Quant Galore Crypto #001: Memecoin Momentum with Ox.Fun

Turning memecoins into cash — the smart way.

In the wild, wild west of crypto, you can do all sorts of things.

You can swap one currency for another, use it as barter, or even use curry political favor.

But despite this optionality, pretty much all crypto participants eventually land in one place — plain ol’ speculation.

Now, we don’t judge.

In fact, we’re speculators ourselves, but we figure that if we’re going to play the speculation game — we might as well do it right.

Now, we’re not without incentive — when it works, speculation in crypto can be wildly lucrative. Catching the right coin at the right time can turn a few hundred bucks into five figures overnight.

The problem? Most people rely on vibes, rumors, or whatever’s trending on Twitter/X.

We think there’s a smarter way.

By bringing over our big-boy quantitative tools from traditional finance, we want to tap into that upside — but in a way that’s replicable, systematic, and sustainable.

So, today, we’re going to take a sophisticated, professional approach to one of the murkiest corners in all of crypto: memecoins.

Without further ado, let’s get right into it.

Momentum — More Profitable Than You’d Think

Now, before we even touch a single coin, we first need a real strategy.

As we covered in our Junior Quant’s Guide to Ultra-Leveraged Trading, the process for generating a quantitative trading strategy is generally as follows:

“Start with a broad strategy class, form a clearly-explainable market view, find the optimal instrument, lever up, and go home.”

So, first things first, let’s start off with one of the biggest money-makers around — momentum.

The core idea of momentum trading is that the strongest performing assets continue to perform strongly and the weakest performing assets continue to perform weakly.

Simple enough — but the nuance is where it gets tricky.

In our Junior Quant’s Guide to Time-Series Momentum, we came up with a few solutions to get a working momentum system going in U.S. equities, so let’s see if we can replicate those same techniques here.

To start, we first have to address a core problem:

Problem: There are so, so, so many memecoins.

Every minute a new one sprouts up, just as another one dies. If there are seemingly an infinite amount to choose from, how can we know which ones to buy?

Well, it’s actually kind of simple.

First, we have to establish our trading venue — the place where we can even get access to buying or selling the coins.

For this approach, we’ll go with ox.fun (we have no affiliation):

Ox.fun is what’s known as a decentralized exchange for perpetual futures:

• Decentralized Exchange: It’s like a regular stock exchange, but for crypto assets. It’s “decentralized” because you connect your bank account (wallet) directly to the exchange and make trades just like that — no central clearing, no account approvals — just connect your funds and buy/sell what you want.
• Perpetual Futures: These are just a vehicle for getting exposure to the price movements of a token, like Bitcoin. Like traditional stock futures, these generally provide a great deal of leverage.

Now, the main draw of this specific exchange as opposed to a more popular one, like DyDx, is that the trading universe is immense.

Every day, some of the most popular meme coins are added and you get not just access, but healthy doses of leverage:

So, now that we have our desired venue, the next step is to apply a simple filter to the available assets on it.

A simple heuristic can be “all tokens that traded at least $10,000 worth of volume in the last 24 hours”. This should remove the vast majority of “dead” tokens and return those with at least some life and liquidity:

Naturally, this brings to the top some of the obvious names like Bitcoin and Ethereum, but clearly there’s also some high-quality assets — BOOP, for instance.

Nevertheless, this brings our set of coins to choose from down from thousands to just a hundred or so.

So, now that we have our investing universe (set of assets), we then need a way of filtering through the garbage.

For our U.S. equities momentum strategy, we applied a custom metric that was essentially the beta of a stock multiplied by its sharpe ratio over a given lookback period.

If any of that sounds like jargon — it’s basically just a way of measuring how the price performed.

• Price went straight up to the right = higher scores
• Price went up/down with extreme volatility = lower scores

A simple, but surprisingly effective metric (seriously, check out the original).

If we run that calculation for each coin in our investable universe, we can then use it to rank them from highest to lowest scores. Ideally, we would buy the coins in the highest decile and short those in the lowest.

With our coin universe narrowed and our filtering method in place, we can now lay out a sample strategy:

Strategy:

1. Each day at 8 PM EST, we run our performance metric for the most active and liquid memecoins of the day.
2. We buy a portfolio of the top-n names, ranked based on our metric.
3. At 8PM EST the next day, we sell the portfolio.
4. Repeat.

Before we dive into the historical performance, we first need to make sure to address a common novice mistake in backtesting:

❌ Don’t: Use today’s active memecoins as your historical universe.

This might seem convenient, but it introduces a massive bias. In crypto, plenty of coins are completely dormant for weeks or months until someone tweets, memes, or podcasts them back to life.

Including them in your backtest before they were actually liquid misleads you into thinking you could’ve caught the upside before it happened.

✅Do: Build your universe as of the test date.

That means filtering only for coins that were actively trading (e.g. >$10K volume) on the respective day in history. It’s more work — but at least it’ll be right.

So, picking back up — how accurate was our ranking method for identifying the coins likeliest to have positive 1-day returns?

Let’s check out the performance on a sample of recent dates:

As expected, not every pick was a winner — some saw drawdowns, others nearly doubled overnight. But overall, the system reliably surfaced the coins making the biggest, fastest moves across the board.

Once we confirmed that our crude historical test performed as expected, we were faced with two choices:

• Path A: Keep engineering the backtest
  — Finding the optimal holding durations, exit times, lookback periods, and testing across even more tickers.
• Path B: Go to prod and see what breaks

In 99.9% of cases, Path B is the right move.

Deploy a toy amount (even just $20), and find out what actually happens.

Maybe slippage eats your edge. Maybe the data you thought was available… wasn’t. Maybe something breaks in a way no backtest ever could’ve predicted.

Whatever it is — the feedback from real markets is infinitely more valuable than endless tweaking.

So, that’s exactly what we did.

The process was pretty simple:

Each day at 8PM, we ran a script with the calculations above and got an output like the following:

Then, we simply just bought each in equal dollar amounts and sold the next day:

Once we went through a few more iterations of testing with toy amounts and having nothing break, we felt more comfortable scaling up.

Now, these coins come with 5x+ leverage by default, but these already have enough volatility to make your heart skip.

Being totally transparent, we came face-to-face with the liquidation hammer a few times — after all, at 5x leverage you only need a 20% drawdown to get liquidated — totally within the realm of these names.

So, just a gentle reminder to watch your risk.

We’ve been running this live (with some discretion) for the past few weeks, and it’s held up well.

It’s not a risk-free money printer, but if you’re going to gamble in the world of crypto — this is a pretty solid way.

And in typical Quant Galore fashion, we’re opening it up.

You’ll get the full system — no paywall, no fluff — just pure signal you can run yourself, tweak to your taste, or casually fire up now and then to see how it’s holding up in the real world.

Code

We’ve made this as simple as possible — just download, hit play, and you’re off.

1. Head over to our Memecoin Momentum repository and download the “memecoin-momentum.py” file.
2. Open it in your preferred IDE (we recommend Spyder).
3. Run the file — that’s it.

You’ll get a real-time output of the top 3 memecoins with the highest momentum scores since the last rebalancing, along with their current performance.

Fresh picks, every time you run it — no matter the day.

That’s all there is to it.

Good luck, and happy trading. 🫡🫡

This is the first installment of Quant Galore Crypto — to quickly bring you up to speed, we’ve spent the last few years running The Quant’s Playbook, where we deliver proprietary insights and experiments in quantitative trading.

We aren’t your typical rookies that’ll dump an overfit backtest and then call it a day — we take a big-boy approach to generate rational and viable ideas, apply rigorous standards to our hand-built simulation engines, and most importantly, we put our money where our mouth is. We deploy real capital, run our ideas in live markets, and report the full picture — wins, losses, and all the nuance in between.

If any of that sounds appealing to you whatsoever, stay in the loop with us:

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