Seasonal · Turn-of-the-month seasonality
BTC Turn-of-Month · 1D
Turn-of-the-month seasonality on BTC/USD CFDs, evaluated on completed 1D bars and executed at live bid/ask.
Annual return−0.8%Backtest
Max drawdown−14.5%Volatility 5.3%
Sharpe-0.13Trades 63
Since go-live—awaiting first trade
Backtest on real market data
Annual return−0.8%
Max drawdown−14.5%
Sharpe-0.13
Trades63
Winning trades54%
Time in market16%
Backtest on real historical prices from Jun 13, 2021 to Oct 3, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Binance)
Methodology
- Long from 2 calendar day(s) before month end until day 3 of the new month; flat otherwise.
- Long-only: short signals mean the position is flat.
- Position size targets 12% annualised volatility (risk level 3/5), capped at 1:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | -0.3 | -0.2 | -0.6 | 2.1 | 2.1 | -0.3 | -2.9 | -0.1% | |||||
| 2022 | 0.1 | 4.6 | -2.7 | -0.1 | 1.0 | -1.3 | -0.1 | -0.2 | -0.3 | 0.8 | 1.6 | -0.2 | 3.1% |
| 2023 | 0.7 | -0.2 | -0.6 | -0.3 | -0.9 | -0.2 | 0.2 | -2.1 | -0.2 | 1.2 | 0.2 | 3.2 | 1.0% |
| 2024 | 1.0 | -0.6 | 3.1 | -1.8 | 0.7 | 1.7 | -3.2 | -3.1 | -1.1 | -1.3 | -1.4 | 0.7 | -5.4% |
| 2025 | 0.5 | -1.4 | 1.0 | 0.3 | 0.1 | -0.4 | -0.6 | -0.6 | 0.7 | 3.2 | -2.8 | 0.2 | 0.0% |
| 2026 | -0.9 | -2.0 | 2.0 | -0.1 | 1.1 | -5.9 | 1.5 | 0.9 | 0.4 | 0.3 | -2.9% |