Mean-reversionKilled

Betting the price “fades” off the day’s high or low

−1.72 bps vs +7.92

the bounce we saw vs what we’d expect, the wrong way, and far too small

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

In plain English

We bet prices would bounce off the day’s high and low; they didn’t. The setup is rare, the move was tiny, and it went the opposite way to the bet.

What it needed

at least 50 cases, and a bounce big enough to cover costs

→

What it got

only 12 cases, and the price moved the wrong way

Why it's dead

Boundary-fade events are structurally rare (~0.5 per symbol per month), and where they occur the price doesn't fade back, it's the wrong sign and ~50× below the magnitude needed to clear costs.

The detail

Day-30 verdict: n=12 events vs a 50-event locked floor; observed mean revert −1.72 bps against a +7.92 bps baseline, wrong-signed and ~50× below the 50 bps promote floor. For R1 to pass, the true per-event effect would have to be 25–50× the observed estimate.

Kill date: 2026-06-12
Sample: n=12 events
Method: Pre-registered
Verdict: rare + wrong-signed

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

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