Are simple technical trading rules profitable in bitcoin markets?
- Author
- Niek Deprez (UGent) and Michael Frömmel (UGent)
- Organization
- Project
- Abstract
- This paper examines the profitability of simple technical trading rules in bitcoin markets comprehensively, by taking into account realistic investor behaviour and transaction costs, and data mining problems. Realistic investor behaviour is replicated by first employing 75,360 simple technical trading rules, divided over 6 commonly used trading rule classes and daily and intraday frequencies. Next, we select the best performing rules after transaction costs using a multiple hypothesis procedure. Finally, we form portfolios combining the selected rules and analyse their out-of-sample performance. We find that, especially risk–return wise, simple technical trading rules can outperform a buy-and-hold strategy in the bitcoin market out-of-sample.
- Keywords
- Bitcoin, Technical analysis, False discovery rate, Intraday, FALSE DISCOVERIES, HIGH-FREQUENCY, INEFFICIENCY, PERFORMANCE
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-01HY3C3S169G1N6QNYR55NZMFB
- MLA
- Deprez, Niek, and Michael Frömmel. “Are Simple Technical Trading Rules Profitable in Bitcoin Markets?” INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, vol. 93, 2024, pp. 858–74, doi:10.1016/j.iref.2024.05.003.
- APA
- Deprez, N., & Frömmel, M. (2024). Are simple technical trading rules profitable in bitcoin markets? INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 93, 858–874. https://doi.org/10.1016/j.iref.2024.05.003
- Chicago author-date
- Deprez, Niek, and Michael Frömmel. 2024. “Are Simple Technical Trading Rules Profitable in Bitcoin Markets?” INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 93: 858–74. https://doi.org/10.1016/j.iref.2024.05.003.
- Chicago author-date (all authors)
- Deprez, Niek, and Michael Frömmel. 2024. “Are Simple Technical Trading Rules Profitable in Bitcoin Markets?” INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 93: 858–874. doi:10.1016/j.iref.2024.05.003.
- Vancouver
- 1.Deprez N, Frömmel M. Are simple technical trading rules profitable in bitcoin markets? INTERNATIONAL REVIEW OF ECONOMICS & FINANCE. 2024;93:858–74.
- IEEE
- [1]N. Deprez and M. Frömmel, “Are simple technical trading rules profitable in bitcoin markets?,” INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, vol. 93, pp. 858–874, 2024.
@article{01HY3C3S169G1N6QNYR55NZMFB,
abstract = {{This paper examines the profitability of simple technical trading rules in bitcoin markets comprehensively, by taking into account realistic investor behaviour and transaction costs, and data mining problems. Realistic investor behaviour is replicated by first employing 75,360 simple technical trading rules, divided over 6 commonly used trading rule classes and daily and intraday frequencies. Next, we select the best performing rules after transaction costs using a multiple hypothesis procedure. Finally, we form portfolios combining the selected rules and analyse their out-of-sample performance. We find that, especially risk–return wise, simple technical trading rules can outperform a buy-and-hold strategy in the bitcoin market out-of-sample.}},
author = {{Deprez, Niek and Frömmel, Michael}},
issn = {{1059-0560}},
journal = {{INTERNATIONAL REVIEW OF ECONOMICS & FINANCE}},
keywords = {{Bitcoin,Technical analysis,False discovery rate,Intraday,FALSE DISCOVERIES,HIGH-FREQUENCY,INEFFICIENCY,PERFORMANCE}},
language = {{eng}},
pages = {{858--874}},
title = {{Are simple technical trading rules profitable in bitcoin markets?}},
url = {{http://doi.org/10.1016/j.iref.2024.05.003}},
volume = {{93}},
year = {{2024}},
}
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