Methodology Note: Raw price movement after a headline is not proof of news impact, as 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)**.
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 (+) | 232 | +0.00% | -0.27% | -0.21% | %43 | 0.35σ | ||
| MARKET | Negative (−) | 193 | +0.03% | -0.05% | -0.28% | %44 | 0.52σ | ||
| ADOPTION | Positive (+) | 170 | -0.10% | -0.23% | -0.17% | %44 | 0.41σ | ||
| MARKET | Neutral (0) | 142 | -0.01% | -0.14% | -0.04% | %47 | 0.35σ | ||
| EARNINGS | Positive (+) | 137 | +0.07% | -0.14% | -0.06% | %45 | 0.31σ | ||
| TECH | Positive (+) | 135 | +0.01% | -0.18% | -0.19% | %44 | 0.31σ | ||
| PARTNERSHIP | Positive (+) | 77 | +0.02% | -0.03% | -0.23% | %40 | 0.23σ | ||
| TECH | Negative (−) | 48 | +0.01% | -0.13% | +0.02% | %52 | 0.42σ | ||
| EARNINGS | Negative (−) | 44 | -0.28% | -0.34% | -0.64% | %30 | 0.34σ | ||
| EARNINGS | Neutral (0) | 42 | -0.17% | -0.27% | -0.14% | %48 | 0.33σ | ||
| ETF | Positive (+) | 38 | +0.11% | +0.22% | -0.02% | %47 | 0.45σ | ||
| MACRO | Negative (−) | 35 | -0.08% | -0.10% | -0.24% | %43 | 0.46σ |
Recent Measured Catalyst Case Studies
| Asset | Category | Source | Headline | +1h Alpha | +4h Alpha | +24h Alpha | Volatility Z-Score |
|---|---|---|---|---|---|---|---|
| SOLUSDT | market | Cointelegraph | Solana treasury firm SkyAI sells all SOL holdings, launches $201M bu | +0.41% | +0.39% | +0.78% | 0.26σ |
| XRPUSDT | tech | Decrypt | XRP Ledger Repairs Its Lending Protocol Before It Goes Live | +0.11% | +0.10% | +1.55% | 0.54σ |
| BTCUSDT | market | yahoo_nvda | What Crypto Bear Market? All of These Cryptocurrencies Have Skyrocke | +0.03% | -0.35% | +1.01% | 0.60σ |
| BTCUSDT | adoption | yahoo_mstr | Michael Saylor Is Bullish on Bitcoin. Yet His Company's Money Is Goi | +0.03% | -0.35% | +1.01% | 0.60σ |
| STOCK:TSLA | other | yahoo_tsla | A bad case of when your crypto thesis is based on one guy | 0.00% | 0.00% | +1.20% | 0.24σ |
| STOCK:AMZN | market | yahoo_amzn | Sector Update: Energy Stocks Softer Late Afternoon | 0.00% | 0.00% | -0.19% | -0.06σ |
| STOCK:NVDA | other | yahoo_nvda | Why Lockheed Martin May Be an Underrated Stock to Buy Right Now | 0.00% | 0.00% | -0.60% | -0.15σ |
| STOCK:NVDA | market | yahoo_nvda | 3 Unstoppable Dow Stocks to Buy Before October Ends | 0.00% | 0.00% | -0.60% | -0.15σ |
| STOCK:AAPL | market | yahoo_aapl | Sector Update: Tech Stocks Rise Late Afternoon | 0.00% | 0.00% | -1.27% | -0.47σ |
| STOCK:AAPL | tech | Decrypt | Hackers Are Running Apple's iOS on Android Phones for the First Time | 0.00% | 0.00% | -1.27% | -0.47σ |
| STOCK:TSLA | market | yahoo_tsla | Musk's Tesla jumps 32 spots on the Roundtable 100 after 'flying car' | 0.00% | 0.00% | +1.21% | 0.24σ |
| STOCK:SPY | macro | MarketWatch | Why the Treasury’s financing plans are sparking anxiety on Wall Stre | 0.00% | 0.00% | +0.32% | 0.27σ |
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.
Inspect the live feed on News & Catalyst Intelligence and cross-market movers on Market Pulse.
Cross-market breadth tracking, news event-study attribution (+1h/+4h/+24h abnormal returns), and macro calendar intelligence.