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

页码：32 / 37

页数：6

共 50 条

[41] The Effectiveness of Technical Trading for Arab Stocks
Dbouk, Wassim
Jamali, Ibrahim
Soufani, Khaled
[J]. EMERGING MARKETS FINANCE AND TRADE, 2014, 50 (04) : 5 - 25
[42] Are technical trading rules profitable? Evidence for head-and-shoulder rules
Lucke, B
[J]. APPLIED ECONOMICS, 2003, 35 (01) : 33 - 40
[43] A Biclustering Technique for Mining Trading Rules in Stock Markets
Huang, Qinghua
[J]. 2010 THE 3RD INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND INDUSTRIAL APPLICATION (PACIIA2010), VOL I, 2010, : 17 - 20
[44] Generating trading rules on the stock markets with genetic programming
Potvin, JY
Soriano, P
Vallée, M
[J]. COMPUTERS & OPERATIONS RESEARCH, 2004, 31 (07) : 1033 - 1047
[45] On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach
Bazan-Palomino, Walter
Svogun, Daniel
[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 86
[46] A Biclustering Technique for Mining Trading Rules in Stock Markets
Huang, Qinghua
[J]. APPLIED INFORMATICS AND COMMUNICATION, PT I, 2011, 224 : 16 - 24
[47] Predictive ability and profitability of simple technical trading rules: Recent evidence from Southeast Asian stock markets
Yu, Hao
Nartea, Gilbert V.
Gan, Christopher
Yao, Lee J.
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2013, 25 : 356 - 371
[48] Technical trading rules for nonlinear dynamics of stock returns: Evidence from the G-7 stock markets
Choe K.
Krausz J.
Nam K.
[J]. Review of Quantitative Finance and Accounting, 2011, 36 (3) : 323 - 353
[49] Technical analysis in cryptocurrency markets: Do transaction costs and bubbles matter?
Svogun, Daniel
Bazan-Palomino, Walter
[J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2022, 79
[50] Cryptocurrency trend forecast using technical analysis and trading with randomness-preserving
Liu, Ying-Ho
Huang, Jian-Kai
[J]. COMPUTERS & ELECTRICAL ENGINEERING, 2024, 118

← 1 2 3 4 5 →