The profitability of technical trading rules in the Bitcoin market
Publication date
2020-05
Authors
Gerritsen, Dirk
Bouri, Elie
Ramezanifar, E.
Roubaud, D.
Editors
Advisors
Supervisors
Document Type
Article
Metadata
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License
taverne
Abstract
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.
Keywords
Bitcoin, Excess return, Profitability, Technical analysis, Trading rules, Taverne, Finance, SCI and SSCI Journals
Citation
Gerritsen, D F, Bouri, E, Ramezanifar, E & Roubaud, D 2020, 'The profitability of technical trading rules in the Bitcoin market', Finance Research Letters, vol. 34, 101263. https://doi.org/10.1016/j.frl.2019.08.011