Bitcoin momentum strategy

Checked October 2026

This rule buys bitcoin for a week after an unusually strong week, about the top fifth of weeks, and holds cash otherwise. Liu and Tsyvinski published it in the Review of Financial Studies in 2021. Backtoast ran it. It made 13.5% a year over 26 trades, the highest yearly return in the whole set, and it failed.

Backtoast

You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Bitcoin momentum strategy

It's time-series momentum on bitcoin alone, measured Sunday to Sunday. A strong week means long for the next week, another strong week keeps it on, and the rest of the time the account is in cash.

The paper sets the cutoff from its first two years of data. The run estimated it from the past two years of bitcoin's volatility, which works out to about the top fifth of weeks, and started trading in January 2023 once two years of data were in.

Bitcoin moving average is the other bitcoin trend rule here, holding while price is above its 20-day average.

Where it comes from

From 2011 to 2018, Liu and Tsyvinski found bitcoin returned 11.22% in the week after a top-fifth week, against 2.60% after a bottom-fifth week, and 7.88% against 3.35% with no hindsight in the cutoff. The paper reports returns by group, so holding only after the top group is this run's reading of it. The run is from late 2021 to September 2026.

The run is Backtoast's, from 29 October 2026, after costs.