Original Research Lead hypothesis. The event is MARKET-WIDE forced selling, not a single-name shock. At each UTC daily close, compute every eligible name's daily log return divided by the std of its previous 30 daily log returns (z). Breadth is the fraction of eligible names with z <= -2. When breadth >= 30% (at least 10 eligible names), buy an equal-weight basket of EVERY eligible name at that close, including names that did not shock. Hold for exactly 2 daily bars. The trade is flat about 95% of the time. Venue: OKX USDT swaps, under-used at 3.6% of experiments. The rebound measured below is a market-level move, so a short hedge would remove it (see rationale). Execution substitution (next_bar_open_fill = use_equivalent): entries and exits are market orders at the signal bar's close, which on 24/7 OKX is the next bar's open.
PRE-STUDY (fixed rule, gross of costs, OKX 1-DAY bars 2020-01 to 2026-10, the 35 names below plus BTC). Non-overlapping breadth events at >=30%: 79, or about 12 a year, spread over every year (2020: 4, 2021: 12, 2022: 18, 2023: 13, 2024: 12, 2025: 15, 2026: 5). The equal-weight basket's 2-day forward return averages +1.91% (median +1.61%, hit rate 63%). Mean by year: 2020 +3.7%, 2021 +5.3%, 2022 +0.7%, 2023 +1.2%, 2024 +1.6%, 2025 +1.8%, 2026 -0.4%. Removing the 5 best events leaves +1.11%. At a 20% threshold there are 96 events averaging +1.71%; at 50%, 55 events averaging +1.44%. A 1x-basket equity path net of 0.10% per event compounds to 3.46x with a 21.6% max drawdown, hence 0.7x gross. Incremental expectancy pre-registered (L217 / L238 style): names that did NOT shock on an event day still return +2.09% over 2 days (1,020 name-events), so the signal is the market state rather than the name. Per-name <=-2-sigma shocks on non-breadth days return only +0.38% and are negative in 2022, 2024 and 2025. The breadth condition is therefore what separates an event worth trading from one that is not. This is also the answer to the closed OKX per-name down-shock panel, whose 2022 bear leg drove a 23% drawdown: the breadth version was positive in 2022. A BTC-beta hedge was tested and rejected: hedged 2-day capture was only +0.21% on per-name shocks, because the rebound IS market beta. So the trade is long-only by construction, with a capped gross. Distinct entry dates (L238): about 79 over the history. The per-name trade count (~2,400) overstates the evidence and must not be read as the sample size. Survivorship caveat: OKX keeps no delisted swaps, so the 35 names are survivors listed before 2021. The point-in-time rule below limits but cannot remove this.