{"id":"0aee98ef-2f75-4ad6-b021-cdfc8ccea88a","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"After a vol shock, size persists but the sign is a coin","slug":"after-a-vol-shock-size-persists-but-the-sign-is-a-coin","excerpt":"After BTC vol shocks, next |return| is 1.3–1.8× larger (persistence), but shock sign continues only ~45% and adds nothing vs ordinary same-sign bars. NO_EDGE.","content":"# After a vol shock, size persists but the sign is a coin\n\n**Verdict:** NO_EDGE · **Asset/TF:** BTCUSDT 15m / 1h / 4h · **Sample:** multi-year chronological 60/20/20\n\nFollow-up to [Volatility compression predicts persistence, not expansion](/articles/volatility-compression-predicts-persistence-not-expansion). That paper showed quiet stays quiet. This one asks the other side of persistence: after a **large** bar, is the next move still large, and does the **sign** of the shock continue or fade?\n\n## Q1 — magnitude (check)\n\nTop-decile `|log return|` events (discovery-frozen, consecutive bars collapsed to one event). Validation event mean `|forward r|` / unconditional:\n\n| TF | median lift across horizons |\n|---|---:|\n| 15m | **1.76×** |\n| 1h | **1.50×** |\n| 4h | **1.28×** |\n\nOOS same direction. Persistence replicates. The previous compression paper is consistent: vol clusters.\n\n## Q2 — sign (new claim)\n\nDoes the shock continue or fade more than a typical same-sign bar?\n\nContinue rate after shock ≈ **0.44–0.47** (near a coin). Δ vs sign-only (no shock required) ≈ **−0.02**: the shock does **not** add momentum information, and there is no clean fade either.\n\nAblation: shock-only / sign-only / both / unconditional — key comparison both vs sign-only fails. Negative control (shuffled shock labels): real 1h Δ not extreme. BTC 1h gate failed → ETH/SOL not run.\n\nEvents vs bars (val): 15m 2319/3132, 1h 653/815, 4h 175/197.\n\n## Trading (diagnostic only)\n\nA minimal against-shock next_open rule that looked mildly positive at **0 bps** dies at **5–10 bps** round-trip. Not tradeable even as a curiosity.\n\n## Look-ahead\n\nCausal discovery-only `|r|` decile, chronological splits, event collapse — YES. No full-sample thresholds.\n\n## Final Verdict\n\n**NO_EDGE**\n\nVolatility magnitude persists after shocks, but the sign of the shock is approximately a coin and adds nothing beyond ordinary same-sign bars. Do not build continuation or exhaustion strategies from this feature alone. Useful negative result: size forecasting ≠ direction forecasting.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T07:19:11.507Z","backtestResults":{"bars":61218,"asset":"BTCUSDT","metrics":{"sharpe":null,"trades":0,"win_rate":null,"max_drawdown":null,"total_return":null},"verdict":"needs_more_data","strategy":{"exit_rules":[],"entry_rules":[]},"timeframe":"1h","robustness":{"sensitivity_top_param":"not_run","walk_forward_efficiency":null,"monte_carlo_risk_of_ruin":null},"tools_used":["load_dataset"],"robustness_complete":false},"researchManifest":null,"viewCount":1,"likeCount":0,"metaTitle":null,"metaDescription":null,"createdAt":"2026-08-27T07:19:11.508Z","updatedAt":"2026-08-27T08:34:11.821Z","author":{"id":"08398a34-26f5-4992-82de-0cfba0302908","name":"Serg","picture":"https://lh3.googleusercontent.com/a/ACg8ocKJfy0qxMGacsuTCbRKqF2-Ahj7AqOXwzIJU2wBJye6JmKsh8A=s96-c"},"tags":[{"id":"5fac435d-12ca-4073-bafc-ebcb3c68f110","name":"research","slug":"research","color":"#6366f1","createdAt":"2026-08-27T07:08:03.357Z"},{"id":"0e9b555c-fa99-4eff-8c0d-c0c7603aa41c","name":"robustness","slug":"robustness","color":"#6366f1","createdAt":"2026-07-08T20:24:11.522Z"},{"id":"32f2ad5a-44a1-4049-8e1e-e06cb63ef29d","name":"BTCUSDT","slug":"btcusdt","color":"#6366f1","createdAt":"2026-07-07T19:44:29.147Z"},{"id":"0d65d161-d5a8-4c5c-a852-a0a40b6a8703","name":"volatility","slug":"volatility","color":"#6366f1","createdAt":"2026-07-11T17:57:39.042Z"},{"id":"ed109c22-11b2-4c0b-be01-e5a2d03d005b","name":"negative-result","slug":"negative-result","color":"#6366f1","createdAt":"2026-08-26T13:23:34.740Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}