Track 10Closed
TradFi Tick Shadow (NQ → BTC)
after a strong NQ (Nasdaq) day, BTC catches up post-close
Key metric
44 events / 180 days, follow rate 48% (random)
- Why an edge should exist / hypothesis
- Crypto as a 'shadow' of equities: BTC should inherit NQ momentum at the tick horizon.
- Construction
- NQ big day (|ret|>1%) → BTC catch-up post-close; desync filter.
- Test data
- 44 events over 180 days.
- Results
- Follow rate 48% (random). Desync filter WR=40% (worse than random). Tick sell% post-close 47–53% — no directional flow.
- Validation
- No edge on any slice.
- Root cause
- Crypto is not a 'shadow' of equities at the tick level — the correlation is macro-horizon only.
- Verdict
- Dead (tick version). A separate lag-flip version is a marginal backlog.
- Source
scripts/research/tradfi_tick_shadow.py · archive/CASCADE_TICK_BARS_RESEARCH.md
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