Seasonality
Seasonal Weakness
A seasonality crypto strategy based on recurring patterns of relative market weakness. Seasonal effects can weaken, and returns vary over time.
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- 12-month return
- +65.1%
- Sharpe
- 2.70
- Max drawdown
- −3.6%
- Corr. to BTC
- −0.43
24 months: +126%
Annualised, monthly
Month-end
Beta −0.21
- 1M
- +3.0%
- 3M
- +11.4%
- 6M
- +35.9%
- 12M
- +65.1%
- 24M
- +126%
- Record
- 1 live · 1 mixed · 22 backtest months
Performance
Live Backtest · Through Oct 2026 · cumulative is on fixed capital (months add).
Performance and risk metrics
Last 24 months (Nov 2024 to Oct 2026), from monthly returns on fixed capital; risk-free rate 0%. Definitions.
Over this 24-month window, Seasonal Weakness returned +65.1% over 12 months and +125.7% over 24 months on fixed capital, with an annualised return of +62.9%, annualised volatility of 23.3%, Sharpe ratio of 2.70, and maximum month-end drawdown of −3.6% (22 active months, 82% positive).
Return and risk
- Annualised return
- +62.9%
- Annualised volatility
- 23.3%
- Sharpe ratio
- 2.70
- Sortino ratio
- >10
Mean monthly return × 12
Std. dev. of monthly returns × √12
Return per unit of total volatility
Return per unit of downside volatility
Drawdown
- Max drawdown
- −3.6%
- Calmar ratio
- >10
- Longest drawdown
- 1 month
- Worst month
- −3.6%
Largest fall from a month-end peak
Annualised return ÷ max drawdown
Month-ends spent below a prior peak
Best month +20.2%
Consistency and market exposure
- Positive months
- 82%
- Profit factor
- >10
- Correlation to BTC
- −0.43
- Beta to BTC
- −0.21
Of 22 months with trades
Sum of gains ÷ sum of losses
Monthly, vs Bitcoin buy and hold
Return change per 1% Bitcoin move
Live versus backtest
- Live or mixed months
- 2
- Live/mixed average month
- +4.76%
- Backtest average month
- +5.28%
Includes mixed backtest/live months
Mean of live and mixed months
Mean of earlier backtest months
2 live or mixed months are far too few to confirm or reject the backtest; this updates every month.
Month-end figures hide losses inside a month: open positions can be deeper underwater than any monthly number here. Studies recurring patterns in returns through the lens of calendar effects and market cycles.
Month by month
Newest first| Month | Seasonal Weakness | Bitcoin | Source |
|---|---|---|---|
| Oct 2026 | +3.04% | −7.24% | live |
| Sep 2026 | +6.47% | +6.40% | backtest + live |
| Aug 2026 | +1.88% | +24.96% | backtest |
| Jul 2026 | +4.86% | +7.26% | backtest |
| Jun 2026 | +17.93% | −20.43% | backtest |
| May 2026 | +1.73% | −3.48% | backtest |
| Apr 2026 | +2.98% | +11.82% | backtest |
| Mar 2026 | +5.56% | +1.95% | backtest |
| Feb 2026 | +5.65% | −14.95% | backtest |
| Jan 2026 | +2.42% | −10.16% | backtest |
| Dec 2025 | +1.08% | −3.00% | backtest |
| Nov 2025 | +11.53% | −17.56% | backtest |
Show 12 earlier months
| Month | Seasonal Weakness | Bitcoin | Source |
|---|---|---|---|
| Oct 2025 | +17.49% | −3.89% | backtest |
| Sep 2025 | −3.06% | +5.34% | backtest |
| Aug 2025 | +5.61% | −6.47% | backtest |
| Jul 2025 | +14.51% | +8.04% | backtest |
| Jun 2025 | −3.61% | +2.43% | backtest |
| May 2025 | +4.26% | +11.07% | backtest |
| Apr 2025 | −0.13% | +14.07% | backtest |
| Mar 2025 | +20.19% | −2.11% | backtest |
| Feb 2025 | +8.70% | −17.66% | backtest |
| Jan 2025 | −3.34% | +9.44% | backtest |
| Dec 2024 | 0.00% | −3.03% | backtest |
| Nov 2024 | 0.00% | +37.19% | backtest |
Research on seasonality markets
Studies of the same market area. They describe the market, not Seasonal Weakness’s rules.
- Data study · chartsBest time to trade crypto: volatility by hour and time zoneRead →
- Data studyBitcoin CME gap: does it always fill? Weekend data since 2019Read →
- Data studyUptober and crypto seasonality: Bitcoin by month and weekdayRead →
- Data studyCrypto liquidity and order book depth: a historical data auditRead →
Run Seasonal Weakness yourself
The rules, sizing and execution notes are shared with approved subscribers. Run it in your own account on a major crypto exchange.