# Shorting large altcoins around token unlocks shows no detectable drift

> Across 197 scheduled token unlocks, shorting the day before earned +52.0 bp net and the day after lost 29.1 bp; both intervals include zero, none of 4 cells survived correction, and unlock size did not matter.

E390 · Verdict: KILL · Cause: No signal · Market: Crypto & DeFi · Mechanism: Calendar · Horizon: 24h · Tested: October 2026

Source: https://alphanotfound.eu/experiments/E390-shorting-token-unlock-cliffs

Many traders expect a token to fall when a large batch of locked coins becomes sellable, and the dates are published in advance. We compiled 197 scheduled token unlocks of 10 large altcoins and shorted each coin's perpetual future for 24 hours, either the day before the unlock or the day after, paying 14 bp in fees plus actual funding. The day before earned +52.0 bp on average and the day after lost 29.1 bp. Both 95% intervals include zero, none of four tested cells survived multiple-testing correction, and the test found no detectable dose response.

## Key numbers

- **Short the day before a tranche:** +52.0 bp (net per event, n 197; 95% interval -17.3 to +119.1 bp)
- **Short the day after a tranche:** -29.1 bp (net per event, n 197; 95% interval -110.6 to +57.1 bp)
- **Cells surviving correction:** 0 of 4 (Benjamini-Hochberg at 10%, with a power gate)
- **Day-before short if tranche time is set to 12:00 UTC:** +10.9 bp (for the day-before short, instead of +52.0 bp at 00:00 UTC)

## The idea being tested

**Belief:** When a large batch of locked tokens vests, the recipients sell, so the price falls around the unlock date and a short earns a premium.

**Why people believe it:** Team members, early investors and contributors receive their tokens on a fixed schedule, and the common belief is that many of them sell. The calendar is public, so anyone can see when the new supply arrives.

**Why it would persist:** Perpetual futures on large coins are liquid enough to short in size. Capacity is not the obstacle: at 2% of the coin's 24-hour perpetual volume, the median event allows about $1.6M.

## How it was tested

We built a calendar of 290 release tranches for 10 large altcoins from official documents and on-chain contracts, of which 197 fell in March 2023 to October 2026 while the coin had a perpetual future. For each release we simulated two short trades: one held for the 24 hours before the release time, one opened 15 minutes after it and held 24 hours. Costs were 14 bp per round trip plus the funding actually paid. The same trade shifted by one week served as a control.

**Pre-registered:** yes

**Data:** Release schedules compiled from official project documentation, public repositories and on-chain vesting contracts (tranche time and size) (project documents and public blockchain data; tranche; 2023-03..2026-10); 15-minute candles and funding settlements of USD-margined perpetual futures on the largest crypto derivatives venue (venue public market data; 15 minutes; 2023-03..2026-10)

**Universe:** 10 altcoins with scheduled insider or investor releases (APT 36 events, ARB 32, SUI 41, STRK 31, ENA 20, ZK 16, ZRO 16, PYTH 3, TIA 1, W 1). Tier A (123 events: ARB, STRK, APT, ENA, PYTH, TIA) has official or on-chain schedules, but exact times are known only for ARB (on-chain seconds) and ENA (cliff verified on-chain); STRK, PYTH and TIA have official dates and APT's day is inferred from its mainnet anniversary. Tier B (SUI, ZRO, ZK, W) has documented but less exact schedules, and its day of month is assumed or inferred. Two further tokens were excluded because they had no official or deterministic schedule. Continuous vesting streams were excluded.

**Signal:** T is the tranche time: exact seconds for ARB, 00:00 UTC on the official date for ENA, and 00:00 UTC of the release date where the time of day is unknown. Four cells: (a) short from T-24h to T; (b) short from T+15 minutes to T+24h15m; and a BTC-adjusted version of each (short the coin, long Bitcoin over the same window).

**Execution:** Short the perpetual at the open of the 15-minute bar, exit at the open of the exit bar. Simple returns, loss floored at -100%. Funding settlements inside the hold are included (a short receives the rate when it is positive).

**Costs:** 7 bp per side, 14 bp per round trip (28 bp for the BTC-adjusted two-leg version), plus actual funding. Funding received averaged -0.7 bp per window in cell (a) and -0.1 bp in cell (b).

**Controls:** The same coin and clock window shifted by +7 days, reported as event minus control. Dose: release value (tokens times perp price at T-24h) divided by the 30-day average daily perp quote volume, tested by Spearman correlation with the trade result and by terciles. Timing sensitivity: unknown release times set to 12:00 UTC instead of 00:00 UTC.

**Sample split:** Events split by time 60/20/20 into train, validation and test windows. Confidence intervals come from a bootstrap clustered by coin and month.

**Pass criterion:** A cell survives Benjamini-Hochberg correction at q = 0.10 over the 4 cells, passes the power gate, and shows a dose response: monotone increase from low to high dose with a positive Spearman p below 0.10.

**Kill criterion:** Both (a) and (b) have a confidence interval that includes zero; or no dose response in the surviving cell; or funding paid by the short exceeds the gross drift in the surviving cell.

**Power:** Assuming a standard deviation of 450 bp and about 190 events, the minimum detectable effect is about 64 bp at z = 2; the cost is 14 bp, so a true drift of roughly 80 bp was needed to pass.

## Result

**Why it was rejected:** Both pre-registered cells have intervals that include zero and no cell survives correction; there is also no dose response.

**Observations:** 197

**Net mean:** +52 bp

**95% interval:** -17.3 bp to +119.1 bp

**Median:** +52.3 bp

**Worst:** -2,590 bp

- Cell (a), short from 24 hours before the unlock to the unlock: +52.0 bp net per event (n 197, 95% interval -17.3 to +119.1, median +52.3, worst -2,590). Gross drift was +66.7 bp before the 14 bp cost and funding.
- Cell (b), short from T+15 minutes to T+24h15m: -29.1 bp net (95% interval -110.6 to +57.1, median +7.2, worst -3,018). Gross drift was -15.0 bp.
- Against the same windows shifted by a week, cell (a) is +75.1 bp better than control (interval -28.3 to +180.6); the control itself averaged -28.9 bp. For cell (b) the difference is +1.3 bp (interval -126.3 to +129.5).
- BTC-adjusted cells at 28 bp cost: +41.7 bp for (a) and -40.8 bp for (b); no cell passes Benjamini-Hochberg at 10%.
- No detectable dose response. Spearman correlation between dose and result is -0.002 (p 0.98) in cell (a) and -0.045 (p 0.53) in cell (b). By dose tercile, cell (a) earned +118.7, -64.5 and +100.1 bp from low to high, which is not monotone.
- The minimum detectable effect was about 64 bp, against a 14 bp round-trip cost, so a true drift smaller than roughly 64 bp could not be ruled out; the upper ends of the intervals reach +119.1 bp (cell a) and +180.6 bp (a minus control).
- Results flip sign between time windows: cell (a) earned +71.4, -81.9 and +125.4 bp in the train, validation and test windows; cell (b) earned -44.8, +113.8 and -122.0 bp.
- Setting unknown release times to 12:00 UTC cuts cell (a) from +52.0 to +10.9 bp (interval -56.9 to +78.1), so the pre-release drift depends on an assumption about the time of day.
- Per coin, cell (a) ranges from +207.8 bp (ENA, n 20) and +80.0 (SUI, n 41) to -79.5 (ARB, n 32, exact on-chain times) and -5.3 (APT, n 36). Events with official or on-chain schedules only (n 123): +56.6 bp, interval -46.3 to +156.6.
- On-chain check for one token: 31.7% of released tokens moved within 24 hours after a tranche boundary, against 3.3% if releases were spread evenly, with a median release about 101 hours after vesting.

### Neither cell separates from zero (bp)

Net result per unlock for a 24-hour short, with 95% intervals clustered by coin and month. Both pre-registered cells include zero, the difference against a one-week-shifted control does too, and moving unknown release times to 12:00 UTC cuts the day-before result from +52.0 to +10.9 bp.

|   | Mean | 95% low | 95% high |
| --- | --- | --- | --- |
| (a) Short T-24h to T | 52.0 | -17.3 | 119.1 |
| (a) minus control a week later | 75.1 | -28.3 | 180.6 |
| (a) with unknown times at 12:00 UTC | 10.9 | -56.9 | 78.1 |
| (b) Short T+15m to T+24h | -29.1 | -110.6 | 57.1 |
| (b) minus control a week later | 1.3 | -126.3 | 129.5 |

### No detectable dose response (bp)

Mean net result by unlock size relative to the coin's 30-day average daily perp volume (dose terciles, low to high). A supply effect that grows with size would rise from left to right; both cells zigzag instead (Spearman -0.002 and -0.045).

|   | (a) Short T-24h to T | (b) Short T+15m to T+24h |
| --- | --- | --- |
| Low dose | 118.7 | 36.5 |
| Middle dose | -64.5 | -74.3 |
| High dose | 100.1 | -50.2 |

### No coherent pattern across coins (bp)

Mean net result per event by coin for the seven coins with at least 16 events, sorted by number of events. The sign of the day-before result changes between coins that have the same kind of monthly tranche. PYTH, TIA and W (5 events in total) are left out.

|   | (a) Short T-24h to T | (b) Short T+15m to T+24h |
| --- | --- | --- |
| SUI (n 41) | 80.0 | -29.3 |
| APT (n 36) | -5.3 | 6.5 |
| ARB (n 32) | -79.5 | -51.7 |
| STRK (n 31) | 75.5 | 9.8 |
| ENA (n 20) | 207.8 | 102.6 |
| ZK (n 16) | -65.0 | 35.7 |
| ZRO (n 16) | 65.7 | -112.8 |

## Interpretation

**Why it failed (interpretation, not established):** The likeliest explanation is smearing and pre-hedging: median monthly tranches were 0.16 to 0.9 days of perp volume per coin, and recipients of one token released over several days rather than at the boundary (median about 101 hours after vesting), so any pressure is spread out or hedged earlier. The test could not detect effects below about 64 bp against individual results as large as -2,590 and -3,018 bp. A small post hoc subset of the largest cliffs was also looked at; it is not evidence and is not used here.

**Lesson:** A known, dated supply event does not by itself give a trade. When the exact time of the event is uncertain, the result can depend on the assumed clock time, so that has to be tested before a pre-event drift is taken seriously. A dose-response check is cheap and hard to fake: an effect that does not grow with the size of the supply is weak evidence of a supply effect.

**Scope:** Covers 197 scheduled vesting tranches of 10 large altcoins with perpetual futures, March 2023 to October 2026, 24-hour shorts at 7 bp per side plus funding. It does not cover small-cap tokens, windows other than 24 hours before or after, or recipient-level selling.

## Reproducibility

**Steps:** 1) Compile release schedules per token from official documentation, public repositories or on-chain vesting contracts, keeping the source for every tranche; set unknown times to 00:00 UTC and rerun with 12:00 UTC. 2) For tranches where the coin has a perpetual future, take 15-minute candles and funding settlements. 3) Compute the short from T-24h to T and from T+15 minutes to T+24h15m, minus 7 bp per side and the actual funding; repeat shifted by 7 days as control, and as a BTC-adjusted two-leg version at 28 bp. 4) Cluster the bootstrap by coin and month (4,000 resamples), split 60/20/20 by time, test dose by Spearman and terciles, and apply Benjamini-Hochberg at q = 0.10 over the 4 cells.

**Grade:** COMPLETE

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AI-generated research, checked but not peer-reviewed. Historical, experimental research, not investment advice. Dataset Terms of Use: https://alphanotfound.eu/terms