OPEN-SOURCE SCRIPT
Customizable BTC Seasonality Strategy

This strategy leverages intraday seasonality effects in Bitcoin, specifically targeting hours of statistically significant returns during periods when traditional financial markets are closed. Padysak and Vojtko (2022) demonstrate that Bitcoin exhibits higher-than-average returns from 21:00 UTC to 23:00 UTC, a period in which all major global exchanges, such as the New York Stock Exchange (NYSE), Tokyo Stock Exchange, and London Stock Exchange, are closed. The absence of competing trading activity from traditional markets during these hours appears to contribute to these statistically significant returns.
The strategy proceeds as follows:
Entry Time: A long position in Bitcoin is opened at a user-specified time, which defaults to 21:00 UTC, aligning with the beginning of the identified high-return window.
Holding Period: The position is held for two hours, capturing the positive returns typically observed during this period.
Exit Time: The position is closed at a user-defined time, defaulting to 23:00 UTC, allowing the strategy to exit as the favorable period concludes.
This simple seasonality strategy aims to achieve a 33% annualized return with a notably reduced volatility of 20.93% and maximum drawdown of -22.45%. The results suggest that investing only during these high-return hours is more stable and less risky than a passive holding strategy (Padysak & Vojtko, 2022).
References
Padysak, M., & Vojtko, R. (2022). Seasonality, Trend-following, and Mean reversion in Bitcoin.
The strategy proceeds as follows:
Entry Time: A long position in Bitcoin is opened at a user-specified time, which defaults to 21:00 UTC, aligning with the beginning of the identified high-return window.
Holding Period: The position is held for two hours, capturing the positive returns typically observed during this period.
Exit Time: The position is closed at a user-defined time, defaulting to 23:00 UTC, allowing the strategy to exit as the favorable period concludes.
This simple seasonality strategy aims to achieve a 33% annualized return with a notably reduced volatility of 20.93% and maximum drawdown of -22.45%. The results suggest that investing only during these high-return hours is more stable and less risky than a passive holding strategy (Padysak & Vojtko, 2022).
References
Padysak, M., & Vojtko, R. (2022). Seasonality, Trend-following, and Mean reversion in Bitcoin.
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Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.
Skrip sumber terbuka
Dalam semangat sebenar TradingView, pencipta skrip ini telah menjadikannya sumber terbuka supaya pedagang dapat menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupun anda boleh menggunakannya secara percuma, ingat bahawa menerbitkan semula kod ini adalah tertakluk kepada Peraturan Dalaman kami.
Penafian
Maklumat dan penerbitan adalah tidak dimaksudkan untuk menjadi, dan tidak membentuk, nasihat untuk kewangan, pelaburan, perdagangan dan jenis-jenis lain atau cadangan yang dibekalkan atau disahkan oleh TradingView. Baca dengan lebih lanjut di Terma Penggunaan.