Optimizing the moving average trade rule for cryptocurrencies: implications of band size and transaction costs

In this paper, we apply an adjustable-band moving average algorithm to study technical analysis profitability in cryptocurrency markets. We find three main results. First, adjustable band trade rules act like a leveraged bet: they outperform fixed band rules in years when technical analysis is profitable and under-perform in other years. Second, our algorithm suggests significantly higher than standard 0% and 1% optimal band parameter values. Third, by comparing adjustable band rules with higher fixed band rules, we show that adjustable band rules have value beyond finding high optimal bands. Technical traders should consider higher and adjustable-band rules, especially with above-zero transaction costs.