Crypto-Statistics

In the last issue of Seasonal Insights I have discussed how the S&P 500 Index performs on individual days of the week. In this issue I will show an analysis of the average cumulative annual returns of bitcoin on individual days of the week.

 

Bitcoin, daily. While this is beside the point, we note the crypto-currency (and other “alt coins” as well) has minor performance issues lately. The white line indicates important lateral support, but this looks to us like it could be the beginning of a higher degree correction, mainly because it so far proceeds with greater verve than previous corrections over the past year. Besides, the recent rally in this trading sardine seems rather stretched, and the term stretched by itself actually sounds  a bit inadequate as a descriptor. It needs an adverb… insanely might do. [PT] – click to enlarge.

 

It seems to me that bitcoin is particularly interesting for this type of study: it exhibits spectacular price gains, its is a very new instrument and it is unregulated. Moreover, it trades around the clock, even on weekends.

Given this setup, I found myself wondering: do prices rise uniformly? And does their performance on weekends differ from that on workdays?

 

Bitcoin: the Action Mainly Takes Place at the Beginning of the Week

The first chart below shows the annualized performance of bitcoin since 2011 in black, as well as the cumulative annualized performance on individual days of the week in blue.

Note: due to the extent of the rally to date, the compounding effect is particularly strong; the average cumulative returns achieved on individual days of the week therefore don’t add up linearly to the total annualized return of bitcoin. I have inserted a break in the black column and the scale of the y-axis in order to improve the clarity of the chart.

 

Bitcoin,  performance by individual days of the week, 2011 to 2017.  On Fridays and Saturdays the average gain in bitcoin was negligible.

 

As the chart shows, the beginning of the week is standing out quite noticeably: if one had invested exclusively on Mondays, an annual return of 39.30 percent would have been attained. The cumulative gain achieved on Tuesdays was even stronger at 59.68 percent.

By contrast, the average return of 0.56% achieved on Friday was essentially irrelevant. In short, even in bitcoin there were days of the week which on average generated almost no gain.  Moreover, Saturdays, and by the standards of bitcoin also Sundays and Wednesdays, were rather boring days as well.

The difference in the average annual returns achieved on individual days of the week –  measured over no less than 2,333 trading days – is quite significant. This suggests that it is highly unlikely to be a random pattern.

Next we will take a look at the evolution of these trends over time in detail.

 

The Days of the Week Under the Microscope

The next chart shows the performance of bitcoin since 2011 in black, as well as the cumulative return achieved on every individual day of the week in other colors –  indexed to 100.

 

Bitcoin, cumulative returns by day of the week, 2011 – 2017, indexed.  Tuesday is the clear winner – click to enlarge.

 

As the chart shows, Tuesday (yellow line) was well ahead of the pack from the very beginning. By contrast, Monday initially performed poorly, but later caught up rapidly, especially after 2012. Fridays and Saturdays were boring days for bitcoin traders throughout the entire period.

 

What Causes Bitcoin to Rally at the Beginning of the Week?

The results of this study underscore that even a very young market that has experienced extraordinary price gains (for which normally a great many trading days should be required), exhibits very conspicuous statistical anomalies.

How can these anomalies be explained? My theory is that many people interested in bitcoin arrive at the decision to make a purchase over weekends. These decisions are then implemented at the beginning of the week. The first purchases are made on Mondays. On Tuesdays those who were waiting for confirmation from rising prices follow suit and buy as well. Thereafter the action tails off until the beginning of the next week.

 

The Case of Bitcoin Highlights that Exploitable Market Discrepancies Exist

What do the statistical anomalies in bitcoin tell us generally about investing in financial markets?

Contrary to what some theories assert, efficient markets do not exist in the real world. Human habits, regulations or manipulation can result in recurring disparities in price patterns. Statistical oddities such as those in bitcoin discussed above and many other such patterns can be quickly found with the help of the Seasonax app on Bloomberg or Thomson-Reuters systems; they exist in stock markets, currencies and commodities as well. Don’t let the apostles of the efficient market hypothesis keep you from taking advantage of them.

 

Charts by: Cryptowatch, Seasonax

 

Image captions by PT where indicated

 

Dimitri Speck specializes in pattern recognition and trading systems development. He is the founder of Seasonax, the company which created the Seasonax app for the Bloomberg and Thomson-Reuters systems. He also publishes the website www.SeasonalCharts.com, which features selected seasonal charts for interested investors free of charge. In his book The Gold Cartel (published by Palgrave Macmillan), Dimitri provides a unique perspective on the history of gold price manipulation, government intervention in markets and the vast credit excesses of recent decades. His ground-breaking work on intraday patterns in gold prices was inter alia used by financial supervisors to gather evidence on the manipulation of the now defunct gold and silver fix method in London. His Stay-C commodities trading strategy won several awards in Europe; it was the best-performing quantitative commodities fund ever listed on a German exchange. For detailed information on the Seasonax app click here (n.b., subscriptions through Acting Man qualify for a special discount).

 

 

 

Emigrate While You Can... Learn More

 


 

 
 

Dear Readers!

You may have noticed that our so-called “semiannual” funding drive, which started sometime in the summer if memory serves, has seamlessly segued into the winter. In fact, the year is almost over! We assure you this is not merely evidence of our chutzpa; rather, it is indicative of the fact that ad income still needs to be supplemented in order to support upkeep of the site. Naturally, the traditional benefits that can be spontaneously triggered by donations to this site remain operative regardless of the season - ranging from a boost to general well-being/happiness (inter alia featuring improved sleep & appetite), children including you in their songs, up to the likely allotment of privileges in the afterlife, etc., etc., but the Christmas season is probably an especially propitious time to cross our palms with silver. A special thank you to all readers who have already chipped in, your generosity is greatly appreciated. Regardless of that, we are honored by everybody's readership and hope we have managed to add a little value to your life.

   

Bitcoin address: 12vB2LeWQNjWh59tyfWw23ySqJ9kTfJifA

   
 

Your comment:

You must be logged in to post a comment.

Most read in the last 20 days:

  • Punch-Drunk Investors & Extinct Bears, Part 1
      The Mother of All Blow-Offs We didn't really plan on writing about investor sentiment again so soon, but last week a few articles in the financial press caught our eye and after reviewing the data, we thought it would be a good idea to post a brief update. When positioning and sentiment reach levels that were never seen before after the market has gone through a blow-off move for more than a year, it may well be that it means something for once.   Sloshed as we are...   a...
  • Why You Should Embrace the Twilight of the Debt Bubble Age
      Onward Toward Default People are hard to please these days.  Clients, customers, and cohorts – the whole lot.  They’re quick to point out your faults and flaws, even if they’re guilty of the same derelictions.   The age-old art of assigning blame – in this case complemented by firm knowledge of the proper way to prosperity (see lower right corner). Jack Lew not only sees the future with perfect clarity these days, he also seems to have spent his time as treasury...
  • Quantum Change in Gold Demand Continues - Precious Metals Supply-Demand Report
      Fundamental Developments In this New Year’s holiday shortened week, the price of gold moved up again, another $16 and silver another 29 cents. Or we should rather say the dollar moved down 0.03mg gold and 0.03 grams silver. It will make those who borrow to short the dollar happy...   Let’s take a look at the only true picture of the supply and demand fundamentals for the metals. But first, here are the charts of the prices of gold and silver, and the gold-silver...
  • As the Controlled Inflation Scheme Rolls On
      Controlled Inflation American consumers are not only feeling good.  They are feeling great. They are borrowing money – and spending it – like tomorrow will never come.   After an extended period of indulging in excessive moderation (left), the US consumer makes his innermost wishes known (right). [PT]   On Monday the Federal Reserve released its latest report of consumer credit outstanding.  According to the Fed’s bean counters, U.S. consumers racked...
  • Punch-Drunk Investors & Extinct Bears, Part 2
      Rydex Ratios Go Bonkers, Bears Are Dying Off For many years we have heard that the poor polar bears were in danger of dying out due to global warming. A fake photograph of one of the magnificent creatures drifting aimlessly in the ocean on a break-away ice floe was reproduced thousands of times all over the internet. In the meantime it has turned out that polar bears are doing so well, they are considered a quite dangerous plague in some regions in Alaska. Alas, there is one species of...
  • 2018: The Weakest Year in the Presidential Election Cycle Has Begun
      The Vote Buying Mirror Our readers are probably aware of the influence the US election cycle has on the stock market. After Donald Trump was elected president, a particularly strong rally in stock prices ensued.  Contrary to what many market participants seem to believe, trends in the stock market depend only to a negligible extent on whether a Republican or a Democrat wins the presidency. The market was e.g. just as strong under Democratic president Bill Clinton as it was under...
  • Cryptonite
      The Wingsuit Test of 1912 Late last year press reports informed us that by October, the number of active accounts at US cryptocurrency exchange Coinbase* had exceeded the number of accounts at Charles Schwab, one of the oldest US discount brokers, by 1.1 million. The report was dated November 27, by which time the number of accounts had just soared by another 1.6 million. We felt reminded of the final few weeks of China's stock market bubble, which saw similarly stunning growth in retail...
  • Cryptonite 2
      Relative Scarcity and Bubble Dynamics There is widespread awareness about the relative scarcity of BTC compared to the ever-expanding fiat money supply, but it seems to us that the dynamics underlying their relationship are largely ignored. The scarcity argument underpins a lot of speculative activity in BTC and other cryptocurrencies – hence ignoring the related dynamics is probably not a very good idea.   One of the features of bitcoin people find enticing  - by no...

Support Acting Man

Top10BestPro
j9TJzzN

Austrian Theory and Investment

Archive

350x200

THE GOLD CARTEL: Government Intervention on Gold, the Mega Bubble in Paper and What This Means for Your Future

Realtime Charts

 

Gold in USD:

[Most Recent Quotes from www.kitco.com]

 


 

Gold in EUR:

[Most Recent Quotes from www.kitco.com]

 


 

Silver in USD:

[Most Recent Quotes from www.kitco.com]

 


 

Platinum in USD:

[Most Recent Quotes from www.kitco.com]

 


 

USD - Index:

[Most Recent USD from www.kitco.com]

 

 
Buy Silver Now!
 
Buy Gold Now!
 

Oilprice.com