The profitability of technical trading rules in the Bitcoin market

被引：55

作者：

Gerritsen, Dirk F. ^{[1
]}

Bouri, Elie ^{[2
]}

Ramezanifar, Ehsan ^{[1
,3
]}

Roubaud, David ^{[4
]}

机构：

[1] Univ Utrecht, Sch Econ, Utrecht, Netherlands

[2] Holy Spirit Univ Kaslik, USEK Business Sch, Jounieh, Lebanon

[3] Open Univ, Sch Management Sci & Technol, Heerlen, Netherlands

[4] Montpellier Business Sch, Montpellier, France

来源：

FINANCE RESEARCH LETTERS | 2020年 / 34卷

关键词：

Technical analysis; Trading rules; Profitability; Excess return; Bitcoin; VOLATILITY; EFFICIENCY; RETURNS; PREDICT; GOLD;

D O I：

10.1016/j.frl.2019.08.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：10

共 50 条

[31] Cycles of market stability and instability due to endogenous use of technical trading rules
Goldbaum, D
[J]. COMPUTATIONAL FINANCE 1999, 2000, : 481 - 493
[32] Profiting from a contrarian application of technical trading rules in the US stock market
Balsara N.
Chen J.
Zheng L.
[J]. Journal of Asset Management, 2009, 10 (2) : 97 - 123
[33] The Predictability and Profitability of Simple Moving Averages and Trading Range Breakout Rules in the Pakistan Stock Market
Khand, Salma
Anand, Vivake
Qureshi, Mohammad Nadeem
[J]. REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES, 2020, 23 (01)
[34] Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures
Chen, Jing-Chao
Zhou, Yu
Wang, Xi
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 492 : 1664 - 1678
[35] Coevolution of Technical Trading Rules for High Frequency Trading
Adamu, Kamal
Phelps, Steve
[J]. WORLD CONGRESS ON ENGINEERING, WCE 2010, VOL I, 2010, : 96 - 101
[36] Profitability of Nonlinear Dynamics Under Technical Trading Rules: Evidence from Pacific Basin Stock Markets
Krausz, Joshua
Lee, Sa-Young
Nam, Kiseok
[J]. EMERGING MARKETS FINANCE AND TRADE, 2009, 45 (04) : 13 - 35
[37] Stable classes of technical trading rules
Falbo, Paolo
Pelizzari, Cristian
[J]. APPLIED ECONOMICS, 2011, 43 (14) : 1769 - 1785
[38] Profits from technical trading rules
Ready, MJ
[J]. FINANCIAL MANAGEMENT, 2002, 31 (03) : 43 - 61
[39] Cooperative coevolution of technical trading rules
Becker, LA
Seshadri, M
[J]. PROCEEDINGS OF THE 7TH JOINT CONFERENCE ON INFORMATION SCIENCES, 2003, : 339 - 342
[40] Optimization of technical trading strategies and the profitability in security markets
Gencay, R
[J]. ECONOMICS LETTERS, 1998, 59 (02) : 249 - 254

← 1 2 3 4 5 →