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Title: Are simple technical trading rules profitable in Bitcoin markets? Authors:  Michael Froemmel - Ghent University (Belgium) [presenting]
Niek Deprez - Ghent University (Belgium)
Abstract: Since its conception in 2008, the academic literature about Bitcoin has been steadily growing. Even though the presence of speculative bubbles and market inefficiencies in the bitcoin market has been studied extensively, the profitability of technical trading rules remains relatively unexplored. Using high frequency trade data of the Bitstamp exchange, we employ 75,360 commonly used simple technical trading rules to test for predictability and profitability on daily and intraday frequencies. We use a multiple hypothesis procedure that takes into account data snooping, try to mimic realistic investor behaviour in our rule selection and take into account transaction costs. Our results show that technical trading rules can outperform a simple buy-and-hold strategy in the bitcoin market out-of-sample.