Alt Beta-Overshoot Rebound After BTC Down-Shock Days: Buy an Equal-Weight OKX Alt-Swap Basket and Short Beta-Matched BTCUSDT.OKX at the Close of a <=-2-Sigma BTC UTC Day, Fixed 2-Day Clock (20 pre-2021 OKX USDT swaps, 1-DAY, beta-hedged long/short, flat ~96% of the time)

Original Research Lead hypothesis, event-driven and BTC-beta-hedged. On a sharp BTC down day, alt perps fall by MORE than their normal beta to BTC. Alts carry higher retail leverage and thinner books, so the same BTC move sets off proportionally larger long liquidations in alts. That forced, non-informational selling should partly reverse over the next one to three days, relative to BTC. The trade buys the alt overshoot and shorts BTC in beta-matched size, so it bets on the alts' RELATIVE recovery, not on the market bouncing. TRIGGER: on each completed BTCUSDT.OKX 1-DAY bar (UTC close), z = that day's BTC simple return divided by the standard deviation of the previous vol_lookback (30) daily BTC returns, excluding the current day. An event fires when z <= -shock_k (baseline 2.0) and the strategy is flat. UNIVERSE (point in time): the 20 OKX USDT swaps listed below, all listed on OKX before 2021. At each event, a name is eligible only if it has at least 90 consecutive daily bars ending at the event bar (use universe_at()/listed_since()). Residual survivorship bias: OKX keeps no delisted swaps, so the universe cannot include coins that later died; this is stated, not fixed. POSITIONS: market orders at the event bar's close. On this 24/7 venue that price is the next bar's open (the platform's use_equivalent for a next-bar-open fill). Long legs: rank eligible alts by their shock-day residual (r_alt - beta_i*r_BTC, with beta_i the 60-day OLS beta) and buy the most-negative select_frac share (baseline 1.0, i.e. all eligible names), equal-weighted, with total alt notional alt_gross (0.60 of equity). Hedge leg: short BTCUSDT.OKX with notional beta_basket * alt_gross, where beta_basket is the 60-day OLS beta of the selected basket's equal-weight daily return on BTC, clipped to [0.5, 2.0]. Typical beta is ~1.2, so the hedge is ~72% of equity and total gross ~1.3x on 2x configured leverage. No single position exceeds ~0.9x equity even at the beta clip. EXIT: every leg closes at market at the close of the hold_days-th daily bar after entry (baseline 2). No new event is taken while positions are open (non-overlapping events). Risk-control route (b): time exit with capped sizing; no stop is invented. FIXED-RULE PRE-MEASUREMENT (Research Lead, daily closes, same 20 names, k=2.0, 2-day hold, non-overlapping events, 0.11% round-trip per leg charged on both alt and hedge notional): - OKX 2020-2026: 66 events. Hedged gross +0.78% per unit of alt notional (+0.95% with select_frac=0.5); net +0.54% (+0.72%); t ~1.4-1.6; hit rate 0.55-0.58. - Same prices on Binance: +0.99% gross, net +0.75%, t 1.86. - Bybit, where history only starts in late 2020 and several names list later: +0.39% gross, net +0.14%, t 0.75. - Most of the effect sits in 2020-2021 and 2024-2025, and 2026 to date is negative (-1.4% per event). Positive event-years: 4 of 7. This is a modest, fragile signal and the prediction below is set accordingly. PRE-REGISTERED COMPARISON (lesson L217 style): the backtest should also report the same events traded UNHEDGED (alt basket only). The hypothesis claims the HEDGED spread is positive after costs. If only the unhedged leg makes money, that is market beta after crashes (already covered by the promoted down-shock absorption panels), not this mechanism. EVIDENCE COUNT (lesson L238): the strategy takes ~21 positions per event, so position counts overstate the evidence. There are about 66 distinct entry dates over ~6.8 years (~10 a year), above the ~30-event floor of lesson L237. Why it is new: the earlier 'BTC-Shock Idiosyncratic Response Persistence' (Hyperliquid) bet that alts continuing in BTC's direction would keep going (momentum). This trade bets the opposite (reversion of the beta overshoot) and is market-neutral to BTC. The pipeline's Bybit volume-share capitulation rebound triggers per alt on that alt's own volume share; this one triggers on a market-wide BTC shock and trades a basket against a beta hedge. The venue (OKX, 3.6% of corpus) and the long/short structure both fill under-represented buckets.