Bitcoin's Lead on Stocks Fades Fast, Analysis Finds
Eric Jackson has analyzed data to support Tom Lee's claim that Bitcoin has historically led the stock market by about a month. The study, which covers 143 months of Bitcoin (BTC) and S&P 500 data from September 2014, found that the pattern is statistically real but not strong enough to beat the market.
The analysis showed that after a positive month for Bitcoin, the S&P 500 gained an average of 1.46%, while after a negative month, it averaged +0.23%. However, Jackson concluded that the signal fades fast and everyday market swings drown out whatever edge the signal offered, making it too noisy to trade.
Jackson found that trading on the signal scored about the same as simply buying and holding stocks the whole time, measured by the Sharpe ratio. This means that even though the pattern is statistically correct, it's not strong enough to provide a reliable trading edge over simply buying and holding stocks.