Quantitative Research Note2025Canonical long-form →

Cross-Sectional Momentum (18 coins)

IS Sharpe 0.91 → OOS −0.03 : an honest decay; bootstrap CI straddles zero.

Quantitative ResearchPublished Wed Oct 15 2025 00:00:00 GMT+0000 (Coordinated Universal Time)

EVAL-FIRST31 GATESNDA-CLEANPUBLIC DATAALPHASIGNAL > NOISEREPRODUCIBLENOTEBOOK-COMMITTEDCITABLEBIBTEX + DOI

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@techreport{macion2025quant02crosssectionalmomentum,
  author       = {Macion, Christian T.},
  title        = {Cross-Sectional Momentum (18 coins)},
  institution  = {Independent research},
  year         = {2025},
  date         = {2025-10-15},
  note         = {Public-data reproducible. Canonical long-form: https://christianmacion-portfolio.pages.dev/projects/quant/02-cross-sectional-momentum/},
  url          = {https://christianmacion-portfolio.pages.dev/projects/quant/02-cross-sectional-momentum/}
}

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