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Algorithmic Trading on Cryptocurrencies 2017-2018

Momentum or Contrarian, Which Is the Most Valid in the Case of Cryptocurrencies

The main idea behind this project is to calculate the efficiency basic investment strategies on cryptocurrency markets which were previously heavilly tested on regulated financial markets on equities, fixed-income, commodities and currencies. Within this research we will test momentum and contrarian strategies focusing on detailed sensitivity analysis. During sensitivity analysis we will take into account:

  • various number of winners and losers selected in the process of momentum and contrarian portfolio construction,
  • different periods for ranking construction,
  • diverse reallocation periods,
  • several levels of transactional costs,

The research will be based on daily data on all cryptocurrencies but in the main part we will include only 100 cryptocurrencies with the highest market cap. The project will be divided into four main phases:

  • I stage. historical daily data. scientific paper summarizing all results –> Paper 1
  • II stage. real-time daily data with continuous update on QFRG webpage
  • III stage. historical intraday data. scientific paper summarizing all results –> Paper 2
  • IV stage. real-time intraday data with continuous update on QFRG webpage

The project will be prepared jointly by: Krzysztof Kość, Paweł Sakowski and Robert Ślepaczuk

The results of the project will be published on this website by 16th of January, 2018.

The detailed presentation from our mid January meeting can be found here.

The full paper decribing this strategy in details can be found under the following link.