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Cross-Sectional Momentum Across Liquid Crypto Majors
rotate into the strongest coins
Cross-sectional momentum ranks coins and holds winners against losers; academic work finds crypto XS momentum delivers higher Sharpes than G10 FX, with the edge strongest in the most volatile names. It is a distinct return stream from single-asset trend and diversifies the book.
Why it's relevant now
Dispersion among majors (SOL vs ETH vs BTC) tends to widen in transitional regimes, giving a ranking signal more to work with than in a uniform risk-on melt-up.
Universe
A basket of yfinance-served majors — BTC-USD, ETH-USD, SOL-USD (extend with other liquid *-USD pairs yfinance serves, e.g. ADA-USD, XRP-USD).
How it works
Each week/month rank the basket by trailing 30–90 day return; go long the top third, short/underweight the bottom third; vol-scaled equal weights; rebalance on the ranking cadence.
Expected performance
Research-derived Sharpe estimate: 0.5–1.1. academic crypto XS momentum ~1–2 gross; discounted for small universe, crowding, and rebalance costs).
Backtest this idea with SignalChain
This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:
/signalchain Cross-sectional momentum on BTC-USD, ETH-USD, SOL-USD, ADA-USD, XRP-USD: monthly rank by 60-day return, long top third short bottom third, vol-scaled.
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Research & sources
- papers.ssrn.com — papers.ssrn.com
- assets.super.so — assets.super.so
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Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.