PARTIAL · lumpy, decaying
Hypothesis
An asset’s own past 1–3 month return predicts its next-month return (Moskowitz–Ooi–Pedersen); going long recent winners / short recent losers across crypto harvests trend.
Math — TSMOM signal
Position = sign of the past-$k$ return, vol-scaled:
$$ w_{i,t} = \mathrm{sign}\big(r_{i,t-k:t}\big)\cdot \frac{\sigma^\*}{\hat\sigma_{i,t}} $$
Method
Lookbacks $k\in\{20,40,60\}$d, vol-targeted, weekly rebalance over 30+ liquid alts, costs and funding applied, 2019–2026 walk-forward.
Results
| Gross Sharpe | 0.7 |
| Net Sharpe after fees + funding | 0.35 |
| Worst drawdowns | sharp trend reversals |
| Edge post-2022 vs pre | decaying |
A real, documented factor that nets a modest positive Sharpe — but it is lumpy (a few big trends make the year), suffers violent reversals, and has been decaying as the trade crowds. Kept as a small, vol-targeted trend sleeve inside a diversified book, never standalone or levered.
Time-series momentum is one of the few effects that replicates across asset classes and decades — which is also why it is crowded and decaying. Real, modest, and not a secret.