Research Note 05

Reversal: Two Kinds of Mean Reversion, One Closed on Sight

The literature contains two unrelated strategies both called "reversal." Branch A (Dobrynskaya): buy coins that just crashed, hold 10–12 weeks, a bubble-and-burst pattern found on a roughly 2,000-coin CoinMarketCap sample, 2014–2020. Closed without replication: the paper has no delisting or survivorship treatment for exactly the loser leg most exposed to it, the sample predates Terra/Luna and FTX, and the diversified academic basket has no honest translation into a concentrated retail portfolio. Branch B (Bianchi, Babiak & Dickerson): a short-term, market-making-style reversal in low-volume pairs, rebalanced daily. Their own exchange breakdown shows the effect flips negative net-of-fees on Binance (−0.213%/day equal-weighted) but stays positive on GateIO (+0.811%/day net, equal-weighted). This branch is left open, pending the project's own replication on current Gate.io data and fee schedule.

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