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A Decade of Evidence of Trend Following Investing in Cryptocurrencies

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  • 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.

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  • 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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    References listed on IDEAS

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    1. 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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