A Decade of Evidence of Trend Following Investing in Cryptocurrencies
8 Pages Posted: 17 Nov 2020
Date Written: September 22, 2020
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% walk-forward 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.
Keywords: cryptocurrency, bitcoin, momentum, momentum investing, trading rules, tactical asset allocation, commodities
JEL Classification: G10, G11, G12
Suggested Citation: Suggested Citation