Technical trading rules in the cryptocurrency market

Klaus Grobys, Shaker Ahmed and Niranjan Sapkota

Finance Research Letters, 2020, vol. 32, issue C

Abstract: 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.

Keywords: Technical analysis; Cryptocurrency; Bitcoin; Financial Technology; FinTech (search for similar items in EconPapers)
JEL-codes: G01 G21 G30 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319308852

DOI: 10.1016/j.frl.2019.101396

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