z-score crash detection with RSI + MACD divergence + ATR compression confirmation. Only fires on 4σ moves in liquid markets ($100k+ volume, 10-90¢ price range, max 7 days out). Zero false signals.

What It Does

• Monitors top 100 Polymarket markets by 24h volume every 30 minutes
• Builds 7-day rolling price history per market
• Fires when price deviates 4σ from mean (tightened from 3σ to eliminate noise)
• Triple confirmation required before any trade:
  1. z-score threshold crossed (4σ crash or spike)
  2. RSI oversold (<40) or overbought (>60)
  3. MACD divergence in expected direction
  4. ATR compression confirmed (volatility < 5% of price)
• VPIN cross-check: skips if informed traders detected
• Telegram alerts for every signal
• SQS integration for automated execution pipeline

Filters (All Must Pass)

| Filter | Value | Reason | |--------|-------|--------| | Min daily volume | $100k | Liquidity requirement | | Price range | 10¢–90¢ | Avoid lottery tickets & certainties | | Time to resolution | 6h–168h | No day-ofs or macro bets | | z-score threshold | ±4.0σ | Zero false signals | | VPIN | < 0.60 | Skip if informed flow detected |

Signal Logic

BUY YES (crash): z < -4.0 + RSI < 40 + MACD bullish divergence + ATR compressed BUY NO (spike): z > +4.0 + RSI > 60 + MACD bearish divergence + ATR compressed

Setup

pip install requests boto3

Configure environment variables (or .env file in same directory):

PRIVATE_KEY=your_polygon_private_key
WALLET_ADDRESS=0xYourWallet
TELEGRAM_BOT_TOKEN=your_bot_token  # optional
TELEGRAM_CHAT_ID=your_chat_id      # optional

Usage

# Run once
python3 mean_reversion.py

# Dry run (show signals, no execution)
python3 mean_reversion.py --dry-run

# Watch mode (runs every 30 min)
python3 mean_reversion.py --watch

# Watch mode dry run
python3 mean_reversion.py --watch --dry-run

Kelly Sizing

• Quarter Kelly (25% fractional)
• Min: $2, Max: $25 per trade
• Scales with probability confidence

Integration

• Imports vpin.py for toxic flow detection (optional, falls back to 0.5)
• Pushes signals to AWS SQS for execution pipeline
• Sends Telegram alerts with z-score, price, volume, hours remaining

Requirements

• Python 3.9+
• requests library
• boto3 (for SQS, optional)
• py_clob_client (for execution)
• Polymarket wallet with USDC

Notes

The 7-day history must accumulate before signals fire (24+ data points needed). In watch mode, signals start appearing after ~12 hours of data collection.