Bitcoin Overnight Returns and a Weekday-Filtered 10-Day High Strategy

Summary

This study compares Bitcoin returns during a defined US daytime window with returns outside that window, using hourly Gemini data from 2015 through 2024. It splits results around the October 2021 launch of the BITO fund as a rough proxy for Bitcoin’s growing institutional access, while acknowledging that the cutoff is arbitrary. The analysis reports that much of Bitcoin’s strong movement occurred overnight, and that weekend and early-week overnight periods contributed materially to performance.

The proposed strategy buys Bitcoin at the New York close when it is at a local 10-day high, holds through the next open, and limits trades to Friday-to-Monday, Monday-to-Tuesday, and Tuesday-to-Wednesday sessions. The article reports weaker performance for the basic high breakout after the ETF period, while the filtered version is presented as retaining attractive returns and risk characteristics. Its evidence is historical backtesting on Gemini prices, not actual ETF prices; the text provides no forward validation and ties conclusions about institutionalization to a rough time split.

Key ideas

• The study defines the US daytime session as 10 a.m. to 4 p.m. Eastern and treats other hours as overnight.
• It reports that Bitcoin’s returns shifted toward overnight periods after the ETF proxy date.
• Returns were strongest in overnight periods spanning weekends and early weekdays, according to the analysis.
• The proposed setup buys at the close when Bitcoin reaches a local 10-day high and exits at the next open on selected days.
• The institutionalization cutoff is approximate, and the reported results come from historical Gemini data rather than traded ETF prices.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.