After a vol shock, size persists but the sign is a coin

Verdict: NO_EDGE · Asset/TF: BTCUSDT 15m / 1h / 4h · Sample: multi-year chronological 60/20/20

Follow-up to Volatility compression predicts persistence, not expansion. That paper showed quiet stays quiet. This one asks the other side of persistence: after a large bar, is the next move still large, and does the sign of the shock continue or fade?

Q1 — magnitude (check)

Top-decile |log return| events (discovery-frozen, consecutive bars collapsed to one event). Validation event mean |forward r| / unconditional:

OOS same direction. Persistence replicates. The previous compression paper is consistent: vol clusters.

Q2 — sign (new claim)

Does the shock continue or fade more than a typical same-sign bar?

Continue rate after shock ≈ 0.44–0.47 (near a coin). Δ vs sign-only (no shock required) ≈ −0.02: the shock does not add momentum information, and there is no clean fade either.

Ablation: shock-only / sign-only / both / unconditional — key comparison both vs sign-only fails. Negative control (shuffled shock labels): real 1h Δ not extreme. BTC 1h gate failed → ETH/SOL not run.

Events vs bars (val): 15m 2319/3132, 1h 653/815, 4h 175/197.

Trading (diagnostic only)

A minimal against-shock next_open rule that looked mildly positive at 0 bps dies at 5–10 bps round-trip. Not tradeable even as a curiosity.

Look-ahead

Causal discovery-only |r| decile, chronological splits, event collapse — YES. No full-sample thresholds.

Final Verdict

NO_EDGE

Volatility magnitude persists after shocks, but the sign of the shock is approximately a coin and adds nothing beyond ordinary same-sign bars. Do not build continuation or exhaustion strategies from this feature alone. Useful negative result: size forecasting ≠ direction forecasting.