Research Article #28 - Turn of the Month in Bitcoin

A turn-of-the-month anomaly that produced over 1k% returns in Bitcoin.

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In today’s issue of Trading Research Hub we look at a strategy with the following historical performance:

• Total Unleveraged (%) Returns: 1,095%

• Win Rate: 53%

• Annualized Volatility: 32%

• Annualized Sharpe: 3.89

• Maximum Drawdown: -26%

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Introduction

Back in 1988, Lakonishok and Smidt reported a turn-of-the-month seasonality in equity returns.

They noticed that, on average, the four days at the turn-of-the-month, accounted for all of the positive returns on the Dow Jones from 1897-1986.

In more recent periods, the same pattern remains true where all the excess market return is accrued during the four-day turn-of-the-month-period.

This strategy is quite simple, yet it has very interesting results that I will be sharing in this article.

Let’s get into today’s article!

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Index

• Introduction

• Index

• Thesis for the Strategy

• Strategy Parameters

• Strategy Performance and Results

• Python Code Section

• Sponsor Of Today’s Article

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Thesis for the Strategy

There’s always multiple lines of thought for why some anomalies exist.

We never truly know why they exist, but we can make some assumptions to justify placing capital in a system.

There’s a strange pattern where stock prices tend to go up at the end of the month.

The pattern is not only seen in just smaller stocks, but also in bigger ones.