Results9 Oct 2026cvd_absorption_results.md
H1 — Price Absorption — Results (exploratory, 2026 in-sample)
- universe (10): BTCUSDT, ETHUSDT, SOLUSDT, ZECUSDT, NEARUSDT, XRPUSDT, OGNUSDT, HYPEUSDT, BNBUSDT, DOGEUSDT
- timeframe 1h · horizon 4h · impact_window 720 · event q0.90
Notes
- Exploratory: single regime (2026), in-sample; n=10 perp symbols.
- Design IC positive but flipped sign out-of-sample — selection artifact, not an edge.
Primary: pooled rank IC(A, oriented forward return)
| period |
IC |
n |
| design |
0.0049 |
23830 |
| test |
-0.0187 |
36670 |
test IC 95% bootstrap CI: [-0.0379, 0.0007]
strong-flow-only test IC: -0.0047
Horizon consistency (test IC)
| horizon |
IC |
| 1h |
-0.0171 |
| 4h |
-0.0187 |
| 24h |
0.0014 |
| 3d |
-0.0035 |
Test quintiles (A → oriented return, strong-flow)
| quintile |
n |
mean |
median |
| 0 |
732 |
-0.00018 |
0.00113 |
| 1 |
731 |
-0.00079 |
0.00037 |
| 2 |
731 |
-0.00057 |
0.00010 |
| 3 |
731 |
0.00008 |
0.00076 |
| 4 |
732 |
0.00049 |
0.00035 |
Matched control (absorbed − control, strong-flow)
- spread: 17.19 bps (CI [-7.58, 36.96])
- n events: 3657
Control regression (A coefficient)
- coef: 0.00001 (CI [-0.00039, 0.00042])
Per-symbol test IC
| symbol |
IC |
n |
| BTCUSDT |
-0.0279 |
3667 |
| ETHUSDT |
-0.0379 |
3667 |
| SOLUSDT |
-0.0207 |
3667 |
| ZECUSDT |
-0.0275 |
3667 |
| NEARUSDT |
-0.0197 |
3667 |
| XRPUSDT |
-0.0149 |
3667 |
| OGNUSDT |
-0.0479 |
3667 |
| HYPEUSDT |
0.0203 |
3667 |
| BNBUSDT |
0.0060 |
3667 |
| DOGEUSDT |
-0.0170 |
3667 |
Robustness sweep (test IC; sign/magnitude stability)
| timeframe |
window_days |
event_q |
design_ic |
test_ic |
strong_ic |
n_test |
| 15m |
15 |
0.90 |
0.0061 |
-0.0099 |
-0.0169 |
146710 |
| 15m |
15 |
0.95 |
0.0061 |
-0.0099 |
-0.0205 |
146710 |
| 15m |
30 |
0.90 |
0.0062 |
-0.0112 |
-0.0227 |
146710 |
| 15m |
30 |
0.95 |
0.0062 |
-0.0112 |
-0.0243 |
146710 |
| 15m |
60 |
0.90 |
0.0096 |
-0.0129 |
-0.0251 |
146710 |
| 15m |
60 |
0.95 |
0.0096 |
-0.0129 |
-0.0320 |
146710 |
| 1h |
15 |
0.90 |
0.0085 |
-0.0189 |
-0.0077 |
36670 |
| 1h |
15 |
0.95 |
0.0085 |
-0.0189 |
0.0118 |
36670 |
| 1h |
30 |
0.90 |
0.0049 |
-0.0187 |
-0.0047 |
36670 |
| 1h |
30 |
0.95 |
0.0049 |
-0.0187 |
0.0130 |
36670 |
| 1h |
60 |
0.90 |
0.0082 |
-0.0200 |
-0.0147 |
36670 |
| 1h |
60 |
0.95 |
0.0082 |
-0.0200 |
0.0067 |
36670 |
| 4h |
15 |
0.90 |
-0.0100 |
-0.0226 |
0.0067 |
9160 |
| 4h |
15 |
0.95 |
-0.0100 |
-0.0226 |
0.0626 |
9160 |
| 4h |
30 |
0.90 |
-0.0007 |
-0.0233 |
0.0077 |
9160 |
| 4h |
30 |
0.95 |
-0.0007 |
-0.0233 |
0.0323 |
9160 |
| 4h |
60 |
0.90 |
-0.0184 |
-0.0191 |
-0.0158 |
9160 |
| 4h |
60 |
0.95 |
-0.0184 |
-0.0191 |
0.0262 |
9160 |
Verdict: NO EDGE (H0)
| # |
criterion |
pass |
| P1 |
|
❌ |
| P2 |
|
❌ |
| P3 |
|
❌ |
| P4 |
|
❌ |
| P5 |
|
❌ |
| P6 |
|
❌ |
| P7 |
|
❌ |
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