A loss-limit cut meets a Sunday rebound that came after the week's low
Should the fund buy back on Sunday's 3.87% rebound after its loss limit forced the cut, or stay out until the weekly close — and should the cut also apply to its ETH leg given a 0.90 hourly correlation?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 19 November 2018, BTC fell 27.84%, from 5,661.94 to 4,085.78, the worst week in 40 weeks of history (0.0 return percentile), after four straight down weeks including -12.23%. Monday lost 13.28%; the largest 1-hour move, -6.13%, began Saturday 21:00 UTC; the low of 3,652.66 came Sunday at 10:00 UTC, and the week's best day, +3.87%, was that same Sunday. Volume was 1.8x the prior 12-week average and the close sat in the lower third of the range. An illustrative fund hit its fixed loss limit and cut exposure. ETH fell more, its ratio to BTC down 8.15%.
Judgment
Keep the exposure cut through the weekly close and do not rebuy on Sunday's gain. That gain came after the week's low of 3,652.66 and after the -6.13% hour, and the close sat in the lower third of the week's 55.07% range. The cut must cover the ETH leg too: the pair's hourly correlation of 0.90 and ETH's larger weekly move mean the second leg is not a cushion. Re-enter only by a rule written before Monday, in fixed fractions after a weekly close back above the 5,661.94 open.
What would change it
If a weekly close recovers above 5,661.94, the loss limit can be reset and full size restored. If the fund's written rule already fixes re-entry at a stated share of the fall, follow it rather than judgment. If hourly BTC-ETH correlation falls well below 0.90 for several weeks, the two legs can be cut separately.
What sets this case apart
The cut is a portfolio question, not a price question: the alternative leg fell further than the one being sold, so the discipline has to apply to both.