Seasonality

Seasonality crypto strategies

Studies recurring patterns in returns through the lens of calendar effects and market cycles. Compare 24-month fixed-capital returns, drawdowns and Bitcoin correlation across 5 systematic seasonality strategies.

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In category: 5
Median Sharpe: 1.95
Median corr. to BTC: −0.22
Related research: 7

Seasonality strategy comparison

Click a column to sort. Returns are sums of monthly returns on fixed capital; Bitcoin compounds.

Seasonality strategy return leaderboard, 2024-11–2026-10; trailing periods up to 24 months. Strategy returns use fixed capital, non-compounded; Bitcoin compounds. Returns and month-end drawdowns are percentages.
Strategy	1M	3M	12M	24M	Sharpe	Max DD	Corr. BTC
Seasonal StrengthSeasonality	−1.6%	+37.2%	+73.7%	+178%	2.10	−13.8%	0.39
Seasonal WeaknessSeasonality	+3.0%	+11.4%	+65.1%	+126%	2.70	−3.6%	−0.43
Seasonal DriftSeasonality	+6.9%	+1.2%	+46.5%	+76.0%	1.76	−9.8%	−0.55
Calendar EffectSeasonality	+2.2%	+6.0%	+23.1%	+37.4%	1.95	−6.8%	−0.09
Cycle RhythmSeasonality	−0.5%	+1.5%	+13.4%	+44.9%	1.53	−3.1%	−0.22
BitcoinBuy and hold benchmark	−7.2%	+23.3%	−29.2%	+10.2%	0.32	−49.3%	1.00