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.
|Número de artículo
|Journal of International Financial Markets, Institutions and Money
|Fecha en línea anticipada
|14 jun. 2022
|Publicada - jul. 2022
Nota bibliográficaFunding Information:
We thank Flavio Abanto for research assistance. We gratefully acknowledge the financial support of the Research Center at Universidad del Pacífico (CIUP) and the Busch School of Business at the Catholic University of America (CUA). We thank colleagues at CIUP and CUA who read earlier versions for helpful feedback and suggestions. We alone are responsible for the views expressed in this paper and for any remaining errors.
© 2022 Elsevier B.V.