Trading Cryptocurrencies Using Second Order Stochastic Dominance

Gil Cohen
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Gil Cohen: Department of Management, Western Galilee Academic College, Acre 2412101, Israel

Mathematics, 2021, vol. 9, issue 22, 1-10

Abstract: This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, Ethereum, XRP, Binance Coin, and Cardano. Results show that our system can predict price trends of cryptocurrencies, trade them profitably, and in most cases outperform the buy and hold (B&H) simple strategy. Our system’s best performance was achieved trading XRP, Binance Coin, Ethereum, and Bitcoin. Although our system has also generated a positive net profit (NP) for Cardano, it failed to outperform the B&H strategy. For all currencies, the system better predicted long trends than short trends.

Keywords: cryptocurrencies; Bitcoin; Ethereum; algorithmic trading; artificial intelligence (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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