The study of technical analysis in cryptocurrencies has largely ignored the implications of often high transaction costs and bubble periods on trade rule performance. We study the daily and 1-minute returns of 69 technical trade rules in the form of moving average and breakout strategies, with and without transaction costs, during price bubbles in the 2016-2021 period. For the most profitable trade rules, we find that bubble periods increase the likelihood that Ethereum, Ripple and Litecoin beat buy-and-hold, but not Bitcoin and Bitcoin Cash. Transaction costs decrease this likelihood for Ripple and Litecoin, but increase it for Bitcoin and Ethereum.
|Journal||Journal of International Financial Markets, Institutions and Money|
|Early online date||14 Jun 2022|
|State||Published - Jul 2022|
Bibliographical notePublisher Copyright:
© 2022 Elsevier B.V.
- Technical analysis
- Transaction costs
- Asset bubbles