技术交易规则在加密货币市场中的有效性

ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic) Pub Date : 2019-09-15 DOI:10.2139/ssrn.3454216

S. Corbet, V. Eraslan, B. Lucey, A. Şensoy

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引用次数: 84

摘要

我们以移动平均振荡和交易区间突破策略的形式分析了各种技术交易规则，以使用高频比特币回报专门测试阻力位和支撑位及其交易表现。总的来说，我们的结果为移动平均策略提供了重要的支持。特别是，变长移动平均规则表现最好的买入信号比卖出信号产生更高的回报。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Effectiveness of Technical Trading Rules in Cryptocurrency Markets

Abstract We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using high-frequency Bitcoin returns. Overall, our results provide significant support for the moving average strategies. In particular, variable-length moving average rule performs the best with buy signals generating higher returns than sell signals.

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ERN: Other Microeconomics: General Equilibrium & Disequilibrium Models of Financial Markets (Topic)

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