Almost five years of price data on Ethereum’s native asset, ether, is used to investigate seasonality and time-of-day effects.

Ether (or ETH) is the second largest cryptocurrency by market capitalisation and the native asset for the Ethereum blockchain. As one of the most heavily traded crypto-assets, second only to bitcoin, ether’s price dynamics and fluctuations are worthy of study.

On July 30, 2020, Ethereum celebrates its fifth birthday. With almost five years of price data for ether (or ETH) available, we take a dive into the numbers to look at seasonality and time-of-day effects, considering both ETH-USD and ETH-BTC in the analysis.

Intraday data can help uncover when the price of ETH has performed well on average, when its price volatility tends to be higher and at what times of the day ETH frequently displays trending/ranging behaviour.

One popular investment strategy is to buy once an asset shows positive momentum. Some measures of momentum include: the rolling 30-day, 60-day, and 90-day returns. The calendar heatmap below displays the rolling 30-day return on investment for ETH since September 2015. Positive returns were transformed to 1 and negative returns are coded as 0 to provide more clarity:

• A green square on the calendar means that on that day, the 30-day return on investment was positive.
• A red square on the calendar means that on that day, the 30-day return on investment was negative.

As shown above, when the 30-day returns have been positive for a few entire weeks, the squares usually remain green for a while. Similarly, once the 30-day ROI turns negative it can stay that way for many weeks at a time.

Throughout the trading history of ETH-USD, the 30-day return on investment has usually been positive in the first two months of the year and May. On the other hand, December has experienced a negative 30-day ROI for all or most of the month between 2015 and 2019 (with 2017 as an exception).

Take caution when interpreting these calendars, as there are only 4/5 observations for each month so far.

The calendar heatmap for ETH-USD’s price volatility is shown below.

As with returns, the 30-day price volatility tends to increase in certain months (February, March, April) while the last two months of the year are usually not as volatile.

Read the rest of our findings on ETH-USD and ETH-BTC time effects here: https://medium.com/interdax/ether-price-dynamics-emerging-trends-from-almost-five-years-of-data-1f775fb67bb6?source=friends_link&sk=48d6c24ebfcb3553247427fa4bfa7fc6