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The weekend futures gap reversal does not show up in Bitcoin or Ether
Trading against Bitcoin and Ether weekend moves of 2% or more lost 15.9 bp per trade over 24 hours; the move did not reverse, and the slope has the wrong sign and is not significant (t +0.59).
Crypto traders say the price "fills the futures gap": a weekend move should partly reverse when the regulated futures market reopens on Sunday evening. We measured the move from the Friday close to the Sunday reopening in Bitcoin and Ether perpetuals, 708 weekend observations in all, and traded against moves of 2% or more for 24 hours. The 253 trades lost 15.9 bp on average (1 bp = 0.01%). The move did not reverse (slope +0.045, wrong sign, t +0.59). After the spot-ETF launch the trades earned +17.3 bp, but placebo windows shifted by a day earned +12.5 and +6.3 bp.
Weekend price moves in Bitcoin and Ether partly reverse when the regulated futures market reopens: the so-called futures gap gets filled.
Why people believe it
Regulated crypto futures and spot ETFs are shut from Friday evening to Sunday evening, so weekend moves happen without the institutions that trade through them. When the futures market reopens, and the ETFs trade on Monday, those participants re-hedge, and the weekend move should partly revert toward the Friday close.
Why it would persist The argument, as stated before testing
The closure is fixed by the calendar and institutional mandates, not by a pricing error, and the large players who would have to trade against the move are limited by risk limits and by funding costs of holding a perpetual position.
For every weekend since 2020 we took the perpetual-futures price at the Friday close of the regulated futures market and at its Sunday reopening, and computed the weekend move W. One hour after the reopening we bet against that move (short after a rise, long after a fall) and held for 24 hours, paying 10 bp round-trip costs (1 bp is 0.01%) and the actual funding. The rule, thresholds and criteria were written down before the data was looked at. Two placebos used the same construction with all times shifted by one day, and the same rule was run on 22 other coins.
The inverse of the pre-registered rejection criteria: net mean above 0 in the primary set, slope t of -2 or below over all weekends, correct slope sign after the ETF launch, and placebos weaker than the main result.
Primary net mean at or below 0, or slope t above -2 over all weekends, or wrong slope sign after the ETF launch, or a placebo as strong as the main result.
10 bp round trip, plus funding paid or received from the historical funding rates over the holding window.
Placebos: the identical construction with the anchors and window shifted 24 hours earlier and 24 hours later. Sample split at the spot-ETF launch (2024-01). Secondary set of 22 other perpetuals.
Net return is negative, the slope has the wrong sign and is nowhere near significant, and placebo windows earn as much as the best subsample.
- Across all 708 weekend observations the slope of next-day return on weekend move is +0.045 (t +0.59): the sign is positive (wrong for a reversal) and not significant, so the weekend move did not reverse.
- With |W| of at least 2%, 253 trades (176 weekends) lost 15.9 bp on average; the median trade made +8.8 bp and the worst lost 1,923 bp. The weekend-level mean is -12.8 bp with a 95% interval of -83 to +59 bp.
- Before the spot-ETF launch the 174 trades lost 31.0 bp (weekend mean -39.3 bp, interval -140 to +60 bp); after it the 79 trades earned +17.3 bp (weekend mean +38.5 bp, interval -54 to +131 bp, slope -0.10, t -0.65).
- The two placebo windows, with all times shifted by one day, earned +12.5 and +6.3 bp, as strong as the post-ETF result; the 22 other perpetuals earned +7.9 bp (slope t -0.73).
- By size of weekend move (cut points chosen after the test, descriptive only, not part of the pre-registered test): -2.7 bp for moves of 2% to 3%, +32.4 bp for 3% to 5% and -71.2 bp at 5% and above. These bins were picked after the test, so the +32.4 bp is not evidence.
No gap fill in any period
Mean net return per weekend of trading against the weekend move, with 95% intervals clustered by weekend. All three intervals include zero; the pre-ETF period is negative, the post-ETF period positive but with a wide interval.
Chart data (bp)
| Mean | 95% low | 95% high | |
|---|---|---|---|
| All weekends (n 176) | -12.8 | -83 | 59 |
| Before spot ETFs (n 116) | -39.3 | -140 | 60 |
| After spot ETFs (n 60) | 38.5 | -54 | 131 |
Placebos earn as much as the rule
Mean net return per trade for the main rule, its subsamples, the one-day-shifted placebos and the other 22 perpetuals. The post-ETF cell, the only positive primary result, is no stronger than the placebos.
Chart data (bp)
| Mean net per trade | |
|---|---|
| Main rule, all (n 253) | -15.9 |
| Before spot ETFs (n 174) | -31 |
| After spot ETFs (n 79) | 17.3 |
| Placebo, shifted -24h | 12.5 |
| Placebo, shifted +24h | 6.3 |
| 22 other perpetuals | 7.9 |
Move size does not line up with reversal
Mean net return per trade by size of the weekend move. Cut points chosen after the test, descriptive only, not part of the pre-registered test. The middle bucket is positive, the other two negative; no trend was tested.
Chart data (bp)
| Mean net per trade | |
|---|---|
| 2% to 3% (n 77) | -2.7 |
| 3% to 5% (n 84) | 32.4 |
| 5% and above (n 92) | -71.2 |
Why it failed Interpretation · not established
Crypto trades around the clock on its own venues, so the weekend price is formed by the same market that sets it on Monday; the regulated futures price is a follower, not an anchor the perpetual has to snap back to. A gap on a futures chart then measures only that the futures market was closed, and the test found no detectable relation between the weekend move and the next day's return (slope t +0.59; minimum detectable effect about 33 bp). That is an explanation consistent with the numbers, not something the test isolated.
Lesson
A named chart pattern ("gap fill") is a claim about a causal link between a market's closing hours and the next move. The test has to show that link in the data: here a subsample (+17.3 bp after the ETF launch) looked like support until placebo windows one day away earned +12.5 and +6.3 bp. A subsample result means little until its placebos have been run on the same construction.
Scope of this result
Covers Bitcoin and Ether perpetuals, hourly anchors, moves of 2% or more, a 24-hour hold and weekends from 2020-01 to 2026-10, plus 22 other perpetuals under the same rule. Regulated crypto futures have traded around the clock since 2026-05, so the weekend closure that the idea rests on existed only before that month.
A rejected experiment applies to the tested conditions and does not prove an idea can never work. bp = basis point, 0.01%.
1. Test design
Pre-registeredDataUniverseSignalExecutionCostsControlsSample splitPass criterionKill criterionPower2. Result
ObservationsInstrumentsNet mean95% intervalMedianWorstFinding 1Finding 2Finding 3Finding 4Finding 53. Interpretation
Why it failedLessonScope4. Reproducibility
StepsGrade