Backtest the impact of BTC price dropping 10% within a month, from 2022 to now.
11/4/2025 11:50am
Below is a concise interpretation of the event-study you requested, followed by an interactive module containing the full visual report.
Key findings (2022-01-01 to 2025-11-03):
1. Sample size: 228 instances where BTC’s 30-day return fell ≤ –10 %.
2. Immediate reaction: The day after the drop, BTC’s median excess return is roughly flat (+0.1 %), indicating no statistically significant bounce.
3. Medium-term drift: From day 12 onward, the event portfolio underperforms the buy-and-hold benchmark with growing statistical significance; by day 30 the cumulative excess return is –5 % (≈ –1.8 % vs +3.3 % for the benchmark).
4. Tactical implication: Buying after a 10 % 30-day drawdown has not delivered a reliable mean-reversion edge during this period; instead, momentum carries modestly lower over the next month.
Assumptions auto-filled for you:
• Price series: BTCUSD.UDC closing prices.
• Event definition: 30-day rate-of-change ≤ –10 %.
• Test window: Entire data span (2022-01-01 to present).
• Benchmark: Unconditional BTC performance over the same horizon.
You may explore all statistics, win-rate curves, and confidence intervals in the interactive panel below.
```jgy-json-canvas
{
"show_type": "jgyNewLowcode",
"config": {
"type": "iwencai/stockBackTesting",
"version": "0.0.2",
"url": "https://cdn.ainvest.com/frontResources/s/aime-frontend-foiegras-outer/stockBackTesting/0.0.2/stockBackTesting@0.0.2index.js"
},
"data": {
"datas": [
{
"Backtest Object": "BTCUSD.UDC",
"Backtest Event": "BTC 30-day price drop ≥ 10 % (228 events)",
"Backtest Period": "2022.01.01 - 2025.11.03",
"backtest_result": "https://cdn.ainvest.com/backtest/agent/session/784562/1806f6a1-ea50-47de-85ae-1cd11bbcdc3b/e1999843-7f4e-4fd5-8273-ba347601708f/btc_roc30d_drop10_event_backtest_result.json"
}
]
}
}
```
Feel free to interact with the module for deeper drill-downs (e.g., alternate holding windows, sub-period analysis, or significance overlays). Let me know if you’d like to refine the event definition or layer on additional risk filters.
