In active asset management industry, a common approach to Test whether my Strategy Provides significant alpha is to Regress Portfolio Returns on Fama French 3 (or 5 factors) and check whether the alpha is significant.
I Developed a Strategy for cryptos wirh significant alpha at the 5% level when regressed on Fama French 3 factor loadings, i am just wondering is that test 'fair'? Can i keep the results or am i supposed to test it against some 'cryptro factors'? There arent many which are as established as the Fama French ones, on the other hand i definetely need some statistical validation as it is for some scientific paper. The same problem of course arises for all other asset classes such as bonds too.