Effectiveness of technical trading strategies on intraday bitcoin markets

Abstract

The purpose of this thesis is to learn if it’s possible to gain higher risk-adjusted profits than buy-and-hold -strategy on intraday bitcoin markets using moving averages or trading range breakout. Data used is price notations of bitcoin with 1-minute interval from 2017 to 2019.
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\nThere were many strategies that statistically significantly outperformed buy-and-hold -strategy even when trading fees were reduced. Different methods such as stop-loss and bands were able to significantly reduce volatility of returns. However, same trading rules don’t work well in different market conditions. Results from the train-set and test-set differed largely and were therefore not valid. Also, none of the strategies were able to outperform CCi30 cryptocurrency index when fees were reduced.
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\nTherefore, while some support was found to conclude that outperforming the index is possible, more data and research would be needed to validate these results.