Five straight up weeks meet a 20.19% range, forcing a rebalance between trend and volatility sizing
Should the fund keep its ETH trend exposure at last week's size after a fifth consecutive up week, or cut it to match the 92.7% annualised realised volatility?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 27 May 2019, ETH rose 1.71% to close at 268.88, its fifth consecutive up week; the four prior weeks returned 3.29%, 15.37%, 37.99% and 1.96%. Intraday it ranged 20.19%, from a Thursday high of 288.62 at 16:00 UTC to a low of 240.14 at 21:00 UTC, with a largest one-hour move of -5.4% and a worst day of -5.34%, followed by a best day of +5.23% on Friday. Volume ran 1.86 times the prior 12-week average and realised volatility reached 92.7% annualised. The close sat in the middle third of the range, 56.91% below the 52-week high. A systematic trend fund rebalances today on that close.
Judgment
The trend signal is intact but faint: a fifth straight up week produced only 1.71% while realised volatility reached 92.7% annualised and Thursday alone spanned from 288.62 to 240.14. Keep the long direction, but set this week's size from the current realised volatility rather than carry forward last week's larger allocation. Accept the cost of trimming here — a smaller position if the rally resumes — because sizing unchanged through a 20.19% range would let one late-UTC hour reverse a month of trend gains at full size.
What would change it
If realised volatility falls back for several weeks and price closes above the week high of 288.62, the prior larger size can be restored. A weekly close below 240.14, after five consecutive up weeks, removes the trend premise and the exposure itself.
What sets this case apart
A rising fifth week can still demand a smaller position; the binding constraint is volatility per unit of trend, not the sign of the return.