Using Crypto-Asset Pricing Methods to Build Technical Oscillators for Short-Term Bitcoin Trading

【Author】 Yang, Zixiu; Fantazzini, Dean

【Source】INFORMATION

【影响因子】0.000

【Abstract】This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscillators, and two thresholds were introduced to create buy and sell signals. The empirical back-testing analysis showed that some of these methods proved to be profitable with good Sharpe ratios and limited max drawdowns. However, the trading performances of almost all methods significantly worsened after 2017, thus indirectly confirming an increasing financial literature that showed that the introduction of bitcoin futures in 2017 improved the efficiency of bitcoin markets.

【Keywords】bitcoin; trading; network to transactions ratio; network value to realized value ratio; network value to hashrate ratio; active addresses metrics; INET model; volt model; technical oscillators

【发表时间】2022 DEC

【收录时间】2023-01-18

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-数字货币