Using crypto assets pricing methods to build technical oscillators for short-term bitcoin trading

Zixiu Yang and Dean Fantazzini

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the trading performances of several technical oscillators created using crypto assets pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscillators, and two thresholds were introduced to create buy and sell signals. The empirical back testing analysis showed that some of these methods proved to be profitable with good Sharpe ratios and limited max drawdowns. However, the trading performances of almost all methods significantly worsened after 2017, thus indirectly confirming an increasing financial literature that showed that the introduction of bitcoin futures in 2017 improved the efficiency of bitcoin markets.

Keywords: C32, C51; C53; C58; G11; G12; G17 (search for similar items in EconPapers)
JEL-codes: C32 C51 C53 C58 G11 G12 G17 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-fmk and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:115508

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