H-009: BTC long only when 5-day net spot-ETF flow is positive
Weak Family: flows · Status: weak
Do spot Bitcoin ETF flows help time the market? The idea did a bit better than simply buying and holding, but not by enough to rule out luck. Treat it as unproven.
Result
oos: wins 0/1 (need 1), beats buy-and-hold 1/1
| Asset | Period | Sharpe | Hold Sharpe | CAGR | Hold CAGR | Max drawdown | Hold drawdown | In market | p-value | Beats hold | Counts as win |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BTCUSDT | oos (2024-01-20 → 2026-10-13) | 0.89 | 0.77 | +28.2% | +28.8% | -34.4% | -53.0% | 62% | 0.174 | yes | no |
Equity curves
Growth of 1 unit, log scale, fees included. Only days on which the rule is fully defined are counted.
The same rule on every coin
Exploratory check of this rule on all coins since 2022-01-01. It is not part of the verdict above.
- ✓works (passed the chance check)
- ↑better than holding, could be luck
- ✗worse than holding
- ·not enough data
- original coin of the hypothesis
| Coin | ✓ | Result | Sharpe: rule / holding | CAGR | From |
|---|---|---|---|---|---|
| BTC | ↑ | better than holding, could be luck | 0.84 / 0.74 | +26% / +27% | 2024-01-20 |
| ETH | ↑ | better than holding, could be luck | 0.52 / 0.30 | +15% / -2% | 2024-01-20 |
| SOL | ✗ | worse than holding | 0.06 / 0.43 | -12% / +3% | 2024-01-20 |
| BNB | ↑ | better than holding, could be luck | 1.26 / 0.85 | +56% / +36% | 2024-01-20 |
| XRP | ✗ | worse than holding | 0.63 / 0.78 | +23% / +37% | 2024-01-20 |
| ADA | ✗ | worse than holding | -0.13 / 0.08 | -25% / -28% | 2024-01-20 |
| LTC | ✗ | worse than holding | 0.22 / 0.24 | -4% / -8% | 2024-01-20 |
| LINK | ✗ | worse than holding | 0.19 / 0.27 | -9% / -12% | 2024-01-20 |
| DOGE | ↑ | better than holding, could be luck | 0.46 / 0.44 | +7% / -1% | 2024-01-20 |
| XLM | ✗ | worse than holding | 0.35 / 0.58 | +0% / +15% | 2024-01-20 |
| TRX | ✗ | worse than holding | 0.66 / 0.83 | +32% / +49% | 2024-01-20 |
| EVER | ✗ | worse than holding | -1.15 / -0.26 | -82% / -79% | 2024-01-20 |
| GRAM | ↑ | better than holding, could be luck | 0.36 / 0.14 | +3% / -18% | 2024-01-20 |
Why it might work
ETF demand is the marginal buyer since 2024. Ported from F1MEBOT PREREG.md (H4).
Verdict history
- 2026-09-30: Weak (F1MEBOT (2026))
- 2026-10-14: Weak (this engine, data to 2026-10-13)
Pre-registered specification
kind: timing_rule
rule:
type: feature_threshold
feature: etf_flow_btc_5d
threshold: 0
long_when: above
lag: 1
mode: long_flat
fee: 0.001
universe:
- BTCUSDT
periods:
- name: oos
start: '2022-01-01'
significance:
method: circular_shift
n: 2000
alpha: 0.0125
criterion:
min_wins:
oos: 1
require_significance: true