Using algorithmic trading to analyze short term profitability of Bitcoin

Cryptocurrencies such as Bitcoin (BTC) have seen a surge in value the recent past and appeared useful investment opportunity for traders. However, their short term profitability using algorithmic trading strategies remains unanswered. In this work, we focus on of BTC against euro yen an eight-year period seven algorithms over periods length 15 30 days. We use classical buy hold (BH) benchmark strategy. Rather surprisingly, found that average, is more profitable than euro; however answer also depends choice algorithm. Reservation price result 7.5% 10% average returns days respectively which highest all three assets. For BTC, outperform BH analyze effect transaction fee observe no strategy BTC. 30, only two are profitable.