Systematic Trend-Following with Adaptive Portfolio Construction: Enhancing Risk-Adjusted Alpha in Cryptocurrency Markets
Bui and Nguyen (2026) study momentum and trend following in crypto over 2022–2024. The abstract mentions a Sharpe ratio, an information ratio, alpha, excess returns, drawdowns, a benchmark, an out-of-sample test and transaction costs but not multiple testing or the size of the universe.
“We propose AdaptiveTrend, a multi-component algorithmic trading framework that integrates high-frequency trend-following on 6-hour intervals with monthly adaptive portfolio construction and asymmetric long-short capital allocation.”
AssetCryptospot crypto
StrategyMomentumportfolio optimization
FrequencyIntraday
Sample window2022–2024
Also stated: Sharpe ratio, Information ratio, Alpha, Excess return, Drawdown, Long-short, Long-only, benchmark, out-of-sample test, costs
Missing from abstract: multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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