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.
Events54
Independent sample44
ConfidenceMEDIUM
BTC-USD · COMPLETED DAILY CANDLES
Forward-return distribution
| Horizon | N | Median | Mean | Win rate | 25th–75th | MAE | MFE |
|---|---|---|---|---|---|---|---|
| 1D | 44 | -0.12% | +0.48% | 47.7% | -1.87% to +2.34% | -0.95% | +1.37% |
| 3D | 44 | +0.34% | +0.27% | 52.3% | -3.83% to +3.11% | -4.22% | +2.63% |
| 5D | 44 | +0.03% | +0.34% | 50.0% | -3.64% to +2.77% | -4.55% | +3.51% |
| 7D | 44 | +0.12% | -0.13% | 52.3% | -5.41% to +4.26% | -6.01% | +3.80% |
| 14D | 44 | -0.28% | +0.84% | 47.7% | -4.42% to +3.52% | -6.26% | +4.31% |
| 30D | 44 | +2.26% | +5.26% | 61.4% | -3.41% to +11.36% | -7.68% | +10.30% |
| 90D | 42 | +0.91% | +25.43% | 50.0% | -13.53% to +49.63% | -16.29% | +26.23% |
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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