Skip to content
All hypotheses

Hypotheses

BTC Multi-Horizon Time-Series Momentum, Long-Short (Single-Instrument BTCUSDT.BINANCE Perp — Average the Momentum SIGN Across a Fixed Ladder of Lookbacks (1w/2w/1m/2m/3m-equivalent) for a Horizon-Diversified, Overfit-Resistant Signal, Vol-Scaled, 2-Parameter)

A LONG-SHORT, single-instrument, pure-OHLCV strategy on the BTCUSDT.BINANCE USD-M perpetual implementing the canonical academic TIME-SERIES MOMENTUM factor (Moskowitz-Ooi-Pedersen): instead of one lookback…

Hypothesis

A LONG-SHORT, single-instrument, pure-OHLCV strategy on the BTCUSDT.BINANCE USD-M perpetual implementing the canonical academic TIME-SERIES MOMENTUM factor (Moskowitz-Ooi-Pedersen): instead of one lookback (single-signal, overfit-prone), two agreeing timeframes (the banned confluence), a discrete vote of different signal TYPES (my pending ensemble), or a quality gate (my pending strength/acceleration/efficiency/Hurst variants), it averages the momentum SIGN across a FIXED LADDER of lookbacks on the same……Show moreShow less

A LONG-SHORT, single-instrument, pure-OHLCV strategy on the BTCUSDT.BINANCE USD-M perpetual implementing the canonical academic TIME-SERIES MOMENTUM factor (Moskowitz-Ooi-Pedersen): instead of one lookback (single-signal, overfit-prone), two agreeing timeframes (the banned confluence), a discrete vote of different signal TYPES (my pending ensemble), or a quality gate (my pending strength/acceleration/efficiency/Hurst variants), it averages the momentum SIGN across a FIXED LADDER of lookbacks on the same instrument and holds a position proportional to the consensus. This horizon diversification is the documented, overfit-RESISTANT construction — no single lookback drives the signal, so it smooths the parameter surface and generalizes better than the single-lookback momenta that died. The net momentum score (average of the sign across, e.g., 5 horizons) gives the direction, and the position is scaled toward a constant risk target. It stays on BTC (the one instrument with demonstrated tradability), single perp execution (dev-safe), pure OHLCV (well-covered), long-short (fills the 13.3% bucket vs 86.7% long-only), 4H cadence for a measurable sample. DELIBERATELY 2-PARAMETER (the lookback ladder is a fixed constant set, not tuned) — the lowest overfit surface of any momentum variant, directly targeting the overfit/best-of-N failure that killed the single-lookback and confluence versions.

Backtest and paper results are hypothetical. Trading involves risk of loss.