Momentum strategies in a bear market
Just ran a short experiment, tetsing how different regression models perform for GEM (momentum) based crypto portfolio selection during a real bear market (May-Dec 2022)
The Luna collapse (May 9), 3AC liquidation (June), and FTX collapse (November) all fall within this window, so it's *really* bear.
Setup: Hand-curated safe-haven universe (tokenized gold, EUR/USD stablecoins), and two competing approaches -- compounding vs linear for fitting the price momentum.
Findings:
- The regression model choice made almost zero difference.
- What mattered was the fitting window. Full-history fits refused to enter the market -- the strategy sat in cash for 8 months, missing oppportunities
- At a 30-day rolling window this small experiment seems to be finding a sweet spot: +6.4% return, Sharpe 1.59, max drawdown -1.39%.
- The winning config sat in cash for 6.5 months, then caught a EUR rally and a short gold rally, before going into EUR again - all in the final 7 weeks.
u/fbielejec — 20 hours ago