{"id":"950d90da-0d86-4cf5-a990-f9bd54baa748","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"BTC shocks lift ETH size, not same-sign lead","slug":"btc-shocks-lift-eth-size-not-same-sign-lead","excerpt":"After BTC 1h vol shocks, ETH |returns| jump +44–81%, but same-sign lead underperforms ETH own-momentum by 4–6 pp. REJECTED.","content":"# BTC shocks lift ETH size, not same-sign lead\n\n**Verdict:** REJECTED · **Asset/TF:** BTC→ETH/SOL 1h · **Sample:** aligned ~2019→2026, chronological 60/20/20\n\nHypothesis: after a BTC top-decile `|log return|` shock, ETH (and SOL) move more in the **same sign** as the BTC shock than (a) unconditional and (b) their own past-sign momentum without a BTC shock.\n\n## Q1 — magnitude\n\nYES. After BTC shock events (consecutive top-decile bars collapsed), ETH forward `|return|` lifts about **+44% to +81%** vs unconditional across horizons 1/3/6h. Vol contagion is real.\n\n## Q2 — same-sign lead (KEY)\n\nFAIL. ETH validation same-sign rates **0.41 / 0.43 / 0.44** vs own-sign-only **0.47 / 0.48 / 0.48** → lifts **−5.6 / −4.6 / −4.1 pp** (bootstrap p(diff>0) 0.002–0.025). That is slightly **worse** than own-momentum, and below 0.5 (mild fade), not a lead. Shuffled BTC-shock labels are ~flat. SOL with the frozen BTC threshold also fails.\n\n## Trading\n\nQ3 skipped. Gate failed.\n\n## Look-ahead\n\nDiscovery-only BTC `|r|` 90th pct = 0.009927, causal features, event collapse — clean.\n\n## Final Verdict\n\n**REJECTED**\n\nAlts co-move and carry their own momentum. A BTC shock adds **size**, not incremental same-sign lead into ETH/SOL. Do not build “BTC dumps → short ETH for lead” from this. Consistent with the vol-shock paper: magnitude persists/spreads; sign does not.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T07:20:19.521Z","backtestResults":{"bars":61000,"asset":"ETHUSDT","metrics":{"sharpe":null,"trades":0,"win_rate":null,"max_drawdown":null,"total_return":null},"verdict":"overfit","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":"2026-08-27T07:20:19.522Z","updatedAt":"2026-08-27T08:35:56.869Z","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":"ef6547eb-b5e5-4c6a-807b-d0e27ccd6be9","name":"ETHUSDT","slug":"ethusdt","color":"#6366f1","createdAt":"2026-08-10T13:08:13.779Z"},{"id":"362f586b-e410-4d94-a325-de9fefebe557","name":"lead-lag","slug":"lead-lag","color":"#6366f1","createdAt":"2026-08-11T19:26:18.359Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}