A Decade of Evidence of Trend Following Investing in Cryptocurrencies

Evans Rozario, Samuel Holt, James West and Shaun Ng

Papers from arXiv.org

Abstract: Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the potential investor returns in cryptocurrency trend following, 255% walkforward annualised returns. We find that cryptocurrencies offer similar returns characteristics to commodities with similar risk-adjusted returns, and strong bear market diversification against traditional equities. Code available at https://github.com/Globe-Research/bittrends.

Date: 2020-09
New Economics Papers: this item is included in nep-pay
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