Bitcoin Trend Following and Mean Reversion Revisited Through 2024

Summary

The study revisits Bitcoin strategies that buy when price reaches a recent high (MAX) or low (MIN), using daily data from late 2015 through August 2024. It examines lookback windows from 10 to 50 days, compares in-sample results with an out-of-sample period beginning in February 2022, and tests whether results vary by day of the week. The reported performance measures include annualized return, volatility, maximum drawdown, and return divided by volatility, though the tables and charts themselves are not included in the supplied text.

The authors report that MAX strategies remain effective in the out-of-sample period, while MIN performance weakens; combining MIN and MAX also suffers when the low-buying component performs poorly. The seasonal analysis finds no convincing daily effect, with isolated stronger weekdays treated as possible coincidence. These are historical results from one asset and a particular dataset and period. The text provides no full numerical results or discussion of trading costs, so it cannot establish future performance or practical net returns.

Key ideas

• The study compares buying Bitcoin at recent highs and lows over lookback windows from 10 to 50 days.
• It evaluates the rules in-sample and out-of-sample through August 2024.
• The authors report stronger out-of-sample resilience for MAX than MIN.
• The weekday analysis does not establish a significant seasonal pattern.
• The supplied text omits the underlying tables and does not account for trading costs.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.