The profitability of technical trading rules in the Bitcoin market

【Author】 Gerritsen, Dirk F.; Bouri, Elie; Ramezanifar, Ehsan; Roubaud, David

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We apply seven trend-following indicators to assess the profitability of technical trading rules in the Bitcoin market. Using daily price data from July 2010 to January 2019, our main results show that specific technical analysis trading rules, mainly trading range breakout, contain significant forecasting power for Bitcoin prices, allowing the outperformance of the buy-and-hold strategy through the Sharpe ratio computed via the bootstrapping method. Results from various sub-periods, representing normal and boom markets, generally confirm our main finding and show that the added value of the trading range breakout rule delivers outperformance in strongly trending markets.

【Keywords】Technical analysis; Trading rules; Profitability; Excess return; Bitcoin

【发表时间】2020 MAY

【收录时间】2022-01-02

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