Returns are demonstrably not serially correlated in most financial time series (Day 1 returns are uncorrelated to Day 2 returns etc.) . Since this is the case, how can momentum trading strategies work? What is the mathematical basis that can explain why momentum trading strategies work if there is not, in fact, a correlation between today's price movement and tomorrow's?
EDIT: As an example, take Bitcoin (it's what I'm looking at). I think it is intuitively/visually/conceptually obvious that there are strong momentum patterns. However, I have looked at autocorrelation in returns on timeframes ranging from 1 day to 30 days, and there is no autocorrelation. Perhaps my question should be the following: How can this "subjectively obvious" momentum be expressed, if not in autocorrelation of returns (which is absent)?