Research Article
The Feasibility of Grid Trading Approach for Bitcoin Based on Backtesting
@INPROCEEDINGS{10.4108/eai.18-11-2022.2327164, author={Ruixin Jia}, title={The Feasibility of Grid Trading Approach for Bitcoin Based on Backtesting}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={cryptocurrency grid trading bitcoin}, doi={10.4108/eai.18-11-2022.2327164} }- Ruixin Jia
Year: 2023
The Feasibility of Grid Trading Approach for Bitcoin Based on Backtesting
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327164
Abstract
Contemporarily, cryptocurrency represented by Bitcoin has attracted extensive attention from investors. The nature of Bitcoin is different from fiat currency or traditional financial assets, and the high volatility of bitcoin leads to greater potential financial risks in the bitcoin trading market. Therefore, the research on the volatility of the bitcoin market is increasing of practical significance. This paper investigates the feasibility and effectiveness of applying grid transactions for the high volatility trend like Bitcoin. Based on analyzing the daily transaction data of Bitcoin from July 2019 to July 2021, we conclude that grid transaction is feasible in the bitcoin exchange market. On this basis, this paper discusses the impact of initial position price, grid price upper limit, grid price lower limit, the number of the upper grid, the number of the lower grid, and other factors on the yield of bitcoin grid transactions based on backtesting. According to the result, when the parameters: initial position price is 35000, grid price upper limit is 0000, grid price lower limit is 6000, the number of upper grids is 20, and the number of lower grids is 1 or 2, grid trading has the maximum yield. These results shed light for further study of the investment strategy of grid transactions in the cryptocurrency market.
