• Journal of Convergence for Information Technology
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• v.11 no.5
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• pp.94-103
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• 2021

This study aims to propose technical trading rules for Bitcoin futures and empirically analyze investment performance. Investment strategies include standard trading rules such as VMA, TRB, FR, MACD, RSI, BB, using Bitcoin futures daily data from December 18, 2017 to March 31, 2021. The trend-following rules showed higher investment performance than the comparative strategy B&H. Compared to KOSPI200 index futures, Bitcoin futures investment performance was higher. In particular, the investment performance has increased significantly in Sortino Ratio, which reflects downside risk. This study can find academic significance in that it is the first attempt to systematically analyze the investment performance of standard technical trading rules of Bitcoin futures. In future research, it is necessary to improve investment performance through the use of deep learning models or machine learning models to predict the price of Bitcoin futures.