Based on the unique characteristics of the cryptocurrency market, this study explores the effectiveness of the momentum factors in the cryptocurrency market and the underlying mechanism. By constructing long-short investment portfolios using momentum strategies and backtesting historical data of cryptocurrency from 2014 to 2023, it was found that the forecasting capacity of the momentum factors for cross-sectional excess returns in the cryptocurrency market exhibits significant temporal heterogeneity. Specifically, from 2014 to 2018, the momentum factors failed to capture the cross-sectional expected returns of cryptocurrency. However, from 2019 to 2021, momentum strategies were able to achieve statistically significant excess returns, particularly with the four momentum factors tested in 2020 showing notable performance. In contrast, all momentum strategies failed from 2022 to 2023. Further analysis revealed that this phenomenon is associated with market structure and liquidity, investor behavior and sentiment, and macroeconomic policy shocks, providing theoretical support and practical validation for the excess returns of momentum strategies in the cryptocurrency market.