Analysis of investment strategies in cryptocurrency markets

Abstract

This thesis deals with investing in the cryptocurrency market. The main objective of the thesis is to determine the most suitable investment strategy based on historical data and analysis. The theoretical part is devoted to the introduction of cryptocurrencies, technologies associated with cryptocurencies, legal regulations, and the use of cryptocurrencies as a means of payment. In the practical part, the weak-form efficiency of the cryptocurrency market is first tested using the Wald-Wolfowitz runs test. Subsequently, the investment strategies Buy and Hold, Dollar Cost Averaging (DCA), moving average crossovers, and an equally weighted portfolio are compared. These strategies are evaluated using returns, volatility, Maximum Drawdown, and the Sharpe ratio. For comparison with more traditional markets, external benchmarking with the S&P 500 equity index is conducted.