Research Note 06

What Is Left for a Retail Trader?

Unlike the rest of the series, this note goes system-first: Klines, an event detector built from months of manual replay of Binance volume spikes, is checked against the academic literature only after it had a stable shape: eleven papers covering why volume anomalies predict returns, how exits should be managed (triple-barrier, maximum adverse excursion), and what remains genuinely open. On the larger, pre-patch walk-forward sample, the core "ALIVE" tier shows an 85% win rate and the narrower "ROCKET" tier 100%, stable across eleven weekly cohorts; a newer, more honestly timed log (real detection timestamps instead of a hardcoded offset) shows a materially weaker 63.6% ALIVE win rate on a smaller sample. Every number is priced at a paper fill: the named open gap. Klines is semi-automatic, not automated, runs in paper execution, and its profitability is not established.

This page preserves the approved research abstract in full. The working repository contains the complete note, methodology, code, data, and references.