Sentiment & Reinforcement Learning
andrewkni / bayesian-spike-detector
What it does
Bayesian model that distinguishes "fake" YES price spikes (low volume + widening spread) from "real" repricings (high volume + tightening spread), then fades the fakes. Enters NO when posterior mu > 0.7. Includes a CSV-based backtester tracking price/volume/spread deltas.
What we learned from it
the volume-and-spread joint signal is much stronger than either alone for distinguishing manipulation from real moves. This is the kind of strategy that works only because most participants react to price alone.
Find the author
- Repository: github.com/andrewkni/bayesian-spike-detector
- GitHub profile: @andrewkni
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