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Cryptocurrency Trend Following and Its Diversification Potential

Article arXiv papers · Author: Evans Rozario et al.
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Summary

The document presents a decade of evidence on applying trend-following strategies to cryptocurrency markets, beginning with Bitcoin’s early market history. It argues that crypto markets share characteristics with historical commodity markets and reports that a walk-forward analysis produced annualized returns of 255%. It also says the strategy’s risk-adjusted returns were similar to those of commodities and that crypto trend following offered strong diversification during equity bear markets.

These claims make the topic relevant to systematic investors, but the supplied text is only a short abstract. It does not explain the strategy rules, assets, trading frequency, transaction-cost assumptions, risk controls, or comparison methodology. The reported performance therefore cannot be independently assessed from this description, and should not be treated as evidence that similar returns will persist.

Key ideas

  • The document studies trend following in cryptocurrency markets over a decade of Bitcoin history.
  • It reports walk-forward annualized returns of 255% for the strategy.
  • It describes crypto trend following as having risk-adjusted returns similar to commodities.
  • It claims the approach diversified traditional equity exposure during bear markets.
  • The abstract omits strategy specifications and testing assumptions needed to assess the reported results.

Tags

CryptoTrend followingBacktestingPortfolio construction
Full text
# A Decade of Evidence of Trend Following Investing in Cryptocurrencies


# A Decade of Evidence of Trend Following Investing in Cryptocurrencies









Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the potential investor returns in cryptocurrency trend following, 255% walkforward annualised returns. We find that cryptocurrencies offer similar returns characteristics to commodities with similar risk-adjusted returns, and strong bear market diversification against traditional equities. Code available at https://github.com/Globe-Research/bittrends.

Shown in full with attribution under the source's licence. Licence: abstract CC0

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