Do digital assets have Halloween effect?

Time:2020-3-21

Today is the annual Halloween in 2019. While entertaining, let’s take a look at the Halloween effect in digital assets.

Do digital assets have Halloween effect?

1) Halloween effect in traditional finance

In traditional finance, Halloween effect is a market timing strategy. Investors believe to buy shares in November, keep them during the winter and sell them in May.

Historical stock returns show that the S & P 500 index did outperform the other half of the time in the past half century, from the beginning of May to the end of October.

As shown in the figure below, in the past half century, Halloween effect has indeed provided investors with greater capital gains than other months of the year.

Do digital assets have Halloween effect?
Data source: Bloomberg

Many people believe that this is because investors in Europe and the United States will start planning holidays in May, and there will be a long holiday in summer, which will reduce market liquidity.

2) Strategy logic of Halloween effect

Since Halloween effect has been fully proved in traditional finance, let’s see if Halloween effect is equally effective in digital assets.

Investment philosophy:
In digital assets, we also believe that the market will rise from October to May every year.

Buying and selling logic:

  • Buy: on October 31 of each year, buy corresponding digital assets.
  • Sell: on May 1 of the next year, the corresponding digital assets will be sold out.

3) Halloween effect in digital assets

1) Analysis 1: bitcoin

Variables used:
Do digital assets have Halloween effect?

When we trade BTC with usdt in coin installation, we will buy the whole warehouse on Halloween in 2018 and clear the warehouse in May the next year.

The cumulative yield curve is as follows:
Do digital assets have Halloween effect?
Source: vitu.ai

The return result is not ideal, and the yield after annualisation is – 26.58%. At the same time, we can see in the position adjustment record that this in and out directly reduces 10000 usdts of the initial position to 8446.62 usdts.

Do digital assets have Halloween effect?
Source: vitu.ai

2) Analysis 2: Ethereum

Variables used:
Do digital assets have Halloween effect?

When we trade eth with usdt in coin installation, we will buy in Halloween in 2018 and clear out in May of the next year.

The cumulative yield curve is shown as the yellow line in the figure below:

Do digital assets have Halloween effect?
Source: vitu.ai

Although the annualized yield is higher than the market benchmark, this strategy still loses 33.16% in the back test, and nearly 2000 usdts are lost.

Do digital assets have Halloween effect?
Source: vitu.ai

3) Analysis 3: litecoin

Variables used:
Do digital assets have Halloween effect?

When we trade LTC with usdt in coin installation, we will buy the whole warehouse on Halloween in 2018 and clear the warehouse in May the next year.

The cumulative yield curve is shown as the yellow line in the figure below:
Do digital assets have Halloween effect?
Source: vitu.ai

Unexpectedly, it is reasonable that Wright coin is a positive income, and Halloween effect brings about an additional nearly 4000 usdts.

Do digital assets have Halloween effect?
Source: vitu.ai

But because I only used one year’s data, I can’t say that the Wright coin has 100% Halloween effect. We need more historical data and performance in more exchanges of VITU to verify this idea.

4) Analysis 4: Rupiah

Variables used:
Do digital assets have Halloween effect?

When we trade XRP in usdt of coin installation, we will buy in Halloween of 2018 and clear out in May of the next year.

The cumulative yield curve is shown as the yellow line in the figure below:

Do digital assets have Halloween effect?
Source: vitu.ai

The Swiss currency is also in a loss state with an annualized yield of – 54.07%. It can be clearly seen from the figure below that the price of entry in October 2081 is 0.45 XRP / usdt, and the price of departure in May 2019 is only 0.30 XRP / usdt.

Do digital assets have Halloween effect?
Source: vitu.ai

5) Analysis 5: Grapefruit coins

Variables used:
Do digital assets have Halloween effect?

When we trade EOS with usdt in coin installation, we buy the full warehouse on Halloween in 2018, and clear the warehouse in May the next year.

The cumulative yield curve is shown as the yellow line in the figure below:

Do digital assets have Halloween effect?
Source: vitu.ai

Grapefruit is also in a loss state, with an annualized yield of – 15.56%, but it has at least outperformed the market benchmark.

Do digital assets have Halloween effect?
Source: vitu.ai

Four) summary

We use five kinds of digital assets with active market value as trading targets to test back the Halloween effect in the past year on the exchange. Here is a summary.

Do digital assets have Halloween effect?
Source: vitu.ai

In general, bitcoin / Ethereum / Ripley / Grapefruit did not have the Hallowmas effect in the past year.

It is possible that the Wright coin is in line with the Halloween effect. We need more historical data and more exchanges to verify it, or let’s wait and see the Halloween effect in 2019-2020 in the future.

Want to explore more exchanges and digital assets by yourself? Do you need more data to validate your ideas? Arrive immediately
Https://vitu.ai/, clone the source code and start your research immediately.

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https://vitu.ai/community/top…

Do digital assets have Halloween effect?