• We examine the profitability of a cryptocurrency momentum strategy using 9 “survivor coins”. • The survivor cryptocurrency momentum portfolio (SCMP) does not generate significant payoffs. • SCMP does not leverage a plain momentum strategy based on a broader set of coins. • Significant payoffs documented for momentum strategies are an artefact of coins that are only temporarily accessible for trading. Motivated by the significant illiquidity observed in the cryptocurrency market—exemplified by phenomena such as "defaulted coins"—this study is the first to investigate a cryptocurrency-specific analog of currency momentum, as implemented among G10 currencies. We analyze nine free-floating cryptocurrencies that remained within the top 100 altcoins by market capitalization during the sample period, spanning January 2017 to August 2024. Using weekly data, we evaluate two cryptocurrency momentum strategies: one focused solely on survivor coins and another utilizing the largest 30 coins for a given year (referred to as "plain cryptocurrency momentum"). Our main findings are as follows: (a) Cryptocurrency momentum is not evident when applied to survivor coins; (b) plain cryptocurrency momentum is profitable only after the dataset is trimmed; (c) the profitability of trimmed plain cryptocurrency momentum does not result from leveraging survivor coin-based cryptocurrency momentum; (d) even after trimming, the profitability of plain cryptocurrency momentum is highly sample-dependent.
Grobys et al. (Mon,) studied this question.