Methodology Note: Raw price movement after a headline is not proof of news impact—the broader market (BTC or S&P 500) may have moved at the same time. Evident subtracts the contemporaneous benchmark return over +1h, +4h, and +24h windows to isolate **abnormal return (
abn_1h,abn_4h,abn_24h) and divides by trailing 14-day realized volatility to compute the volatility-adjusted shock (z_24h)**.
1. Empirical Category × Sentiment Impact Matrix
| Category | Sentiment Bucket | Sample (n) | Mean +1h Alpha | Mean +4h Alpha | Median +24h Alpha | Positive Share | Mean Shock (` | z | `) |
|---|---|---|---|---|---|---|---|---|---|
| MARKET | Positive (+) | 197 | -0.01% | -0.31% | -0.09% | %46 | 0.37σ | ||
| MARKET | Negative (−) | 182 | +0.03% | -0.05% | -0.28% | %43 | 0.53σ | ||
| ADOPTION | Positive (+) | 145 | -0.11% | -0.23% | -0.21% | %42 | 0.42σ | ||
| EARNINGS | Positive (+) | 129 | +0.07% | -0.15% | -0.06% | %46 | 0.32σ | ||
| TECH | Positive (+) | 127 | +0.00% | -0.20% | -0.17% | %46 | 0.32σ | ||
| MARKET | Neutral (0) | 125 | -0.01% | -0.15% | -0.05% | %48 | 0.36σ | ||
| PARTNERSHIP | Positive (+) | 72 | +0.03% | -0.01% | -0.23% | %39 | 0.23σ | ||
| TECH | Negative (−) | 47 | +0.02% | -0.12% | +0.03% | %53 | 0.41σ | ||
| ETF | Positive (+) | 38 | +0.11% | +0.22% | -0.02% | %47 | 0.45σ | ||
| EARNINGS | Negative (−) | 37 | -0.36% | -0.45% | -0.67% | %30 | 0.34σ | ||
| MACRO | Negative (−) | 35 | -0.08% | -0.10% | -0.24% | %43 | 0.46σ | ||
| HACK | Negative (−) | 32 | -0.01% | -0.02% | +0.22% | %59 | 0.49σ |
2. Recent Measured Catalyst Case Studies
| Asset | Category | Source | Headline | +1h Alpha | +4h Alpha | +24h Alpha | Volatility Z-Score |
|---|---|---|---|---|---|---|---|
| BTCUSDT | market | CryptoSlate | CryptoQuant CEO sees $30,000 Bitcoin floor even if ETFs and treasury | -0.54% | -1.10% | +0.76% | 0.45σ |
| BTCUSDT | other | yahoo_nvda | As Bitcoin Matures, Altcoins Face a Reckoning. Here's Which Ones Hav | -0.04% | -1.21% | +0.40% | 0.23σ |
| BTCUSDT | market | Investing.com | Bitcoin struggles above $80K as whale transfers signal mixed outlook | -0.05% | +0.45% | +1.37% | 0.80σ |
| BTCUSDT | regulation | yahoo_coin | Coinbase Global (COIN) Wins SEC Backing For Binaries And Flags Bitco | +0.27% | +0.65% | +0.10% | 0.06σ |
| XRPUSDT | regulation | yahoo_coin | Coinbase Global (COIN) Wins SEC Backing For Binaries And Flags Bitco | +0.13% | +0.18% | -1.03% | -0.37σ |
| ETHUSDT | market | yahoo_nvda | Ethereum Dramatically Outperformed the S&P 500 in Q3. Is It Finally | +0.00% | -0.75% | -1.60% | -0.68σ |
| ETHUSDT | tech | CryptoSlate | Ethereum sets October 26 for Hoodi’s 200 million gas test | +0.01% | -0.98% | -1.52% | -0.65σ |
| BTCUSDT | tech | Decrypt | Crypto Firms Launch Quantum Alliance as 6 Million Bitcoin Sit Expose | +0.14% | +0.48% | -0.22% | -0.13σ |
| BTCUSDT | other | yahoo_coin | Who Really Owns the Bitcoin Inside BlackRock’s ETF? | +0.14% | +0.48% | -0.22% | -0.13σ |
| BTCUSDT | market | yahoo_mstr | Hyperliquid, Monero or Bitcoin: Which Could Hit a New All Time High | -0.28% | -0.10% | -0.59% | -0.35σ |
| HYPEUSDT | market | yahoo_mstr | Hyperliquid, Monero or Bitcoin: Which Could Hit a New All Time High | -0.43% | -0.07% | -1.46% | -0.50σ |
| SOLUSDT | tech | Cointelegraph | Solana shows resilience, but some areas need continued observation, | +0.09% | -0.39% | -0.43% | -0.15σ |
3. Practical Takeaways for Systematic Traders
- Impulse vs. Drift: Compare
Mean +1h AlphaagainstMedian +24h Alpha. Categories where +24h exceeds +1h exhibit genuine post-announcement drift; categories where +24h reverts toward zero are prone to headline overreaction. - **Volatility Scaling (
|z| > 2.0σ):** High|z|categories systematically sweep tight fixed-percentage stops. Use ATR Risk sizing during scheduled macro or regulatory windows.
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