Crypto cross-sectional momentum · 4-week · top 3 of 15 coins (after Liu, Tsyvinski & Wu 2022)
'Common Risk Factors in Cryptocurrency' found coins with the highest past 1-4 week returns keep outperforming. Ranks 15 major coins on 28-day return weekly and holds the top 3. Falsified if it does not beat an equal-weight basket of the same coins.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 8.91% | 10.16% |
| Volatility | 90.24% | 83.92% |
| Sharpe | 0.55 | 0.54 |
| Max drawdown | -88.78% | -89.91% |
| Turnover (per year) | 17.27 |
Deflated Sharpe: 0.00 (n trials: 358) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "W",
"side": "long",
"signal": {
"expr": "rank(ret(28))",
"type": "expr"
},
"start": "2018-01-01",
"top_n": 3,
"universe": [
"BTC-USD",
"ETH-USD",
"SOL-USD",
"XRP-USD",
"ADA-USD",
"DOGE-USD",
"AVAX-USD",
"LINK-USD",
"LTC-USD",
"BCH-USD",
"DOT-USD",
"UNI-USD",
"AAVE-USD",
"XLM-USD",
"ATOM-USD"
]
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/crypto-cross-sectional-momentum-4-week-top-3-of-15-coins-aft-7e3ee2/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy crypto-cross-sectional-momentum-4-week-top-3-of-15-coins-aft-7e3ee2 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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