Technical trading rules in the cryptocurrency market

Grobys, Klaus; Ahmed, Shaker; Sapkota, Niranjan (2020-01-01)
 
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https://doi.org/10.1016/j.frl.2019.101396

Grobys, Klaus
Ahmed, Shaker
Sapkota, Niranjan
Elsevier
01.01.2020
doi:10.1016/j.frl.2019.101396
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https://urn.fi/URN:NBN:fi-fe2020061142822

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vertaisarvioitu
©2019 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/BY-NC-ND/4.0/).
Tiivistelmä
This paper studies simple moving average trading strategies employing daily price data on the eleven most-traded cryptocurrencies in the 2016–2018 period. Our results indicate a variable moving average strategy is successful when using the 20 days moving average trading strategy. Specifically, excluding Bitcoin the technical trading rule generates an excess return of 8.76% p.a. after controlling for the average market return. Our results suggest that cryptocurrency markets are inefficient.
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