Bitcoin, as they say, operates like clockwork. About every 10 minutes a new block of transactions is marked into the distributed ledger.

Clearly, time plays a role in the Bitcoin protocol. But what about seasons?

Traditional financial research provides ample evidence for seasonality in stock returns. You may have come across terms such as the "January effect" or the "Tuesday turnaround."

Statistically significant seasonal performance patterns can be observed over almost any time frame: quarterly, monthly, weekly, daily, hourly, etc.

The saying “sell in May and go away” has been around since the 19th century, as stock returns in the summer months have historically tended to show significant weakness compared to other months of the year.

Bitcoin’s average monthly returns show that the summer months between June and September also see significantly lower returns than average.

Why should we care about this?

Well, if you only held cash in August and September (when you were on vacation) and invested exclusively in Bitcoin for the rest of the year, you would have made four times as much as a Bitcoin buy-and-hold investor!

Therefore, statistically significant seasonal performance patterns can theoretically be used to derive significant alpha.

Furthermore, the average seasonal performance pattern also suggests that Bitcoin could continue to rise in the coming weeks until around June, when the average seasonal performance pattern suggests that Bitcoin could pause its gains during the summer before continuing to rise towards the end of the year.

That being said, as mentioned above, seasonal performance patterns can be observed in almost any time frame.

In this case, Bitcoin appears to perform best at the beginning of the week (Monday to Wednesday), while performance has historically been below average during the weekend, especially on weekends.

A similar pattern can be observed across different trading hours: while Asian trading hours (12am UTC – 6am UTC) have mostly shown below-average performance, European (8am UTC – 4:30pm UTC) and US (2:30pm UTC – 9pm UTC) trading hours generally show above-average historical performance. That being said, Bitcoin has historically seen its worst returns towards the end of the US trading session (9pm UTC).

A similar pattern of intraday performance can be observed in traditional FX markets, where the majority of trading volume occurs at the intersection of European and US trading hours (between 2:30pm and 4:30pm UTC).

Bitcoin can be traded 24/7/365 around the world, but price fluctuations are ultimately the product of human behavior. So it’s no surprise that “sell in May and go away” seems to apply to Bitcoin’s returns as well.

While Bitcoin continues to work like clockwork, its performance ultimately depends on the times we are awake or asleep, the times we start working, and the times when most of us are on vacation or not working.