Crypto Dual Momentum (BTC / ETH)
Absolute momentum on a two-asset universe. Holds Bitcoin and Ethereum only while each is above its own 100-day moving average and its 90-day trend is positive; anything failing both tests is simply not held, so the strategy sits in cash through downtrends. Weekly.
Why this is expected to work
Trend-following has worked better in crypto than in almost any other asset class, for a structural reason: the market is young, dominated by retail flow, has no valuation anchor to mean-revert toward, and runs 24/7 with no circuit breakers. That combination produces long persistent trends and violent, uninterrupted drawdowns. The critical design choice here is ABSOLUTE momentum (is this asset trending up?) rather than relative momentum (which of the two is trending more?). With only two correlated assets, a relative screen is always fully invested in whichever is falling less, which in crypto means holding through 70-80% drawdowns — Bitcoin has had several. Antonacci (2014) makes the general case that the absolute filter, not the relative ranking, is what does the drawdown work in dual momentum. Position sizing uses inverse volatility because ETH is structurally more volatile than BTC, so equal rupee weights are not equal risk.
How the pipeline works
100-day average
Computes sma_100 = @SMA(close, 100)
@SMA(close, 100) Above its 100-day average
Keeps rows where close > sma_100
close > sma_100 Price 90 days ago
Computes price_90d_ago = @shift(close, 90)
@shift(close, 90) 90-day trend
Computes trend_90d = close / price_90d_ago
close / price_90d_ago 90-day trend positive
Keeps rows where trend_90d > 1
trend_90d > 1 Hold whatever passes
Selects the top 2 by trend_90d
What this template teaches
- Crypto as a security type on the same engine
- Absolute vs relative momentum — going to cash is a position
- Chained calculators building a two-condition trend filter
- Fractional units (you cannot buy a whole Bitcoin)
Crypto Trend Following: Why Absolute Momentum Beats Relative
With two correlated assets, a relative momentum screen is always fully invested in whichever is falling less. In an asset class with repeated 70% drawdowns, that distinction is the whole strategy.
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