Project Bitcoin

Key signal — VPIN vs price

VPIN measures when one side of the market is consistently more aggressive. The peak of 0.247 on Oct 20 2024 preceded the Q4 breakout — elevated before the price move, not after. This is consistent with the literature: flow toxicity is a leading, not a lagging, indicator of large price moves.

VPIN-50 (amber, right axis) overlaid on BTC close price (left axis). Full-year average: 0.132 · Peak: 0.247 on Oct 20 2024.

Core findings

1. 01
   VPIN led price. VPIN-50 peaked at 0.247 on Oct 20 2024 — two weeks before the Q4 breakout above $70k. It is a lead signal, not a confirmation.
2. 02
   Participation tripled. Daily trade count rose from ~1–2M in early 2024 to 3–4M in Q4, while average trade size fell — structural broadening, not just larger bets.
3. 03
   Order flow tracked returns. Order flow imbalance (OFI = (Buy − Sell) / Total) was positive on up-days and negative on down-days with strong concurrent correlation.
4. 04
   Volatility clusters. Near-zero return autocorrelation confirms near-efficient pricing. Absolute return autocorrelation is large and persistent — GARCH models apply.
5. 05
   Sessions matter. The US/European session overlap (UTC 13–16) consistently dominates volume and shows systematic directional tilts reflecting institutional rhythms.