Cross-sectional Momentum in Cryptocurrency Markets

15 Pages Posted: 11 Jan 2023 Last revised: 14 Apr 2023

See all articles by Leigh Drogen

Leigh Drogen

Starkiller Capital

Corey Hoffstein

Newfound Research

Kevin Otte

Starkiller Capital

Date Written: January 11, 2023


There is substantial evidence supporting the existence of a short-term momentum anomaly in blockchain based digital assets. Specifically, those assets which perform best (worst) over a 30 day period tend to continue to outperform (underperform) over the subsequent 7 day period. Long-only momentum trading strategies that exploit this phenomenon have consistently delivered excess returns relative to our benchmark (Bitcoin). This paper reviews the evidence of price momentum in cryptocurrency markets, explores the construction of several applicable trading strategies and the potential explanations for the momentum effect.

Keywords: momentum, cryptocurrency, trend following, crypto, blockchain, digital assets

Suggested Citation

Drogen, Leigh and Hoffstein, Corey and Otte, Kevin, Cross-sectional Momentum in Cryptocurrency Markets (January 11, 2023). Available at SSRN: or

Corey Hoffstein

Newfound Research ( email )

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2nd Floor
Wellesley, MA 02481
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Kevin Otte

Starkiller Capital

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