Are simple technical trading rules profitable in bitcoin markets?

Niek Deprez and Michael Frömmel

International Review of Economics & Finance, 2024, vol. 93, issue PB, 858-874

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 (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:93:y:2024:i:pb:p:858-874

DOI: 10.1016/j.iref.2024.05.003

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