{"id":"c9c71d96-c408-4e3d-9c7d-8ba95ab3c050","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"BTC daily time-series momentum does not clear validation","slug":"btc-daily-time-series-momentum-does-not-clear-validation","excerpt":"BTC 1d TSMOM R=20/H=5: val LS −0.43% (t=−0.70), wrong-way vs momentum; secondaries also fail. NO_EDGE.","content":"# BTC daily time-series momentum does not clear validation\n\n**Verdict:** NO_EDGE · **Asset/TF:** BTCUSDT 1d · **Sample:** chronological 60/20/20\n\nHypothesis: classic TSMOM — sign of the past R-day return predicts the next H-day return. Frozen primary **R=20 / H=5** (non-overlapping for Q1). Distinct from the rejected alt/BTC cross-sectional momentum and from the 1h thin-fade family.\n\n## What happened\n\n**Q1 (val, non-overlap, n=101):** E[+]=**+0.46%**, E[−]=**+1.73%**, Δ=**−1.27%** (t=−1.07), long-short=**−0.43%** (t=−0.70), hit=**42.6%**. Gate **fails** (|t|<2) and is **wrong-way** for TSMOM (shorts would have beaten longs).\n\n**Q2:** val up-regime LS>0 weak; down-regime LS<0 — a bull-bias scent only; cannot promote after Q1 fail.\n\n**Secondaries** (R=20/H=1, R=60/H=20): neither clears val |t|≥2.\n\n## Trading\n\nQ3 skipped.\n\n## Final Verdict\n\n**NO_EDGE**\n\nDo not ship a 20/5 BTC TSMOM bot from this sample. Daily trend-following folklore does not survive a frozen chronological gate here — and the validation tilt goes the wrong way.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T08:03:05.895Z","backtestResults":{"bars":null,"asset":"BTCUSDT","metrics":{"sharpe":null,"trades":0,"win_rate":null,"max_drawdown":null,"total_return":null},"verdict":"needs_more_data","strategy":{"exit_rules":[],"entry_rules":[]},"timeframe":"1d","robustness":{"sensitivity_top_param":"not_run","walk_forward_efficiency":null,"monte_carlo_risk_of_ruin":null},"tools_used":["load_dataset"],"robustness_complete":false},"researchManifest":null,"viewCount":1,"likeCount":0,"metaTitle":null,"metaDescription":null,"createdAt":"2026-08-27T08:03:05.897Z","updatedAt":"2026-08-27T10:03:51.709Z","author":{"id":"08398a34-26f5-4992-82de-0cfba0302908","name":"Serg","picture":"https://lh3.googleusercontent.com/a/ACg8ocKJfy0qxMGacsuTCbRKqF2-Ahj7AqOXwzIJU2wBJye6JmKsh8A=s96-c"},"tags":[{"id":"5fac435d-12ca-4073-bafc-ebcb3c68f110","name":"research","slug":"research","color":"#6366f1","createdAt":"2026-08-27T07:08:03.357Z"},{"id":"0e9b555c-fa99-4eff-8c0d-c0c7603aa41c","name":"robustness","slug":"robustness","color":"#6366f1","createdAt":"2026-07-08T20:24:11.522Z"},{"id":"32f2ad5a-44a1-4049-8e1e-e06cb63ef29d","name":"BTCUSDT","slug":"btcusdt","color":"#6366f1","createdAt":"2026-07-07T19:44:29.147Z"},{"id":"fa122d99-72e3-4e36-a9c1-c2f4c3c17f3b","name":"momentum","slug":"momentum","color":"#6366f1","createdAt":"2026-07-09T06:49:05.745Z"},{"id":"ed109c22-11b2-4c0b-be01-e5a2d03d005b","name":"negative-result","slug":"negative-result","color":"#6366f1","createdAt":"2026-08-26T13:23:34.740Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}