Are Bitcon returns predictable?: Evidence from technical indicators

Li Liu

Physica A: Statistical Mechanics and its Applications, 2019, vol. 533, issue C

Abstract: We examine the predictive ability of technical indicators for excess returns to Bitcoin prices. Our out-of-sample evidence suggests the existence of significant return predictability. Combining all technical information results in out-of-sample R2 as high as 0.523%. The dynamic strategy based on the return forecasts from combining technical information achieves the CER gains greater than 130%.

Keywords: Bitcoin return; Predictive regression; Certainty equivalent return (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:533:y:2019:i:c:s0378437119311380

DOI: 10.1016/j.physa.2019.121950

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