Quant/Algo Trading on Bitcoin
Jonathan Yeung
Implemented time series ARIMA model to analyze and forecast bitcoin prices with a test MAPE of 1.00%
Developed back-testers using Object Oriented Programming to test a Mean Reversion strategy and a Trend Following strategy, discovering that the Trend Following strategy outperforms the Buy-and-Hold strategy by 30,744% over the 9-year horizon
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Posted Apr 14, 2024
Time series analysis and forecasting on Bitcoin prices and backtested Mean Reversion and Trend Following trading strategies
