Publication date: Available online 6 December 2019
Source: Finance Research Letters
Author(s): Klaus Grobys, Shaker Ahmed, Niranjan Sapkota
Abstract
This paper studies simple moving average trading strategies employing daily price data on the eleven most-traded cryptocurrencies in the 2016â2018 period. Our results indicate a variable moving average strategy is successful when using the 20 days moving average trading strategy. Specifically, excluding Bitcoin the technical trading rule generate an excess return of 8.76% p.a. after controlling for the average market return. Our results suggest that cryptocurrency markets are inefficient.