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The Lab

Ideas traders use, put to the record · updated 30 Oct 2026 22:01 UTC

← the Lab · signals tested · live

#1 Order-book pressure A hint

The idea

When more money waits to buy just below the price than to sell just above it, buyers are stronger, so the price should rise next.

Why test it

Order-book heatmaps and "bid walls" are on most trading screens. If the book's lean predicted the next few minutes, it would be the simplest edge there is. If it predicted the reverse, that would say walls are bait, put there to be pulled.

What we tested

Every five minutes, for each coin: the imbalance, (bids − asks) ÷ (bids + asks), of the US dollars resting within 1% of the price on OKX's perpetual and Coinbase's spot books. Against: the price change over the next 15 minutes. Data: our own record of the books, every five minutes; 32 coins, 172,368 snapshots.

Record tested: 11 Oct 2026 – 30 Oct 2026 · first run: 12 Oct 2026 · numbers as of: 30 Oct 2026 22:01 UTC, updated every minute.

What we found

A hint. Something, as the idea says, but not clearly more than chance. After the snapshots most bid-heavy, the next 15 minutes went 0.1 bps better than after the snapshots most ask-heavy: under $1 on every $10,000.

+0.1-0.1+0.1-0.3+0.2← most ask-heavymost bid-heavy →

Every snapshot of every coin sorted into five equal groups by the signal, low to high, and the average move over the next 15 minutes after each group, in basis points (0.01%) above or below the average move. If the idea were right, the bars would climb from left to right.

How sure

What could still be wrong

A few days of record can be one market's mood; the answer has already flipped once as coins were added. Books can change in a second, so a snapshot every five minutes may miss what matters.

All the numbers

By day · mean rank correlation

-0.058
11 Oct
-0.002
12 Oct
+0.023
13 Oct
-0.003
14 Oct
-0.001
15 Oct
-0.000
16 Oct
-0.017
17 Oct
+0.007
18 Oct
+0.052
19 Oct
+0.036
20 Oct
+0.014
21 Oct
+0.025
22 Oct
+0.019
23 Oct
-0.014
24 Oct
+0.008
25 Oct
+0.023
26 Oct
+0.033
27 Oct
-0.006
28 Oct
+0.022
29 Oct
+0.001
30 Oct

Other settings · mean rank correlation

next 5 minnext 15 minnext 60 min
imbalance ±0.2%+0.001
t +0.3
+0.004
t +1.2
+0.011
t +2.9
imbalance ±1%+0.013
t +5.7
+0.007
t +2.6
+0.008
t +1.9
imbalance ±5%+0.023
t +8.4
+0.025
t +6.3
+0.035
t +4.8

The test above is ±1%, next 15 minutes; these are the other distances and horizons. With several tries one will look good by luck, so all are shown.

By coin · rank correlation

coinrank corr.
ETH+0.032
BTC+0.029
XRP+0.028
APT+0.026
SUI+0.026
DOGE+0.023
ADA+0.023
ENA+0.021
NEAR+0.021
LTC+0.021
STRK+0.018
ZEC+0.016
TIA+0.011
W+0.008
ONDO+0.008
LINK+0.006
INJ+0.006
WLD+0.004
S+0.004
RSR-0.001
ZRO-0.002
UNI-0.002
HYPE-0.003
SOL-0.003
TAO-0.007
AAVE-0.009
ARB-0.010
DOT-0.011
GRASS-0.012
AVAX-0.013
MAGIC-0.014
FIL-0.024

Update, 27 October 2026: where the idea comes from

Added after this page was published. The study above is left as it was.

Credits

Fade the crowd →

How to read a study: the maths, step by step

1. Basis points (bps). A hundredth of a percent: 100 bps is 1%. 10 bps on $10,000 is $10. Buying and selling once (a round trip) at typical fees costs about 10 bps, so an effect smaller than that loses money.

2. The five groups (fifths). Take every hour of every coin and sort them by the signal, lowest to highest. Cut the pile into five equal groups. For each group, average the price move that followed. Each bar shows its group's move above or below the average of all hours, so a market that simply rose all month doesn't count. If the idea is right, the bars climb (or fall) steadily from one end to the other.

3. Rank correlation (Spearman's). One number for "when the signal is higher, is the move after higher too?" Put the hours in order by the signal (1st, 2nd, 3rd…), and again by the move that followed, then compare the two orders. Five hours in exactly the same order in both give +1; exactly reversed, −1; no pattern, about 0. Markets are noisy, so real effects are tiny: 0.03 held for years is notable. We work it out for each coin, then take the average over the coins.

4. t: more than luck? Even with no real link, an average comes out a little above or below zero by chance. How much it usually wobbles (the standard error) can be worked out from how much the coins disagree with each other. t is the average divided by that wobble. For example, an average of 0.02 with a usual wobble of 0.005 gives t = 4: four times what luck usually makes. Luck alone passes ±2 about 1 time in 20, and ±3 only a few times in 1,000. We ask for ±3, because coins move together and neighbouring hours overlap, which makes luck look surer than it is.

5. "The price bouncing back" taken out. Some signals mostly echo the price's last move: a fall, then a bounce. We remove what that last move already explains and check that what is left still lines up with the move after, with t still beyond ±3.

6. Many settings tried. Try twenty settings and one will look good by luck, so every setting tried is shown under "All the numbers", not only the best.

7. Old data and new data. The settings tested (distances, horizons, thresholds) were set on 12 Oct 2026, after a first look at the numbers (a study added later gives its own dates). The record from 13 Oct 2026 on was unseen when they were chosen, so it is the fair test: each study judges it apart, as "holds on new data", once there is enough of it.

The verdicts. Holds up: every test passed. Real, but small: every test passed but one: the effect is too small to pay for a trade's costs. Partly: more than chance, but some tests failed. A hint: t beyond ±2 but not ±3: perhaps something, perhaps luck. No sign: nothing the record can tell from chance. Too early: under 2 weeks of record. No reliable edge: a write-up's word: what looked good did not hold up against chance or on unseen data. No edge after fees: a write-up's word: there is something, but trading costs eat it. Not shown: a write-up's word: the record could not show that the idea helps. Passed, on a weak bar: a write-up's word: it cleared the bar set in advance, but the bar proved easy; the stricter reading, added after, is shown apart. No reliable gain: a write-up's word: the versions that looked better did not clear the bar set in advance: all three coins, at both a day and a week. Failed on fresh data: a write-up's word: a lead from one study, tested again on prices kept apart, did not hold. Not proven, a lead: a write-up's word: it failed the test set in advance, but pointed the same way throughout; worth a fresh test. Holds, with the coins paid for: a write-up's word: it held up through every test, but only as set out: the coins bought outright, nothing borrowed. Not confirmed; the lead holds: a write-up's word: on fresh data it fell just short of the bar set in advance, but still pointed the same way.

Historical data: Binance Vision (data.binance.vision), used under CC BY-NC-SA 4.0 (creativecommons.org/licenses/by-nc-sa/4.0); what is drawn from it here is shared under the same licence.

Educational research from public market data; any trading discussed is paper, never real. Nothing here is advice. The full notice.