Round 3: NATR. ATR(14) on 4h candles over price, the "volatility" most dashboards show. Given its own scale, refitted the same way. 20 days ahead: loses to MSM in 9 of 9 coins (t 4.6). GARCH and the plain average beat it too.

Round 2: every model refitted every 125 days. MSM still beats GARCH at every horizon, 1 to 100 days. t 2.7 at 20 days, ahead in 8 of 9 coins. The stale level had inflated the edge, not created it.

BTC's extreme hourly moves got rarer after Jan 2024 ETFs. Ran the control: 7 no-ETF coins thinned the same way. Alts moved FIRST — Q3 2023, after BlackRock filed. BTC followed in Q4. Not the ETFs. The market turned. reddit.com/r/algotradingcryp…

Test 2: four BTC shocks since August (>3 sd in 4h, all up). Share of the signal change made in the first turn after the shock: 66%, 100%, 95%, 100%. Then nothing new. The indicators contain the shock bar, so they jump. Fast, but for free.

Test 1: BUY share vs the market, from 48h before the signal to 48h after. Past 48h: correlation 0.17–0.28 at every lag, outside the noise band. Next 48h: about zero. It remembers. It doesn't foresee.

My live card said: in the last hour, DOGE absorbed 85% of large orders, XRP only 30%. Looks like a story. Three weeks of history says every pair sits at 47–51%. A large order that pushes price is close to a coin flip: half fade, half stick

Swing size: real 0.69 vs shuffled 0.67. SNR 1.1. LUNA, FTX and Aug 2024 don't stand out from a shuffled calendar. The tail is fat in every window, and swings no more than noise would.

The right null isn't IAAFT. It destroys volatility clustering, so beating it just proves vol clusters. I fitted GARCH(1,1)-t to each window instead. BTC 4H, 12 windows, 2021–2026: 1 of 12 beats it. 0 of 12 once tails are removed.

Lesson 2: pooling. BUY: +0.39. SELL: +0.30. Same sign both ways. Pool them: 0.000. Removed signals are 70% BUY, kept ones 41% BUY. BUYs earned more in this period, so the mix cancels the effect exactly. Simpson's paradox.

Signals it removes vs signals it keeps, 24h forward: Hit rate, BUY: +0.6 pts (SNR 0.6) Hit rate, SELL: −1.0 pts (SNR −0.9) Avg return, BUY: +0.39 pts (SNR 3.1) Avg return, SELL: +0.30 pts (SNR 3.6)