| Summary: | 碩士 === 國立中興大學 === 財務金融學系所 === 107 === We followed Detzel et al.(2018)paper to determine the theoretical basis of the moving
average(MA). Then we recorded the return of the cryptocurrency, and the result is that
the cryptocurrency cannot be predicted by macroeconomic variables, but the 5 to 100-day
MA can be used to predict the price, while the MA''s trading strategy is compared with
the holding. It does significantly reduce the standard deviation of cryptocurrencies and
increases the Sharpe ratio and the Sotino ratio.
In many cryptocurrencies, there is a very high degree of linkage with each other, and
bitcoin is different from other currencies. In a variety of strategies, bitcoin has more
stability, which may be related to it as a mainstream currency
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