The effectiveness of technical trading rules in cryptocurrency markets

被引：79
|
作者：
Corbet, Shaen [1 ]
Eraslan, Veysel [2 ]
Lucey, Brian [3 ,4 ]
Sensoy, Ahmet [5 ]
机构：
[1] Dublin City Univ, DCU Business Sch, Dublin 9, Ireland
[2] Borsa Istanbul, TR-34467 Istanbul, Turkey
[3] Trinity Coll Dublin, Trinity Business Sch, Dublin 2, Ireland
[4] Univ Sydney, Business Sch, Sydney, NSW, Australia
[5] Bilkent Univ, Fac Business Adm, TR-06800 Ankara, Turkey
来源：
FINANCE RESEARCH LETTERS | 2019年 / 31卷
关键词：
Bitcoin; Cryptocurrencies; Technical analysis; High frequency trading; Efficient market hypothesis; BITCOIN; FUTURES; INEFFICIENCY;
D O I：
10.1016/j.frl.2019.04.027
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using high-frequency Bitcoin returns. Overall, our results provide significant support for the moving average strategies. In particular, variable-length moving average rule performs the best with buy signals generating higher returns than sell signals.
引用
收藏
页码：32 / 37
页数：6
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