probability-momentum
GitHub用于 Polymarket 概率动量交易策略，基于成交量加速和价格同向变动进行趋势跟踪。提供策略逻辑、Nautilus 实现框架及参数调优指南，适用于量化回测与实盘自动化执行。
触发场景
安装
npx skills add Superior-Trade/superior-skills --skill probability-momentum -g -y
SKILL.md
Frontmatter
{
"name": "probability-momentum",
"metadata": {
"updated": 1781654400,
"version": "0.1.0"
},
"description": "Use when a Polymarket outcome price and filled volume are accelerating in the same direction."
}
Strategy: Polymarket · Probability Momentum
When to use
Use this when someone asks for momentum, trend following, breakout, follow-the-crowd behavior, fast-moving crypto milestones, or rapid probability acceleration.
What the agent should look for
- Canonical Polymarket market from
GET /context/markets?venue=polymarket. backtest_ready: true.- Sufficient filled-trade history for the requested lookback window.
- Rising probability on last-trade filled ticks.
- Elevated fill counts or larger notional during the move.
- Market not too close to resolution unless user explicitly accepts expiry risk.
Backtest fit with filled data
Good fit for this archetype. Filled TradeTick history can validate whether momentum would have produced fill-driven entries, exits, and directional exposure.
Limit: filled-trade backtests do not prove maker queue position, maker rebates, or order-book depth. Treat this as taker-style behavior evidence, not certainty.
Strategy logic
Enter YES when recent probability rises more than a threshold over lookback_ticks. Exit when exit_after_ticks is reached, or when momentum stalls if an exit condition is included.
Nautilus strategy shape
subscribe_trade_ticks(instrument_id)to stream TradeTicks.- Use
on_trade_tickas the main event handler. - Submit market or conservative IOC orders.
- Track open position and fill state in
on_order_filled.
Example strategyConfig
{
"lookback_ticks": 5,
"momentum_threshold": 0.02,
"order_size": 10,
"exit_after_ticks": 25,
"max_entries": 3
}
Iteration knobs
| Knob | Effect |
|---|---|
lookback_ticks |
Larger values reduce noise; smaller values react faster. |
momentum_threshold |
Higher values reduce frequency and require stronger momentum. |
order_size |
Larger values increase PnL sensitivity and liquidity exposure. |
exit_after_ticks |
Shorter values trim quickly; longer values hold trend. |
max_entries |
Caps repeated entries in choppy markets. |
Failure modes
- One large fill can produce a false momentum signal.
- Thin trades can overstate available liquidity.
- Late-resolution markets can reverse from mark-to-market gains to a 0/1 close.
- Stale fills can make momentum look cleaner than it was live.
User-facing framing
"This is a probability momentum strategy: it buys when fills and last-trade probability move together in one direction. It is backtestable with filled TradeTicks, but it does not confirm maker queue priority or spread capture."
版本历史
-
d6f188f
当前 2026-09-08 20:00
API迁移：将市场查询从POST /v3/markets/search改为GET /context/markets，并更新相关字段标识。
- 9333090 2026-08-16 16:12
