H-015: Monday effect: BTC held only on Mondays (UTC) beats buy-and-hold
Fail Family: calendar · Status: rejected
Is there a Monday effect in Bitcoin? The idea did not beat simply buying the coin and holding it. It is rejected.
Result
post_paper: wins 0/1 (need 1), beats buy-and-hold 0/1
| Asset | Period | Sharpe | Hold Sharpe | CAGR | Hold CAGR | Max drawdown | Hold drawdown | In market | p-value | Beats hold | Counts as win |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BTCUSDT | post_paper (2018-01-01 → 2026-10-13) | 0.25 | 0.65 | +3.3% | +22.8% | -49.6% | -81.2% | 14% | 0.081 | no | 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 | ✗ | worse than holding | 0.29 / 0.48 | +4% / +12% | 2022-01-01 |
| ETH | ✗ | worse than holding | 0.12 / 0.20 | -1% / -9% | 2022-01-01 |
| SOL | ✗ | worse than holding | -0.36 / 0.35 | -18% / -10% | 2022-01-01 |
| BNB | ✗ | worse than holding | -0.89 / 0.42 | -21% / +8% | 2022-01-01 |
| XRP | ✗ | worse than holding | 0.45 / 0.51 | +10% / +10% | 2022-01-01 |
| ADA | ✗ | worse than holding | -0.45 / -0.01 | -19% / -32% | 2022-01-01 |
| LTC | ✗ | worse than holding | -1.15 / 0.11 | -33% / -18% | 2022-01-01 |
| LINK | ✗ | worse than holding | 0.03 / 0.30 | -6% / -10% | 2022-01-01 |
| DOGE | ✗ | worse than holding | -0.38 / 0.26 | -19% / -15% | 2022-01-01 |
| XLM | ✗ | worse than holding | -0.45 / 0.30 | -17% / -9% | 2022-01-01 |
| TRX | ✗ | worse than holding | -1.31 / 0.74 | -25% / +36% | 2022-01-01 |
| EVER | ✗ | worse than holding | -1.07 / -0.15 | -50% / -68% | 2022-03-19 |
| GRAM | ✗ | worse than holding | -0.95 / 0.13 | -30% / -17% | 2023-03-14 |
Why it might work
Caporale & Plastun (2019, 'The day of the week effect in the cryptocurrency market') report significantly higher Bitcoin returns on Mondays in 2013-2017; Baur et al. also note a higher Monday return. Our 2018+ data is entirely after their sample. Test: Sharpe of a Monday-only position vs holding, permutation test. Source: https://quantpedia.com/the-day-of-the-week-effect-in-the-crypto-currency-market/
Verdict history
- 2026-10-14: Fail (this engine, data to 2026-10-13)
Pre-registered specification
kind: timing_rule
rule:
type: day_of_week
days:
- 0
mode: long_flat
fee: 0.001
universe:
- BTCUSDT
periods:
- name: post_paper
start: '2018-01-01'
significance:
method: permutation
n: 2000
alpha: 0.05
criterion:
min_wins:
post_paper: 1
require_significance: true