DetectorKilled

Ride liquidation cascades as they accelerate

−1.14 bps

average return after a cascade, every group of cases lost money

bps = basis points = a hundredth of a percent (100 bps = 1%).

In plain English

Liquidation cascades bounce back rather than keep running, so riding them as they speed up loses money.

What it needed

bigger cascades should keep running harder

→

What it got

they lose money, and the pattern doesn’t hold at any size

Why it's dead

Cascades mean-revert, they don't continue. Same finding as COUNTER-001 and the HLP cascade detector, approached from a different angle.

The detail

n=15,992 cascades. D10 (densest cascades) mean at 5m: −1.14 bps. Monotonicity check: 0/3 adjacent decile pairs showed the expected continuation gradient. Below any cost model.

Kill date: 2026-03-26
Sample: n=15,992
Method: Pre-registered
Verdict: same result, different angle

What it would have done to your money

You put in$10,000

You run it for100 trades

You would have

$9,887

−$113

lost (1%)

You started with$10,000

This strategy left you$9,887

Instead of not trading$10,000

Locked to this strategy's real measured result of -0.0114% per trade, compounded. You choose the amount and the time. We don't choose the return, the strategy already did.

Pre-registered before the data. Judged on a criterion locked in advance. Published whatever the result.

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