Gate Research: Application and backtesting of momentum indicators in the crypto market

From late 2024 through 2025, the BTC market entered a structural phase characterized by high volatility alongside weak and unstable trends. Price behavior exhibited a mixed pattern of range-bound consolidation and episodic volatility expansion. During this period, traditional trend-following momentum strategies frequently underperformed, while momentum structures centered on volatility expansion demonstrated stronger adaptability. Price dynamics indicate that short-term capital dominated trading activity, whereas long-term holdings remained relatively stable but failed to generate sustained trend momentum. Against this backdrop, Bollinger Band breakout–based momentum proved more effective than MACD and RSI in capturing actionable market moves. Overall, the market gradually shifted from a “trend-driven” to a “volatility-driven” trading paradigm, making environment–strategy alignment a key determinant of momentum performance.

• BTC Price Action Overview: From late 2024 to 2025, BTC exhibited a structural pattern marked by active short-term trading and stable long-term holdings. The market lacked persistent unidirectional trends, with prices repeatedly oscillating within ranges while experiencing intermittent volatility expansion. This environment weakened the effectiveness of traditional trend continuation logic and increased reliance on capturing volatility release phases for momentum-based returns.
• BTC Momentum Structure Analysis: Prices repeatedly broke below and rebounded from short-term cost zones, leading to frequent turnover among short-term participants. As a result, trend-based momentum indicators such as MACD generated a high incidence of lagging or false signals. RSI, meanwhile, repeatedly identified oversold rebound conditions in the weak-trend environment, but these rebounds lacked durability and failed to translate into meaningful returns. In contrast, Bollinger Bands demonstrated a stronger ability to capture post-consolidation volatility expansion, emerging as the more effective momentum tool during this cycle.
• Backtesting Results Overview: Under standardized backtesting conditions, MACD and RSI strategies delivered overall negative returns in range-bound and weak market environments. ADX/DMI strategies, due to their higher trend-strength requirements, produced significantly fewer trades, resulting in relatively controlled risk exposure but limited profitability. Bollinger Band breakout strategies, however, achieved higher win rates and lower drawdowns during multiple volatility expansion phases, highlighting the relative advantage of “volatility-driven momentum” within the current BTC market structure.
• Strategy Optimization Directions: In markets characterized by unstable trends and frequent volatility shifts, reliance on a single momentum indicator is unlikely to remain effective over time. A more robust composite momentum framework can be constructed by using ADX as a trend filter, combining Bollinger Bands to capture volatility expansion, and incorporating RSI to identify extreme sentiment conditions. As such, the core focus of momentum strategies has shifted from assessing whether a trend exists to determining when volatility is being released, making regime and environment recognition a critical factor in strategy design.

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12 Aralık 2025

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