Sector Momentum in Crypto (Python)

Bringing a Strategy from the Tradfi World to Crypto

Sector Momentum is a well known anomaly from equities and is a very popular strategy.
In crypto different sectors are rarely looked at though, we change that in this article.
In equities sector momentum is usually traded using sector ETF’s. We don’t have this in crypto so we will instead look at the top cryptocurrency in the corresponding sector.

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Table of Content

1. Choosing the Asset Universe

2. Measuring Momentum

3. Long Only Strategy

4. Percentiles, Quantiles and Numerical Integration

5. Long/Short Strategy

6. Final Remarks