Systematic-Not-Idiosyncratic Weekly Drawdown Absorption on OKX SPOT: buy an alt whose 7-day return is <= -1.5 sigma ONLY when the equal-weight alt market's own 7-day return is also <= -1 sigma (a market-wide, liquidity-driven drop, not coin-specific news), fixed 7-day clock (12 long-history OKX spot alts, 1-DAY, long-only event panel, 10% per name, max 6 concurrent, flat most of the time)

Original Research Lead hypothesis. It is built on the decomposition of short-term reversal in Da, Liu & Schaumburg (2014, Management Science, 'A Closer Look at the Short-Term Return Reversal') and on Nagel (2012, RFS). Those papers find that reversal comes from the part of a loser's return that is NOT explained by news or fundamentals: price pressure from liquidity demand, which reverts. The firm-specific, information-driven part of a decline does not revert and tends to continue. In crypto alts the cleanest bar-level proxy for 'liquidity-driven' is CO-MOVEMENT. A coin that falls hard in the same week as the whole alt complex is mostly being sold as part of market-wide de-risking (deleveraging, fund outflows, basis-arb unwinds). A coin that falls hard while the complex is flat is mostly repricing its own news (hack, unlock, delisting rumour, team sale). This hypothesis buys only the first kind. Venue and universe. Execution is on OKX_SPOT (0.2% of the corpus, the least-used crypto venue with multi-year daily bars). Long-only and unlevered, so it belongs on spot. The universe is fixed in advance: the 12 OKX USDT spot pairs with daily bars from 2020-2021 in our catalog: LTC, ADA, LINK, XRP, DOGE, ATOM, ETC, BCH (from 2020-01), FIL, SOL, AVAX, DOT (from their 2020-21 OKX listings). A name becomes eligible only after it has 180 daily bars on OKX_SPOT (point in time via listed_since / universe_at). BTC and ETH are excluded from both the traded panel and the market factor. Survivorship caveat, stated up front: all 12 names are still listed today, and OKX keeps no delisted pairs, so coins that died (e.g. LUNA) cannot be in the panel. That residual bias favours a long-the-dip rule. The analyst should read 2022 as the stress check. PRE-STUDY (done before this proposal, fixed rules, OKX_SPOT 1-DAY closes 2020-01 to 2026-10, entry at the signal close, 0.20% round trip deducted, non-overlapping per name). Honesty note: I looked at about 60 cells across correlation-regime, per-name and two-arm variants before settling. The DSR lineage should count roughly 60 trials. Results: (a) Gated rule (coin z7 <= -1.5, market z7 <= -1.0, 7-day hold): 376 trades on 134 distinct entry dates, mean +2.49% net per trade, hit rate 59%, per-entry-date basket t = 2.35. Yearly mean per trade: 2020 +3.8, 2021 +7.6, 2022 -1.9, 2023 +0.3, 2024 +3.6, 2025 +4.4, 2026 +2.0. (b) Same trigger WITHOUT the market gate (the pre-registered comparator, per lesson L217): 414 trades on 182 dates, mean +1.70%, t = 1.26. The gate adds about +0.8% per trade and roughly doubles the t-statistic at this threshold. At a deeper -2.0-sigma coin threshold the gate adds nothing, because nearly every -2-sigma alt week is already a market week. So the claimed increment is specific to moderate drops. (c) The opposite cell (coin <= -1.5 sigma while the market is NOT down) had a negative forward 5-7 day return on OKX spot (-2.5% per trade, 60 dates), which is consistent with the continuation of idiosyncratic news. The short arm is NOT proposed: on the OKX swap panel the same cell was positive, so it does not replicate (lesson L230). (d) Portfolio simulation (10% per name, max 6 concurrent, deepest coin z first, 7-day clock, fees 0.1% per side): +118% over 6.8 years, daily Sharpe 0.63, max drawdown 23.9%, years +6/+37/-10/+2/+15/+30/+9. The ungated version gave Sharpe 0.47 and +76%. The predictions below are set below the pre-study numbers, because the pre-study is in-sample and the selection was made after looking. Execution capability notes: daily bars on a 24/7 venue. 'Next-bar-open' entries are written as a market order at the signal bar's close (the registry's use_equivalent for next_bar_open_fill: on a continuous market that is the next bar's open). No stop orders are used. Risk control is route (b): a fixed time exit plus capped unlevered sizing. Distinct from the capitulation-absorption family in the pipeline (1-day or 4-hour shocks, BTC down-day triggers, OI or volume confirmation). The event here is a 7-day cumulative drawdown. The conditioning variable is the coin's co-movement with the alt market over that week, which separates systematic from idiosyncratic drawdowns. Nothing in the corpus tests that split.