OKX Per-Coin Hourly Capitulation Reversal: buy an OKX USDT swap 1 hour after a >=4-sigma single-hour drop on >=2.5-sigma volume, fixed 24h exit (10 market-cap-selected alts, 1H, OHLCV-only)

Event-plus-clock liquidity-provision trade on OKX USDT perpetual swaps (OkxCollector, USDT-swap OHLCV, catalog '<BASE>USDT.OKX', history 2020-2021 onward). The universe is fixed in advance as the 10 largest non-BTC coins by market cap that have continuous OKX 1H history: ETH, SOL, DOGE, ADA, LINK, AVAX, DOT, BCH, TRX, BNB. They were picked by market cap, not by back-test results; BNB OKX history starts 2022-12. XRP and LTC were left out only because their OKX 1H catalog history begins 2026-09. There are 10 names, under the L173 cap. On each closed 1H bar, for each coin independently: rz = the bar's log return divided by the rolling 720-bar (30-day) std of hourly log returns, and vz = the z-score of log(volume) against its own rolling 720-bar mean and std. A trigger fires when rz < -shock_sigma (default 4) AND vz > volume_sigma (default 2.5). The strategy then buys that coin's swap at market on the next bar and closes it at market exactly 24 bars later. It holds one position per coin, with no re-entry on that coin while the position is open. Each position is 10% of equity, so up to 10 can be open (gross 1.0x) in a market-wide cascade. The mechanism is not a calendar window and not a supplementary-feed gate. It is a forced-seller overshoot: a single-hour 4-sigma drop on 2.5-sigma volume is dominated by liquidations and stop-outs, and price-insensitive sellers push the price below where discretionary liquidity is willing to clear. The rebound takes about a day to arrive. POINT-IN-TIME PRE-STUDY (OKX 1H; rolling stats use only past bars; entry is at the trigger bar's close, which slightly overstates fills versus the next open; 0.10% RT cost charged): (1) Pooled across 14 coins from 2021-11 onward, with non-overlapping events per coin: 1,120 events, mean 24h forward return +0.57%, win rate 58%, per-event t = 3.0. The forward-return curve by hour is +0.18% at 12h, +0.57% at 24h and +0.39% at 36h, so the 24h clock sits where the forward return peaks (L166). (2) The result is monotone in the threshold: mean 24h forward return is +0.34% at 3-sigma, +0.47% at 3.5, +0.57% at 4 and +0.93% at 5 (volume z > 2.5). (3) The same rule on BINANCE USD-M 2019-06 to 2021-11, a period outside the OKX sample, gives +3.2% mean 24h, win rate 68%, t = 4.4. (4) Calendar-time portfolio on this exact 10-coin list, 10% per position, net of 0.10% RT: Sharpe 1.11, 19.9%/yr, max DD 22% (2021-01 to 2026-09). By year: 2021 +55%, 2022 -5%, 2023 +31%, 2024 +15%, 2025 +13%, 2026 YTD +6%. From 2021-11 only, Sharpe is 0.76. CAVEATS STATED UP FRONT: most events are market-wide (BTC also shocks in the same hour), so clustered by 6h window there are only 365 independent episodes, with mean +0.51% and t = 1.66. The edge depends on letting several coins load up together in a cascade: capping gross at 30% drops Sharpe to about 0.4-0.8. A single-instrument or equal-weight-basket breadth version was weak (t < 1.2), so this is NOT a 'buy the index after a crash' trade. The clock is sensitive: Sharpe is 0.78 at 18h, 1.11 at 24h and 0.73 at 30h, so the clock is FIXED at 24h and not searched.