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Nine
Polymarket Arbitrage BotA volatility straddle on prediction markets.
Chapter concepts
- 1A passive-arbitrage strategy that trades the volatility around 50/50 Valorant markets instead of trying to pick winners.
- 2Role: Solo build. Status: Backtested.
- 3Stack: Python, pandas, statsmodels.
- 4Key figure: +11% estimated EV per trade.
The bet
Most bots try to predict who wins. This one does not. Around a coin-flip match (~50/50), in-game events make the odds overreact: a pistol round, an economy swing, a retake. I buy both sides, sell the collapsing side into the overreaction, and hold the favorite to resolution.
Review of
Formulas
1.q > 1 − pc + c
(9-1)- q
- is probability the favorite wins
- pc
- is exit price of the cheap side
- c
- is fees + slippage buffer
The trade is positive expected value whenever this holds.
Exhibit 9-3
Backtested exit thresholds
| Exit | Hits | Win-rate | Est. EV |
|---|---|---|---|
| 17% | 139 | 94.2% | +11.2% |
| 18% | 139 | 93.5% | +11.5% |
| 19% | 139 | 92.1% | +11.1% |
Status
Is it trading?
No. It is a validated analysis and backtesting framework across 139 occurrences. The live execution layer is next.
Why not automate it already?
Because the edge has to survive fees, slippage and a graduated exit before it is worth a bot. Confirming the edge first is the whole point.
What would change the answer?
A live sample where the cheap side fails to collapse as often as the backtest says. The condition q > 1 minus the exit price plus costs is the line.
StrategyVolatility straddle
StackPython · pandas · statsmodels
Validation139 backtested events
StatusPre-automation