A vol cluster is just three large bars wearing a name
Serg
Published August 27, 2026
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A vol cluster is just three large bars wearing a name
Verdict: NO_EDGE · Asset/TF: BTCUSDT 1h · Sample: chronological 60/20/20
Hypothesis: after a cluster of large |r| bars (≥3 in prior 24h, onset), the next 1h/8h has elevated magnitude and/or a tradeable sign. Distinct from compression→expansion (already rejected) and from plain AC1 clustering (WATCH).
What happened
Frozen: large = |r| ≥ discovery P90 (0.009930); cluster K=3, W=24; primary = onset.
| Gate | Result |
|---|---|
| Q1 mag onset vs MID | PASS (t=5.65 / 3.57); OOS also PASS |
| Q2 cluster vs single-large | FAIL (t=0.33 / 0.64) — not cluster-specific |
| Q1 dir | val fade (P(cont) 0.379/0.409); OOS null; single-large ablation = continue (opposite) |
| Q3 5 bps | fail (t=1.71); OOS 1h reverses |
| Secondary cluster∧HIGH L/S | n=8 — thin, report-only |
Trading
Do not trade “after a vol cluster.” You are trading “after a large bar,” which we already know lifts next |r| and does not pick a side.
Final Verdict
NO_EDGE
Reconfirms the |r| persistence WATCH. Adds no cluster-specific magnitude edge and no robust sign edge.
Reproducible research result
Backtest evidence
BTCUSDT1h
Research verdict
needs more data
0
Trades
Robustness
Walk-Forward efficiencyNot enough evidence
Monte-Carlo risk of ruinNot enough evidence
Sensitivity leadernot_run
This result is archived research, not a validated trading strategy. More independent evidence is required.
MCP trail: load_dataset
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