Technical Analysis in the Cryptocurrency Market
Assessment of intra-day trading strategies in the BitCoin market based on multiple data-snooping tests
This paper examines the profitability and significance of a universe of 3312 intra-day technical trading rules on the 5-minute BTC/USD spot exchange rate between January 2013 and July 2017. We find numerous significantly profitable trading strategies, even after adjusting for data-snooping effects and transaction costs. However, profitability is highly unstable and declines over time. Combining signals of multiple trading rules by means of a neural network classification algorithm results in strategies which outperform the individual trading rules and benchmarks based on risk-adjusted profitability and break-even transaction costs. It is concluded that technical analysis in the cryptocurrency market is significantly profitable and that the cryptocurrency market is not fully efficient.
|Keywords||Technical Trading Rules, Data-snooping, Cryptocurrencies, High-frequency Trading, Foreign Exchange Market, Neural Networks|
|Thesis Advisor||Dijk, D.J.C. van|
Bakker, J.J.E. (2018, January 30). Technical Analysis in the Cryptocurrency Market. Econometrie. Retrieved from http://hdl.handle.net/2105/41546