Optimizing returns in cryptocurrency markets: a comparative analysis of Complex Technical Trading Rules (CTTRs) and Buy-and-Hold (B&H) strategies

This study aims to examine profit optimization in a highly volatile cryptocurrency market. It performs a comparative analysis between Complex Technical Trading Rules (CTTRs) and the Buy-and-Hold (B&H) strategy when trading Bitcoin and 10 alt coins, taking data for all coins and tokens from the daily close price of January 1, 2021, to December 31, 2022. The results proved that the CTTRs strategy offers forecasting power when trading Bitcoin and alt coins, causing the trade to outperform the traditional or default B&H strategy. However, the CTTRs could not reject the weak form of the Efficient Market Hypothesis (EMH), so the theory remains intact and unchallenged by the CTTRs alone, which primarily relies on Technical Analysis (TA). This outcome suggests that combining Fundamental Analysis (FA) with TA may be necessary to overcome the weak form of EMH. Notably, despite their inability to challenge the weak form of EMH, CTTRs demonstrated superior performance during the trending cryptocurrency bull market observed throughout the research period. Our study provides insights to benefit investors regarding the CTTRs and B&H strategy in the cryptocurrency market and explores the potential to generate abnormal returns with the CTTRs.

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