On-Chain Venue Flow Migration Fade: Short a Hyperliquid Alt Perp, BTC-Beta-Hedged, for a Fixed 5 Days After an Up-Day on Which Hyperliquid's Share of Its Perp Volume (HL vs Binance USD-M) Spikes >=2.5 Sigma (25 HL alts + BTC hedge, Binance volume signal-only, 1-DAY, market-neutral event panel, flat most of the time)

Original Research Lead hypothesis. It is a cross-venue, BTC-hedged event panel built on a signal the corpus has not used: where an alt's leverage is being traded. Each UTC day, for each of 25 alts, compute Hyperliquid's share of the coin's perp quote volume, share = HLvol / (HLvol + BinanceUSDMvol), where quote volume = base volume x close on each venue's own 1-DAY bar. Then compute z = (log share - 60-day mean of log share) / 60-day std, using the prior 60 days only. Mechanism: Hyperliquid is the on-chain, KYC-free, high-leverage venue. Its flow is dominated by crypto-native leverage chasers and visible whale/vault positioning, which copy-traders and liquidation hunters then target. When a coin rallies AND its leverage migrates to HL far beyond normal, the rally is being financed by marginal on-chain longs, not by the broad CEX market. That positioning is crowded and transparent (HL positions and liquidation levels are public), so it unwinds over the following days. The idea is not a price-shape fade: the control in the pre-study (up-days of similar size WITHOUT a share spike) shows almost no drift. PRE-STUDY (Research Lead, catalog 1-DAY bars, HL history from each coin's HL listing in 2023-24 to 2026-10-17, gross of costs, entry at the signal day's close; it was used to shape the rule, not to choose names). Up-day with share z >= 2.5: n = 304 name-days on 222 distinct dates, raw HL forward return -1.19% over 3 days and -3.0% over 5 days, median -1.1% at 3 days. BTC-beta-hedged (alt minus 60-day beta x BTC, beta clipped 0.3-2.5), the 5-day return is -2.64% (median -2.43%), negative in every year: 2023 -1.5%, 2024 -4.9%, 2025 -0.9%, 2026 -2.2%. Unconditional hedged 5-day drift is -0.58% overall and -0.78% after up-days (alts lagged BTC over the period), so the incremental effect of the share spike is about -1.9% per 5 days. The z >= 2.0 threshold gives -1.60% hedged (651 events), z >= 3.0 gives -2.41% (117), so the effect is monotone, not a cliff. Non-overlapping per name (5-day lockout): 222 events (~60/yr), hedged 5-day -2.12%. Dropping the best 5% of short outcomes it is still -0.76%. Control: up-days with return z > 1 and NO share spike (z < 1) drifted -0.06% over 3 days (n = 2,770). Low-share days (z <= -2.5) drifted +0.47%, which is consistent with the mechanism. Caveats stated up front: 2023 sample is small (41 events); per-name results are mixed (AVAX/APT/INJ/SUI strongly negative, DOGE/ARB/DOT slightly positive), and all names stay in. Lessons L230 and L237 are addressed: the short arm is measured on these exact names, and the event count inside the full-overlap span is ~220 non-overlapping, well above 30. COST ARITHMETIC: HL taker round trip 0.09% on the alt leg + 0.09% on the beta-sized BTC leg + ~0.05% impact on mid-caps = ~0.25% per hedged pair. Expected gross hedged capture ~2.1% (non-overlapping) minus ~0.8% alt-underperformance drift that should not be counted as edge = ~1.3%, less costs = ~1.0% net per pair, about 4x the round trip. Funding on the short alt leg is usually received after rallies (positive funding) and is a tailwind, credited by the platform's funding ledger. Execution: a decision on the daily close is a market order at that bar's close (24/7 venue: equivalent to the next bar's open, which is the platform's use_equivalent for next_bar_open_fill). The protective stop is an intrabar stop matched by the platform in backtest and paper, not an exchange-resting order.