【Author】
Svogun, Daniel; Bazan-Palomino, Walter
【Source】JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
【Abstract】The study of technical analysis in cryptocurrencies has largely ignored the implications of often high transaction costs and bubble periods on trade rule performance. We study the daily and 1 -minute returns of 69 technical trade rules in the form of moving average and breakout strategies, with and without transaction costs, during price bubbles in the 2016-2021 period. For the most profitable trade rules, we find that bubble periods increase the likelihood that Ethereum, Ripple and Litecoin beat buy-and-hold, but not Bitcoin and Bitcoin Cash. Transaction costs decrease this likelihood for Ripple and Litecoin, but increase it for Bitcoin and Ethereum.
【Keywords】Technical analysis; Cryptocurrency; Transaction costs; Asset bubbles
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