Beyond Momentum: Testing New Crypto Trading Strategies

Exploring the Potential of Alternative Signals

Introduction

Cryptocurrency markets are often dominated by strategies centered on trend and breakout signals, driven by high volatility and sentiment-driven trading. While these approaches have proven effective, recent academic research has proposed alternative signals that do not directly measure momentum. I explore several strategies based on two of these newly proposed signals and combine them with momentum signals. The combined strategies yield CAGRs exceeding 100% and Sharpe ratios well above one, outperforming benchmark portfolios and Bitcoin.