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Stats › Crypto › Crypto momentum

One crypto anomaly has survived out of sample, and it is two-week momentum

Original study 2014 to 2018: 3.3%+3.3%Original study2014 to 2018Out of sample 2014 to 2025: 2.6%+2.6%Out of sample2014 to 2025Post-2020 only: 2.1%+2.1%Post-2020only

Weekly quintile 5 minus quintile 1 spread on the two-week momentum sort. t statistics 2.442, 3.89 and 3.70. The out-of-sample figures come from a different data provider and a sample running seven years longer, and they shrink by roughly a fifth rather than vanishing.

Nine cross-sectional crypto sorts were significant in the original study. None kept its alpha against the authors' own factor model. The single exception is short-horizon momentum, which replicated on 2014 to 2025 data with about 20% shrinkage.

+3.3%Weekly quintile spread on two-week momentum, t = 2.44, 2014 to 2018
+2.6%The same sort on 2014 to 2025 data, t = 3.89
+2.1%Post-2020 only, t = 3.70
0.3%Alpha of one-week momentum against the authors' own factor model, t = 0.274

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Below this point there are 5 sections, 1 table and 3 named sources, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.

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