Instantenous Momentum (Ethereum)

Measure of the instantenous momentum of an asset.

Predictive Strength

Negligible

Ethereum historically had ▲ 9.21% 30 days returns when Instantenous Momentum was▆ High (0.6 - 0.8). It indicates higher than average expected returns.

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ETH Price with Instantenous Momentum

Factor Plot

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▆ Very Low▆ Low▆ Moderate▆ High▆ Very High

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Our Methodology

Predictive Strength

Negligible

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Instantenous Momentum Factor is a proprietary measure of the momentum of an asset, calculated based on a range different lookback periods.

Potential Edge

Mechanical Feedback Loops From Leveraged Trading

Leveraged positions and stop-loss orders create cascading buy/sell pressure. For example:

Rising prices trigger margin calls on short positions, forcing liquidations that accelerate upward momentum
Falling prices similarly amplify downward moves via long-position liquidations
Fast Momentum indicators detect these feedback loops early, as they manifest in abrupt price-rate changes on intraday charts

Network Effects & Asymmetric Information Flow

Cryptocurrency valuations often depend on viral adoption cycles and developer activity spikes. Faster Momentum indicators:

Detect early accumulation phases before network growth becomes public knowledge
Identify "hot" assets benefiting from protocol upgrades or partnerships not yet priced in
Studies show crypto momentum strategies generate alpha in 7-30 day windows, aligning with typical news dissemination lags

Backtest (Strategy Performance) - Strategy

Strategy Yearly Returns (CAGR)

100.00%

Sharpe Ratio

1.00

Max Drawdown

100.00%

Beta

1.00

Volatility

51.53%

To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):

Long when the predictive factor is above 0, with a position size equivalent to the predictive factor value.
Short when the predictive factor is below 0, with a position size equivalent to the predictive factor value.

The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.

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