Bitcoin technical trading with artificial neural network

Release Date

2018/3/5

Abstract

This paper explores Bitcoin trading based on artificial neural networks for the return prediction. In particular, our deep learning method successfully discovers trading signals through a seven layered neural network structure for given input data of technical indicators, which are calculated by the past time-series of Bitcoin returns over every 15 minutes. Under feasible settings of execution costs, the numerical experiments demonstrate that our approach significantly improves the performance of a buy-and-hold strategy. Especially, our model performs well for a challenging period from December 2017 to January 2018, during which Bitcoin suffers from substantial minus returns.