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  • HO: TR10 Is Bigger When Price Is Above EMA20 Than Price Is Below EMA20

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    Erhan Eker
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    This document analyzes the relationship between the 10-bar return and the 20-period exponential moving average (EMA20) of the BTCUSDD price data across multiple timeframes. It finds that: 1) The 10-bar return is typically higher when the price is above the EMA20 than when below it. 2) Analyzing 1-minute and 5-minute data from 2017-2022 also shows significantly higher average returns for periods when the price is above the EMA20. 3) Linear regression of 10-bar returns against distance from the EMA20 supports the relationship between being above the EMA20 and higher subsequent returns.

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    This document analyzes the relationship between the 10-bar return and the 20-period exponential moving average (EMA20) of the BTCUSDD price data across multiple timeframes. It finds that: 1) The 10-bar return is typically higher when the price is above the EMA20 than when below it. 2) Analyzing 1-minute and 5-minute data from 2017-2022 also shows significantly higher average returns for periods when the price is above the EMA20. 3) Linear regression of 10-bar returns against distance from the EMA20 supports the relationship between being above the EMA20 and higher subsequent returns.

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    9 views3 pages

    HO: TR10 Is Bigger When Price Is Above EMA20 Than Price Is Below EMA20

    Uploaded by

    Erhan Eker
    This document analyzes the relationship between the 10-bar return and the 20-period exponential moving average (EMA20) of the BTCUSDD price data across multiple timeframes. It finds that: 1) The 10-bar return is typically higher when the price is above the EMA20 than when below it. 2) Analyzing 1-minute and 5-minute data from 2017-2022 also shows significantly higher average returns for periods when the price is above the EMA20. 3) Linear regression of 10-bar returns against distance from the EMA20 supports the relationship between being above the EMA20 and higher subsequent returns.

    Copyright:

    © All Rights Reserved
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    of 3

    DATA: BTCUSDD

    HO: TR10 is bigger when price is above EMA20 than price is below EMA20

    17.8.2017 to 04.01.2022 1602 bars


    EMA20
    Neutral_TR10 = -0.0144
    P_above_EMA_mean = -0.0305
    P_below_EMA_mean = 0.0049

    h= 0
    p= 1.0000

    EMA10 > EMA20 brought higher returns

    Neutral_TR10 = -0.0144
    P_above_EMA_mean = -0.0323
    P_below_EMA_mean = 0.0065

    h = 0
    p = 1.0000

    EMA20d>0 brought higher returns

    Neutral_TR10 = -0.0144
    P_above_EMA_mean = -0.0305
    P_below_EMA_mean = 0.0049
    h= 0
    p = 1.0000
    0.8

    y = - 3.4e-06*x - 0.014
    0.6

    0.4
    10 Bars Return

    0.2

    -0.2

    -0.4

    -0.6
    -1.5 -1 -0.5 0 0.5 1 1.5
    Close Price - EMA20 10 4

    Data 1 minute
    1.1.21 0:00 – 14.1.22 20:22 544550 bars

    P_above_EMA = data.TReturn10(data.EMA20<data.Close);

    Neutral_TR10 = -7.3034e-06
    P_above_EMA_mean ? 4.7084e-05
    P_below_EMA_mean = -6.2574e-05
    h= 1
    p = 4.1362e-24

    Data 5 minute
    17.8.2017 4:00 – 15.1.22 13:35 462685 bars
    struct with fields:

    P_above_EMA_mean: 9.5016e-05
    P_below_EMA_mean: -2.0719e-04
    h1: 1
    p1: 1.5763e-32
    P_above_EMA_mean2: 6.0636e-05
    P_below_EMA_mean2: -1.7023e-04
    h2: 1
    p2: 8.7978e-20
    Neutral_TR10: -4.9768e-05
    P_above_EMA_mean3: 9.5016e-05
    P_below_EMA_mean3: -2.0719e-04
    h3: 1
    p3: 1.5763e-32

    Data1 h1.1.2017 – 15.1.22

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