Results9 Oct 2026spot_cvd_divergence_results.md
Spot–Perp CVD Divergence — Results (exploratory, in-sample 2026)
- universe (10): BTCUSDT, ETHUSDT, SOLUSDT, ZECUSDT, NEARUSDT, XRPUSDT, OGNUSDT, HYPEUSDT, BNBUSDT, DOGEUSDT
- timeframe: 1h · primary horizon: 4h
- window=60 · norm_window=720
Notes
- Exploratory only: single regime (2026), in-sample, n=10 cross-section.
- Design IC was positive and above threshold but flipped sign out-of-sample — a selection artifact (the breakout study's failure mode), not an edge.
Primary: pooled rank IC
| period |
pooled IC |
cross-sectional IC |
n |
| design |
0.0248 |
0.0064 |
25920 |
| test |
-0.0040 |
-0.0037 |
33205 |
test IC 95% bootstrap CI: [-0.0239, 0.0170]
Verdict: NO EDGE (H0)
| # |
criterion |
value |
pass |
| C1 |
|
test IC -0.0040, CI [-0.0239, 0.0170] |
❌ |
| C2 |
|
design 0.0248 / test -0.0040 |
❌ |
| C3 |
|
decile monotonicity -0.067 |
❌ |
| C5 |
|
top-bottom decile spread -11.84 bps |
❌ |
| C6 |
|
min leave-one-out IC -0.0070 |
❌ |
| C7 |
|
IC ex-BTC/ETH -0.0068 |
❌ |
Test deciles (D → forward return, market-neutral)
| decile |
n |
mean |
median |
| 0 |
3301 |
0.00074 |
-0.00031 |
| 1 |
3300 |
-0.00046 |
-0.00059 |
| 2 |
3300 |
0.00004 |
-0.00030 |
| 3 |
3300 |
-0.00046 |
-0.00053 |
| 4 |
3301 |
-0.00014 |
-0.00030 |
| 5 |
3300 |
0.00011 |
-0.00018 |
| 6 |
3300 |
0.00079 |
0.00003 |
| 7 |
3300 |
0.00001 |
-0.00025 |
| 8 |
3300 |
-0.00015 |
-0.00071 |
| 9 |
3301 |
-0.00044 |
-0.00048 |
Test event study (|D| quintiles)
| bucket |
n |
mean |
median |
| 0 |
6601 |
0.00014 |
-0.00045 |
| 1 |
6600 |
-0.00021 |
-0.00041 |
| 2 |
6601 |
-0.00002 |
-0.00025 |
| 3 |
6600 |
0.00040 |
-0.00012 |
| 4 |
6601 |
-0.00030 |
-0.00061 |
Test leave-one-symbol-out pooled IC
| dropped |
IC |
| BTCUSDT |
-0.0070 |
| ETHUSDT |
-0.0037 |
| SOLUSDT |
-0.0050 |
| ZECUSDT |
-0.0011 |
| NEARUSDT |
-0.0057 |
| XRPUSDT |
-0.0048 |
| OGNUSDT |
-0.0024 |
| HYPEUSDT |
-0.0040 |
| BNBUSDT |
-0.0022 |
| DOGEUSDT |
-0.0037 |
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