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A Decade of Evidence of Trend Following Investing in Cryptocurrencies

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Listed:
  • Evans Rozario
  • Samuel Holt
  • James West
  • Shaun Ng

Abstract

Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the potential investor returns in cryptocurrency trend following, 255% walkforward annualised returns. We find that cryptocurrencies offer similar returns characteristics to commodities with similar risk-adjusted returns, and strong bear market diversification against traditional equities. Code available at https://github.com/Globe-Research/bittrends.

Suggested Citation

  • Evans Rozario & Samuel Holt & James West & Shaun Ng, 2020. "A Decade of Evidence of Trend Following Investing in Cryptocurrencies," Papers 2009.12155, arXiv.org.
    • Handle: RePEc:arx:papers:2009.12155
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    File URL: http://arxiv.org/pdf/2009.12155
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    References listed on IDEAS

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    1. Claude B. Erb & Campbell R. Harvey, 2016. "Conquering Misperceptions about Commodity Futures Investing," Financial Analysts Journal, Taylor & Francis Journals, vol. 72(4), pages 26-35, July.
    2. Tetsuya Takaishi & Takanori Adachi, 2020. "Market Efficiency, Liquidity, and Multifractality of Bitcoin: A Dynamic Study," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 145-154, March.
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    Cited by:

    1. Nichanan Sakolvieng, 2024. "Optimizing Cryptocurrency Portfolios: A Comparative Study of Rebalancing Strategies," GATR Journals jfbr220, Global Academy of Training and Research (GATR) Enterprise.
    2. Huang, Linxian, 2024. "The relationship between cryptocurrencies and convention financial market: Dynamic causality test and time-varying influence," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 811-826.

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