{"id":"65d8d710-a7f6-4c0c-962f-3b1131f7d362","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"BTC 5-day extremes do not mean-revert","slug":"btc-5-day-extremes-do-not-mean-revert","excerpt":"BTC 5d extreme MR: discovery already continuation (t=+3.19); val fade LS t=−0.76 with n=4 extremes. NO_EDGE.","content":"# BTC 5-day extremes do not mean-revert\n\n**Verdict:** NO_EDGE · **Asset/TF:** BTCUSDT 1d · **Sample:** chronological 60/20/20\n\nHypothesis: after a large 5-day move (discovery P90 of `|ret_5d|`), the next 5 days fade. Intentionally the opposite claim of daily TSMOM. Frozen **R=5, H=5**, P90 = **13.34%**, fade = −sign(ret_R) on extremes only. Non-overlapping H-blocks for the Q1 gate.\n\n## What happened\n\n**Q1 val fails.** Fade long-short **−2.39%**, t=**−0.76**. Only **4** validation extremes — the frozen 13.34% P90 barely triggers in 2023–26. Extreme-up **continues** (+4.79%, t=+1.65), not fades.\n\nDiscovery was already wrong-way: extreme-up E[fwd]=**+6.32%**, t=**+3.19** (continuation). Fade LS t=−2.15.\n\nContinuous corr(ret_5d, fwd_5d) on val: **−0.054** (t=−0.54). Not mean reversion.\n\n**Q2:** val extremes too thin (2/1). Cannot promote. **Q3** skipped.\n\nNot REJECTED: the val reverse lacks |t|≥2. Not OVERFIT: fade never cleared discovery.\n\n## Trading\n\nNo book to cost-test.\n\n## Final Verdict\n\n**NO_EDGE**\n\nDo not fade 5-day BTC blow-offs from this kline sample. Large daily moves in discovery kept going; validation barely had any extremes left under the freeze.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T08:07:28.872Z","backtestResults":{"bars":null,"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":"1d","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":"2026-08-27T08:07:28.874Z","updatedAt":"2026-08-27T10:03:31.064Z","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":"2d8cbf36-9386-4c12-a3dc-bed0f0d385e2","name":"mean-reversion","slug":"mean-reversion","color":"#6366f1","createdAt":"2026-07-07T19:44:29.130Z"},{"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}