DanBTC916
Mean Exchange Inflow Sell Signal Backtest Results
This will be a series of posts covering my Mean Exchange Inflow Sell Signal backtesting results. The Mean Exchange Inflow Sell Signal I posted about a while ago occurs whenever the mean exchange inflow on spot exchanges crosses above 7 BTC on the hourly time frame. During my initial backtests from the last 24 months, it appears this signal can be quite helpful at identifying potential incoming sell pressure. To recap, a successful sell signal occurs when BTC declines more than 1% up to 48 hours after the signal flashes. I measured the % decline from where Bitcoin was trading at when the signal flashed, to the trough (deepest point of decline) within a 48 hour period. I was able to backtest all the way back to 2017, which captured the second half of the 2017 bull market. From January 2024 to early 2017 the Mean Exchange Inflow Sell Signal occurred 130 times. So far, the success rate has been 87.69%. Of the 130 signals recorded, 114 signals were successful while 16 signals were not. The average % decline Bitcoin price made 48 hours after the signal flashed for both successful and unsuccessful signals was -5.5%. For successful signals, Bitcoin price made an average decline of -6.2%. Meanwhile the average unsuccessful signal was -0.54% (defined as a decline of less than 1% within 48 hours of the signal flashing). The deepest Bitcoin price declined after the sell signal flashed was -36%, which occurred during the March 2020 crash. 24 out of the 130 sell signals (or 18.46%) resulted in Bitcoin price declining more than 10% within 48 hours. I found it very interesting how the Mean Exchange Inflow sell signals managed to identify near term tops in Bitcoin in some instances. I will dig deeper with charts in my next post breaking down how the Mean Exchange Inflow performed during previous bull and bear markets. Now that BTC Spot ETFs are trading, I am interested to see how the Mean Exchange Inflow continues to perform. The screenshots show the results.