Qp Intraday Seasonality Bitcoin

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

n/a

not a factor universe

Gate 2

Placebo ≥ P95

not run

Eliminated here

Gate 3

Cost-aware net

RF -0.98

net-negative after costs

Failed

Worst 12-month leg (RF)-1.00

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Rejected at the cost gate — the net edge turns negative once modelled costs are applied.

This rule bets that Bitcoin returns cluster in particular hours of the day, taking positions timed to a recurring time-of-day pattern rather than any price or fundamental signal.

What we found

The hour-of-day pattern does not survive realistic trading costs. Once crypto taker fees are applied, the rule fails our screen gate outright, with a risk-adjusted RF of -0.98 and a worst-year RF of -1.0. There is no robust net-of-cost time-of-day edge here — the apparent seasonality is not strong enough to clear the fees paid to trade it, and it did not advance to placebo testing.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

Tested on crypto (Binance) data, with realistic modelled costs including taker fees and spread.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Intraday seasonality in Bitcoin (QuantPedia)
Read the paper ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.