Bitcoin intraday momentum

Checked October 2026

The rule trades bitcoin in the last half hour, long only when the day is up and the half hour before the close is down, and short in the mirror case. Shen, Urquhart and Wang published it in the Financial Review in 2022. Backtoast ran it. This version failed our test, losing 31.8% a year over 905 trades.

Backtoast

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Bitcoin intraday momentum

The day follows Coinbase's session, which closes at 5:00 p.m. Eastern. If bitcoin is up from the previous close to 10:10 a.m. and down from 4:00 to 4:30 p.m., the rule buys for the last half hour, and in the mirror case it shorts. Otherwise it stays out, so it's one trade a day at most.

The run used Binance prices on those hours, fixed in UTC, because Coinbase minute data was still loading.

It's the crypto version of stock intraday momentum and of last half hour momentum on futures.

When it works

The paper found the pattern strongest on high-volume, volatile days and most useful in bitcoin downturns. It's in the market for 30 minutes a day at most, so it carries far less exposure than holding bitcoin. Trading only the busiest, most volatile days is the variant worth trying.

Origins

Shen, Urquhart and Wang reported 16.7% a year for the combined rule from 2013 to 2020, and that a cost of 10 basis points a trade, a tenth of a percent, would wipe it out. The run is from late 2021 to September 2026.

The run is Backtoast's, from 29 October 2026, after costs.