Developing a fully automated trading algorithm for the cryptocurrency trading market
Latif, Afaq (2021)
Pro gradu -tutkielma
2021
School of Business and Management, Kauppatieteet
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Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2021122363045
https://urn.fi/URN:NBN:fi-fe2021122363045
Tiivistelmä
This thesis aims to create a fully automated cryptocurrency trading algorithm. A trading strategy is developed that employs momentum-based and trend-following trading tactics to accomplish this goal. The built strategy uses a mix of various technical indicators to forecast market entry and exit points for trading. The algorithm is developed and trained using bitcoin data obtained from the FTX exchange between August 2017 and February 2021. The model is then put live to test in the Bitcoin and Ethereum markets using Algo BTC and Algo ETH trading algorithms to evaluate the performance in a natural setting.
According to the testing data, the algorithm surpasses the traditional Buy-and-Hold approach by 92% in BTC and 62% in ETH markets. The results also show that the algorithm can take advantage of the cryptocurrency market's volatility to execute profitable transactions. Technical indicators are highly effective at predicting market momentum and conditions, which helps reduce drawdowns and improve crash management considerably, increasing overall portfolio value over time.
According to the testing data, the algorithm surpasses the traditional Buy-and-Hold approach by 92% in BTC and 62% in ETH markets. The results also show that the algorithm can take advantage of the cryptocurrency market's volatility to execute profitable transactions. Technical indicators are highly effective at predicting market momentum and conditions, which helps reduce drawdowns and improve crash management considerably, increasing overall portfolio value over time.