比特幣（BTC）市場週期：統計動量視角

胡錦瑟財經

Bitcoin's price typically shows evidence of statistical momentum, where price increases follow upward trends and price decreases follow downward trends. Over longer time frames, this creates price cycles that exhibit phenomena around historical upward trends (Figure 1).

比特幣的價格通常顯示出統計動量的證據，其中價格上漲遵循上升趨勢，價格下跌遵循下降趨勢。在較長的時間範圍內，這會產生圍繞歷史上升趨勢呈現現象的價格週期（圖 1）。

Each past price cycle has had unique drivers, and future price returns have no reason to fully reflect past experiences. Additionally, as Bitcoin matures and is adopted by a broader base of traditional investors, and as the impact of the four-year halving events on supply diminishes, the cyclical nature of Bitcoin's price may reshape or completely disappear. Nevertheless, studying past cycles may provide investors with some guidance regarding Bitcoin's typical statistical behavior, which can inform risk management decisions.

過去的每個價格週期都有獨特的驅動因素，未來的價格回報沒有理由完全反映過去的經驗。此外，隨著比特幣的成熟並被更廣泛的傳統投資者採用，以及四年減半事件對供應的影響減弱，比特幣價格的周期性可能會重塑或完全消失。儘管如此，研究過去的周期可能會為投資者提供有關比特幣典型統計行為的一些指導，從而為風險管理決策提供資訊。

Figure 2 shows Bitcoin's price performance during each previous cycle's appreciation phase. The price at the cycle low (marking the beginning of the appreciation phase) is indexed to 100 and tracked to its peak (marking the end of the appreciation phase). Figure 3 presents the same information in tabular form.

圖 2 顯示了比特幣在先前每個週期升值階段的價格表現。週期低點（標誌著升值階段的開始）的價格指數為100，並追蹤其峰值（標誌著升值階段的結束）。圖 3 以表格形式顯示了相同的資訊。

The first price cycle in Bitcoin's history was relatively short and steep: the first cycle lasted less than a year, while the second cycle lasted about two years. In both cases, the price rose more than 500 times from the previous cycle low. The subsequent two cycles lasted less than three years each. During the cycle from January 2015 to December 2017, Bitcoin's price increased over 100 times, while in the cycle from December 2018 to November 2021, Bitcoin's price rose about 20 times.

比特幣歷史上的第一個價格週期相對較短且陡峭：第一個週期持續了不到一年，而第二個週期持續了大約兩年。在這兩種情況下，價格均比上一個週期低點上漲了 500 倍以上。隨後的兩個週期各持續不到三年。在2015年1月至2017年12月的周期中，比特幣的價格上漲了100多倍，而在2018年12月至2021年11月的周期中，比特幣的價格上漲了約20倍。

After peaking in November 2021, Bitcoin's price fell to about $16,000 in November 2022, marking a cyclical low. The current price increase has been ongoing since then, lasting over two years. As shown in Figure 2, the latest price increase is relatively close to the previous two Bitcoin cycles, both of which lasted about a year before reaching their peaks. In terms of magnitude, the current cycle's approximate 6-fold return is significant but far below the returns achieved in the previous four cycles. Overall, while we cannot be certain that future price returns will resemble past cycles, Bitcoin's history tells us that the latest bull market could continue in terms of both duration and magnitude.

比特幣價格在 2021 年 11 月達到頂峰後，於 2022 年 11 月跌至 16,000 美元左右，創下週期性低點。從那時起，當前的價格上漲一直持續，持續了兩年多。如圖2所示，最新的價格上漲與前兩個比特幣週期相對接近，這兩個週期都持續了大約一年才達到高峰。從幅度來看，目前週期約6倍的報酬率相當可觀，但遠低於前四個週期所達到的報酬率。總體而言，雖然我們不能確定未來的價格回報是否會與過去的周期相似，但比特幣的歷史告訴我們，最新的牛市在持續時間和規模上都可能持續下去。

Figure 3: Four different cycles in Bitcoin's price history

圖 3：比特幣價格歷史的四個不同週期

In addition to measuring past cycles' price performance, investors can apply various blockchain-based indicators to assess the maturity of the Bitcoin bull market. For example, common indicators measure the degree of appreciation of Bitcoin relative to the buyer's cost basis, the extent of new capital inflows into Bitcoin, and the price relative to Bitcoin miners' income levels.

除了衡量過去週期的價格表現外，投資者還可以應用各種基於區塊鏈的指標來評估比特幣牛市的成熟度。例如，常見指標衡量比特幣相對於購買者成本基礎的升值程度、新資本流入比特幣的程度以及相對於比特幣礦工收入水準的價格。

One particularly popular indicator calculates the ratio of Bitcoin's market value (MV) (measured at its secondary market price per token) to its realized value (RV) (measured at the price of its last on-chain transaction per token). This indicator, known as the MVRV ratio, can be viewed as the extent to which Bitcoin's market value exceeds the total cost basis of the market. In the past four cycles, the MVRV ratio reached values of at least 4 (Figure 4). Currently, the MVRV ratio is 2.6, indicating that the latest cycle may still continue. However, the MVRV ratio peaks at lower levels in each cycle, so it may never reach 4 before the price peaks.

一個特別受歡迎的指標計算比特幣的市場價值（MV）（以每個代幣的二級市場價格衡量）與其實現價值（RV）（以每個代幣最後一次鏈上交易的價格衡量）的比率。該指標被稱為 MVRV 比率，可以被視為比特幣市場價值超過市場總成本基礎的程度。在過去的四個週期中，MVRV 比率至少達到 4 的值（圖 4）。目前MVRV比率為2.6，顯示最新週期可能仍會持續。然而，MVRV 比率在每個週期中都在較低水平達到峰值，因此在價格達到峰值之前可能永遠不會達到 4。

Other on-chain indicators measure the extent of new capital entering the Bitcoin ecosystem—experienced cryptocurrency investors often refer to this framework as HODL Waves. Prices may appreciate as new capital purchases Bitcoin from long-term holders at slightly higher prices. There are various specific measures to choose from, but Grayscale Research prefers to use the number of tokens transferred on-chain last year relative to Bitcoin's total freely circulating supply (Figure 5). In the past four cycles, this indicator reached at least 60%—meaning that during the appreciation phase, at least 60% of the freely circulating supply was traded on-chain within a year. Currently, this figure is about 54%, suggesting that we may see more tokens change hands on-chain before the price peaks.

其他鏈上指標衡量新資本進入比特幣生態系統的程度——經驗豐富的加密貨幣投資者通常將此框架稱為 HODL Waves。隨著新資本以略高的價格從長期持有者手中購買比特幣，價格可能會上漲。有多種具體衡量標準可供選擇，但 Grayscale Research 更喜歡使用去年鏈上轉移的代幣數量相對於比特幣自由流通總量的比例（圖 5）。在過去的四個週期中，這項指標至少達到了 60%——這意味著在升值階段，一年內至少有 60% 的自由流通供應量在鏈上交易。目前，這一數字約為 54%，這表明我們可能會看到更多代幣在價格見頂之前在鏈上易手。

Other cyclical indicators focus on Bitcoin miners, the professional service providers securing the Bitcoin network. For example, a common metric calculates the ratio of miners' market cap (MC) (the dollar value of all Bitcoin held by miners) to the so-called "thermal cap" (TC) (the cumulative value of Bitcoin issued to miners through block rewards and transaction fees). The intuition is that when the value of miners' assets reaches a certain threshold, they may begin to take profits. Historically, when the MCTC ratio exceeds 10, the price subsequently peaks within that cycle (Figure 6). Currently, the MCTC ratio is about 6, indicating that we are still in the middle of the current cycle

其他週期性指標則關注比特幣礦工，即保護比特幣網路安全的專業服務提供者。例如，一個通用指標計算礦工市值（MC）（礦工持有的所有比特幣的美元價值）與所謂的「熱上限」（TC）（透過發行給礦工的比特幣的累積價值）的比率。獎勵和交易費用）。直覺是，當礦工資產價值達到一定閾值時，他們可能會開始獲利了結。從歷史上看，當 MCTC 比率超過 10 時，價格隨後在該週期內達到高峰（圖 6）。目前MCTC比率約為6，顯示我們仍處於當前週期的中期