Can we identify a TACO impulse in real-time from 1-minute bar data?
Event
Expected
Detected
Predicted Dir
Confidence
Correct
TACO
de-escalation
True
de-escalation
0.90
✓
AntiTACO-1
escalation
True
escalation
0.40
✓
AntiTACO-2
de-escalation
True
de-escalation
0.65
✓
non-event-18:00
none
True
de-escalation
0.80
✗
non-event-19:00
none
True
escalation
0.70
✗
non-event-20:30
none
False
unknown
0.00
✓
non-event-08:00
none
False
unknown
0.15
✓
2. Model Comparison Summary
Model
Avg MAE
Direction Accuracy
N tests
naive
0.3294%
54%
24
parametric
0.5744%
50%
24
timesfm
0.5919%
71%
24
3. Prediction Detail (per event × asset)
Event
Symbol
naive MAE
Dir
parametric MAE
Dir
timesfm MAE
Dir
AntiTACO-1
BTC
0.9317
✗
2.2618
✗
2.3755
✓
AntiTACO-1
BZ
0.4894
✗
1.5492
✗
0.6122
✗
AntiTACO-1
ES
0.1425
✗
0.5020
✗
0.0460
✓
AntiTACO-1
ETH
1.2610
✗
2.9109
✗
1.5924
✓
AntiTACO-1
GC
0.2186
✗
1.2502
✗
0.1532
✓
AntiTACO-1
NQ
0.1847
✗
0.5434
✗
0.0600
✓
AntiTACO-1
RTY
0.1726
✗
0.7844
✗
0.0720
✓
AntiTACO-1
ZN
0.0150
✓
0.1011
✗
0.7894
✗
AntiTACO-2
BTC
0.3848
✓
0.3807
✗
0.4598
✓
AntiTACO-2
BZ
0.2090
✓
0.8325
✗
0.2996
✓
AntiTACO-2
ES
0.1700
✗
0.1018
✓
0.2306
✗
AntiTACO-2
ETH
0.4524
✓
0.3519
✗
0.3976
✓
AntiTACO-2
GC
0.2558
✓
1.2196
✗
0.3893
✗
AntiTACO-2
NQ
0.2561
✗
0.0724
✓
0.3190
✗
AntiTACO-2
RTY
0.3418
✗
0.1572
✓
0.4084
✗
AntiTACO-2
ZN
0.0441
✗
0.0413
✓
0.8007
✗
TACO
BTC
0.4066
✓
0.0829
✓
0.5836
✓
TACO
BZ
0.4083
✓
0.2067
✓
0.6486
✓
TACO
ES
0.1491
✓
0.0513
✓
0.2944
✓
TACO
ETH
0.4178
✓
0.0934
✓
0.8169
✓
TACO
GC
0.5747
✓
0.1497
✓
0.9969
✓
TACO
NQ
0.1450
✓
0.0542
✓
0.5293
✓
TACO
RTY
0.2431
✓
0.0684
✓
0.6275
✓
TACO
ZN
0.0306
✓
0.0184
✓
0.7020
✓
4. Trade Log
Strategy: fade de-escalation overshoot in algo-dominated markets. Skip escalation events.
Event
Symbol
Side
Entry
Exit
P&L %
P&L $
Hold
TACO
ES
short
6558.25
6553.75
+0.069%
$+225
3m
TACO
NQ
short
23915.25
23895.50
+0.083%
$+395
4m
TACO
RTY
short
2528.70
2524.70
+0.158%
$+200
3m
TACO
BZ
long
99.20
100.19
+0.998%
$+990
9m
TACO
ZN
short
110.33
110.30
+0.028%
$+31
3m
AntiTACO-2
ES
short
6471.25
6477.75
-0.100%
$-325
3m
AntiTACO-2
NQ
short
23523.00
23556.25
-0.141%
$-665
4m
AntiTACO-2
RTY
short
2485.10
2490.20
-0.205%
$-255
3m
AntiTACO-2
BZ
long
103.39
103.32
-0.068%
$-70
9m
5. Strategy Rules
TACO DETECTION:
IF volume_spikes >= 2 AND big_moves >= 3 AND max_return > 1% → TACO DETECTED
IF oil-equity divergence → classify as de-escalation
IF crypto leads (3x equity magnitude) → classify as escalation
TRADING:
DE-ESCALATION (fade):
Entry: t + 2 min (after peak)
Direction: opposite to impulse
Hold: 3 × τ_fast (asset-specific, 4-9 min)
Assets: ES, NQ, RTY, BZ, ZN only (algo-dominated, >70% overshoot)
ESCALATION (follow):
Do NOT fade. Crypto signal leads equities by 2-5 min.
Follow the cascade direction. Exit on first bounce.
KEY INSIGHT: The response is ASYMMETRIC.
Relief → overshoot → revert (tradeable)
Fear → cascade → amplify (do NOT fade)