Does bitcoin (BTC) price reliably exhibit momentum or reversion? To investigate, we try three tests:
- Calculate autocorrelations (serial correlations) between daily, weekly and monthly BTC returns and respective BTC returns for the next 10 intervals (for example, correlation of daily return with returns the next 10 days). Positive and negative correlations suggest momentum and reversion, respectively.
- Calculate correlations between next-week BTC return and current BTC price relative to its high (percentage below) or low (percentage above) over the last 13 weeks. A positive (negative) correlation to price relative to a recent high or low indicates momentum (reversion).
- Calculate average next-week BTC returns by ranked tenth (decile) of BTC price relative to its high or low over the last 13 weeks.
Using daily, weekly and monthly BTC closing prices during September 14, 2014 (the earliest available from the source) through October 22, 2025, we find that:
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