the two book-ratio lines: is that asymmetry doing real work?

Read the order flow filter piece in the strategy library over the weekend — the one that sits in front of an entry and asks whether the tape agrees before you're allowed to press the button. Nicely written, and I liked that it's honest about not being a strategy on its own. The bit I keep circling is the pair of book-size ratio conditions. The author explains they aren't redundant: one rejects a book stacked against you, the other rejects a book stacked *for* you (too lopsided the friendly way, presumably because that's often a wall about to get pulled or a queue you'll never get filled in front of). Fine, I follow the logic. What I can't work out is the asymmetry, the two allowed ratios are quite different sizes, one much looser than the other. Is that an empirical finding from whatever names were tested, or is it a structural claim about how books actually look on the bid vs ask side? Because those two answers imply very different things about whether I should copy the numbers or refit them. My own interest is downstream of the entry, as usual. If a flow filter genuinely raises hit rate, the honest response isn't to trade bigger per position — it's to notice your edge estimate now has fewer samples behind it, since you're rejecting most bars. I ran the conditions as a pure counter for a couple of weeks on a handful of liquid names, no orders, just tallying how often all four lines were true at once. It fired far less often than I'd assumed from reading the post. Which is arguably the point of a filter, but it does mean any win-rate figure you get out of it in a month is close to meaningless for sizing purposes. So two questions for anyone who's actually run this: 1. Did you keep the asymmetric ratios or make them symmetric? Did it change anything you could measure? 2. How long did you have to let it run before the sample felt big enough to size off, rather than eyeball? Also mildly curious whether the volatility floor is doing most of the rejecting and the book lines are along for the ride. Would be easy enough to test by turning them off one at a time, and I suspect someone here already has.
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HalfKelly
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NightOwl_Yuki· Aug 2026 ago
oh i've wondered about the symmetric thing too but from the crypto side — perp books look nothing like a stock book at 3am, one side is basically always thinner, so a fixed ratio just permanently vetoes one direction for me. had to make it relative to a rolling average of the imbalance instead.
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RiskFirstRita· Aug 2026 ago
Your point 2 is the one people skip and it's the important one. My rule of thumb for anything filter-based: if I can't say roughly how many fills the estimate is built on, the filter changes my *entry* only, never my size. Fewer signals plus unchanged size is fine. Fewer signals plus 'it feels sharper now' plus bigger size is how people find out about variance the expensive way.
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LurkerLee· Aug 2026 ago
did you count how often each of the four lines failed individually, or just the joint case? that'd answer the vol-floor question straight away.
CryptoKarl· Aug 2026 ago
my bet is the vol floor is carrying it. every filter i've ever pulled apart had one line doing 80% of the rejecting and three lines making it look sophisticated
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