Mechanism
Calendar
Patterns tied to the clock or a schedule: weekdays, expiry dates, auctions, data releases, token unlocks.
Showing 1–8 of 8 experiments
| ID | Experiment | Market | Mechanism | Horizon | Result | Verdict |
|---|---|---|---|---|---|---|
| E889 | Options-expiry weeks and Fridays no longer beat a normal S&P 500 day equity-index, sp500, calendar-anomaly, options-expiry, day-of-week, publication-decay | Equities & volatility | Calendar | 1d | +0.3 bp and +3.1 bp per day | KILL |
| E821 | Shorting a token as large stakes end shows no detectable edge staking, unlocked-supply, scheduled-events, perpetual-futures, event-study, proof-of-stake | Crypto & DeFi | Calendar | 24h | -4.6 bp, interval includes zero | KILL |
| E420 | The weekend futures gap reversal does not show up in Bitcoin or Ether futures-gap, weekend, bitcoin, ethereum, perpetual-futures, calendar-effect, reversal | Crypto & DeFi | Calendar | 1d | -15.9 bp, no reversal | KILL |
| E390 | Shorting large altcoins around token unlocks shows no detectable drift token-unlocks, altcoins, supply-events, perpetual-futures, vesting, calendar | Crypto & DeFi | Calendar | 24h | +52.0 / -29.1 bp, both include zero | KILL |
| E376 | London gold auction order flow leaves no trace on a gold perpetual gold, london-gold-auction, fixing, perpetual-futures, order-flow, calendar-flow | Crypto & DeFi | Calendar | 1h | -8.8 bp net, slope t 0.00 | KILL |
| E216 | Scheduled fixing and auction flows leave no tradable trace fx, fixing, month-end, gotobi, treasury-auctions, calendar-flow, hedge-rebalancing | Rates | Calendar | 1h-1d | No fix or auction effect | KILL |
| E090 | No detectable pre-CPI/FOMC crypto drift that survives costs macro-releases, cpi, fomc, pre-event-drift, bitcoin, out-of-sample, event-study | Crypto & DeFi | Calendar | 1h-4h | +47.3 bp in sample, +12.8 bp out | KILL |
| E003 | Bitcoin hour-of-day and weekday patterns do not pay bitcoin, seasonality, hour-of-day, day-of-week, thursday, buy-and-hold, perpetuals | Crypto & DeFi | Calendar | 1h-24h | Lost to holding in validation | KILL |