Application of Three Different Machine Learning Methods on Strategy Creation for Profitable Trades on Cryptocurrency Markets

05/14/2021

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by   Mohsen Asgari, et al.

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AI and data driven solutions have been applied to different fields with outperforming and promising results. In this research work we apply k-Nearest Neighbours, eXtreme Gradient Boosting and Random Forest classifiers to direction detection problem of three cryptocurrency markets. Our input data includes price data and technical indicators. We use these classifiers to design a strategy to trade in those markets. Our test results on unseen data shows a great potential for this approach in helping investors with an expert system to exploit the market and gain profit. Our highest gain for an unseen 66 day span is 860 dollars per 1800 dollars investment. We also discuss limitations of these approaches and their potential impact to Efficient Market Hypothesis.