A carregar...
Publicação
O comportamento de novas Criptomoedas listadas na Binance: 5 variantes de 1 estratégia em análise
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 9.95 MB | Adobe PDF |
Orientador(es)
Resumo(s)
A atenção sobre os criptoativos tem vindo a crescer exponencialmente ao longo dos anos desde a publicação de Satoshi Nakamoto sobre o bitcoin, bem como os serviços, plataformas e produtos. Considerada como uma grande inovação, a Blockchain veio permitir a ausência total de intermediários nas suas transações e nesse sentido, atrair investidores pelos seus elevados retornos e custos reduzidos.
O nosso estudo tem como principal objetivo estudar os sinais deste mercado para tentar obter lucros, especificamente na plataforma da Binance.com e apenas com novas criptomoedas lancadas em 2020. Estamos em condições de afirmar que obtivemos evidências de que existem movimentos “irracionais” que tentamos captar com as nossas 5 variantes de uma estratégia com base em algorithmic trading, sendo os resultados bastantes reveladores destes movimentos. Por um lado, entrando nas variantes no momento do lançamento em 2020 com um investimento de 100 USDT em cada uma das 136 criptomoedas os retornos anualizados variaram entre 111.99% e 327.76%. Estes sinais significativos de sucesso, ao captar estes movimentos, foram testados em 2021 e os seus resultados foram, da mesma forma consistentes com os de 2020, em 128 criptomoedas, os retornos anualizados variaram entre 115,02% e 207.25%, apesar de em média em 2021 os resultados obtidos foram ligeiramente inferiores, o que sugere uma maior sofisticação dos investidores. Por outro lado, demonstramos que mesmo que apenas entrasse na estratégia 5 minutos depois poderia obter lucros, mas também poderia incorrer em prejuízos. Nestas 5 estratégia em 2020 os retornos anualizados variaram entre 20.05% e 47.90%, em 2021 os retornos anualizados variaram entre -48.54% e 13.79%.
Utilizamos unicamente a plataforma da Bincance.com, com dados de 2020 a 2021, desenvolvemos um algoritmo de trading que permitiria executar estas variantes em mercado. Este estudo mostra-se particularmente relevante tendo em conta os momentos observados para a entrada nas variantes (momento do lançamento da criptomoeda e 5 minutos mais tarde).
Awareness to crypto has grown exponentially over the years, as well as services, platforms, and business products since Satoshi Nakamoto's publication on Bitcoin. Considered by many a great innovation, Blockchain has allowed users the total absence of intermediaries in its transactions and, in this sense, attracts investors due to its high returns and reduced costs. The main goal of our study is to study the signals of this market to try to make profits, specifically on the Binance.com platform and only with new cryptocurrencies launched since 2020. We can say that we have obtained evidence that there are “irrational” movements that we are trying to capture with our 5 variants of a strategy based on algorithmic trading, the results being quite revealing of these movements. On the one hand, entering the variants of the strategy at the time of launch in 2020 with an investment of 100 USDT in each of the 136 cryptocurrencies the annualized returns ranged between 111.99% and 327.76%. These significant signs of success, suggests that we were able to capture these movements, were tested in 2021 and their results were similarly consistent with those of 2020, in 128 cryptocurrencies, annualized returns ranged between 115.02% and 207.25%, although in average in 2021 the results obtained were slightly lower, which suggests greater sophistication of investors. On the other hand, we demonstrated that even if you only entered the strategy 5 minutes later, you could make profits, but you could also incur losses. In these 5 strategies in 2020 the annualized returns ranged between 20.05% and 47.90%, in 2021 the annualized returns ranged between -48.54% and 13.79%. We only use the Bincance.com platform, with data from 2020 to 2021, we developed a trading algorithm that would allow us to execute these variants on the market. This study is particularly relevant considering the moments observed for the entry into the variants (time of the launch of the cryptocurrency and 5 minutes later).
Awareness to crypto has grown exponentially over the years, as well as services, platforms, and business products since Satoshi Nakamoto's publication on Bitcoin. Considered by many a great innovation, Blockchain has allowed users the total absence of intermediaries in its transactions and, in this sense, attracts investors due to its high returns and reduced costs. The main goal of our study is to study the signals of this market to try to make profits, specifically on the Binance.com platform and only with new cryptocurrencies launched since 2020. We can say that we have obtained evidence that there are “irrational” movements that we are trying to capture with our 5 variants of a strategy based on algorithmic trading, the results being quite revealing of these movements. On the one hand, entering the variants of the strategy at the time of launch in 2020 with an investment of 100 USDT in each of the 136 cryptocurrencies the annualized returns ranged between 111.99% and 327.76%. These significant signs of success, suggests that we were able to capture these movements, were tested in 2021 and their results were similarly consistent with those of 2020, in 128 cryptocurrencies, annualized returns ranged between 115.02% and 207.25%, although in average in 2021 the results obtained were slightly lower, which suggests greater sophistication of investors. On the other hand, we demonstrated that even if you only entered the strategy 5 minutes later, you could make profits, but you could also incur losses. In these 5 strategies in 2020 the annualized returns ranged between 20.05% and 47.90%, in 2021 the annualized returns ranged between -48.54% and 13.79%. We only use the Bincance.com platform, with data from 2020 to 2021, we developed a trading algorithm that would allow us to execute these variants on the market. This study is particularly relevant considering the moments observed for the entry into the variants (time of the launch of the cryptocurrency and 5 minutes later).
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Cryptocurrency Bitcoin Trading Binance Usdt Strategy