DXY-Shock — Dollar shocks → BTC opposite move?

2026-05-19 · status: inconclusive · 0.7s

Hypothesis: A DXY 4h log return ≥ 2σ (rolling 30d) is followed by BTC moving in the opposite direction over the next 1h with hit-rate > 55% and a conditional mean ≥ ±20 bps.

Verdict: PURSUE — directional tilt present: +shock → BTC -6, −shock → BTC +8, hit-rate 52.3%. Useful for Master-LGBM as a discrete event feature; not robust enough for standalone.

Key metrics

Approach

DXY 1h close (yfinance, ticker DX-Y.NYB, ~2.5 yrs history). Compute 4h log return at each 1h bar; standardise with rolling 30d σ (180 bars). Shock = |z| ≥ 2.0. Label: BTC log return over the next 1h. DXY only trades during NY/EU hours so most BTC bars have stale or NaN sigma — we drop those.

Hit definition (opposite-direction hypothesis): +DXY shock counts as hit if BTC fwd 1h < 0; −DXY shock counts as hit if BTC fwd 1h > 0.

Event-conditional BTC fwd-1h return

Opposite-direction hit rate

• +DXY shocks: 401 events, 202 BTC-down hits (50.4% if n_pos else 0)

• −DXY shocks: 446 events, 241 BTC-up hits (54.0% if n_neg else 0)

• Combined opposite hit rate: 443 / 847 = 52.3%

Stability across 6 sub-periods