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<p>Slower momentum signals deliver better risk-adjusted performance than fast signals in Bitcoin, where continuous trading, high volatility, and short-horizon noise make rapid signal adjustment prone to overreaction. We vary momentum speed along a continuous parameter and find that slow signals, based on a 12-week baseline horizon, outperform intermediate and fast alternatives. The equity-market pattern reverses: slow signals hold exposure through profitable disagreement states, while fast signals overreact to noise and show weaker timing performance. Dynamic speed adjustment adds little beyond a simple low-speed rule. The optimal speed is market-specific, and signal speed acts as an endogenous risk-management device, not merely a return-prediction choice.</p>

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Time-series momentum and market timing in Bitcoin

  • 期刊论文

  • 发表日期：

    2026年7月10日

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  • Yeonchan Kang,
  • Doojin Ryu

摘要

Slower momentum signals deliver better risk-adjusted performance than fast signals in Bitcoin, where continuous trading, high volatility, and short-horizon noise make rapid signal adjustment prone to overreaction. We vary momentum speed along a continuous parameter and find that slow signals, based on a 12-week baseline horizon, outperform intermediate and fast alternatives. The equity-market pattern reverses: slow signals hold exposure through profitable disagreement states, while fast signals overreact to noise and show weaker timing performance. Dynamic speed adjustment adds little beyond a simple low-speed rule. The optimal speed is market-specific, and signal speed acts as an endogenous risk-management device, not merely a return-prediction choice.