In this paper we aimed to examine the profitability of technical trading rules in the Bitcoin market by using trend-following and mean-reverting strategies. We applied our strategies on the Bitcoin price series sampled both at 5-min intervals and on a daily basis, during the period 1 January...

This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...