Cryptocurrency Forecasting and InvestmentApplications using Technical Analysis

• Main Authors: Jeng-Jia Yang, 楊政家
• Other Authors: Chung-Ying Yeh
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5304011%22.&searchmode=basic

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