Profitability and Data-Snooping Tests of Four Technical Trade Strategies for Cryptocurrency Pair BTC/USDT and ETH/USDT in Cryptocurrency Markets During 2022–2023

Authors

  • Wei Li Shanghai Louis Investment Management
  • Xinwan Wang Shanghai World Foreign Language Academy
  • Zigan Wang Tsinghua University
  • Mengxin Yang Tsinghua University

DOI:

https://doi.org/10.33423/jaf.v23i4.6453

Keywords:

accounting, finance, technical trading, data-snooping, reality check, cryptocurrency

Abstract

We provide a comprehensive investigation into the profitability of technical trading methods applied to the cryptocurrency pairs BTC/USDT and ETH/USDT. By employing rigorous evaluations and incremental examinations, we address the pervasive issue of data-snooping bias that often plagues the evaluation of trading strategies. Our empirical results indicate the lack of profitable technical trading strategies in both the analysis sample and prediction sample periods, even after rigorous adjustments for data snooping. These findings highlight the difficulties associated with selecting profitable technical trading strategies in the dynamic and volatile cryptocurrency market. Market participants, including individual traders, institutional investors, and regulatory bodies, should take note of our findings when making investment decisions based on technical analysis.

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Published

2023-10-13

How to Cite

Li, W., Wang, X., Wang, Z., & Yang, M. (2023). Profitability and Data-Snooping Tests of Four Technical Trade Strategies for Cryptocurrency Pair BTC/USDT and ETH/USDT in Cryptocurrency Markets During 2022–2023. Journal of Accounting and Finance, 23(4). https://doi.org/10.33423/jaf.v23i4.6453

Issue

Vol. 23 No. 4 (2023)

Section

Articles

License

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