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The profitability of technical trading rules in the Bitcoin market

Author

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  • Gerritsen, Dirk F.
  • Bouri, Elie
  • Ramezanifar, Ehsan
  • Roubaud, David
Abstract
We apply seven trend-following indicators to assess the profitability of technical trading rules in the Bitcoin market. Using daily price data from July 2010 to January 2019, our main results show that specific technical analysis trading rules, mainly trading range breakout, contain significant forecasting power for Bitcoin prices, allowing the outperformance of the buy-and-hold strategy through the Sharpe ratio computed via the bootstrapping method. Results from various sub-periods, representing normal and boom markets, generally confirm our main finding and show that the added value of the trading range breakout rule delivers outperformance in strongly trending markets.

Suggested Citation

  • Gerritsen, Dirk F. & Bouri, Elie & Ramezanifar, Ehsan & Roubaud, David, 2020. "The profitability of technical trading rules in the Bitcoin market," Finance Research Letters, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303770
    DOI: 10.1016/j.frl.2019.08.011
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    References listed on IDEAS

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    More about this item

    Keywords

    Technical analysis; Trading rules; Profitability; Excess return; Bitcoin;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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