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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 of basic investment strategies on the cryptocurrency market, which were previously comprehensively tested on regulated markets for a number of classical assets: equities, fixed-income, commodities and currencies. Within this research, we have tested both the momentum and contrarian strategies, focusing as well in detail on sensitivity analysis. We have taken into account:

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

The research will is based on daily data on all cryptocurrencies. However, in the main part we include only 100 cryptocurrencies with the largers market capitalisation.
The project is 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 has been conducted jointly by Krzysztof Kość, Paweł Sakowski and Robert Ślepaczuk/

The presentation from January 2018 meeting can be found here.

The full paper describing this strategy in details can be found here and here.

The application which extends results presented in the paper is available here