Time Series Momentum

Time series momentum focuses on the absolute performance of an individual asset over time, rather than comparing it to other assets. It involves taking a long position if the asset return is positive over a defined period and a short position if it is negative.

This approach is highly effective in cryptocurrency markets where assets often exhibit strong, sustained trends driven by network adoption or liquidity cycles. It ignores the performance of the broader market, making it a pure trend-following strategy.

By analyzing the asset's own history, traders can determine whether to increase or decrease exposure. This method is often used in managed futures or systematic trading funds to capture directional moves.

It is robust against market regime changes because it relies on the asset's internal price dynamics. Risk management is typically handled through stop-loss orders or volatility-adjusted position sizing.

It is a cornerstone of quantitative finance for building diversified trend-following portfolios.