ETF-Flow Event Study — Spot-BTC ETF flows → next-day BTC
PromotedETF-Flow Event Study — Spot-BTC ETF flows → next-day BTC
2026-05-19 · status: promoted · 1.4s
Hypothesis: Daily net flow of US spot bitcoin ETFs (Farside) predicts BTC fwd-1d return and shows session-conditional behaviour (Asia open fade vs continuation). Walk-forward Spearman IC ≥ 0.05 OR |big-inflow − big-outflow| spread ≥ 30 bps in at least one session.
Verdict: PROMOTE — IC = +0.3697, stability 100%, big-inflow vs big-outflow fwd-1d spread = +463 bps. ETF flow is a directional next-day signal.
Key metrics
| metric | value |
|---|---|
| pooled_IC_1d | +0.3697 |
| pooled_CI_1d | [+0.2945, +0.4436] |
| pooled_n | 603 |
| windows_pos | 11 |
| n_windows | 11 |
| stability | +1.0000 |
| inflow_mean_bps | 204.04 |
| outflow_mean_bps | -258.83 |
| inflow_minus_outflow_bps | 462.86 |
| max_session_spread_bps | +56.6968 |
Approach
Farside daily aggregate ETF net flow (US$m) released after NY close. Aligned with BTC return on the next trading day (directional) and with Asia/EU/US session returns of that next day (event-conditional). Walk-forward 6mo train / 2mo test (short-history Option A), 1-day embargo.
Pooled OOS IC (flow_t → BTC fwd-1d log return)
-
Spearman IC:
+0.3697(n=603) -
95% CI:
[+0.2945, +0.4436] -
p-value:
5.78e-21
Event-conditional means (fwd 1d return)
| regime | n | mean_fwd_1d_bps | std_fwd_1d_bps |
|---|---|---|---|
| inflow | 69 | 204.04 | 279.68 |
| outflow | 20 | -258.83 | 202.65 |
| neutral | 514 | -7.77 | 265.11 |
Next-day session conditional means
| session | inflow_mean_bps | outflow_mean_bps | n_inflow | n_outflow | spread_bps |
|---|---|---|---|---|---|
| asia | 16.2 | -40.5 | 69 | 20 | 56.7 |
| eu | 3.04 | -34.89 | 69 | 20 | 37.93 |
| us | -20.77 | -52.35 | 69 | 20 | 31.59 |
Per-window IC (11 windows)
| window | n | IC | ci_low | ci_high | p_value |
|---|---|---|---|---|---|
| 2024-07-12 → 2024-09-12 | 44 | 0.4951 | 0.2018 | 0.7137 | 0.0006 |
| 2024-09-12 → 2024-11-12 | 43 | 0.436 | 0.2088 | 0.6415 | 0.0035 |
| 2024-11-12 → 2025-01-12 | 44 | 0.2556 | -0.0781 | 0.5143 | 0.0941 |
| 2025-01-12 → 2025-03-12 | 42 | 0.2091 | -0.0976 | 0.5345 | 0.1838 |
| 2025-03-12 → 2025-05-12 | 43 | 0.0991 | -0.1961 | 0.398 | 0.5274 |
| 2025-05-12 → 2025-07-12 | 44 | 0.4838 | 0.1524 | 0.6816 | 0.0009 |
| 2025-07-12 → 2025-09-12 | 43 | 0.2838 | -0.0296 | 0.5534 | 0.0652 |
| 2025-09-12 → 2025-11-12 | 43 | 0.2895 | -0.038 | 0.5558 | 0.0597 |
| 2025-11-12 → 2026-01-12 | 40 | 0.3088 | -0.0183 | 0.5491 | 0.0525 |
| 2026-01-12 → 2026-03-12 | 41 | 0.6782 | 0.3719 | 0.8336 | 0 |
| 2026-03-12 → 2026-05-12 | 41 | 0.5046 | 0.1373 | 0.8001 | 0.0008 |
