[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"doc-detail-117862-en":3,"doc-seo-117862-105":30,"detail-sidebar-cat-0-en-105":91},{"code":4,"msg":5,"data":6},0,"success",{"doc_id":7,"user_id":8,"nickname":9,"user_avatar":10,"doc_module":4,"category_id":11,"category_name":12,"doc_title":13,"doc_description":14,"doc_content":15,"file_id":16,"file_url":17,"file_type":18,"file_size":19,"view_count":4,"is_deleted":4,"is_public":20,"is_downloadable":20,"audit_status":20,"page_count":21,"language":22,"language_code":23,"site_id":24,"html_lang":23,"table_of_contents":25,"faqs":26,"seo_title":27,"seo_description":14,"update_tm":28,"read_time":29},117862,34359740700684,"Finn","https://ap-avatar.wpscdn.com/avatar/1f400023980c374ae676?_k=1777273430885731487",8,"Research & Report","Trend Following Strategies for Cryptocurrencies with Machine Learning - Dissertation Abstract","Cryptocurrencies offer significant return potential while remaining highly volatile and vulnerable to large drawdowns. The study evaluates whether trend following strategies can mitigate cryptocurrency risk and verifies the applicability of a risk managed momentum approach in the cryptocurrency market. It further tests a machine learning implementation to enhance the volatility reduction effect. Model development and backtesting are used to support the effectiveness of the proposed strategies.","Trend Following Strategies for Cryptocurrencies  \nwith Machine Learning  \nMatteo Mamino  \nDissertation written under the supervision of Dan H. Tran  \nDissertation submitted in partial fulfillment of requirements for the International MSc in Finance, at the Universidade Católica Portuguesa, 04/01/2023 .  \nAbstract  \nTitle: Trend Following Strategies for Cryptocurrencies with Machine Learning  \nAuthor: Matteo Mamino  \nCryptocurrencies could bring big returns, but they also carry high volatility and big crash sizes. I discovered that trend following strategies help investors to mitigate cryptocurrency’s risk. I also tested and confirmed that risk managed momentum strategy is applicable to the cryptocurr ency environment and that machine learning implementation further improves volatility reduction.  \nResumo  \nTítulo: Trend Following Strategies for Cryptocurrencies with Machine Learning  \nAutor: Matteo Mamino  \nCryptomoedas poderão levar a retornos elevados, contudo também podem estar expostos a maior volatilidade e quedas excessivas do mercado. Eu descobri que estratégias que seguem tendênciasajudam investidores a reduzir o risco das cryptomoedas. Também testei e confirmei que estratégias que gerem o risco de momentum podem ser aplicadas a cryptomoedas e que machine learning contribui para reduzir a exposição a volatilidade.  \nIndex  \n1. INTRODUCTION ....................................................................................................................................... 4  \n2. LITERATURE REVIEW ............................................................................................................................ 7  \n3. DATA........................................................................................................................................................ 10  \n3.1 CRYPTOCURRENCIES FEATURES .......................................................................................................................... 10  \n3.2 SENTIMENT FEATURES ......................................................................................................................................... 10  \n3.3 MACROECONOMICS FEATURES ............................................................................................................................ 11  \n3.4 TECHNICAL FEATURES ......................................................................................................................................... 12  \n4. MACHINE LEARNING............................................................................................................................ 14  \n4.1 ARTIFICIAL NEURAL NETWORK .......................................................................................................................... 16  \n4.2 GRADIENT BOOSTING .......................................................................................................................................... 17  \n4.3 RANDOM FOREST ................................................................................................................................................ 17  \n5. METHODOLOGY .................................................................................................................................... 18  \n5.1 VANILLA STRATEGIES.......................................................................................................................................... 18  \na. Buy and hold strategy....................................................................................................................................... 18  \nb. Trading strategy with moving averages ........................................................................................................... 19  \nc. Trading strategy with sentiment index .............................................................................................................20  \nd. Momentum strategy ........................................................................","cbCaiesT0CorEEzv","https://ap.wps.com/l/cbCaiesT0CorEEzv","pdf",1481805,1,38,"English","en",105,"# Introduction\n# Literature Review\n# Data\n## Cryptocurrencies Features\n## Sentiment Features\n## Macroeconomics Features\n## Technical Features\n# Machine Learning\n## Artificial Neural Network\n## Gradient Boosting\n## Random Forest\n# Methodology\n## Vanilla Strategies\n## Risk Managed Momentum\n## Machine Learning Implementation\n# Results\n## Models Results\n## Backtesting\n# Conclusions\n# Appendix\n# Reference List","[{\"question\":\"Why consider trend following strategies for cryptocurrencies?\",\"answer\":\"Cryptocurrencies can deliver high returns but also show high volatility and large crashes. The study finds trend following strategies help investors mitigate this risk.\"},{\"question\":\"What is the role of risk managed momentum in the research?\",\"answer\":\"The research tests and confirms that a risk managed momentum strategy is applicable in the cryptocurrency environment.\"},{\"question\":\"How does machine learning affect volatility reduction?\",\"answer\":\"The study reports that implementing machine learning further improves volatility reduction compared with the baseline momentum approach.\"}]","Trend Following Strategies for Cryptocurrencies with Machine Learning - Dissertation Abstract | PDF",1785680045,96,{"code":4,"msg":31,"data":32},"ok",{"site_id":24,"language":23,"slug":33,"title":13,"keywords":34,"description":14,"schema_data":35,"social_meta":86,"head_meta":88,"extra_data":90,"updated_unix":28},"trend-following-strategies-for-cryptocurrencies-with-machine-learning-dissertation-abstract","",{"@graph":36,"@context":85},[37,54,68],{"@type":38,"itemListElement":39},"BreadcrumbList",[40,44,48,51],{"item":41,"name":42,"@type":43,"position":20},"https://docshare.wps.com","Home","ListItem",{"item":45,"name":46,"@type":43,"position":47},"https://docshare.wps.com/document/","Document",2,{"item":49,"name":12,"@type":43,"position":50},"https://docshare.wps.com/document/research-report/",3,{"item":52,"name":13,"@type":43,"position":53},"https://docshare.wps.com/document/trend-following-strategies-for-cryptocurrencies-with-machine-learning-dissertation-abstract/117862/",4,{"url":52,"name":13,"@type":55,"author":56,"headline":13,"publisher":58,"fileFormat":61,"inLanguage":23,"description":14,"dateModified":62,"datePublished":62,"encodingFormat":61,"isAccessibleForFree":63,"interactionStatistic":64},"DigitalDocument",{"name":9,"@type":57},"Person",{"url":41,"name":59,"@type":60},"DocShare","Organization","application/pdf","2026-08-02",true,{"@type":65,"interactionType":66,"userInteractionCount":4},"InteractionCounter",{"@type":67},"ViewAction",{"@type":69,"mainEntity":70},"FAQPage",[71,77,81],{"name":72,"@type":73,"acceptedAnswer":74},"Why consider trend following strategies for cryptocurrencies?","Question",{"text":75,"@type":76},"Cryptocurrencies can deliver high returns but also show high volatility and large crashes. The study finds trend following strategies help investors mitigate this risk.","Answer",{"name":78,"@type":73,"acceptedAnswer":79},"What is the role of risk managed momentum in the research?",{"text":80,"@type":76},"The research tests and confirms that a risk managed momentum strategy is applicable in the cryptocurrency environment.",{"name":82,"@type":73,"acceptedAnswer":83},"How does machine learning affect volatility reduction?",{"text":84,"@type":76},"The study reports that implementing machine learning further improves volatility reduction compared with the baseline momentum approach.","https://schema.org",{"og:url":52,"og:type":87,"og:title":13,"og:site_name":59,"og:description":14},"article",{"robots":89,"canonical":52},"index,follow",{"doc_id":7,"site_id":24},{"code":4,"msg":5,"data":92},[93,97,101,105,110,115,120,123,128,131,135],{"id":20,"doc_module":4,"doc_module_name":46,"category_name":94,"show_sort_weight":95,"slug":96},"Story & Novel",90,"story-novel",{"id":47,"doc_module":4,"doc_module_name":46,"category_name":98,"show_sort_weight":99,"slug":100},"Literature",80,"literature",{"id":53,"doc_module":4,"doc_module_name":46,"category_name":102,"show_sort_weight":103,"slug":104},"Exam",70,"exam",{"id":106,"doc_module":4,"doc_module_name":46,"category_name":107,"show_sort_weight":108,"slug":109},5,"Comic",60,"comic",{"id":111,"doc_module":4,"doc_module_name":46,"category_name":112,"show_sort_weight":113,"slug":114},6,"Technology",50,"technology",{"id":116,"doc_module":4,"doc_module_name":46,"category_name":117,"show_sort_weight":118,"slug":119},7,"Healthcare",40,"healthcare",{"id":11,"doc_module":4,"doc_module_name":46,"category_name":12,"show_sort_weight":121,"slug":122},30,"research-report",{"id":124,"doc_module":4,"doc_module_name":46,"category_name":125,"show_sort_weight":126,"slug":127},9,"Religion & Spirituality",20,"religion-spirituality",{"id":126,"doc_module":4,"doc_module_name":46,"category_name":129,"show_sort_weight":126,"slug":130},"World Cup","world-cup",{"id":132,"doc_module":4,"doc_module_name":46,"category_name":133,"show_sort_weight":132,"slug":134},10,"Lifestyle","lifestyle",{"id":136,"doc_module":4,"doc_module_name":46,"category_name":137,"show_sort_weight":106,"slug":138},19,"General","general"]