Journal ArticleOPEN ACCESS

Technical trading rules in the cryptocurrency market

Finance Research Letters (2020) 32
DOI: 10.1016/j.frl.2019.101396
75Citations
Citations of this article
277Readers
Mendeley users who have this article in their library.

This article is free to access.

Abstract

This paper studies simple moving average trading strategies employing daily price data on the eleven most-traded cryptocurrencies in the 2016–2018 period. Our results indicate a variable moving average strategy is successful when using the 20 days moving average trading strategy. Specifically, excluding Bitcoin the technical trading rule generates an excess return of 8.76% p.a. after controlling for the average market return. Our results suggest that cryptocurrency markets are inefficient.

Author supplied keywords

Cite

CITATION STYLE

APA

Grobys, K., Ahmed, S., & Sapkota, N. (2020). Technical trading rules in the cryptocurrency market. Finance Research Letters, 32. https://doi.org/10.1016/j.frl.2019.101396

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free