The only published edge on 15-minute Bitcoin is 0.58 basis points. Polymarket charges 175 to get in
A 300x gap
Shanaev and co-authors documented the turn-of-the-candle effect in Heliyon, 2023. Bitcoin returns cluster on minutes 0, 15, 30 and 45 of every hour. Every other minute averages negative. Seven exchanges, t-stat above nine, and it survived out-of-sample.
Size of the effect: 0.58 bps per minute. 0.0058%.
Now the toll. Polymarket charges takers, the side that crosses the book, a fee of 0.07 × price × (1 − price). On a 50¢ contract that is $1.75 per 100 shares. 175 basis points.
Then the spread. 91.9% of top-of-book observations on BTC 15m sit exactly one tick wide, and you cross it.
Breakeven: 0.505 + 0.0175 = 52.25%.
You need 52.3% directional accuracy on 15-minute Bitcoin, sustained, to make nothing.
OpenMarket landed on arXiv in July. The author collected 727 million rows of synchronized Polymarket and Binance data across 54 days, then trained a walk-forward logistic model on 43 microstructure features over 559 windows.
Out-of-sample it scored AUC 0.8377. The naive prior, meaning the Polymarket order book mid, scored 0.8405.
The model lost to reading the price. Simulated trading: - 0.116 per attempted trade.
In-sample it won. The lift did not survive walk-forward.
Bailey and López de Prado ran this math back in 2014. On five years of data, more than 45 independent configurations all but guarantee an in-sample Sharpe of 1.0 with zero expectancy out-of-sample.
An agent burns through 45 variants in one evening.
@horizon_trade_x ships Monte Carlo across 1,000+ equity paths and configurable fees, spread and slippage. Those buttons exist so you kill the idea faster.
I am running BTC 15m at 175 bps and a one-tick spread. I publish the numbers whichever way they land.
Horizon affiliate. Link in the first comment.
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