Cryptocurrency momentum: Is it an illusion?
“Further, we cannot reject the infinite-theoretical-variance hypothesis, implying that t-statistics or Sharpe ratios do not exist for this strategy and the premium is not observable in reality.”
AssetCryptospot crypto
StrategyMomentum
FrequencyWeekly
ClaimSharpe ratiot-statistic
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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