基于加密货币市场的趋势择时策略表现研究

The Study for the Performance of Trend-Following Trading Strategies Based on Cryptocurrency Market

在金融市场中,趋势择时是投资者最常用的技术分析交易策略.文章研究了趋势择时交易策略在加密货币这一新兴市场中的表现情况.通过对2013年至2022年比特币(Bitcoin)、以太坊(Ethereum)和瑞波币(Ripple)这三个主要加密货币的实证分析发现,可变长度移动均线(VLMA)策略和指数平滑异同移动平均线(MACD)策略的表现要好于固定长度移动均线(FLMA)策略和相对强弱指标(RSI)策略.在这三种加密货币中,趋势择时策略在比特币上的表现要优于以太坊和瑞波币.结果证明,特定的量化交易策略在加密货币市场中有着显著的预测能力,而且会产生比买入并持有策略(buy-and-hold strategy)更高的超额收益以及夏普比率.这些发现在加密货币市场的泡沫时期,COVID-19疫情期间以及中国人民银行禁止加密货币的交易后仍然是稳健的.

In financial market,trend-following trading strategies based on technical analysis trading rules are the most popular strategies employed by investors.This paper investigates the performance of trend-following trading strategies in the emerging cryptocurrency market.By taking empirical tests on three main cryptocurrencies including Bitcoin,Ethereum,and Ripple from 2013 to 2021,the results show that the profitability of strategies based on variable length moving average(VLMA)and moving average convergence divergence(MACD)outperforms those based on fixed length moving average(FLMA)and relative strength index(RSI).Among those three cryptocurrencies,trend-following trading strategies based on Bitcoin outperform Ethereum and Ripple,evidence indicates that specific strategies tend to exhibit significant predictive power and can generate higher excess returns as well as Sharpe ratio than buy-and-hold strategy.Those findings are robust during bubble periods of cryptocurrency market,COVID-19 pandemic,and after the People's Bank of China declares that virtual currency-related business activities are illegal.