Volume-shock conditional return
DroppedHypothesis
When log-volume z-score over the past 1h crosses above 3σ, the sign of the trailing 1h return distinguishes climaxes (mean-revert) from breakouts (continue). Tested walk-forward at fwd-15m / fwd-1h / fwd-4h horizons.
Verdict
**DROP** — volume-shock buckets don't separate forward returns (rally fwd-1h +3.9, decline +2.8). Volume z-score alone is a poor regime indicator at this threshold.
n_events
16,298
rally_t_1h
+2.4687
decline_t_1h
+1.0794
spread_4h_bps
+3.5383
rally_fwd1h_bps
+3.8586
rally_fwd4h_bps
+4.4307
decline_fwd1h_bps
+2.8062
decline_fwd4h_bps
+0.8925
Volume-shock conditional return
2026-05-17 · status: dropped · 1.5s
Hypothesis: When log-volume z-score over the past 1h crosses above 3σ, the sign of the trailing 1h return distinguishes climaxes (mean-revert) from breakouts (continue). Tested walk-forward at fwd-15m / fwd-1h / fwd-4h horizons.
Verdict: DROP — volume-shock buckets don't separate forward returns (rally fwd-1h +3.9, decline +2.8). Volume z-score alone is a poor regime indicator at this threshold.
Key metrics
| metric | value |
|---|---|
| n_events | 16,298 |
| rally_fwd1h_bps | +3.8586 |
| decline_fwd1h_bps | +2.8062 |
| rally_fwd4h_bps | +4.4307 |
| decline_fwd4h_bps | +0.8925 |
| rally_t_1h | +2.4687 |
| decline_t_1h | +1.0794 |
| spread_4h_bps | +3.5383 |
Approach
Log-volume z-score uses a 1-day baseline window. An event is the rising edge where vol_z_1d crosses above 3.0σ (i.e. the previous bar was below threshold). Events are bucketed by sign of trailing 1h return.
Total events: 16,298 over 3,326,400 1m bars (1 per 204 bars).
Walk-forward windows: 21
Pooled OOS per bucket × horizon
| mean_bps | se_bps | t_stat | n_windows | total_events | |
|---|---|---|---|---|---|
| ('decline', 'fwd_15m') | 2.72 | 1.28 | 2.13 | 21 | 7190 |
| ('decline', 'fwd_1h') | 2.81 | 2.6 | 1.08 | 21 | 7190 |
| ('decline', 'fwd_4h') | 0.89 | 3.8 | 0.23 | 21 | 7190 |
| ('rally', 'fwd_15m') | 1.35 | 1.29 | 1.05 | 21 | 6593 |
| ('rally', 'fwd_1h') | 3.86 | 1.56 | 2.47 | 21 | 6593 |
| ('rally', 'fwd_4h') | 4.43 | 3.39 | 1.31 | 21 | 6593 |
Baseline (no-event) for context
| mean_bps_per_horizon | |
|---|---|
| fwd_15m | 0.098 |
| fwd_1h | 0.426 |
| fwd_4h | 1.703 |
