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#40 Momentum among blue chips only: Bitcoin and the top 10 No reliable edge
Past prices; no real orders were placed. Every figure is a share of the money, or a count.
Last checked: 26 October 2026.
Where the idea comes from
- Momentum across assets was documented by Narasimhan Jegadeesh and Sheridan Titman (1993), and in crypto by Yukun Liu and Aleh Tsyvinski (2021) and by Liu, Tsyvinski and Xi Wu (2022). Its history, maths and catch are on our theory page "Momentum: do recent winners keep winning?".
- Keeping to the largest coins is our own variation, to see whether the effect needs small, volatile coins.
The question
Our momentum studies (across coins and tested again on 2018–2020) found that buying the coins that rose most lately, and selling short those that fell most, made money from 2018 to 2026, but mostly among small, volatile coins. Some of those coins can fall 90% in a week, or go to zero. Does momentum still work if we keep only Bitcoin and the largest coins, which are less likely to vanish?
How we tested
- The coins, as known at the time:
- each year's list of the largest coins by market value, as CoinMarketCap published it in the first week of January (and on 1 July 2018);
- stablecoins and wrapped tokens left out;
- each Monday, the first 10 on that year's list that Binance traded.
- Terra (LUNA) stays in 2022: a blue chip that did go to zero is part of the truth.
- The book, fixed before any price was read:
- rank the 10 by their last 4 weeks;
- buy the top third (3 coins) and sell short the bottom third (3 coins);
- one sixth of the money each, held a week.
- With only 10 coins, a fifth would be 2 a side, too few to spread the risk.
- Costs: the market-order fee (0.055% on futures, 0.1% on spot) and the futures funding.
- Two periods, judged apart: futures, 2021 to September 2026; spot, July 2018 to 2020.
- The control: 1,000 books picking 3 and 3 at random from the same 10. To pass, the real book had to make money and beat 95% of them in each period.
The maths, step by step
1. The book. Ten coins: the top third is 3, the bottom third 3. Half the money each side, split 3 ways: 1/6 each.
2. A week. If the 3 bought rise 2% on average and the 3 sold rise 3%, the book makes 50% × 2% − 50% × 3% = −0.5%: being right about the market's direction doesn't matter, only which coins do better.
3. Over the period. The book averaged −0.24% a week. Over 300 weeks, with the ups and downs, that came to −62%.
4. Against luck. The real book did better than only 26% of the random books: worse than picking at random three times out of four.
What we found
1. On futures, 2021 to 2026, it lost clearly.
- −0.24% a week, −62% over the period, a worst fall of 63%.
- It made money in only 2 of the 6 years.
- Every other ranking period lost too: 1 week −61%, 2 weeks −48%, 8 weeks −55%.
- Funding hardly mattered for these coins: about 0.01% a week.
2. On spot, 2018 to 2020, it made a little, not enough to count: +0.16% a week, beating 84% of random books (the bar was 95%). Shorter ranking periods did better there, but they weren't the setting, and they lost on futures.
3. Where the momentum was. Among the largest coins, last month's winners didn't keep winning from 2021 to 2026; if anything, they slipped back a little. The momentum our earlier studies found came from the small, volatile coins, and in the last year about half of it from the funding those coins paid.
What it means
- On blue chips the momentum effect was gone: the safer coins removed it.
- The trade-off is plain. The momentum that made money lived in coins that can lose most of their value in a week. Our paper test of it runs with a hard stop at a 60% fall.
Limits
- 10 coins that move together; with 3 a side, one coin moves the book.
- The yearly lists were read from CoinMarketCap's public weekly snapshots.
Update, 21 October 2026: wording
Added after this page was published. The text above is left as it was, except the wording this lists.
- One conclusion rewritten as what the data showed, in a researcher's voice rather than as advice to the reader. The findings and figures are unchanged. Before:
- "Don't run momentum on blue chips: the safer coins remove the effect."
Credits
- Narasimhan Jegadeesh and Sheridan Titman, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency", Journal of Finance, 1993: momentum across stocks.
- Yukun Liu and Aleh Tsyvinski, "Risks and Returns of Cryptocurrency", Review of Financial Studies, 2021; Yukun Liu, Aleh Tsyvinski and Xi Wu, "Common Risk Factors in Cryptocurrency", Journal of Finance, 2022: momentum in crypto.
- The book follows our study "Momentum across coins: buy the strongest, sell the weakest"; the blue-chip lists and the random books are our own design.
- Data: CoinMarketCap's public weekly snapshots (the yearly lists); Binance's public prices and funding.
- PerpGremlin and Claude, Momentum among blue chips only: Bitcoin and the top 10, TerminalGremlin, 2026: the tests, the code and the words.
← Momentum, tested again on 2018–2020More Bitcoin, without adding money →
Educational research from public market data; any trading discussed is paper, never real. Nothing here is advice. The full notice.