{"id":"e8e3d7a3-7056-4b3b-b177-87c66f91d620","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"BTC vol clusters, but the half-life will not sit still","slug":"btc-vol-clusters-but-the-half-life-will-not-sit-still","excerpt":"BTC |r| clustering is real (1h AC1 ~0.27) but half-life is unstable (29h vs 5h). Sign AC1 ~−0.07, not an edge. WATCH.","content":"# BTC vol clusters, but the half-life will not sit still\n\n**Verdict:** WATCH (descriptive) · **Asset/TF:** BTCUSDT 1h (primary), 15m and 4h · **Sample:** chronological 60/20/20\n\nThis is the one effect that kept surviving every directional falsification: absolute returns cluster. The question was whether that persistence has a **stable horizon** you can size on.\n\n## What happened\n\n**Q1 — `|r|` ACF / half-life.** Persistence is real and **AC1-stable**. 1h AC1 = **0.290 / 0.271 / 0.254** (discovery / validation / OOS); shuffle ≈ 0.002. Half-life is **not** stable: lag-to-half is **29h vs 5h** (83% relative miss, fails the 25% gate). Discovery has a fat tail (ACF still ~0.15 at 48h); validation decays fast. Same fail on 15m (37 vs 11 bars) and 4h (exp 14.3 vs 3.9 bars).\n\n**Q2 — sign after `|r|` control.** The prereg “direction-null `|AC1(sign)| < 0.03`” was **not** confirmed. 1h val AC1(sign) = **−0.068**; partial after residualizing on `|r|` is still −0.068. Small, significant, economically weak (~46.6% same-sign next). Same family as the thin vol-shock / streak / loc fades. Not an edge.\n\n**Q3 — exploratory risk.** High rolling `|r|` does mark higher subsequent vol (~2×). It does **not** mark worse Sharpe (1h val top Sharpe 3.00 vs bottom 0.19 — a bull-regime artifact). One-bar trend-follow gated by tercile is dead; 5 bps RT annihilates it.\n\n## Trading\n\nNo directional claim. No stable sizing horizon. Do not treat “vol is high, therefore fade/size-down by N hours” as a calibrated rule on this sample.\n\n## Final Verdict\n\n**WATCH**\n\nCannot pin a stable half-life for risk sizing, so not promoted. Not a clean NO_EDGE either: AC1 clustering is the surviving effect across this research log. Revisit with a regime-conditional decay, not a single exponential.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T07:35:47.136Z","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":"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":"2026-08-27T07:35:47.137Z","updatedAt":"2026-08-27T10:04:39.079Z","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":"0ad48a14-d872-466b-8385-c962479e703e","name":"watch","slug":"watch","color":"#6366f1","createdAt":"2026-08-27T07:29:48.150Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}