Probability Momentum

Strategy: Polymarket · Probability Momentum

When to use

Use this when someone asks for momentum, trend following, breakout, follow-the-crowd behavior, fast-moving crypto milestones, or rapid probability acceleration.

What the agent should look for

• Canonical Polymarket market from GET /context/markets?venue=polymarket.
• backtest_ready: true.
• Sufficient filled-trade history for the requested lookback window.
• Rising probability on last-trade filled ticks.
• Elevated fill counts or larger notional during the move.
• Market not too close to resolution unless user explicitly accepts expiry risk.

Backtest fit with filled data

Good fit for this archetype. Filled TradeTick history can validate whether momentum would have produced fill-driven entries, exits, and directional exposure.

Limit: filled-trade backtests do not prove maker queue position, maker rebates, or order-book depth. Treat this as taker-style behavior evidence, not certainty.

Strategy logic

Enter YES when recent probability rises more than a threshold over lookback_ticks. Exit when exit_after_ticks is reached, or when momentum stalls if an exit condition is included.

Nautilus strategy shape

• subscribe_trade_ticks(instrument_id) to stream TradeTicks.
• Use on_trade_tick as the main event handler.
• Submit market or conservative IOC orders.
• Track open position and fill state in on_order_filled.

Example strategyConfig

jsonCopy code
{
  "lookback_ticks": 5,
  "momentum_threshold": 0.02,
  "order_size": 10,
  "exit_after_ticks": 25,
  "max_entries": 3
}

Iteration knobs

Failure modes

1. One large fill can produce a false momentum signal.
2. Thin trades can overstate available liquidity.
3. Late-resolution markets can reverse from mark-to-market gains to a 0/1 close.
4. Stale fills can make momentum look cleaner than it was live.

User-facing framing

"This is a probability momentum strategy: it buys when fills and last-trade probability move together in one direction. It is backtestable with filled TradeTicks, but it does not confirm maker queue priority or spread capture."