Event

QWAFAFEW Denver - Dr. Jack Strauss

Bitcoin: Predictability and Profitability via Technical Analysis

We document that Bitcoin returns, while largely unpredictable by macroeconomic variables,
are predictable by 5- to 100-day moving averages (MAs) of its prices, both in-sample and
out-of-sample. Trading strategies based on MAs generate substantial alpha, utility and Sharpe ratios gains, and significantly reduce the severity of drawdowns relative to a buy-and-hold position in Bitcoin, which already has a Sharpe ratio of 1.9. We explain these facts with a novel equilibrium model that demonstrates, in the absence of cash-flows, rational learning leads to joint predictability of returns by different horizon's MAs.

Our Speaker's Bio

Dr. Strauss has extensive forecasting experience including more than four dozen publications using advanced statistical methods in the top journals in Finance, Econometrics and Economics. These include the Journal of Finance, Review of Financial Studies, Review of Finance, Journal of Portfolio Management, Journal of Applied Econometrics, Journal of Forecasting, International Journal of Forecasting, Econometric Reviews, Review of International Economics, Journal of International Money and Finance, Journal of Urban Economics, Journal of Finance Research, Journal of Macroeconomics, Economic Letters, Journal of Economics and Finance, Global Finance Journal and Southern Economic Journal.

His background includes international policy experience in the areas of international finance and forecasting. He has consulted for the Central Bank of Azerbaijan, the Central Bank of Egypt, and the Ministry of Finance of Ukraine. He constructed econometric models of their economies that forecasted GDP and inflation. He also worked for the Economist Intelligence Units and wrote Quarterly reports on Ukraine for them that further analyzed and forecasted economic activity in the Ukrainian economy. Dr. Strauss further has extensive domestic consulting experience using economic impact analysis.