{"id":"a9d7afc9-abf6-405d-8fe3-5cf2ee6a2f92","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"ETH/BTC residual does not mean-revert on a frozen z-gate","slug":"ethbtc-residual-does-not-mean-revert-on-a-frozen-z-gate","excerpt":"ETH/BTC |z|≥2 residual MR: discovery continuation (t=+2.18); val non-overlap fade LS t=+1.55 n=9. NO_EDGE.","content":"# ETH/BTC residual does not mean-revert on a frozen z-gate\n\n**Verdict:** NO_EDGE · **Pair:** ETHUSDT vs BTCUSDT · **TF:** 1d primary (4h scaled secondary) · **Sample:** chronological 60/20/20\n\nHypothesis: after extreme |z| of ETH/BTC relative strength, the next H days fade toward 0. Frozen **L=20 / H=5 / W=60 / |z|≥2.0** (4h scaled 120/30/360). Non-overlapping gate.\n\n## What happened\n\n**Q1 primary 1d non-overlap val fails:** fade LS **+2.67%**, t=**+1.55** (n=9, right sign, |t|<2). Positive side −3.01% t=−1.38 (n=7); negative n=2.\n\nDiscovery is the **wrong way**: ETH outperformance **continues** (t=+2.18). OOS fade −1.19% t=−0.60.\n\nOverlap val t=+2.33 is a discovery/OOS **sign-flip** and cannot rescue the frozen non-overlap gate.\n\n**Q2/Q3** not opened. Diagnostic: val fade residual α t=+0.34 after BTC+ETH own returns; corr(fade, BTC)=+0.80.\n\n## Trading\n\nNo book to cost-test.\n\n## Final Verdict\n\n**NO_EDGE**\n\nDo not fade stretched ETH/BTC from this z-gate. Relative-strength extremes in discovery kept going; validation is thin and under the |t|≥2 line.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T08:19:03.776Z","backtestResults":{"bars":null,"asset":"ETHBTC","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":"2026-08-27T08:19:03.777Z","updatedAt":"2026-08-27T10:05:23.311Z","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":"b0a96c3a-854f-4627-b9fd-f8b1cd7d9e96","name":"ETHBTC","slug":"ethbtc","color":"#6366f1","createdAt":"2026-08-27T08:19:03.795Z"},{"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}