Backtest de estratégias de análise técnica no mercado de criptoativos

Abstract

The popularity of Bitcoin (BTC) and the crypto market has grown massively over the last few years. One of the reasons is the growing fascination with the decentralized nature of the crypto market and the revolutionary Blockchain technology behind it. Another reason is the exponential growth in the price of Bitcoin since its creation in 2008 and the emergence of new cryptocurrencies with significant growth over this period. This market is still very incipient compared to other markets and new markets tend to have many opportunities for extraordinary gains, but linked to this, many risks. One way to mitigate such risks is to operate the cryptoactive market based on the theory of Technical Analysis, which, in all investment strategies, always provides for risk management. Technical Analysis is already commonly used in variable income markets, such as the stock market, and bases its buy or sell recommendations through indicators derived from the price of assets and their trading volumes. Alternatively, there are those who prefer a more passive strategy, in which they buy the crypto asset and wait, sometimes indefinitely, for it to rise in value. This is Buy’n Hold’s investment philosophy. Therefore, this work intends to make a long-term comparison between the returns on investments in Bitcoin through Technical Analysis and through Buy’n Hold and the CDI. A quantitative and descriptive research was carried out with a longitudinal section for the period from 01/01/2015 to 10/30/2023, using real data about the price of Bitcoin extracted from Yahoo! Finance, a finance website owned by Yahoo. Simulations were carried out in an automated way through backtests with the aid of algorithms using the Python programming language. The results point to positive returns in all the best configurations of each strategy applied, with emphasis on the RSI-MA strategy developed by the research author, which obtained the best performance among the Technical Analysis strategies. However, as satisfactory as the results obtained through the Technical Analysis methods are, the return from the Buy'n' Hold investment method surpassed all other strategies and the CDI, as it obtained extremely significant gains over the period given the characteristics of the asset class. Among all Technical Analysis and Buy’n’ Hold strategies, only the strategy with Bollinger bands was not able to surpass the CDI returns for the period.