Don't sell in May, stay invested! #SellinMayAndGoAway

main.py

import requests
import pandas as pd
from scipy.stats import ttest_ind

# set up Coingecko API endpoint
base_url = "https://api.coingecko.com/api/v3"
endpoint = "/coins/bitcoin/market_chart"

# set number of days to retrieve historical data for
days = "max"

# make API request for historical price data
params = {
    "vs_currency": "usd",
    "days": days
}
response = requests.get(base_url + endpoint, params=params)
data = response.json()

# extract price data from API response
prices = pd.DataFrame(data["prices"], columns=["timestamp", "price"])
prices["date"] = pd.to_datetime(prices["timestamp"], unit="ms").dt.date
prices.set_index("date", inplace=True)

# set datetime index to prices dataframe
prices.index = pd.to_datetime(prices.index)

# compute daily returns
daily_returns = prices["price"].pct_change()

# compute average daily returns for each month
monthly_returns = daily_returns.resample("M").mean()

# compute average returns for May-October and November-April periods
may_oct_avg = monthly_returns[(monthly_returns.index.month >= 5) & (monthly_returns.index.month <= 10)].mean()
nov_apr_avg = monthly_returns[(monthly_returns.index.month >= 11) | (monthly_returns.index.month <= 4)].mean()

# perform t-test to compare returns for May-October and November-April periods
t, p = ttest_ind(monthly_returns[(monthly_returns.index.month >= 5) & (monthly_returns.index.month <= 10)],
                  monthly_returns[(monthly_returns.index.month >= 11) | (monthly_returns.index.month <= 4)],
                  equal_var=False)

# print results
print("Average monthly returns:")
print(monthly_returns)
print()
print("Average returns for May-October period:", may_oct_avg)
print("Average returns for November-April period:", nov_apr_avg)
print("T-test results: t =", t, ", p =", p)

# interpret results
if may_oct_avg > nov_apr_avg:
    print("Sell in May and go away!")
else:
    print("Don't sell in May, stay invested!")
    
if p < 0.05:
    print("The difference in average returns between May-October and November-April is statistically significant.")
else:
    print("The difference in average returns between May-October and November-April is not statistically significant.") 

Average monthly returns:
date
2013-04-30 0.001155
2013-05-31 0.000289
2013-06-30 -0.009457
2013-07-31 0.006666
2013-08-31 0.007502
...
2022-12-31 0.000457
2023-01-31 0.010613
2023-02-28 0.001359
2023-03-31 0.006307
2023-04-30 0.005894
Freq: M, Name: price, Length: 121, dtype: float64

Average returns for May-October period: 0.001985500916276666
Average returns for November-April period: 0.002644712465366056
T-test results: t = -0.40210273038850486 , p = 0.6884141759230908
Don't sell in May, stay invested!
The difference in average returns between May-October and November-April is not statistically significant.