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Intraday Time Series Momentum trading strategy on 5-min bitcoin data

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anthonymakarewicz/bitcoin-momentum-trading

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Bitcoin Time Series Momentum Trading

Project Overview

The purpose of this project is to predict the direction of the momentum of the Bitcoin at a 5-min interval using features derived from OHLCV data. Then, we derive a trading strategy based on the output probabilities of an increase or a decrease in momentum and we backtets this strategy on out-of-sample data using an expanding window approach.

Results

LSTM

XGBoost

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