H-016: Turn of the month: BTC held only on the last 2 and first 3 days of each month
Fail Family: calendar · Status: rejected
Does the turn-of-the-month effect work for Bitcoin? The idea did not beat simply buying the coin and holding it. It is rejected.
Result
since_2018: 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 | since_2018 (2018-01-01 → 2026-10-13) | 0.53 | 0.65 | +10.3% | +22.8% | -44.4% | -81.2% | 16% | 0.134 | 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 | -0.32 / 0.48 | -8% / +12% | 2022-01-01 |
| ETH | ✗ | worse than holding | -0.55 / 0.20 | -15% / -9% | 2022-01-01 |
| SOL | ✗ | worse than holding | -0.13 / 0.35 | -10% / -10% | 2022-01-01 |
| BNB | ✗ | worse than holding | -0.40 / 0.42 | -10% / +8% | 2022-01-01 |
| XRP | ✗ | worse than holding | -0.01 / 0.51 | -5% / +10% | 2022-01-01 |
| ADA | ↑ | better than holding, could be luck | 0.29 / -0.01 | +4% / -32% | 2022-01-01 |
| LTC | ↑ | better than holding, could be luck | 0.24 / 0.11 | +3% / -18% | 2022-01-01 |
| LINK | ✗ | worse than holding | -0.26 / 0.30 | -14% / -10% | 2022-01-01 |
| DOGE | ✗ | worse than holding | -0.23 / 0.26 | -13% / -15% | 2022-01-01 |
| XLM | ✗ | worse than holding | -0.31 / 0.30 | -13% / -9% | 2022-01-01 |
| TRX | ✗ | worse than holding | 0.55 / 0.74 | +20% / +36% | 2022-01-01 |
| EVER | ↑ | better than holding, could be luck | 0.43 / -0.15 | +10% / -68% | 2022-03-19 |
| GRAM | ✗ | worse than holding | -0.06 / 0.13 | -6% / -17% | 2023-03-14 |
Why it might work
Month-end and month-start flows (salaries, fund rebalancing, DCA purchases) produce a turn-of-the-month effect in equities; several crypto studies and practitioner notes report a similar end-of-month pattern in Bitcoin. Test: Sharpe vs holding since 2018, permutation test. Source: https://valuelytica.substack.com/p/end-of-month-effect-in-bitcoin
Verdict history
- 2026-10-14: Fail (this engine, data to 2026-10-13)
Pre-registered specification
kind: timing_rule
rule:
type: turn_of_month
last: 2
first: 3
mode: long_flat
fee: 0.001
universe:
- BTCUSDT
periods:
- name: since_2018
start: '2018-01-01'
significance:
method: permutation
n: 2000
alpha: 0.05
criterion:
min_wins:
since_2018: 1
require_significance: true