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Technical trading and cryptocurrencies

Hudson, Robert; Urquhart, Andrew

Authors

Andrew Urquhart



Abstract

© 2019, The Author(s). This paper carries out a comprehensive examination of technical trading rules in cryptocurrency markets, using data from two Bitcoin markets and three other popular cryptocurrencies. We employ almost 15,000 technical trading rules from the main five classes of technical trading rules and find significant predictability and profitability for each class of technical trading rule in each cryptocurrency. We find that the breakeven transaction costs are substantially higher than those typically found in cryptocurrency markets. To safeguard against data-snooping, we implement a number of multiple hypothesis procedures which confirms our findings that technical trading rules do offer significant predictive power and profitability to investors. We also show that the technical trading rules offer substantially higher risk-adjusted returns than the simple buy-and-hold strategy, showing protection against lengthy and severe drawdowns associated with cryptocurrency markets. However there is no predictability for Bitcoin in the out-of-sample period, although predictability remains in other cryptocurrency markets.

Citation

Hudson, R., & Urquhart, A. (2019). Technical trading and cryptocurrencies. Annals of Operations Research, https://doi.org/10.1007/s10479-019-03357-1

Journal Article Type Article
Acceptance Date Aug 6, 2019
Online Publication Date Aug 30, 2019
Publication Date Aug 30, 2019
Deposit Date Aug 8, 2019
Publicly Available Date Sep 10, 2019
Journal Annals of Operations Research
Print ISSN 0254-5330
Electronic ISSN 1572-9338
Publisher Springer Verlag
Peer Reviewed Peer Reviewed
DOI https://doi.org/10.1007/s10479-019-03357-1
Public URL https://hull-repository.worktribe.com/output/2328042
Publisher URL https://link.springer.com/article/10.1007/s10479-019-03357-1

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Publisher Licence URL
https://creativecommons.org/licenses/by/4.0/

Copyright Statement
© The Author(s) 2019
Open Access
This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.





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