ENGINEERING CASE · Bybit · signal model · leak-audited

Pump-Fade Signal Model

A detector for the moment a vertical move runs out of fuel — built on pure NumPy, with an automated look-ahead audit that found and closed three real leaks.

Discuss your project All work

The task: Detect the exhaustion of a sharp move and deliver a calibrated probability, with no position management and no claim of profitability — a signal, honestly scored.

DELIVERY

What was built

Context gate first: was there a move to exhaust at all
Ensemble of histogram gradient boosters producing a calibrated probability
59 features: episode structure, higher timeframe, BTC background, liquidity
Three independent geometric formulas as a cross-check and as the explanation shown to the operator
A second model head estimating the probability of a further peak
Automated leak audit: features at bar t recomputed on a truncated series with no future

EVIDENCE

Engineering measurements

59features in the model

3look-ahead leaks found and closed by the audit

0sklearn or torch dependencies — models written on NumPy

0.50–0.52honest out-of-sample AUC of the standalone formulas

Figures describe software behaviour and come from the running system. Client identity, strategy parameters and financial results stay under NDA; the cover is a schematic, not a client screenshot.

THE HARD PART

What could not be hand-waved

The bar five minutes before a peak and the bar at the peak are nearly indistinguishable by feature values. Worse, the obvious way to align open interest, funding and the BTC background introduces a future-peeking index off by one — which flatters every metric.

THE RESPONSE

How the risk was addressed

An audit harness recomputes every feature on a truncated series and compares. Any mismatch is a leak by definition; three were found and fixed. The detector waits for micro-confirmation instead of calling the exact top, giving up roughly one percent of the ideal peak in exchange for a signal that arrives at the top rather than mid-run. We publish the weak standalone AUC of the formulas rather than hiding it — presenting them as a profit source would not be true.

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Tell us what you want to build

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Or contact us directly · @vx_ceo