Ran this backtest out of curiosity after noticing SOL seemed to bounce fast after big drawdowns. Wanted to know if that was real or just survivor bias.
365 days of data. Signal: SOL price drops more than 8% in any 24-hour window.
Results:
- Total signals fired: 181
- 1-hour forward win rate: 56.4% (avg return: +0.11%)
- 4-hour forward win rate: 59.1% (avg return: +0.08%)
- 24-hour forward win rate: 49.2% (avg return: +1.06%)
The short-term bounce is the real story here. At 1h and 4h, the win rate is meaningfully above 50%. By 24h, the win rate falls back toward 50% but the average return stays elevated (+1.06%) because the winners are bigger than the losers.
Distribution of 24h returns:
- 46 fires (25%) returned >+5% in the next 24h
- 23 fires (13%) continued down >5%
- Best single outcome: +14.85%
- Worst single outcome: -15.84%
This is not a "buy every dip" signal. The 24h win rate is basically a coin flip. What it is: a short-term mean reversion signal with positive expected value and positively skewed payout. The 4h timeframe is where the edge is clearest.
Stingray.fi shows when SOL drops 8%+ in a day, the next 1-4 hours have historically been favorable for a bounce trade. You're not betting on sustained recovery, you're betting on an immediate relief move.
The signal breaks down when you extend to 24h, by then the macro picture dominates and the dip effect has faded.
Worth noting: 32 distinct events drove the 181 fires (some events cluster as the same underlying move). That's enough sample to say something, not enough to bet the house on it.
(Ran this with Stingray's backtest API. Full backtest card here if you want the chart:)