Event Based Momentum and Mean Reversion
Taking advantage of the AMPL Rebase
In the previous article we looked at a bunch of different properties and behaviors of the limit orderbook.
Behavior of the Limit Orderbook
In the previous article we looked at how we can realistically combine multiple different strategies and when it’s worth it to do so. In this article we are gonna look at a bunch of different properties of the orderbook. How is size distributed? How quickly do holes refill after a big taker order? Those and many more questions are gonna be answered in this article.
In this article we are gonna look at a strategy which I actually ran back in the FTX days. You could still run it nowadays but the liquidity is lower nowadays since FTX was the biggest exchange with AMPL.
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Table of Content
What is AMPL?
Momentum Trade
Limit Order MM + Mean Reversion Trade
Final Remarks