The profitability of technical trading rules in the Bitcoin market

Dirk F. Gerritsen; Elie Bouri; E. Ramezanifar; D. Roubaud

doi:10.1016/j.frl.2019.08.011

The profitability of technical trading rules in the Bitcoin market

Dirk F. Gerritsen, Elie Bouri, E. Ramezanifar^*, D. Roubaud

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

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.

Original language	English
Article number	101263
Journal	Finance Research Letters
Volume	34
DOIs	https://doi.org/10.1016/j.frl.2019.08.011
Publication status	Published - May 2020

Keywords

Bitcoin
Excess return
Profitability
Technical analysis
Trading rules

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10.1016/j.frl.2019.08.011

1-s2.0-S1544612319303770-mainFinal published version, 923 KBLicence: Taverne

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title = "The profitability of technical trading rules in the Bitcoin market",

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",

author = "Gerritsen, {Dirk F.} and Elie Bouri and E. Ramezanifar and D. Roubaud",

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AU - Bouri, Elie

AU - Ramezanifar, E.

AU - Roubaud, D.

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N2 - 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.

AB - 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.

KW - Bitcoin

KW - Excess return

KW - Profitability

KW - Technical analysis

KW - Trading rules

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JO - Finance Research Letters

JF - Finance Research Letters

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The profitability of technical trading rules in the Bitcoin market

Abstract

Keywords

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