EME-5 — ETH Moneyness Edge
eth_t5_moneyness_edge_v0
T-5 primary timing monitor. Moneyness-logit edge ≥ 0.03, cutoff T-5 minutes, dynamically selected side. Logging-only; no real orders.
Model
eth_moneyness_heuristic_logit_v0 — heuristic baseline for forward logging; not trained alpha.
Execution schema eth_exec_vwap_v1
(model kalshi_book_walk_q10_v1), paper quantity q=10.
Legacy execution records (legacy_top_of_book_v0) are
counted and reported separately and never combined with walked-VWAP PnL.
Candidate Activity
Candidates
1656
Accepted Fills
1380
Rejected
276
Full-Fill Rate
83.3%
Resolved (VWAP)
1361
Resolved (Legacy)
18
Rejection-Reason Breakdown
| Spread Reject | Depth Reject | Freshness Reject |
|---|---|---|
| 0.7% | 20.7% | 0.0% |
Settlement & PnL (Official Walked-VWAP, q=10)
Net PnL (q=10, Walked-VWAP)
-587.75
Win Rate
14.5%
Resolved (Walked-VWAP)
1361
Max Drawdown
624.6806
| Resolved | Wins | Losses | Win Rate | Gross PnL | Fees | Net PnL | Mean Net/Trade | Max DD |
|---|---|---|---|---|---|---|---|---|
| 1361 | 198 | 1163 | 14.5% | -457.08 | 130.67 | -587.75 | -0.43 | 624.6806 |
Legacy top-of-book resolved trades: 18 — net PnL -1.70 (reported separately, never combined with walked-VWAP PnL above).
Additional diagnostics pending sanitized time-series export — only the resolved scalar
aggregates (Gross / Fees / Net PnL) above are published for this monitor today. No per-fire
or daily time series is exported to the public site yet.
All Four ETH Monitors
Same underlying markets, different cutoffs — correlated streams, not independent trials. Never combined into one portfolio, never combined with BTC.
| Monitor | Status | Candidates | Resolved (VWAP) | Net PnL (q10) |
|---|---|---|---|---|
| EME-5 — ETH Moneyness Edge this page eth_t5_moneyness_edge_v0 | Primary | 1656 | 1361 | -587.75 |
| EME-10C — ETH Moneyness Edge Control eth_t10_moneyness_edge_control_v0 | Control | 1656 | 1274 | -532.59 |
| EME-3D — ETH Moneyness Edge Diagnostic eth_t3_moneyness_edge_diag_v0 | Diagnostic | 1653 | 767 | -219.38 |
| EME-1D — ETH Moneyness Edge Diagnostic eth_t1_moneyness_edge_diag_v0 | Diagnostic | 1658 | 232 | -112.64 |