Stablecoin inflows and Bitcoin: a modest, recent effect
When total stablecoin supply jumps, Bitcoin tends to do slightly better over the following week. Since 2021 the effect is 1.6 to 2.3 percentage points and shows up in three data sources. Before 2021 it was a data artefact, and the simple rule did not beat holding Bitcoin.
Key findings
- The signal: total stablecoin supply rises by more than on 90% of the previous year’s days. Buy Bitcoin the next day and hold for 7 days.
- Since 2021, signal days were followed by 1.6 to 2.3 percentage points more Bitcoin return over 7 days than other days, in three versions of the data (t between 1.9 and 2.5). Adding past 1-, 7- and 30-day returns as controls barely changes it, so it is not dip buying in disguise.
- Before 2021 the effect was a data artefact. The aggregator’s total jumped whenever it added a stablecoin to its coverage: 56 days with a “change” of more than ±3%, up to +47% in one day. With those jumps cleaned out, the 2018–2020 strategy fell from +40.2% a year to +0.9%.
- The plain 7-day rule did not beat holding Bitcoin over its full history: 27.7% a year (Sharpe 0.83) against 43.5% (Sharpe 0.90) from May 2019, with a smaller drawdown (−62% against −77%). Its advantage is concentrated in 2023–2026.
- There is no untouched hold-out for this signal. It now runs on an exchange demo account, and that is its first real out-of-sample test.
The idea
New stablecoins are minted when someone deposits dollars, and the most common reason to hold stablecoins is to buy crypto with them. A sharp rise in the total supply of stablecoins could therefore be “dry powder” that reaches Bitcoin within days. In the first round of research, a 30-day stablecoin-supply filter was also the only macro filter that helped in every period.
The rule
- Input: the total circulating supply of dollar stablecoins from DefiLlama.
- Flow: the daily percentage change of that total.
- Threshold: the 90th percentile of the flow over the previous 365 days, excluding the current day.
- Signal: if yesterday’s flow was above yesterday’s threshold, buy Bitcoin today and hold for 7 days. A new signal extends the hold.
- Guard: a day with a flow of more than ±3% is treated as a probable coverage change. It is neither a signal nor part of the threshold window.
- Timing: the flow of day D is only used for a trade on day D+1, and the backtest measures returns from the close of the flow day.
- Costs: 0.25% per side, the taker fee of a European spot exchange. Long Bitcoin or cash, no leverage.
The first backtest looked good
The first run, on raw data at a lower assumed fee of 0.12% per side, had a Sharpe ratio between 0.90 and 1.06 in each of three periods, and in two of them about half of Bitcoin’s drawdown. A regression of the 7-day return on the signal, with past returns and the stablecoin trend as controls, gave +2.8% (t 2.3) in 2022–23 and +1.7% (t 2.1) in 2024–26 for Bitcoin, and similar numbers for Ether.
That was enough to build a bot around it. It was not enough to trust the data.
What the audit found
DefiLlama’s total is a sum over the stablecoins it tracks, and its coverage grew over time. Every time a coin was added, the total jumped without any money being minted. We found 56 days with a “daily change” of more than ±3%, all between 2018 and 2022, including +47.5% on 5 January 2019 and +36.6% on 3 April 2020. Compared with an independent series (CoinMetrics’ USDT plus USDC supply), the two sources disagreed by more than two percentage points on 105 days, and the correlation of their daily changes was −0.05 over the whole overlap and 0.42 since 2021.
We rebuilt the signal three ways: raw, cleaned (using the independent source on days where the two disagree), and from the independent source alone.
How much of the stablecoin effect survives data cleaning
Extra 7-day BTC return after a signal day compared with other days, by period and by stablecoin data source.
Show data · values in %
| DefiLlama, raw | DefiLlama, cleaned | CoinMetrics USDT + USDC (independent) | |
|---|---|---|---|
| 2018–2020 | 1.81 | 1.09 | -0.40 |
| 2021–2022 | 3.89 | 1.70 | 1.40 |
| 2023–2026 | 1.66 | 1.59 | 1.48 |
| 2021–2026 (since 2021) | 2.33 | 1.80 | 1.57 |
| Data | Period | Signal days | 7-day uplift | t | Uplift with controls | t with controls |
|---|---|---|---|---|---|---|
| DefiLlama, raw | 2018–2020 | 49 | +1.81 pp | 1.12 | +1.65 pp | 1.03 |
| DefiLlama, cleaned | 2018–2020 | 64 | +1.09 pp | 0.55 | +0.95 pp | 0.46 |
| DefiLlama, raw | since 2021 | 197 | +2.33 pp | 2.47 | +2.13 pp | 2.41 |
| DefiLlama, cleaned | since 2021 | 193 | +1.80 pp | 2.24 | +1.59 pp | 2.08 |
| CoinMetrics USDT + USDC | since 2021 | 174 | +1.57 pp | 1.93 | +1.36 pp | 1.78 |
The effect since 2021 survives cleaning and the independent source, at a smaller size. The pre-2021 evidence does not: the strategy’s 2018–2020 return fell from +40.2% a year (Sharpe 1.23) on raw data to +0.9% (Sharpe 0.26) on cleaned data. In the controlled regressions the coefficient on the past 7-day return was essentially zero (t between −0.93 and +0.29), so the signal is not a proxy for buying after a fall.
The full history against holding Bitcoin
Stablecoin-inflow signal vs holding Bitcoin
Buy BTC the day after a top-10 % daily rise in total stablecoin supply, hold 7 days; three versions of the input data against simply holding BTC.
Show data
| Date | raw DefiLlama data, 7-day hold | the bot's rule (±3% jump days ignored), 7-day hold | cleaned data, 7-day hold | the bot's rule with a Parabolic SAR exit (exit chosen in-sample) | Bitcoin buy and hold |
|---|---|---|---|---|---|
| 2019-05-06 | 100 | 100 | 100 | 100 | 100 |
| 2019-05-20 | 100 | 100 | 100 | 100 | 140.8 |
| 2019-06-03 | 105.6 | 100 | 101.2 | 100 | 142.5 |
| 2019-06-17 | 119.3 | 119.3 | 114.1 | 119.3 | 164.2 |
| 2019-07-01 | 121.6 | 105.2 | 98.45 | 126.5 | 186.0 |
| 2019-07-15 | 118.1 | 107.9 | 101.0 | 129.7 | 190.8 |
| 2019-07-29 | 116.7 | 98.06 | 90.65 | 117.9 | 167.0 |
| 2019-08-12 | 115.6 | 98.06 | 90.65 | 117.9 | 200.2 |
| 2019-08-26 | 110.0 | 98.06 | 90.65 | 117.9 | 182.2 |
| 2019-09-09 | 110.0 | 98.06 | 90.39 | 117.9 | 181.3 |
| 2019-09-23 | 107.3 | 98.06 | 89.85 | 117.9 | 170.3 |
| 2019-10-07 | 107.3 | 98.06 | 89.85 | 117.9 | 144.3 |
| 2019-10-21 | 107.3 | 98.06 | 89.85 | 117.9 | 144.5 |
| 2019-11-04 | 135.6 | 120.1 | 111.9 | 148.9 | 165.5 |
| 2019-11-18 | 134.3 | 120.1 | 111.9 | 137.6 | 143.7 |
| 2019-12-02 | 134.3 | 120.1 | 111.9 | 137.6 | 128.6 |
| 2019-12-16 | 127.9 | 120.1 | 104.7 | 137.6 | 121.0 |
| 2019-12-30 | 135.1 | 120.1 | 104.4 | 137.6 | 127.0 |
| 2020-01-13 | 150.2 | 120.1 | 104.4 | 137.6 | 142.6 |
| 2020-01-27 | 150.2 | 120.1 | 104.4 | 137.6 | 156.4 |
| 2020-02-10 | 150.2 | 120.1 | 104.4 | 137.6 | 173.2 |
| 2020-02-24 | 150.2 | 120.1 | 104.4 | 137.6 | 169.8 |
| 2020-03-09 | 150.2 | 120.1 | 91.16 | 137.6 | 139.6 |
| 2020-03-23 | 150.2 | 150.5 | 74.59 | 172.4 | 114.2 |
| 2020-04-06 | 163.3 | 147.4 | 81.12 | 195.3 | 129.3 |
| 2020-04-20 | 148.1 | 143.2 | 81.08 | 176.7 | 120.3 |
| 2020-05-04 | 192.3 | 156.8 | 92.27 | 229.4 | 156.2 |
| 2020-05-18 | 213.6 | 155.1 | 93.84 | 251.1 | 171 |
| 2020-06-01 | 213.1 | 145.9 | 91.63 | 229.4 | 179.5 |
| 2020-06-15 | 213.1 | 145.9 | 91.63 | 229.4 | 165.9 |
| 2020-06-29 | 213.1 | 145.9 | 91.63 | 229.4 | 161.6 |
| 2020-07-13 | 213.1 | 145.9 | 92.75 | 229.4 | 162.4 |
| 2020-07-27 | 244.1 | 167.2 | 106.3 | 262.8 | 194.3 |
| 2020-08-10 | 262.9 | 180.1 | 114.4 | 283.0 | 209.2 |
| 2020-08-24 | 259.9 | 178.1 | 113.2 | 279.8 | 206.9 |
| 2020-09-07 | 226.8 | 155.4 | 98.75 | 244.2 | 182.5 |
| 2020-09-21 | 227.6 | 155.9 | 99.07 | 245 | 183.1 |
| 2020-10-05 | 235.1 | 161.0 | 102.3 | 253.1 | 189.9 |
| 2020-10-19 | 239.6 | 164.2 | 104.3 | 268.7 | 206.9 |
| 2020-11-02 | 247.2 | 169.4 | 107.6 | 309.8 | 238.6 |
| 2020-11-16 | 257.6 | 176.5 | 112.1 | 330.5 | 294.2 |
| 2020-11-30 | 242.8 | 166.3 | 105.7 | 349.7 | 346.5 |
| 2020-12-14 | 235.8 | 161.5 | 102.6 | 358.2 | 339.0 |
| 2020-12-28 | 257.4 | 176.3 | 102.6 | 502.5 | 475.6 |
| 2021-01-11 | 337.6 | 231.3 | 109.7 | 658.9 | 623.6 |
| 2021-01-25 | 306.3 | 209.8 | 99.51 | 597.9 | 567.4 |
| 2021-02-08 | 468.6 | 321.0 | 152.2 | 914.7 | 816.4 |
| 2021-02-22 | 547.0 | 374.7 | 177.7 | 1,068 | 952.9 |
| 2021-03-08 | 489.3 | 362.4 | 158.9 | 1,032 | 922.1 |
| 2021-03-22 | 504.6 | 373.7 | 163.9 | 1,065 | 951.0 |
| 2021-04-05 | 551.8 | 408.7 | 179.3 | 1,164 | 1,040 |
| 2021-04-19 | 490.8 | 405.5 | 155.0 | 1,117 | 979.6 |
| 2021-05-03 | 475.3 | 359.1 | 148.3 | 989.0 | 1,006 |
| 2021-05-17 | 359.4 | 273.6 | 113.0 | 753.4 | 766.8 |
| 2021-05-31 | 325.4 | 216.8 | 89.52 | 645.4 | 656.8 |
| 2021-06-14 | 294.9 | 216.8 | 89.52 | 578.9 | 712.9 |
| 2021-06-28 | 294.9 | 216.8 | 89.52 | 578.9 | 606.6 |
| 2021-07-12 | 294.9 | 216.8 | 89.52 | 578.9 | 582.3 |
| 2021-07-26 | 294.9 | 216.8 | 89.52 | 578.9 | 655.9 |
| 2021-08-09 | 294.9 | 216.8 | 89.52 | 578.9 | 814.2 |
| 2021-08-23 | 294.9 | 216.8 | 89.52 | 578.9 | 871.7 |
| 2021-09-06 | 292.4 | 215.0 | 88.77 | 574.1 | 927.1 |
| 2021-09-20 | 292.4 | 215.0 | 88.77 | 574.1 | 757.0 |
| 2021-10-04 | 292.4 | 215.0 | 88.77 | 574.1 | 866.1 |
| 2021-10-18 | 292.4 | 215.0 | 88.77 | 574.1 | 1,091 |
| 2021-11-01 | 292.4 | 215.0 | 88.77 | 574.1 | 1,072 |
| 2021-11-15 | 285.8 | 210.1 | 88.77 | 561.1 | 1,119 |
| 2021-11-29 | 270.6 | 198.9 | 88.77 | 531.2 | 1,017 |
| 2021-12-13 | 270.6 | 196.7 | 87.77 | 525.3 | 821.8 |
| 2021-12-27 | 270.6 | 194.1 | 86.59 | 518.2 | 892.1 |
| 2022-01-10 | 238.1 | 194.1 | 86.59 | 518.2 | 736.0 |
| 2022-01-24 | 238.1 | 195.9 | 86.59 | 523.1 | 646.0 |
| 2022-02-07 | 238.1 | 201.8 | 86.59 | 539.0 | 771.6 |
| 2022-02-21 | 238.1 | 201.8 | 86.59 | 539.0 | 652.1 |
| 2022-03-07 | 238.1 | 201.8 | 86.59 | 539.0 | 668.7 |
| 2022-03-21 | 238.1 | 201.8 | 86.59 | 539.0 | 721.9 |
| 2022-04-04 | 238.1 | 201.8 | 86.59 | 539.0 | 819.6 |
| 2022-04-18 | 238.1 | 201.8 | 86.59 | 539.0 | 717.9 |
| 2022-05-02 | 238.1 | 201.8 | 86.59 | 539.0 | 677.5 |
| 2022-05-16 | 238.1 | 201.8 | 86.59 | 539.0 | 524.7 |
| 2022-05-30 | 230.7 | 195.6 | 83.90 | 560.7 | 558.1 |
| 2022-06-13 | 230.7 | 195.6 | 82.52 | 512.3 | 394.9 |
| 2022-06-27 | 230.7 | 195.6 | 82.52 | 512.3 | 364.1 |
| 2022-07-11 | 230.7 | 195.6 | 82.52 | 512.3 | 350.9 |
| 2022-07-25 | 230.7 | 195.6 | 82.52 | 512.3 | 374.8 |
| 2022-08-08 | 230.7 | 195.6 | 82.52 | 512.3 | 419.0 |
| 2022-08-22 | 230.7 | 195.6 | 82.52 | 512.3 | 376.6 |
| 2022-09-05 | 230.7 | 195.6 | 82.52 | 512.3 | 348.1 |
| 2022-09-19 | 230.7 | 195.6 | 82.52 | 512.3 | 343.6 |
| 2022-10-03 | 230.7 | 195.6 | 82.52 | 512.3 | 345.4 |
| 2022-10-17 | 230.7 | 195.6 | 82.52 | 512.3 | 343.8 |
| 2022-10-31 | 230.7 | 195.6 | 82.52 | 512.3 | 360.5 |
| 2022-11-14 | 205.7 | 174.4 | 73.58 | 456.8 | 291.8 |
| 2022-11-28 | 208.7 | 176.9 | 74.66 | 463.5 | 285.1 |
| 2022-12-12 | 208.7 | 176.9 | 74.66 | 463.5 | 302.7 |
| 2022-12-26 | 208.7 | 176.9 | 70.63 | 463.5 | 297.6 |
| 2023-01-09 | 208.7 | 176.9 | 70.63 | 463.5 | 302.2 |
| 2023-01-23 | 208.7 | 176.9 | 70.63 | 463.5 | 403.2 |
| 2023-02-06 | 208.7 | 176.9 | 70.63 | 463.5 | 400.4 |
| 2023-02-20 | 208.7 | 176.9 | 70.63 | 463.5 | 437.0 |
| 2023-03-06 | 208.7 | 176.9 | 70.63 | 463.5 | 394.1 |
| 2023-03-20 | 239.2 | 202.8 | 78.25 | 531.2 | 489.2 |
| 2023-04-03 | 244.2 | 207.1 | 79.89 | 531.2 | 489.2 |
| 2023-04-17 | 266.4 | 225.9 | 87.16 | 562.4 | 518.0 |
| 2023-05-01 | 280.8 | 238.1 | 91.87 | 557.4 | 493.9 |
| 2023-05-15 | 261.0 | 221.3 | 85.39 | 530.5 | 477.8 |
| 2023-05-29 | 261.0 | 221.3 | 85.39 | 530.5 | 488.1 |
| 2023-06-12 | 261.0 | 221.3 | 85.39 | 530.5 | 455.6 |
| 2023-06-26 | 299.3 | 253.8 | 97.66 | 608.3 | 532.5 |
| 2023-07-10 | 297.8 | 252.5 | 97.15 | 611.3 | 535.1 |
| 2023-07-24 | 293.3 | 248.7 | 95.71 | 602.2 | 513.2 |
| 2023-08-07 | 289.5 | 245.5 | 94.46 | 594.3 | 513.3 |
| 2023-08-21 | 278.2 | 235.9 | 90.78 | 571.1 | 459.5 |
| 2023-09-04 | 277.8 | 235.6 | 90.64 | 564.5 | 454.1 |
| 2023-09-18 | 276.4 | 234.3 | 95.73 | 561.5 | 470.9 |
| 2023-10-02 | 281.8 | 238.9 | 97.36 | 572.5 | 483.8 |
| 2023-10-16 | 274.4 | 232.7 | 94.81 | 557.5 | 501.6 |
| 2023-10-30 | 333.3 | 282.6 | 115.2 | 677.2 | 606.7 |
| 2023-11-13 | 352.6 | 298.9 | 121.8 | 716.3 | 641.7 |
| 2023-11-27 | 359.9 | 305.1 | 124.3 | 731.1 | 655 |
| 2023-12-11 | 398.5 | 337.9 | 137.7 | 809.7 | 725.4 |
| 2023-12-25 | 421.2 | 357.1 | 145.5 | 855.8 | 766.7 |
| 2024-01-08 | 454.1 | 385.0 | 156.9 | 922.7 | 826.6 |
| 2024-01-22 | 382.0 | 323.9 | 132.0 | 776.1 | 695.2 |
| 2024-02-05 | 412.2 | 349.5 | 142.4 | 837.5 | 750.3 |
| 2024-02-19 | 497.0 | 421.4 | 172.7 | 1,017 | 910.9 |
| 2024-03-04 | 656.0 | 556.2 | 227.9 | 1,342 | 1,202 |
| 2024-03-18 | 648.9 | 550.2 | 225.4 | 1,327 | 1,189 |
| 2024-04-01 | 668.9 | 567.1 | 232.3 | 1,368 | 1,226 |
| 2024-04-15 | 601.1 | 509.6 | 211.5 | 1,230 | 1,116 |
| 2024-04-29 | 604.8 | 512.8 | 212.8 | 1,237 | 1,123 |
| 2024-05-13 | 571.3 | 484.4 | 190.9 | 1,213 | 1,107 |
| 2024-05-27 | 592.0 | 501.9 | 197.8 | 1,306 | 1,221 |
| 2024-06-10 | 592.0 | 501.9 | 197.8 | 1,306 | 1,222 |
| 2024-06-24 | 592.0 | 501.9 | 197.8 | 1,306 | 1,060 |
| 2024-07-08 | 592.0 | 501.9 | 197.8 | 1,306 | 997.5 |
| 2024-07-22 | 594.1 | 503.7 | 198.6 | 1,310 | 1,188 |
| 2024-08-05 | 595.5 | 504.9 | 199.0 | 1,263 | 950.0 |
| 2024-08-19 | 572.8 | 485.6 | 191.4 | 1,215 | 1,046 |
| 2024-09-02 | 566.3 | 480.1 | 189.2 | 1,168 | 1,040 |
| 2024-09-16 | 570.2 | 483.5 | 190.6 | 1,176 | 1,024 |
| 2024-09-30 | 621.1 | 526.6 | 207.6 | 1,279 | 1,113 |
| 2024-10-14 | 618.3 | 524.3 | 206.7 | 1,270 | 1,162 |
| 2024-10-28 | 643.6 | 545.7 | 215.1 | 1,322 | 1,230 |
| 2024-11-11 | 812.6 | 689.0 | 271.6 | 1,669 | 1,561 |
| 2024-11-25 | 851.7 | 722.1 | 284.6 | 1,749 | 1,636 |
| 2024-12-09 | 892.2 | 756.5 | 298.2 | 1,832 | 1,714 |
| 2024-12-23 | 887.7 | 752.6 | 296.7 | 1,823 | 1,667 |
| 2025-01-06 | 922.9 | 782.5 | 308.4 | 1,895 | 1,799 |
| 2025-01-20 | 830.3 | 704.0 | 277.5 | 1,705 | 1,797 |
| 2025-02-03 | 849.3 | 720.1 | 283.8 | 1,744 | 1,784 |
| 2025-02-17 | 853.6 | 723.8 | 285.3 | 1,753 | 1,685 |
| 2025-03-03 | 853.6 | 723.8 | 285.3 | 1,753 | 1,515 |
| 2025-03-17 | 831.0 | 704.6 | 277.7 | 1,706 | 1,478 |
| 2025-03-31 | 787.2 | 667.5 | 263.1 | 1,616 | 1,452 |
| 2025-04-14 | 784.9 | 665.5 | 262.3 | 1,530 | 1,488 |
| 2025-04-28 | 793.9 | 673.1 | 265.3 | 1,548 | 1,672 |
| 2025-05-12 | 808.7 | 685.7 | 270.3 | 1,674 | 1,808 |
| 2025-05-26 | 808.7 | 685.7 | 270.3 | 1,772 | 1,925 |
| 2025-06-09 | 808.7 | 685.7 | 270.3 | 1,772 | 1,940 |
| 2025-06-23 | 808.7 | 685.7 | 270.3 | 1,772 | 1,855 |
| 2025-07-07 | 815.6 | 691.6 | 272.6 | 1,782 | 1,905 |
| 2025-07-21 | 812.6 | 689 | 271.6 | 1,932 | 2,066 |
| 2025-08-04 | 816.9 | 692.6 | 273 | 1,942 | 2,024 |
| 2025-08-18 | 800.1 | 678.4 | 267.4 | 1,903 | 2,045 |
| 2025-09-01 | 760.6 | 644.9 | 254.2 | 1,809 | 1,921 |
| 2025-09-15 | 800.2 | 678.5 | 267.4 | 1,910 | 2,030 |
| 2025-09-29 | 800.8 | 679.0 | 267.6 | 1,862 | 2,012 |
| 2025-10-13 | 743.8 | 630.6 | 248.6 | 1,729 | 2,027 |
| 2025-10-27 | 743.8 | 630.6 | 248.6 | 1,729 | 2,007 |
| 2025-11-10 | 743.8 | 630.6 | 248.6 | 1,729 | 1,864 |
| 2025-11-24 | 743.8 | 630.6 | 248.6 | 1,729 | 1,553 |
| 2025-12-08 | 743.8 | 630.6 | 248.6 | 1,729 | 1,594 |
| 2025-12-22 | 743.8 | 630.6 | 248.6 | 1,729 | 1,557 |
| 2026-01-05 | 743.8 | 630.6 | 248.6 | 1,729 | 1,651 |
| 2026-01-19 | 708.4 | 600.6 | 236.7 | 1,647 | 1,628 |
| 2026-02-02 | 682.3 | 578.5 | 228.0 | 1,586 | 1,384 |
| 2026-02-16 | 668.6 | 566.9 | 223.5 | 1,555 | 1,211 |
| 2026-03-02 | 708.4 | 600.6 | 236.8 | 1,554 | 1,210 |
| 2026-03-16 | 720.0 | 610.4 | 240.6 | 1,694 | 1,317 |
| 2026-03-30 | 720.0 | 610.4 | 240.6 | 1,531 | 1,174 |
| 2026-04-13 | 720.0 | 610.4 | 240.6 | 1,531 | 1,309 |
| 2026-04-27 | 748.8 | 634.9 | 250.3 | 1,580 | 1,361 |
| 2026-05-11 | 748.8 | 634.9 | 250.3 | 1,669 | 1,438 |
| 2026-05-25 | 748.8 | 634.9 | 250.3 | 1,615 | 1,359 |
| 2026-06-08 | 748.8 | 634.9 | 250.3 | 1,615 | 1,109 |
| 2026-06-22 | 748.8 | 634.9 | 250.3 | 1,615 | 1,125 |
| 2026-07-06 | 748.8 | 634.9 | 250.3 | 1,615 | 1,126 |
| 2026-07-20 | 724.8 | 614.5 | 242.2 | 1,641 | 1,147 |
| 2026-08-03 | 724.8 | 614.5 | 242.2 | 1,609 | 1,116 |
| 2026-08-17 | 735.2 | 623.4 | 245.7 | 1,632 | 1,134 |
| 2026-08-31 | 779.3 | 660.8 | 260.4 | 1,989 | 1,382 |
| 2026-09-14 | 751.4 | 637.1 | 251.1 | 1,884 | 1,375 |
| 2026-09-28 | 721.3 | 611.6 | 241.1 | 1,809 | 1,459 |
| Version, May 2019 – Sep 2026 | Return a year | Sharpe | Max drawdown | Time in market |
|---|---|---|---|---|
| Raw data, 7-day hold | 30.6% | 0.90 | −66.1% | 37% |
| The bot’s rule (±3% guard), 7-day hold | 27.7% | 0.83 | −62.0% | 37% |
| Cleaned data, 7-day hold | 12.6% | 0.50 | −63.5% | 39% |
| The bot’s rule with a Parabolic SAR exit | 47.8% | 1.14 | −65.1% | 46% |
| Bitcoin buy and hold | 43.5% | 0.90 | −76.7% | 100% |
Over the whole history the fixed 7-day rule is at or below buy-and-hold on a risk-adjusted basis. Its weak spot was 2021: it made +2.6% while Bitcoin rose about 57%, with a −56% drawdown within the year. Its strong spot is 2023–2026, with a Sharpe of 1.20 to 1.28 against 1.15 and a drawdown of −21% to −34% against −53%.
Confirmations that did not confirm much
- Tether’s treasury wallets on Tron: the actual release of USDT into circulation gave a 7-day uplift with t 2.5 in 2022–23, and nothing significant in 2020–21 or 2024–26. A partial confirmation, for one period only.
- Raw mint events: minting mostly moves new coins into the issuer’s own inventory. BTC was +1.12% seven days after all mints (t 1.54) and −0.26% after mints of a billion dollars or more. No effect.
- Combining sources: DefiLlama, Tron outflows and Ether-based USDC mints are only weakly correlated (0.10 to 0.21), yet no combination was consistently better than DefiLlama alone.
- Ether: similar uplift as for Bitcoin, with a Sharpe of 0.60 to 1.26 against 0.03 to 2.16 for holding, depending on the period.
Exits
The rule sells after 7 days. We also tested about 40 alternatives: trend exits on daily and 4-hour candles, trailing stops, stop-losses and a vote of three trend indicators. The daily Parabolic SAR (0.02/0.2) had the best average Sharpe and the best worst-period Sharpe. Stop-losses never helped, trailing stops helped in the 2020–21 bull market and hurt in 2022–23, and the trend vote was rejected because its 200-day average made it too slow (a −43% drawdown in 2024–26 against −27%).
The Parabolic SAR exit was chosen on the same 2020–2026 data it is evaluated on, and its result depends on the candle source: its 2022–23 Sharpe is 1.22 on one exchange’s candles and 1.04 on another’s. Its better numbers in the table above are in-sample.
What runs live
Since 28 September 2026 the signal runs once a day in a scheduled cloud job and trades on an exchange demo account, 1,000 USDC per signal, long Bitcoin or cash. The main book uses the Parabolic SAR exit after the 7-day minimum. Shadow books track the fixed 7-day rule and a 20-day moving-average exit with the same entries, and a fourth book follows the direction model. The first entry was on 28 September 2026. Current positions are on the live results page.
Caveats
- No clean hold-out. The signal was found while looking at 2018–2026, and several thresholds, horizons and sources were tried. The sub-period results are robustness checks, not out-of-sample tests.
- A recent, moderate effect. Significance appears only from 2021, mainly in 2023–2026, with about 155 signal days in that period.
- Timestamps of the cross-check. The two stablecoin sources appear to stamp their daily values one day apart (the correlation of daily changes is 0.21 on the same date and 0.48 with a one-day lag since 2023). The cleaning compared them on the same date, so it may have replaced more days than necessary. We have not re-run it with aligned dates.
- Data vintage. The DefiLlama history has been revised as coverage changed, so it is not a real-time record, and any history we download today may differ from what was visible at the time.
- Execution. A flat 0.25% fee per side is assumed. Spread, slippage and the half-hour gap between the daily close used in the backtest and the live run are not modelled.