The asset pricing literature documents a growing list of predictable patterns in the cross-section of cryptocurrency returns. But can they be forged into viable trading profits? We answer this question by examining the interplay between economic restrictions and return predictability in cryptocurrency markets. We find that size and volume anomalies originate from micro-cap coins of negligible economic importance. Conversely, the momentum effect prevails in larger cryptocurrencies but incurs substantial trading costs and extracts alphas largely from short positions. Most abnormal returns occur primarily in bull markets and fade over time. Therefore, protocols for identifying tradable cryptocurrency anomalies should focus on long positions, account for transaction costs, consider hard-to-trade coins, and emphasize performance in recent years.

中文翻译：

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加密货币异常和经济限制


资产定价文献记录了加密货币回报横截面中越来越多的可预测模式。但它们能转化为可行的交易利润吗？我们通过研究加密货币市场的经济限制和回报可预测性之间的相互作用来回答这个问题。我们发现尺寸和体积异常源于经济重要性可以忽略不计的微型硬币。相反，动量效应在较大的加密货币中盛行，但会产生大量交易成本，并主要从空头头寸中提取阿尔法。大多数异常回报主要发生在牛市中，并随着时间的推移而消失。因此，识别可交易加密货币异常的协议应关注多头头寸，考虑交易成本，考虑难以交易的币种，并强调近年来的表现。