Capitulation-Close Next-Day Reversal on OKX Spot: buy a pre-2021 OKX SPOT alt at the close of a UTC day whose range is >=1.5x its 20-day mean range AND that closes in the bottom 15% of that range, fixed 1-day clock (12 alts, OKX_SPOT 1-DAY, long-only cash, 8% per leg, flat ~95% of the time)

Original Research Lead hypothesis (not seeded). An event-driven, long-only, unlevered spot panel on OKX_SPOT, which is 0.2% of the corpus. EVENT ('capitulation close'): a completed daily bar whose high-low range is at least range_mult x the mean range of the previous atr_len bars (the event bar excluded) AND whose close-location value CLV = (close - low)/(high - low) is <= clv_max. In words, a range-EXPANSION day on which sellers were still in control at the close. Buy that close and sell at the close hold_days bars later. MECHANISM: a wide day that closes at its low is the footprint of forced, price-insensitive selling (stop cascades, liquidations of levered longs on the perp venues, panic market sells) that ran right up to the bar close. On spot, that flow is exhausted at the print. Liquidity providers who widened during the cascade come back, and the next session mean-reverts part of the overshoot. This is a CLOSE-LOCATION trigger, not a return or volume shock. HOW IT DIFFERS FROM WHAT THE FACTORY HAS ALREADY TESTED: (1) The down-shock absorption panels (Hyperliquid daily, OKX swap daily, Bybit spot 4H) trigger on a <=-k-sigma close-to-close return plus volume. In the pre-study only 32% of capitulation-close events were also <=-2.5-sigma return days. The NON-shock 68% (330 events on 166 distinct dates) still earned +1.43% net over 3 days, so the trigger carries expectancy those panels do not capture. (2) NR7 failed-downside-break needs a prior compression day; only 11% of these events follow an NR7 day. Excluding both shock and NR7 events leaves 289 events at +1.46% net. (3) The promoted 4H wide-range close-location CONTINUATION rule (Bybit) would SHORT these bars. On the daily horizon in spot the sign is the opposite: reversal. This is consistent with L230: absorption works on the long side, and the short mirror is not assumed. RESEARCH LEAD PRE-STUDY (OKX_SPOT daily bars, 2020-2026, 12 names, events non-overlapping per name with a 3-bar refractory, net of 0.20% spot round trip; used to shape the rule, not to accept it). Baseline rule range_mult 1.5, clv_max 0.15: n=488 events on 197 distinct dates. Net forward return after 1 day: mean +1.58%, median +1.25%. After 2 days: mean +1.54%. After 3 days: mean +1.60%, median +0.66%. After 5 days: mean +0.99%. Almost all the edge arrives on day 1, so the baseline hold is 1 day. 11 of 12 names are positive on the 3-day horizon; SOL is the exception at -0.61%. 5 of 7 calendar years are positive. 2022 was -2.1% and 2024 was -2.4%: the rule loses in grinding bear legs where a wide red close is followed by another. Control (any close below the prior day's low, 3-day hold): +0.50% net. Requiring a wide range and a low close adds about +1.1% per event over that no-filter baseline. Approximate capped book (8% of equity per leg, max 8 concurrent, 1-day hold, 0.1% fee per side): 494 trades, average trade +1.37% net, total return about +68%, max drawdown 8.7%, daily Sharpe about 0.9, positive in 6 of 7 years. With a 3-day hold the drawdown rises to 27%. The equal-weight buy-and-hold of the same 12 names drew down 83.5% over the same span (the L224/L170 buy-and-hold drawdown comparison for a long-only design). FEE ARITHMETIC: the expected capture is about 1.2-1.5% per trade, against the 0.20% spot round trip, so 6-7x cost. UNIVERSE (pre-registered rule, not chosen by performance): every OKX USDT spot pair with daily bars from on or before 2021-01-01 and continuous history to 2026-09, excluding BTC and ETH (corpus concentration), stablecoins, wrapped and staked tokens and OKB. The rule gives exactly 12 names: ADA, ATOM, AVAX, BCH, DOGE, DOT, ETC, FIL, LINK, LTC, SOL and XRP. Residual survivorship bias: OKX serves no bars for delisted spot pairs, so a long-history name that died before 2026 cannot be included. Set point_in_time_universe so each leg trades only while is_listed() is true and at least 30 days after listed_since(). EXECUTION: daily bars only. next_bar_open_fill has status use_equivalent, so entries and exits are market orders at the signal bar's close, which on this 24/7 venue is the next bar's open price. No stop orders are needed. Each name is traded independently with at most one position per instrument. This is an event panel, not a ranked or neutral book. Report results split by event type (also a <=-2.5-sigma return day vs not) so the analyst can see the incremental part.