Five up weeks in a 97.5% vol regime: sizing a weekly trend add on ETH
Should the fund raise its ETH weight in line with a fifth consecutive up week, or cap the increase so a repeat of Tuesday's -5.64% hour stays inside its loss limit?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 30 April 2018, ETH rose 14.97% from 690.85 to 794.30, its fifth straight weekly gain (prior four weeks: 5.76%, 33.34%, 16.30%, 11.31%), closing in the upper third of a 33.85% range on volume 1.53 times its prior 12-week average. It still sat 31.47% below its 52-week high, realised volatility ran 97.5% annualised, and Tuesday opened with a -5.64% hour that took ETH to its weekly low of 627.58 before Sunday's 839.99 high. ETH beat BTC by 12.40 percentage points, with 0.85 hourly correlation.
Judgment
The trend signal is genuine and unambiguous: five up weeks, a close near the top of the range, and volume above average. Act on it, but size the new weight from the 97.5% annualised volatility and the 33.85% range rather than from the 14.97% gain, so that a repeat of the -5.64% opening hour and a slide towards the 627.58 low stay within the loss limit. Accept a smaller position and the upside it forgoes; the streak is only five weeks deep in eleven weeks of history.
What would change it
A weekly close below the week's open of 690.85 would break the up-week streak and return the weight to its prior level. If realised volatility falls materially below 97.5% while the close stays in the upper third, the cap can be relaxed.
What sets this case apart
The tension is between a clean, still-young trend signal and a volatility level that makes the full-signal position untradeable within a fixed loss limit.