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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.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.