Do technical trading rules outperform the simple buy-and-hold strategy in the cryptocurrency market?

The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take a long or short position on 99 cryptocurrencies and compare the 10-day returns based on the technical trading strategies...

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Veröffentlicht in:Seonmul yeongu (Online) 2024-03, Vol.32 (1), p.23-35
1. Verfasser: Jin, JunHyeong
Format: Artikel
Sprache:eng
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Zusammenfassung:The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take a long or short position on 99 cryptocurrencies and compare the 10-day returns based on the technical trading strategies to the simple buy-and-hold returns. The authors find that the trading strategies based on single indicators or the combination of two indicators do not generate higher returns than buy-and-hold returns among cryptos. These findings suggest that cryptocurrency markets are weak-form efficient in general.
ISSN:1229-988X
2713-6647
DOI:10.1108/JDQS-08-2023-0021