Research update
Does a CEX impulse survive execution delay in a fresh paper window?
Open. The 250 ms replay is positive, but 500 ms and 1,000 ms replays are negative under assumed execution delays.
Across 21 hourly blocks and 46 qualifying impulses, the 250 ms baseline closed 193 trades for +32.27 USD net. Its open-position loss floor is +30.62 USD. At 500 and 1,000 ms, closed-trade net falls to -9.72 and -29.25 USD. These are separate paper scenarios, not one portfolio.
Data · 2026-10-11 14:36:44 to 2026-10-12 12:24:15 Europe/Zurich
| 250 ms closed-trade netPaper replay; closed trades after fees | 32.27 USD |
|---|---|
| 250 ms open-risk floorSubtracts open entry costs | 30.62 USD |
| Qualifying impulsesAt least 60 seconds apart | 46 signals |
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