{"id":645,"date":"2017-10-03T11:03:28","date_gmt":"2017-10-03T09:03:28","guid":{"rendered":"http:\/\/qfrg.wne.uw.edu.pl\/?page_id=645"},"modified":"2022-10-13T11:39:33","modified_gmt":"2022-10-13T09:39:33","slug":"algorithmic-trading-on-cryptocurrencies-2017","status":"publish","type":"page","link":"https:\/\/qfrg.wne.uw.edu.pl\/?page_id=645","title":{"rendered":"Algorithmic Trading on Cryptocurrencies 2017-2018"},"content":{"rendered":"<p><div id=\"metaslider-id-482\" style=\"max-width: 880px;\" class=\"ml-slider-3-27-13 metaslider metaslider-flex metaslider-482 ml-slider\">\n    <div id=\"metaslider_container_482\">\n        <div id=\"metaslider_482\">\n            <ul aria-live=\"polite\" class=\"slides\">\n                <li style=\"display: block; width: 100%;\" class=\"slide-402 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2013\/11\/pre_HG_Indexkurve043-880x300.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-482 slide-402\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-518 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2014\/10\/Forex-arbitrage-trading-strategies-864x294.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-482 slide-518\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-660 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2017\/10\/bitcoin-mining-e1503063453619-880x300.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-482 slide-660\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-638 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2017\/09\/bitcoin-1-880x300.jpeg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-482 slide-638\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-666 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2017\/10\/Bitcoin_Trading-880x300.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-482 slide-666\" \/><\/li>\n                <li style=\"display: none; width: 100%;\" class=\"slide-636 ms-image\"><img src=\"https:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2017\/09\/download-290x98.jpg\" height=\"300\" width=\"880\" alt=\"\" class=\"slider-482 slide-636\" \/><\/li>\n            <\/ul>\n        <\/div>\n        \n    <\/div>\n<\/div><br \/>\n<strong>Momentum or Contrarian, Which Is the Most Valid in the Case of Cryptocurrencies<\/strong><\/p>\n<p>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:<\/p>\n<ul>\n<li>various number of winners and losers selected in the process of momentum and contrarian portfolio construction,<\/li>\n<li>different periods for the ranking construction,<\/li>\n<li>diverse reallocation periods,<\/li>\n<li>several levels of transactional costs,<\/li>\n<\/ul>\n<p>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.<br \/>\nThe project is divided into four main phases:<\/p>\n<ul>\n<li>I stage. historical daily data. scientific paper summarizing all results &#8211;&gt; Paper 1<\/li>\n<li>II stage. real-time daily data with continuous update on QFRG webpage<\/li>\n<li>III stage. historical intraday data. scientific paper summarizing all results&nbsp;&#8211;&gt; Paper 2<\/li>\n<li>IV stage. real-time intraday data with continuous update on QFRG webpage<\/li>\n<\/ul>\n<p>The project has been conducted jointly by Krzysztof Ko\u015b\u0107, Pawe\u0142 Sakowski and Robert \u015alepaczuk\/<\/p>\n<p>The presentation from January 2018 meeting can be found <a href=\"http:\/\/qfrg.wne.uw.edu.pl\/wp-content\/uploads\/2018\/02\/momentum-contrarian-presentation-2018-01-16.pdf\">here<\/a>.<\/p>\n<p>The full paper describing this strategy in details&nbsp;can be found <a href=\"https:\/\/www.wne.uw.edu.pl\/files\/2615\/2405\/6484\/WNE_WP268.pdf\">here<\/a> and <a href=\"https:\/\/doi.org\/10.1016\/j.physa.2019.02.057\">here<\/a>.<\/p>\n<p>The application which extends results presented in the paper is available <a href=\"http:\/\/www.wne.uw.edu.pl\/sakowski\/fintech2020-app.html\">here<\/a><\/p>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>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 [&hellip;]<\/p>\n","protected":false},"author":2,"featured_media":663,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"open","template":"","meta":[],"_links":{"self":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages\/645"}],"collection":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=645"}],"version-history":[{"count":28,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages\/645\/revisions"}],"predecessor-version":[{"id":1487,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/pages\/645\/revisions\/1487"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=\/wp\/v2\/media\/663"}],"wp:attachment":[{"href":"https:\/\/qfrg.wne.uw.edu.pl\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=645"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}