Revised: OI-Flush Down-Shock Absorption on Bybit Perps, intrabar stop removed: buy a Bybit USDT perp at the close of a <=-2-sigma UTC day when the same coin's Binance USD-M OI fell >=5%, exit on a 2-day clock only (route b: time exit + capped sizing, close-based 30% disaster check), 16 pre-2021 alts, 1-DAY

Revision of 'Cross-Venue Deleveraging-Confirmed Down-Shock Absorption on Bybit Perps' after the analyst's pre-optimization backtest review. THIS REVISION FOLLOWS A LOOK AT RESULTS: the iteration-1 development backtest (Dec 2021 to Aug 2025: 261 trades, avg -0.38%, PF 0.83) has been seen, so this lineage's significance hurdle rises and the DSR correction must count that look. What is unchanged (per the analyst: do not change instrument, venue or signal): universe, venues, signal definition and its parameters. Signal: on each UTC 1-DAY close, for each of the 16 Bybit linear perps (LINK, DOT, ADA, XRP, LTC, BCH, ETC, ATOM, AVAX, SOL, DOGE, FIL, UNI, AAVE, NEAR, TRX; USDT.BYBIT), compute z = today's log return / std of the prior vol_lookback=30 daily log returns; a shock is z <= -shock_z (2.0). The OI-flush condition reads the same coin's BINANCE USD-M perp open interest (open_interest_by_instrument via supp_as_of, point in time, staleness <= 6h): log(OI at this day's close / OI at the prior day's close) <= -oi_drop (0.05). require_oi_flush=true is the contract; require_oi_flush=false on identical code is the pre-registered comparator. Binance perps are signal-only legs, Bybit perps are the traded legs. Point-in-time universe: a name is eligible only when both its Bybit and Binance perps have been listed >= 90 days (universe_at / is_listed). WHAT CHANGED - the risk control only. The registered contract carried a 15% intrabar stop that the pre-study (+1.28% close-to-close, no stop) never measured; in the backtest the 42 trades stopped at -15% lost $56.9k against +$43.8k from all other trades, and trades reaching the clock averaged +2.47%. Post-crash days on mid-cap alts have long lower wicks; an intrabar stop placed 15% under the entry sells exactly the forced-liquidation wick the premise says to buy. The revised contract uses platform risk_control route (b): a signal-based time exit plus capped sizing, with no intrabar stop at all. A disaster check is evaluated ONLY on a daily close (not intrabar): if a position's close is >= 30% below its entry, exit at market at that close. With a 2-day hold this check can fire only on the first close after entry. Sizing: 10% of equity per position, max 6 concurrent positions (was 8), so gross exposure <= 60% of equity and no single position exceeds 10% of equity; leverage 1.0. When more than the free slots signal on one date, take the names with the most negative OI log change first (the mechanism), ties broken by the more negative z. Per-cascade loss budget: worst plausible case = 6 names x 10% x 30% disaster loss = 18% of equity in one cascade (a Luna/FTX-style day where every held name closes 30% under entry); a more typical bad cascade (6 names x 10% x -12% two-day loss) is ~7% of equity. Drawdown constraint set at 25% to cover the 2022-type tape honestly (see below). Execution: decisions on the UTC daily close; Bybit is 24/7, so a market order at the signal bar's close is the platform's faithful equivalent of a next-bar-open fill (next_bar_open_fill -> use_equivalent). No stop order is placed, so no intrabar-stop or exchange-resting capability is required. A diagnostic QA should confirm: the iteration-1 stop rate (42 of 261 = 16% of trades hitting -15% within two days) is high; confirm no exit is evaluated against the signal bar's own low. PRE-REGISTERED EXPECTATIONS (written before any run of this revision). (1) Full contract, no stop: the 42 formerly stopped trades now close on the clock; assuming they average about -10% to -12% at the clock (worse than the stop on some, better on most wick recoveries), expected per-trade net = (219 x ~2.3% - 42 x ~11%)/261 - 0.13% cost ~ +0.0% to +0.5% over the development period; I pre-register an expected full-history average net trade of +0.45% (well above the 0.15% Bybit floor but far below the pre-study's +1.28%, which I now regard as optimistic). (2) Incremental expectancy of the OI condition: pre-study claimed +0.69% gross per trade (1.28% vs 0.59%). Pre-register that require_oi_flush=false on identical code yields an average net trade at least 0.35% lower than require_oi_flush=true; if the difference is under ~0.2% the OI condition adds nothing and the analyst should treat the strategy as an unconditioned shock-absorption replication. (3) Clustered-date risk: the iteration-1 run showed 2022 at -2.84% per trade before costs (vs +0.23% in the pre-study). Without the stop I expect 2022 at about -1.0% per trade net (~80 trades x 10% sizing ~ -8% of equity for the year), and a 2022-type bear tape drawdown of 15-22% at these sizes; positive years expected 2023, 2024, 2025, with 2022 and possibly Dec-2021 negative. Distinct entry dates ~105 over ~4.8 years (~22/year); trades ~300 over full history, minus a few from the 6-slot cap.