Same Principles, Different Calibration
Momentum effects exist in both crypto and equity markets, but the magnitude differs. Bitcoin momentum effects are 2-3x larger than equivalent equity effects, based on academic research from Liu and Tsyvinski at Yale. The MTE accounts for this through asset-class-specific parameter sets calibrated through separate backtesting.
Crypto Adjustments
Crypto has higher volatility (wider stops needed), 24/7 trading (overnight risk management), stronger narrative sensitivity (faster signal adaptation), and more varied liquidity (asset-specific execution). The MTE uses shorter lookback periods and higher entry thresholds for crypto to capture the faster-moving momentum dynamics.
Stock Adjustments
Equities have lower volatility (tighter stops), defined trading hours, earnings-driven catalysts, and deeper liquidity. The MTE uses longer lookback periods and lower entry thresholds for stocks, reflecting the steadier pace of momentum development in equity markets.
Cross-Market Signal Comparison
Comparing signal strength across crypto and stocks reveals where momentum conditions are strongest, helping you allocate attention and capital to whichever market currently offers the best opportunities.
Explore these tools on Blockcircle: Momentum Trading Engine