Cryptocurrency market: evaluation of the effectiveness of strategies based on the RSI

Scientific article on effectiveness of the Relative Strength Index (RSI) signals in timing the cryptocurrency market was published in the “Sensors” journal. The journal’s Impact Factor for 2021 was 3.847, the five-year Impact Factor was 4.050. Authors of the publication: Marek Zatwarnicki, Krzysztof Zatwarnicki, Piotr Stolarski.

The main goal of this work is the evaluation of the effectiveness of strategies based on the Relative Strength Index (RSI). The paper uses an algorithmic approach to test the accuracy of the signals generated by the RSI indicator for the most popular crypto-assets such as Bitcoin, Ethereum and other altcoins. In order to achieve this aim the crypto-exchange model was created. It was used to carry out the backtest of different approaches of RSI employment. Additionally, a wide range of strategies, time intervals, and cryptocurrencies is examined. In the experiments, 11 different indexes were taken into account and an ultimate portfolio was created on the basis of 10 selected indexes. RSI is one of the most popular market Technical Analysis indicators. While it is a common instrument supporting investment decisions in stock markets, the interest in this and similar market indicators as well as related trading strategies in crypto-assets market is relatively low. The Automatic Trading System build as the result of the research shows decent profitability. Especially, the gains are noticeably higher in comparison with the traditional Buy and Hold strategy.

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