Profitability of technical trading rules among cryptocurrencies with privacy function

【Author】 Ahmed, Shaker; Grobys, Klaus; Sapkota, Niranjan

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This paper studies simple moving average trading strategies employing daily price data on the ten most-traded cryptocurrencies that exhibit the 'privacy function'. Investigating the 2016-2018 period, our results indicate a variable moving average strategy is successful only when applied to Dash generating returns of 14.6% -18.25% p.a. in excess of the simple buyand-hold benchmark strategy. However, when applying our technical trading rules to the entire set of ten privacy coins shows that, on an aggregate level, simple technical trading rules do not generate positive returns in excess of a buy-and-hold strategy.

【Keywords】Technical analysis; Cryptocurrency; Bitcoin; Financial technology; FinTech

【发表时间】2020 JUL

【收录时间】2022-01-02

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