Leveraging the momentum effect in machine learning-based cryptocurrency trading
| Autor: | Gian Pietro Bellocca, Giuseppe Attanasio, Luca Cagliero, Jacopo Fior |
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| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | Machine Learning with Applications, Vol 8, Iss , Pp 100310- (2022) |
| Druh dokumentu: | article |
| ISSN: | 2666-8270 65491386 |
| DOI: | 10.1016/j.mlwa.2022.100310 |
| Popis: | Cryptocurrency trading has become more and more popular among private investors. According to recent studies, the momentum effect influences the underlying market. Quantitative trading systems can leverage momentum indicators to open and close trading positions. However, existing approaches that exploit the momentum effect in cryptocurrency trading do not rely on machine learning. Since these systems are based on human generated rules they are not suited to highly volatile market conditions, which are quite common in cryptocurrency markets. This paper proposes to leverage machine learning approaches to automatically detect the momentum effect in cryptocurrency market data. For each cryptocurrency it estimates the likelihood of being affected by the momentum effect on the next trading day as well as the momentum direction. A backtesting session, performed on three very popular cryptocurrencies, shows that the machine learning models are able to predict, to a good approximation, short-term price volatility thus reducing the number of false trading signals and increasing the return on investments compared to state-of-the-art approaches. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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