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The hypothetical I'm trying to work through is what happens to the market price if Saylor is convincing large bitcoin holders, who weren't looking to sell, to sell to him (perhaps even by offering them something in return that we aren't aware of).
I figured comparing these large ones to the smallest announcements might also reveal some measurable difference in price behavior
You're assuming the purchase is an independent variable though. What I was proposing is that the purchases are larger or smaller depending on market features: i.e. he buys less when buying more would dramatically move the price.
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This is some of why I tried looking at a full year's worth of data. If you look at the average of daily closes for the 7 days before every buy announcement and the average for the 7 days after every buy announcement and then compare:
Maybe there is a slight avg higher price in weeks after Saylor announced that he bought bitcoin.
I think even if we can't find a reliable effect, it's still a little remarkable that there doesn't seem to be a correlation to any real market price action in the areas around his biggest announcements.
There were 12 separate events where Saylor announced purchases over 10k bitcoin. 4 of these were close to or above $2 billion transactions. I figured comparing these large ones to the smallest announcements might also reveal some measurable difference in price behavior -- but unfortunately I didn't find a correlation. I'd be very curious if someone with some real statistics training could find something else.