Model description

In the modern cryptocurrency market, subtle manipulations are not always clearly visible and are often unnoticeable to the human eye. Major participants who have a direct impact on asset prices often hide their actions.

The Manipulation Monitor is a high-tech advanced model that utilizes a wide range of data to detect manipulative activity on the micro timeframe. The model has two meanings. Formally, we call them PRICE ACTIVITY and VOLUME ACTIVITY. Both values range from 0% to 100%.

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The model analyzes the state of the asset relative to the broad market and captures abnormal bursts of activity. Activity by price corresponds to anomalies occurring in the volatility of the asset. Activity by volume corresponds to anomalies in the transaction feed.

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This powerful tool is designed to detect most market manipulation in any coin. It does not predict price behavior, but it effectively evaluates the manipulation activity of algorithms.

Manipulation Monitor:

highlights all activities that could potentially lead to significant price changes, while filtering out the unbalancing of stacks by market makers, as well as the activity of various kinds of arbitrageurs;
saves traders from the necessity of manual monitoring of stacks, discorrelations between an individual asset and the general conjuncture;
gives a clear and comprehensible answer as to how pronounced is the activity of high-frequency manipulation algorithms, reducing the answer (like any good quantitative model) to a number.

Model tests

Strategic logic

A short position is opened under the following conditions:

The price of the asset crosses the lower boundary of the linear regression channel (from top to bottom), plotted on a 10-minute interval, by the first standard deviation.
Additional entry filter: presence of signs of manipulation activity. Manipulation in volumes exceeds the threshold value of 75.
Manipulation activity in price is non-zero (more than 0).

Position Management:

Hold time: 720 minutes (12 hours).