Overview & Experiments 55 Synthesis Roadmap Lookahead Audit

Cross-asset vol-clustering: BTC vs ETH vs SOL

Promoted

2026-05-17 volatilitycross-assetvalidation

Hypothesis

Vol-clustering is a crypto-market phenomenon, not a BTC-specific quirk. ETH and SOL should show similar walk-forward IC between trailing and forward realised volatility at 1h / 4h / 1d horizons.

Verdict

**CONFIRMED** — vol-clustering is a robust crypto-market feature. 4h IC: BTC +0.737, ETH +0.740, SOL +0.784. Spread across assets: 0.047. ETH/SOL forecasters are worth training if we ever trade them.

horizons

['1h', '4h', '1d']

BTC_4h_IC

+0.7366

ETH_4h_IC

+0.7401

SOL_4h_IC

+0.7837

spread_4h

+0.0470

Cross-asset vol-clustering: BTC vs ETH vs SOL

2026-05-17 · status: promoted · 43.0s

Hypothesis: Vol-clustering is a crypto-market phenomenon, not a BTC-specific quirk. ETH and SOL should show similar walk-forward IC between trailing and forward realised volatility at 1h / 4h / 1d horizons.

Verdict: CONFIRMED — vol-clustering is a robust crypto-market feature. 4h IC: BTC +0.737, ETH +0.740, SOL +0.784. Spread across assets: 0.047. ETH/SOL forecasters are worth training if we ever trade them.

Key metrics

metric	value
BTC_4h_IC	`+0.7366`
ETH_4h_IC	`+0.7401`
SOL_4h_IC	`+0.7837`
spread_4h	`+0.0470`
horizons	`['1h', '4h', '1d']`

Approach

Repeat Exp 1 (vol-clustering) on BTC, ETH, SOL — same methodology: trailing rv_h vs forward rv_h, sampled every h bars to avoid overlap, Spearman IC computed per walk-forward window (12mo train / 3mo test, 1-day embargo).

Pooled results per asset × horizon

symbol	horizon	pooled_IC	pooled_CI_low	pooled_CI_high	pooled_n	windows_min	windows_max	windows_mean	stable_pos	total_windows
BTCUSDT	1h	0.8146	0.8112	0.8186	55,822	0.5571	0.8433	0.732	21	21
BTCUSDT	4h	0.7366	0.7286	0.7463	13,954	0.4281	0.7455	0.6073	18	21
BTCUSDT	1d	0.7239	0.7019	0.7437	2,324	0.2575	0.7047	0.4962	11	21
ETHUSDT	1h	0.7989	0.7952	0.8027	55,870	0.5571	0.79	0.7144	21	21
ETHUSDT	4h	0.7401	0.731	0.7489	13,966	0.4243	0.7896	0.6113	20	21
ETHUSDT	1d	0.7398	0.7154	0.7608	2,326	0.3122	0.7493	0.5442	14	21
SOLUSDT	1h	0.8175	0.8143	0.8208	49,575	0.684	0.8188	0.7524	18	18
SOLUSDT	4h	0.7837	0.7753	0.7911	12,393	0.5902	0.775	0.679	18	18
SOLUSDT	1d	0.7763	0.7544	0.7961	2,064	0.3437	0.7982	0.6027	12	18

ic by asset

heatmap 1h

heatmap 4h

heatmap 1d