CMStatistics 2022: Start Registration
View Submission - CFE
Title: Moving-average technical rules with a variable band in cryptocurrency markets Authors:  Daniel Svogun - The Catholic University of America (United States) [presenting]
Abstract: There has been a lot of study on medium and long-run moving average trade rules in a variety of asset markets, including the cryptocurrency market, with varying levels of return beyond buy-and-hold. The bulk of those in the literature considers a 0\% or 1\% band parameter. We present a unique trading algorithm that adjusts yearly to the most profitable rules with all meaningful and positive bands that change the trade pattern considered. We compare its performance to standard trade rules in the literature and buy-and-hold. Initial results vary dramatically by year, and, interestingly, tend towards more stable returns for the algorithm, with a slight average return cost for it.