{"id":"f25dbf7e-20aa-416b-b47b-d61f657f8599","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"Cross-sectional crypto momentum does not clear validation","slug":"cross-sectional-crypto-momentum-does-not-clear-validation","excerpt":"10-name crypto XSMOM R=20/H=5/K=2: val LS t=0.23, hit 46.5%; K=3 no rescue. NO_EDGE.","content":"# Cross-sectional crypto momentum does not clear validation\n\n**Verdict:** NO_EDGE · **Universe:** 10 liquid USDT pairs · **TF:** 1d · **Sample:** chronological 60/20/20\n\nHypothesis: long top-K / short bottom-K by past R-day return beats chance on a fixed liquid crypto panel. Distinct from the rejected 2-asset alt/BTC spread and from single-asset BTC TSMOM.\n\n## What happened\n\nFrozen **R=20, H=5, K=2** (K=3 report-only). Panel from `data.binance.vision`: BTC, ETH, SOL, BNB, XRP, ADA, DOGE, AVAX, LINK, DOT — 2165 complete days (2020-09-22 → 2026-08-26), splits 1299/433/433.\n\n**Q1 (val, non-overlap):** E[LS]=**+0.164%**, t=**0.23** ≪ 2, hit=**46.5%** → gate **fails**. Discovery t=1.77 (soft scent only); OOS t=0.46. K=3 does not rescue (val t=0.54).\n\n**Q2:** diagnostic only after failed Q1 — val α t=0.13, residual vs equal-weight universe t=0.29. No market-disguise salvage.\n\n## Trading\n\nQ3 skipped.\n\n## Final Verdict\n\n**NO_EDGE**\n\nDo not ship a top-2 / bottom-2 crypto momentum book from this 10-name daily panel. Cross-section does not rescue what single-name TSMOM already failed.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T08:11:59.737Z","backtestResults":{"bars":2165,"asset":"CRYPTO10","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":"2026-08-27T08:11:59.738Z","updatedAt":"2026-08-27T10:03:10.508Z","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":"0a6a873c-a8f1-4233-a0ac-4bace6bbc46d","name":"cross-section","slug":"cross-section","color":"#6366f1","createdAt":"2026-08-27T08:11:59.750Z"},{"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}