Factors in the Cryptocurrency Market
From size to momentum
In the previous article we looked at an event based momentum and mean reversion strategy on AMPL.
Event Based Momentum and Mean Reversion
In the previous article we looked at a bunch of different properties and behaviors of the limit orderbook. In this article we are gonna look at a strategy which I actually ran back in the FTX days. You could still run it nowadays but the liquidity is lower nowadays since FTX was the biggest exchange with AMPL.
In this article we are gonna look at a couple of different factors and see how they perform in the cryptocurrency market.
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Table of Content
Data
Mean Reversion
Volatility
Volume
Final Remarks