The ±0.15% Pivot Zone — Seventeen Ways to Describe an Event, One Honest Ceiling of 0.70

Near every 2.3% pivot, price lingers within 0.15% of the turning level for a while — a median of 11 events, about 38 minutes, 2% of the whole series. Is that stretch recognisable from the order book alone? We asked gradient boosting on every event of six coins, with batches of 1 to 11 events and all 17 event classes this project has built. The answer is a consistent "a little": AUC 0.61–0.66 on the main class, 0.701 at best on raw book levels — and at a working threshold, 95 hits bought with 6,725 false signals.

① A zone defined by price, measured by the book

The zigzag is the same as in studies 21–26: 2.3% on an EMA-10 of event prices. Around each pivot, price holds the turning level for a while, and that stretch is the zone: the continuous run of events around the pivot where the EMA stays within ±0.15% of its value at the pivot. Zones of neighbouring pivots never overlap — between two pivots price travels at least 2.3%.

On six coins from 14 February to 6 September 2026 there are 718 zones in 412,811 events: median length 11 events (≈ 38 minutes), a quarter shorter than 7, the longest 61. Together they are about 2% of the series — the base rate every result is compared with.

The question is asked on every event with no filtering: does the batch of K events ending here lie entirely in one zone? The input is the raw numbers of the class for those K events, nothing folded. K grows until the batch fits into only half the zones — 11. Training is everything except 14 August – 7 September, which is the unseen validation window.

② Recognisable — statistically

On `210×10-1×7d/d`, the class of the last several studies, gradient boosting recognises the zone on the unseen weeks with AUC 0.61–0.66 at every batch length — stable, never falling to 0.5. One event gives 0.642; eleven events, 0.655. That is 693 inputs instead of 63 for +0.013.

The working point shows what that means. At 20% recall, precision is 3.4% with single events (base 2.1%) and 1.2% with 11-event batches (base 0.57% — longer batches fit fewer zones, so the label itself shrinks from 1,191 to 319 positives). The lift over the base is ×1.2 to ×2.2, at 38–68 signals per coin per day. By coin, ETH, SOL, XRP and BNB reach 0.71–0.72, while BTC and DOGE — the coins with the most zone events — sit at 0.61.

The zone is a reversal zone only statistically: better than a coin, and at any usable threshold, one hit among dozens of false signals.

③ Seventeen classes: raw levels win, prices lose

The zone, label, split, batch grid and model stayed fixed; only the description of the event changed — 17 classes with a dataset (three families of different density, so the base rates differ by family).

Raw book levels describe the zone best: `210×10×7` (ten blocks × seven levels per unit of volume) reaches 0.701, and `210×10×9` 0.687, both at K = 11. Taking derivatives costs about 0.06 — for a zone defined by a price level, the level of the book is informative, its change less so. Derivative classes do best with single events; stacking derivatives adds nothing. The older families with 15 blocks of 14 seconds give 0.57–0.59. And the classes built on smoothed price — `210×210×4c`, the 13-EMA class that powered studies 12–17 — land at 0.50; the EMA classes fall to 0.38–0.42, below a coin: what looked like a zone signal on training flips on unseen weeks.

Even the best class does not make a trading signal. At the threshold taken from training, `210×10×7` fires 6,820 times on six coins over the unseen weeks and hits the zone 95 times, missing 224 zone batches: the band of false signals under the price chart is two orders of magnitude wider than the zone. The thresholds also don't transfer across coins — DOGE produces 389 false signals, ETH 2,300 on the same number of events. The zone is real and the book knows about it, weakly; what the book does not provide is a clean moment to act.

Reproduce this study

• Research log (.md, Ukrainian): goal, data, plan, scripts, every confirmed stage and table — enough to rerun the study
• Reproduction kit (.zip): the study's scripts, project rules and base scripts that build every class

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