I'd like to share an old strategy of mine that exploits the intraday seasonality of bitcoin price. On a naive level, in May 2017 it seemed that while USA was bearish on Bitcoin, the asian market was booming. Which meant that every day we in the United States saw prices go down, and every morning you would wake up to slightly higher exchange rates. I wrote a simple program that learned to exploit this timezone difference.
This is bitcoin price over the month of May. Notice how the model's confidence is high on the uptrend, while the volatility on the downward trend looks much worse. Still, the model shows an overall positive trend even towards the end of May. Which we all know turned out to be the truth - bitcoin went from $2700 in May to $5000 in September.
This is the same model trained on a smaller data subset. Notice how it exhibits the same patterns. On this picture, one square corresponds to a 24 hour period. Try to look at this picture and see if you can find a repeating trend within each day.
I've looked at two different time periods for the model: May 17th - May 31st, and May 25th - May 31st. The goal was to figure out how stable my insight was with respect to both a growing and a shrinking market.
And indeed, my intuition was correct! In may, if you bought and sold bitcoin twice a day, every 12 hours at a specific time, you would make an additional 25% profit compared to simply holding BTC.
This trend is confirmed in the bear market as well: two trades a day at the same hours, and with the same frequency, would make you earn 15% returns instead of losing 12%.
A keen reader would, naturally, inquire about fees. After all, the trades on exchanges are not free, and there have been numerous cases when someone presents a working strategy that fails to work in the real world. But because this strategy is so simple commissions barely hurt us.
Even with a high fee of 0.5% you still end up making more money than simply buying and holding bitcoin. And all you need to do is make two trades a day, which takes about 30 minutes of your time. I don't know about you, but I think that working 4 hours a week and making an extra 25-30% returns sounds pretty good to me.
This September a casual observation suggests that the tides have turned, and it's the americans pumping bitcoin (and other crypto) and Asia dumping it. What do you guys think are the optimal hours for this strategy today? Let me know in the comments.