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Canli Capital

Research

Crypto short-horizon reversal: two decisive negative trials

By , Canli Capital

Author: Arhan Canli, Founder and Quantitative Researcher, Canli Capital
Family key: crypto_short_horizon_reversal ยท System: ALPHAC / AlphaForge
Status: public research record; not peer reviewed; not an investment solicitation

Finding and boundary

Residual reversal asks whether short-horizon price dislocations mean-revert after removing common movement. Two charged identities tested a 24-hour signal and a 24/72-hour blend. Their immutable annualized Sharpe summaries are -2.1527 and -2.1140 over 1,574 observations. Both falsify the implemented direction net of its historical construction.

Short-term reversal has conventional-market precedent, including Lehmann's evidence on weekly return reversals (Journal of Finance), but venue microstructure, funding, liquidation, and continuous crypto trading make transfer unsafe. The blend and single horizon are one mechanism and cannot be counted as independent sleeves.

No full family curves, DSR, capacity, live execution, or Alpaca record are established, so no missing metric is reconstructed. Decision: FAIL / zero sleeves. Exact keys, hashes, configurations, and moments are public in crypto_reversal_family.json. The work was authored and directed by Arhan Canli; the negative result remains permanently charged to the union.