Strateško in taktično upravljanje trgovalne strategije s kriptovalutami

PAJER, IVO (author), Lavbič, Dejan (mentor)

Kriptovalute so najbolj aktualen način vlaganja denarja v današnji digitalni dobi, predvsem zaradi njihove dostopnosti. A kot pri vseh sredstvih je vlaganje v kriptovalute bolj zapleteno, kot si najprej predstavljamo. Če hočemo biti pri trgovanju uspešni, moramo uporabiti preverjene metode trgovanja. Trgovanje lahko razdelimo na dva dela: strateški in taktični del. Za strateški del naloge bomo implementirali metodo optimizacije portfelja na podlagi razmerja Sharpe in razmerja Sortino. Za taktični del naloge bomo uporabili metodo ARIMA+GARCH za predvidevanje cen in napoved nakupov. Trgovalno strategijo bomo testirali s preverjanjem nazaj. Strategija bo uspešna, če bo bolj dobičkonosna in manj volatilna kot metoda ''kupi in drži'' z bitcoinom. Ugotovili smo, da tako strateški kot taktični del večata dobičke. Dobički v naši testni periodi so približno 2,27-krat večji kot pri metodi ''kupi in drži'' z bitcoinom. Taktični del strategije pa zagotavlja manjšo volatilnost glede na bitcoin. Volatilnost je približno 8 % manjša v primerjavi z metodo ''kupi in drži'' z bitcoinom, čeprav je strateški del strategije povečal volatilnost za 14 % glede na bitcoin.

• Language: Slovenian
• Keywords: kriptovalute, trgovalna strategija, razmerje Sharpe, ARIMA+GARCH, Bitcoin, optimizacija portfelja, vlaganje
• Work type: Bachelor thesis/paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FRI - Faculty of Computer and Information Science
• Year: 2021
• PID: 20.500.12556/RUL-129756
• COBISS.SI-ID: 76098051
• Publication date in RUL: 07.09.2021

Secondary language

• Language: English
• Title: Strategic and tactical trading strategy management with cryptocurrencies

Abstract

Cryptocurrencies are the most current means of investing money in the current digital era, especially because of their accessibility. But as with any funds, investing is harder than we first imagine. If we want to make a successful investment, we have to use proven methods of investment. We roughly divide investing into two parts: Strategy and Tactics. For the strategical part, we will implement a portfolio optimisation method, based on the Sharpe ratio and Sortino ratio. For the tactical part, we will use the ARIMA+GARCH method for price and trading forecasting. We will test the method via a Backtest. The strategy is successful, if it is more profitable and less volatile than a buy & hold method on Bitcoin. We uncovered, that both Strategy and Tactics make our strategy more profitable. The profits are about 2,27 times that of the buy & hold method on Bitcoin in our testing period. The tactical part of the strategy provides less volatility relative to Bitcoin. Volatility is about 8 % lower relative to the buy & hold method on Bitcoin, despite the strategical part of our trading strategy increasing volatility by 14 % relative to Bitcoin.

• Keywords: Cryptocurrency, trading strategy, Sharpe ratio, ARIMA+GARCH, Bitcoin, portfolio optimisation, investment