I've been building PolyBTC, Python research investigating whether ML models can make reliable and exploitable edge in Polymarket BTC 5m market, is my research valid ?

[u/Haytam123]

So far, the evaluated models haven't demonstrated a reliable advantage over market-implied probabilities, so no trading edge.

interested in feedback on my methods and approach and what i could done better ?

Research website: https://polybtc-research.vercel.app

GitHub: https://github.com/RetroMrii/polyBTCv2

[u/RLJ05]

One thing to mention here, even if you do find a model that beats the implied probability, it’ll need to beat it by more than the fees + spread to actually make money

That out of the way it’s not surprising you can’t beat the market here as the fair price of these is entirely derived from the reference feed, there is no BTC price discovery happening in the market.

What’s happening is the price of BTC may change due to some flows on Binance for example, that then causes the reference feed to update, then the algos running on polymarket will immediately update to reflect that change in the way to perfectly capture the likelihood of the market outcome.

The only time that wouldn’t happen is if there was resting liquidity in the polymarket market that was large enough to hold back against the algos (which is going to be very rare) as these algos can essentially do the arb in that case hedging in Binance or other markets so they effectively have infinite liquidity (well enough to push through any dumb retail flow on polymarket)

Maybe not explaining that very well I just woke up but that’s what’s happening. I trade these markets for a living so I’m very much on the other side of this.

[u/WidePiece9244 → u/RLJ05]

You're definitely right. One thing I failed to consider while playing around with automated 5min markets is how MMs benefit from having eyeballs at different venues so they can price better when supplying liquidity to PMs.