A -44.60% day and a +24.51% rebound land inside one weekly rebalance
Should the fund run its scheduled weekly rebalance into the crash at full trend size, or cut the new position because one day's range exceeded what its sizing model assumes?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 9 March 2020, ETH fell 37.93% from 199.43 to 123.78, a loss ranked in the 0.0 percentile of 108 weeks of history. It lost 44.60% on Thursday, fell 20.87% in the 10:00 UTC hour, then gained 24.51% on Friday before closing in the lower third of the week's 142.58% range, 65.41% below its 52-week high. Dollar volume ran 2.84 times the prior 12-week average, realised volatility reached 331.30% annualised, and 8-hour funding hit -0.2818%. An illustrative trend fund rebalances once a week and was short going into this week.
Judgment
Do the rebalance on schedule; the lower-third close, the 65.41% distance from the high and ETH's 4.66-point underperformance of BTC all confirm the short signal rather than contradict it. But size the new position at a fraction of the normal risk budget, because a 331.30% annualised realised volatility and a 142.58% weekly range mean one day can exceed the position's loss allowance, as Thursday's -44.60% showed. Accept that Friday's +24.51% rebound will mark the position against its close, and accept larger slippage given the 2.84-times volume.
What would change it
If the following week closes above this week's open of 199.43, the trend signal is broken and the short should be lifted regardless of size. If realised volatility falls back towards pre-crush levels for several weeks, the position size can return to the normal budget.
What sets this case apart
The judgment is about sizing a rebalance that is already due, not about whether the trend is down or whether to react intraweek.