A Decade of Evidence of Trend Following Investing in Cryptocurrencies

8 Pages Posted: 17 Nov 2020

See all articles by Evans Rozario

Evans Rozario

University of Cambridge

Samuel Holt

Independent

James West

Globe Research

Shaun Ng

Globe Research

Date Written: September 22, 2020

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% 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

Rozario, Evans and Holt, Samuel and West, James and Ng, Shaun, A Decade of Evidence of Trend Following Investing in Cryptocurrencies (September 22, 2020). Available at SSRN: https://ssrn.com/abstract=3697981 or http://dx.doi.org/10.2139/ssrn.3697981

Evans Rozario

University of Cambridge ( email )

Trinity Ln
Cambridge, CB2 1TN
United Kingdom

James West

Globe Research ( email )

HOME PAGE: http://globedx.com

Shaun Ng

Globe Research ( email )

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