PARTIAL · regime risk
Hypothesis
BTC’s beta to Nasdaq (NDX) spikes in risk-off shocks; using NDX futures overnight as a risk gate avoids gap-down sessions.
Math — conditional beta
$$ \beta_t = \frac{\mathrm{Cov}(r^{BTC},r^{NDX})}{\mathrm{Var}(r^{NDX})}\ \text{(rolling, regime-split)} $$
Method
Condition BTC exposure on overnight NDX-futures direction during US-correlated regimes; flat otherwise.
Results
| Beta in risk-off | high (~1+) |
| Beta in crypto-native regimes | ~0 |
| Gap-loss reduction (as gate) | modest |
Useful only as a risk-off gate during macro-correlated regimes — when BTC is trading as a tech-beta proxy, NDX overnight does help avoid gap-downs. In crypto-native regimes the beta is ~0 and the overlay is noise. Conditional, not constant.
Crypto’s macro beta is a switch, not a dial — near zero most of the time, near one in a shock. Use it only when the regime says it is on.