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.

Additional Metadata
Keywords Technical Trading Rules, Data-snooping, Cryptocurrencies, High-frequency Trading, Foreign Exchange Market, Neural Networks
Thesis Advisor Dijk, D.J.C. van
Persistent URL hdl.handle.net/2105/41546
Series Econometrie
Citation
Bakker, J.J.E. (2018, January 30). Technical Analysis in the Cryptocurrency Market. Econometrie. Retrieved from http://hdl.handle.net/2105/41546