On the Performance of Lagged Momentum and Reversal Strategies Across Daytime and Overnight Sessions in Bitcoin and Ethereum Cryptocurrencies
Year: 2026
Type: article
Abstract: Cryptocurrency markets trade continuously, but their return dynamics need not be uniform over the 24 h cycle. Using hourly Kraken prices from 2016 to 2025, we divide each day into complementary 12 h sessions and evaluate 25 ordered combinations of cash, long, short, momentum, and reversal positions across all 12 non-redundant hourly boundaries. The full-sample selection identifies Reversal/Reversal at an 08:00 UTC daytime start for Bitcoin (BTC) and Long/Reversal at a 05:00 UTC start for Ethereum (ETH). The return mechanisms differ: BTC is associated with conditional reversal in both sessions, whereas ETH combines positive overnight drift with daytime reversal. The selected rules generate higher realized terminal wealth and more favorable drawdown and Sharpe-ratio outcomes than buy-and-hold along the observed full-sample path. These realized differences, however, are not statistically significant in paired bootstrap tests, and Hansen’s Superior Predictive Ability test does not reject the null after accounting for the search over 300 cutoff–strategy combinations. A chronological holdout exercise, in which selection uses only 2016–2020 and evaluation uses 2021–2025, further shows that the ETH rule persists, but the BTC training-selected rule underperforms buy-and-hold. The findings should therefore be interpreted as evidence of asset-specific historical return structure, not as proof of a stable or readily implementable abnormal-profit opportunity. The 0–2 basis-point cost scenarios are illustrative and exclude slippage, market impact, borrowing, and funding costs.
DOI: 10.3390/jrfm19090692
Authors: Zhefan Wu, Eugene Pinsky
Institution: Boston University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $1,689
OpenAlex ID: W7211873144