Crypto#142tier 1live in productionNew

`bitcoin treasury proxies`

cadence: Dailydata: mediumlong onlyshort onlylong short

paper

2021

Source

Liu, Y., Tsyvinski, A. (2021). "Risks and Returns of Cryptocurrency." Review of Financial Studies, 34(6), 2689-2727.

Read the paper →

What it checks

MSTR/miners track BTC momentum with leverage.

Mechanism

BTC momentum (1w/1m) predicts itself; miners have 3-5x operating leverage to BTC.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.

Signal rule

30d BTC return z; long when z > +2, short when z < -2; hold 5/10d; fires for {MSTR,COIN,RIOT,MARA,CIFR,BTBT,HUT}

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Paper alpha: BTC Sharpe 1.2
Paper Sharpe: 1.2
Paper window: 2011-2019

Liu-Tsyvinski 2021: BTC momentum Sharpe ~1.2; 3-5x in miners.

Example tickers where this is likely to fire

MSTR COIN RIOT MARA CIFR

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

btc tech correlation regimeCrypto

BTC returns are distinct from equity-factor risk; a basket of crypto-proxy stocks tracks BTC with a 1-2 day lag.

cross sectional momentumMomentum

Cross-sectional momentum (Jegadeesh-Titman 1993): rank stocks vs peers on trailing 12m return excluding the most-recent month, long the top tercile. The single-ticker analog compares the stock to its sector ETF — without explicit peer-by-peer ranks we use the stock-minus-sector residual return as a proxy. Sweep formation periods (126/252d) and skip windows (0 vs 21d) for the Jegadeesh-Titman convention.

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bitcoin treasury proxies