A 32.6% range week, still 78.91% below the 52-week high, tests a loss-limit re-entry
Should the fund buy back into ETH after a week that gained 11.02% and closed near its high, or keep exposure cut until a rule written before the loss was hit says otherwise?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 17 September 2018, ETH opened at 220.24, fell 10.93% on Monday to a low of 192.40, then gained 10.59% on Friday and closed at 244.50, near the week's high of 255.13. The range was 32.6% with annualised realised volatility of 111.2%. The prior four weeks included a 33.74% loss. An illustrative fund with a fixed loss limit had already cut its ETH exposure during that fall. ETH still sat 78.91% below its 52-week high.
Judgment
The fund should not restore full size on the strength of one rebound week. Realised volatility of 111.2% and a 32.6% range mean the next loss-limit trigger can be hit days after re-entry, and the position is still 78.91% below its 52-week high. Re-enter only by the rule written before the cut, and at a fraction of the prior size, sized so a repeat of Monday's 10.93% day does not trigger the limit again. Accept missing part of the rebound.
What would change it
If two consecutive weekly closes hold above 244.50 and realised volatility falls well below the week's 111.2%, restore full size and reset the limit. If the pre-written re-entry rule specifies a smaller fraction, follow that fraction instead of judgment.
What sets this case apart
The case is re-entry discipline after a forced cut, in a week where a 10.59% best day and a 10.93% worst day arrived inside seven days.