Macro event researchMACRO EVENT STUDY
Quarterly US Derivatives Expiry — BTC Forward Returns
One observation per resolved quarterly U.S. equity-index derivatives expiry session; roll and expiry dates remain distinct.
Events55
Independent sample45
ConfidenceMEDIUM
BTC-USD · COMPLETED DAILY CANDLES
Forward-return distribution
| Horizon | N | Median | Mean | Win rate | 25th–75th | MAE | MFE |
|---|---|---|---|---|---|---|---|
| 1D | 45 | -0.09% | +0.61% | 48.9% | -1.84% to +3.13% | -0.86% | +1.66% |
| 3D | 45 | +0.52% | +0.56% | 53.3% | -3.74% to +3.36% | -4.00% | +2.71% |
| 5D | 45 | +0.27% | +0.56% | 51.1% | -3.22% to +3.26% | -4.45% | +3.65% |
| 7D | 45 | +0.17% | +0.09% | 53.3% | -5.10% to +4.49% | -5.86% | +3.96% |
| 14D | 45 | -0.17% | +1.06% | 48.9% | -4.37% to +4.44% | -6.25% | +4.44% |
| 30D | 44 | +2.74% | +5.42% | 61.4% | -3.41% to +11.36% | -7.25% | +10.73% |
| 90D | 42 | +0.91% | +23.36% | 50.0% | -13.53% to +41.96% | -14.64% | +26.14% |
METHODOLOGY
How to read this result
Returns use completed Coinbase BTC-USD daily candles. The base is the last close completed before the event timestamp. Each horizon uses a chronological non-overlapping sample; fees, slippage, intraday reactions, and causal claims are excluded.
Research integrity
These observations describe association after selected events. They are not a causal estimate, trading recommendation, or promise of a similar future outcome.
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