This study investigates the predictability of high-frequency returns for 170 cryptocurrencies
using machine learning models. By applying linear, boosting, and neural network models,
we focus on one-hour and eight-hour intervals for cross-sectional and time-series predictions. Key features, including skewness, kurtosis, and CAPM metrics (alpha and beta), significantly influenced the results. Lasso and Elastic Net models performed best, explaining up to 2% of one-hour return variations, while the eight-hour predictions showed reduced accuracy, suggesting the market trends toward weak-form efficiency over longer periods. The study highlights the profitability of machine learning-based trading strategies, particularly in exploiting market inefficiencies at shorter time scales. This research underscores the potential of machine learning models to forecast short-term cryptocurrency returns effectively while illustrating their limitations in longer intervals as market efficiency increases.