Adaptive Optimization of a Dual Moving Average Strategy for Automated Cryptocurrency Trading

Andres Romo, Ricardo Soto (), Emanuel Vega, Broderick Crawford, Antonia Salinas and Marcelo Becerra-Rozas
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Andres Romo: Escuela de Ingeniería Informática, Pontificia Universidad Católica de Valparaíso, Valparaíso 2362807, Chile
Ricardo Soto: Escuela de Ingeniería Informática, Pontificia Universidad Católica de Valparaíso, Valparaíso 2362807, Chile
Emanuel Vega: Escuela de Ingeniería Informática, Pontificia Universidad Católica de Valparaíso, Valparaíso 2362807, Chile
Broderick Crawford: Escuela de Ingeniería Informática, Pontificia Universidad Católica de Valparaíso, Valparaíso 2362807, Chile
Antonia Salinas: Escuela de Ingeniería Informática, Pontificia Universidad Católica de Valparaíso, Valparaíso 2362807, Chile
Marcelo Becerra-Rozas: Escuela de Ingeniería Informática, Pontificia Universidad Católica de Valparaíso, Valparaíso 2362807, Chile

Mathematics, 2025, vol. 13, issue 16, 1-17

Abstract: In recent years, computational intelligence techniques have significantly contributed to the automation and optimization of trading strategies. Despite the increasing sophistication of predictive models, classical technical indicators such as dual Simple Moving Averages (2-SMA) remain popular due to their simplicity and interpretability. This work proposes an adaptive trading system that combines the 2-SMA strategy with a learning-based metaheuristic optimizer known as the Learning-Based Linear Balancer ( L B 2 ). The objective is to dynamically adjust the strategy’s parameters to maximize returns in the highly volatile cryptocurrency market. The proposed system is evaluated through simulations using historical data of the BTCUSDT futures contract from the Binance platform, incorporating real-world trading constraints such as transaction fees. The optimization process is validated over 34 training/test splits using overlapping 60-day windows. Results show that the L B 2 -optimized strategy achieves an average return on investment (ROI) of 7.9% in unseen test periods, with a maximum ROI of 17.2% in the best case. Statistical analysis using the Wilcoxon Signed-Rank Test confirms that our approach significantly outperforms classical benchmarks, including Buy and Hold, Random Walk, and non-optimized 2-SMA. This study demonstrates that hybrid strategies combining classical indicators with adaptive optimization can achieve robust and consistent returns, making them a viable alternative to more complex predictive models in crypto-based financial environments.

Keywords: automated trading systems; technical analysis; cryptocurrency; optimization; learning-based optimization (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2025
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