RESEARCH NOTE 25 October 2021
Executive Summary
Seasonality
25 October 2021
Seasonality in the U.S. Equity Markets
Seasonality in Bitcoin
25 October 2021
Bitcoin Since 2010
S&P 500 Since 2010
Mining Seasonality and Bitcoin
Seasonality in Altcoins
25 October 2021
Ethereum as a Proxy for the Altcoin Market
25 October 2021
Methodology
Mechanics of the Seasonal Effect in Ethereum
𝑟 = 𝛼 + 𝛽𝑆 + 𝜀
𝜀 =𝑟 −𝐸
[𝑟 ]
α β
α β
Disproportionate Network Effects
Linear (Money Flow) Example
25 October 2021
Network (User Flow) Example
A Back-tested Altcoin Rotation Strategy
25 October 2021
σ ρ β
α10
Conclusion
25 October 2021
25 October 2021