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Trend following
Does time-series momentum look at its own past, or at a ranking against others?
Time-series momentum
What it bets
The direction of a market's own past return will continue into the next stretch.
How the rule is written
Look at this series' own past return. Positive over that stretch leans long. Negative leans short. Size is often scaled by volatility as well. In the 2012 study by Moskowitz, Ooi, and Pedersen, the formation period is about a year. That is a published result on stocks, bonds, commodities, and foreign exchange. It is not a promise about any one coin.
When it fails
If the trend inside the window was only a shock, the next stretch gives it back. Change the formation period to a few days, and the conclusion can turn into reversal. That is no longer this method.
Do not confuse it with
Cross-sectional momentum compares which name is stronger inside a basket. A market can be rising on its own and still lose to the others in the basket. Time-series momentum ignores that ranking.