A 28.68% range and a -5.32% hour at 20:00 UTC test a fixed daily loss limit
Should the desk cut per-trade size so one late-day hour like Thursday's cannot exhaust the daily loss limit, or keep size and accept that the limit ends re-entry for that day?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 19 April 2021, ETH rose 3.79%, from 2,235.65 to 2,320.49, across a 28.68% range with 146.9% annualised realised volatility, on 22.2bn USD of dollar volume, above its prior 12-week average. The best day was Tuesday at 7.82%, the worst was Saturday at -6.51%, and the largest hourly move was -5.32% at 20:00 UTC on Thursday, late in the day, after the week's high of 2,644.47 at 16:00 UTC. ETH beat BTC by 16.4 percentage points while the two moved with 0.9 hourly correlation. An illustrative intraday mean-reversion desk trades these swings under a fixed daily loss limit.
Judgment
The reversion premise held this week: the close sat in the middle third of the range and Tuesday gained 7.82%. The limit is still right, because the worst hour arrived at 20:00 UTC, late in the UTC day, when a single hit ends re-entry for the rest of that day. Keep the limit unchanged and cut per-trade size so a -5.32% hour consumes only a small share of it. Accept missing part of the late-day reversals that a stopped-out desk cannot reach.
What would change it
If the desk's own fills through the Thursday 20:00 UTC hour were completed near the reversal price with little slippage, size can be restored towards the previous level. If realised volatility near 146.9% persists for several further weeks, the size rule should be rewritten rather than the limit.
What sets this case apart
The tension is timing, not direction: the largest one-hour loss lands in the late UTC day, when the daily loss limit removes the desk from the market for the remaining hours.