Does Moving-average Indicators Work Well on the Dynamic of Bitcoin Prices
24 Pages Posted: 23 May 2021
Date Written: April 29, 2021
This study explores whether the technical analysis based on moving average indicator can predict Bitcoin returns during January 2014 and October 2019. First, we find that Bitcoin weekly returns are well predictable by the technical indicator defined as the difference between the log moving averages and log current price in both in-sample and out-of-sample tests. However, the return predictability is not significant in daily frequency. We further show that the term structure of moving-average indicator provides significantly predictive power to Bitcoin weekly returns, especially for the lower correlated moving-average indicators.
Keywords: Bitcoin, Technical analysis, Moving-average indicator
Suggested Citation: Suggested Citation