Does Moving-average Indicators Work Well on the Dynamic of Bitcoin Prices

24 Pages Posted: 23 May 2021

See all articles by Kuang-Chieh Yen

Kuang-Chieh Yen

Soochow University, Taiwan

Yu-Li Lin

Soochow University

Wei-Ying Nie

Chinese Culture University

Date Written: April 29, 2021

Abstract

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

Yen, Kuang-Chieh and Lin, Yu-Li and Nie, Wei-Ying, Does Moving-average Indicators Work Well on the Dynamic of Bitcoin Prices (April 29, 2021). Available at SSRN: https://ssrn.com/abstract=3836454 or http://dx.doi.org/10.2139/ssrn.3836454

Kuang-Chieh Yen (Contact Author)

Soochow University, Taiwan ( email )

56. kuei-yang St., Sec. 1
Taipei, Taiwan 10048
Taiwan

Yu-Li Lin

Soochow University

No. 1 Shizi Street
Taipei, Jiangsu 215006
Taiwan

Wei-Ying Nie

Chinese Culture University ( email )

Yaipei, 111
Taiwan

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