Constructing trading strategy ensembles by classifying market states
“Using the Bitcoin market we show that the strategy ensembles outperform both in returns and risk-adjusted returns in the out-of-sample period.”
AssetCryptospot crypto
StrategyMachine learning
TechniqueFeedforward network
ClaimExcess return
Also stated: Price and volume, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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