A 15.00% Friday reversal hour at 19:00 UTC tests a fixed daily loss limit
Should the desk buy ETH's 15.00% reversal hour at full mean-reversion size, or cut size so a repeat hour cannot breach its daily loss limit before the session resets?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 3 December 2018, ETH fell 20.04%, from 116.63 to 93.26, inside a 42.51% range, with realised volatility at 172.4% annualised. On Friday, price set a low of 82.07 at 17:00 UTC, then rose 15.00% in the hour starting 19:00 UTC. Thursday was the worst day at -11.42%. Three of the prior four weeks were down, ETH was 91.95% below its 52-week high, volume ran 0.82 times its prior 12-week average, and ETH trailed BTC by 5.25 percentage points, its ratio falling 6.16%. An illustrative intraday mean-reversion desk trades with a fixed daily loss limit.
Judgment
Halve the normal size and restrict entries to before 16:00 UTC, so a position can be flattened inside the same daily limit window. A 15.00% hour two hours after an 82.07 low signals forced liquidation, not ordinary reversal; a repeat at 19:00 UTC would accrue losses past the limit before it resets. Keep a BTC leg as hedge, but widen it, since ETH lost 5.25 percentage points more and its ratio fell 6.16%. Accept missing Sunday's 3.18% best day.
What would change it
If ETH's largest hourly move drops well below 15.00% for several weeks while volume recovers towards its 12-week average and the close moves back above the range midpoint, full size and late-UTC sessions can be restored. If the desk can reset its limit intraday, the timing restriction can be lifted.
What sets this case apart
The loss limit is fixed per day, so the decisive fact is when in the UTC session the extreme hour arrives, not the size of the weekly decline.