English
Sett deg på ventelisten
Bøkene... men ikke gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistikkMarkedsstatistikk og edger1,327StrategierBibliotek med testede strategier18ForskningsrapporterStudien bak algoene301DokumentasjonProBuilder-referanse27AlgoutviklingsprogramKurs og leksjoner24Alt dette mater de 24 algoeneSe algoene

Statistikk › Krypto › 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%Utenfor utvalget2014 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

Kun for medlemmer

Resten av denne siden er for medlemmer

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.

Du kan fortsette å se på all statistikk i biblioteket gratis. Innledningen og sammendraget er alltid åpne.