Bybit Two-Day Idiosyncratic Down-Shock Rebound, BTC-Hedged: long a Bybit alt perp + short equal-dollar BTCUSDT.BYBIT after its 2-day move lags BTC by <=-2.5 sigma, fixed 3-day clock (29 pre-2022 Bybit USDT perps, 1-DAY, market-neutral event panel, flat most of the time)

Original Research Lead hypothesis (not seeded). MECHANISM: when one alt falls far more than BTC over two days, without a market-wide move, the excess drop is mostly forced or impatient idiosyncratic selling: a liquidation cluster in that coin's perp, a large holder exiting, or a rumour. Liquidity providers who absorb that inventory ask for a premium, and they are paid as the price partly recovers relative to the market over the next few days. The design takes the long side of that absorption, which is the side that has worked in this factory (L230), and defines the trigger as a BTC residual with a BTC hedge leg, as L256 requires. It is distinct from the promoted Bybit volume-share capitulation (1H, 24h, needs a venue-share condition), the Bybit weekend pump reversal (the SHORT side of upside residual jumps, Mondays only), the in-pipeline Bybit attention-shock continuation (UP residual days, follows the move) and the OI-flush absorption (unhedged, raw-return trigger). EVENT, per alt, at each completed Bybit 1-DAY bar (bar timestamp = close, 00:00 UTC): W_alt = ln(close_t / close_{t-2}), W_btc the same for BTCUSDT.BYBIT, X = W_alt - W_btc. Scale it by the alt's 60-day daily log-return std measured up to the bar two days before the signal (excluding the shock days), times sqrt(2): zx = X / (sd60 * sqrt(2)). If zx <= -2.5, open a market-neutral pair: LONG the alt perp, SHORT an equal-dollar BTCUSDT.BYBIT hedge (hedge ratio fixed at 1.0 dollar per dollar, pre-registered, as in the pre-study). Orders are market orders at the signal bar's close; on this 24/7 venue that price is the next bar's open, which is the platform's faithful equivalent of a next-open fill. Exit both legs on a fixed 3-day clock. PRE-STUDY (Research Lead, decoded Bybit 1-DAY catalog bars, 2020-10 to 2026-10, the 29 names in instruments, non-overlapping per name): zx<=-2.5 with a 3-day hold fired 233 alt legs on 93 distinct event dates (~16 event dates a year). Mean hedged (long alt minus BTC) 3-day forward log return was +3.31% per leg, median +2.33%, gross of costs. By year (legs, mean): 2021 7 legs -5.2%, 2022 40 legs +4.7%, 2023 51 legs -0.1%, 2024 66 legs +4.5%, 2025 33 legs +9.8%, 2026 35 legs +0.2%. So 2021 and 2023 were flat or negative and 2026 is flat; the edge is concentrated in a few years, which I state up front. Neighbouring settings: zx<=-2.0 gives 457 legs on 178 dates at +1.92% (3-day); a 2-day hold at -2.5 gives +2.41%; a 5-day hold +2.56%. The pre-study also tested the mirror of the promoted weekend pump reversal (buy WEEKEND residual dumps, Monday-stamped signals): it does NOT rebound (-0.30% hedged at zx<=-1.5, -1.03% at -2.0, 2-day). Weekend dumps are therefore not excluded by the rule (that would be selection on this sample), but Monday-stamped events are reported as a separate diagnostic. COST ARITHMETIC: each event pays two Bybit round trips (alt + equal-dollar BTC) at ~0.11% each = ~0.22% of the alt-leg notional; against a gross +3.3% (median +2.3%) the capture is ~10x costs, and even a 3x shrinkage to ~1.1% clears the 2x-cost bar. EVIDENCE COUNT (L237/L238): 93 distinct event dates, not 233 legs, is the effective sample. UNIVERSE: fixed list of 29 Bybit USDT perps all with continuous Bybit bars from before 2022-01-01; at each signal a name is eligible only if it has >= 90 days of Bybit bars at that bar (point-in-time via is_listed()/listed_since()). Residual survivorship: Bybit serves no bars for closed contracts, so coins delisted from Bybit before today are missing; this biases the alt leg upward and is named as a risk. Venue: BYBIT is 3.4% of the corpus against a >=5% target; the design is long-short market-neutral (direction bucket 25% long-short).