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Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum

Blanka Łęt
Blanka Łęt
, 
Konrad Sobański
Konrad Sobański
, 
Wojciech Świder
Wojciech Świder
 and 
Katarzyna Włosik
Katarzyna Włosik
   | Dec 31, 2022
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Article Category: Empirical Paper
Published Online: Dec 31, 2022
Page range: 351 - 370
Received: Aug 26, 2022
Accepted: Dec 14, 2022
DOI: https://doi.org/10.2478/ijme-2022-0030
Keywords
© 2023 Blanka Łęt et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Figure 1

NUPL in the period from August 8, 2015 to October 20, 2022.Source: own compilation based on the Glassnode data.Notes: The left panel depicts NUPL for BTC. The right panel depicts NUPL for ETH. BTC, Bitcoin; ETH, Ethereum; NUPL, net unrealized profit/loss.
NUPL in the period from August 8, 2015 to October 20, 2022.Source: own compilation based on the Glassnode data.Notes: The left panel depicts NUPL for BTC. The right panel depicts NUPL for ETH. BTC, Bitcoin; ETH, Ethereum; NUPL, net unrealized profit/loss.

Figure 2

SOPR in the period from August 8, 2015 to October 20, 2022.Source: own compilation based on the Glassnode data.Notes: The left panel depicts SOPR for BTC. The right panel depicts SOPR for ETH. BTC, Bitcoin; ETH, Ethereum; SOPR, spent output profit ratio.
SOPR in the period from August 8, 2015 to October 20, 2022.Source: own compilation based on the Glassnode data.Notes: The left panel depicts SOPR for BTC. The right panel depicts SOPR for ETH. BTC, Bitcoin; ETH, Ethereum; SOPR, spent output profit ratio.

Figure 3

PAP in the period from August 8, 2015 to October 20, 2022.Source: own compilation based on the Glassnode data.Notes: The left panel depicts PAP for BTC. The right panel depicts PAP for ETH. BTC, Bitcoin; ETH, Ethereum; PAP, percent of addresses in profit.
PAP in the period from August 8, 2015 to October 20, 2022.Source: own compilation based on the Glassnode data.Notes: The left panel depicts PAP for BTC. The right panel depicts PAP for ETH. BTC, Bitcoin; ETH, Ethereum; PAP, percent of addresses in profit.

NUPL strategies: performance in the COVID-19 period (2020–2022)

BTC ETH
B&H NUPL 1 NUPL 2 NUPL 3 B&H NUPL 1 NUPL 2 NUPL 3
Min 1.24 1.38 1.83 3.90 −1.18 1.49 1.36 1.14
Max 2.47 1.59 2.18 4.87 3.11 3.21 5.10 14.84
Median 1.14 1.50 2.05 4.62 1.92 2.63 2.70 2.77
Mean 0.64 1.50 2.02 4.50 1.18 2.43 2.52 3.00
St. dev. 1.01 0.07 0.13 0.32 1.26 0.56 0.67 2.01
Sharpe ratio 0.63 20.91 15.18 13.95 0.94 4.34 3.75 1.49
N 7 8 9 103 121 158
Success rate 100% 100% 100% 100% 100% 98.10%

PAP strategies: performance in the COVID-19 period (2020–2022)

BTC ETH
B&H PAP 1 PAP 2 PAP 3 B&H PAP 1 PAP 2 PAP 3
Min 1.24 1.74 1.59 1.44 −1.18 1.62 1.31 1.09
Max 2.47 2.27 2.19 2.18 3.11 2.93 2.58 2.43
Median 1.14 2.00 1.85 1.69 1.92 2.35 2.02 1.92
Mean 0.64 2.00 1.85 1.77 1.18 2.24 1.93 1.81
St. dev. 1.01 0.19 0.21 0.23 1.26 0.35 0.33 0.35
Sharpe ratio 0.63 10.56 9.01 7.74 0.94 6.42 5.87 5.18
N 13 17 22 136 151 174
Success rate 100% 100% 100% 100% 100% 94.83%

NUPL strategies: performance and testing results for the period 2015–2019

BTC ETH
B&H NUPL 1 NUPL 2 NUPL 3 B&H NUPL 1 NUPL 2 NUPL 3
Min −1.79 1.13 0.96 0.91 −2.47 1.77 1.58 1.40
Max 3.22 4.02 4.88 5.48 4.93 20.72 27.44 27.44
Median 0.85 2.00 1.96 1.85 1.21 5.57 5.27 5.34
Mean 0.84 2.18 2.19 2.18 1.18 7.02 6.65 6.67
St. dev. 1.01 0.79 1.04 1.16 1.89 4.54 4.66 4.93
Sharpe ratio 0.83 2.76 2.10 1.88 0.62 1.54 1.43 1.35
N 210 214 217 205 213 227
Success rate 100% 100% 100% 100% 100% 100%
p-value (one-sided test for two means) 0.03** 0.06* 0.14 0.01** <0.01*** <0.01***
p-value (one-sided test for two Sharpe ratios) 0.07* 0.15 0.24 0.07* 0.01** 0.03**

PAP strategies: performance and testing results for the period 2015–2019

BTC ETH
B&H PAP 1 PAP 2 PAP 3 B&H PAP 1 PAP 2 PAP 3
Min −1.79 0.52 1.00 0.69 −2.47 0.41 0.40 0.38
Max 3.22 1.50 3.69 3.91 4.93 14.18 26.56 26.56
Median 0.85 0.81 2.06 1.91 1.21 3.46 3.58 3.45
Mean 0.84 0.99 2.03 1.90 1.18 3.98 4.28 4.41
St. dev. 1.01 0.33 0.74 0.80 1.89 2.91 3.37 3.32
Sharpe ratio 0.83 2.97 2.74 2.38 0.62 1.37 1.27 1.33
N 125 150 181 326 337 363
Success rate 38.40% 100% 97.25% 82.82% 84.57% 90.64%
p-value (one-sided test for two means) 0.39 0.12 0.15 <0.01*** <0.01*** <0.01***
p-value (one-sided test for two Sharpe ratios) 0.04** 0.08* 0.14 0.05* 0.14 0.02**

SOPR strategies: performance and testing results for the period 2015–2019

BTC ETH
B&H SOPR 1 SOPR 2 SOPR 3 B&H SOPR 1 SOPR 2 SOPR 3
Min −1.79 −22.33 −43.39 −43.39 −2.47 −11.18 −11.18 −33.09
Max 3.22 55.20 55.20 55.20 4.93 18.03 18.03 63.59
Median 0.85 1.13 0.80 0.90 1.21 2.18 2.15 1.29
Mean 0.84 2.96 2.13 2.06 1.18 1.93 1.77 1.55
St. dev. 1.01 7.73 8.74 8.51 1.89 4.18 4.36 7.28
Sharpe ratio 0.83 0.38 0.24 0.24 0.62 0.46 0.41 0.21
N 172 207 288 233 271 412
Success rate 54.65% 49.28% 50.69% 66.67% 64.58% 51.70%
p-value (one-sided test for two means) 0.03** 0.10 0.06* 0.25 0.27 0.39
p-value (one-sided test for two Sharpe ratios) 0.35 0.14 0.03** 0.27 0.28 0.35

SOPR strategies: performance in the COVID-19 period (2020–2022)

BTC ETH
B&H SOPR 1 SOPR 2 SOPR 3 B&H SOPR 1 SOPR 2 SOPR 3
Min 1.24 −4.77 −6.00 −6.00 −1.18 −4.14 −4.14 −21.67
Max 2.47 39.65 39.65 39.65 3.11 13.00 37.21 37.21
Median 1.14 4.40 2.99 −0.22 1.92 1.95 2.09 1.47
Mean 0.64 5.18 5.25 2.58 1.18 1.76 2.54 2.30
St. dev. 1.01 9.17 9.91 7.31 1.26 4.02 6.44 7.58
Sharpe ratio 0.63 0.57 0.53 0.35 0.94 0.44 0.39 0.30
N 28 39 114 48 49 98
Success rate 57.14% 62.16% 33.33% 52.08% 55.10% 50%
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