The effectiveness of technical trading rules in cryptocurrency markets

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Date

2019

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Source Title

Finance Research Letters

Print ISSN

1544-6123

Electronic ISSN

Publisher

Elsevier

Volume

31

Issue

Pages

32 - 37

Language

English

Type

Article

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Abstract

We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using high-frequency Bitcoin returns. Overall, our results provide significant support for the moving average strategies. In particular, variable-length moving average rule performs the best with buy signals generating higher returns than sell signals.

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Keywords

Bitcoin, Cryptocurrencies, Technical analysis, High frequency trading, Efficient market hypothesis

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http://hdl.handle.net/11693/52972

Published Version (Please cite this version)

https://dx.doi.org/10.1016/j.frl.2019.04.027

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Scholarly Publications - Management