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The Momentum Mirage: +106% One Year, -43% the Next
Weekly crypto momentum survived fees and funding, gained 106% in 2025, then reversed to -43% in the untouched 2026 test. Volatility scaling did not save it.
overfit18 cryptocurrency futures WML · 1w
-43.24% total return-2.33 sharpe42.12% max drawdown
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