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Profitability of technical trading rules among cryptocurrencies with privacy function

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Abstract This paper studies simple moving average trading strategies employing daily price data on the ten most-traded cryptocurrencies that exhibit the ‘privacy function’. Investigating the 2016–2018 period, our results indicate… Click to show full abstract

Abstract This paper studies simple moving average trading strategies employing daily price data on the ten most-traded cryptocurrencies that exhibit the ‘privacy function’. Investigating the 2016–2018 period, our results indicate a variable moving average strategy is successful only when applied to Dash generating returns of 14.6%−18.25% p.a. in excess of the simple buy-and-hold benchmark strategy. However, when applying our technical trading rules to the entire set of ten privacy coins shows that, on an aggregate level, simple technical trading rules do not generate positive returns in excess of a buy-and-hold strategy.

Keywords: trading rules; rules among; technical trading; trading; profitability technical; privacy function

Journal Title: Finance Research Letters
Year Published: 2020

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