# ts_momentum / 1

Hypothesis. Returns of liquid crypto assets are positively autocorrelated at the horizon of a few weeks: an asset that went up over the last 30 days is more likely to keep going up than to reverse (time-series momentum, Moskowitz, Ooi & Pedersen 2012).

Rule. For each symbol: weight 1/N if close[t] > close[t - window] (window = 720 hourly bars = 30 days), otherwise 0. The unused part stays in USDC.

What would refute it. No improvement over buy-and-hold in drawdown or Sharpe ratio after costs, out of sample. The signal flips when the price crosses its level of 30 days ago, which can cause repeated in-and-out trades in a flat market; each flip costs fee + slippage on the whole position.