KILLED · sub-fee
Hypothesis
Transaction prices bounce between bid and ask, creating predictable short-term reversion (Roll); fading the bounce harvests it.
Math
Roll: observed price changes have negative first-order autocovariance from the bounce:
$$ \mathrm{Cov}(\Delta p_t,\Delta p_{t-1}) = -\frac{s^2}{4} $$
Method
Fade last-trade-side at micro-horizon; full taker fees applied.
Results
| Reversion magnitude | ~half-spread |
| Round-trip taker cost | > full spread |
| Net | − |
The bounce reversion is exactly the spread you must cross twice to trade it. Only a maker earning the spread captures it; a taker pays more than the reversion is worth. Killed.
Mean reversion at the scale of the spread belongs to whoever provides the spread. Crossing it to capture it is arithmetically a loss.