Bitcoin moving average

Checked October 2026

The rule holds bitcoin when price is above its own moving average and holds cash when price is below. Detzel, Liu, Strauss, Zhou and Zhu published the test in Financial Management in 2021. Backtoast ran the 20-day average. That version made 6.5% a year at +0.78% a trade, but failed our test on trade frequency and outlier dependence.

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Bitcoin moving average

It checks once a day at the 00:00 UTC close. Above the 20-day average it holds all bitcoin and below it holds all cash, so it's out for most of a long fall and back in after a rally has already started.

The paper also tests 5, 10, 50 and 100 days. This run is the 20-day one, on bitcoin alone, and its cash earned nothing. The 50-day crossing the 200-day is the golden cross and death cross.

The same idea on a 10-month average across five markets is the 10 month moving average strategy, and the bitcoin one minute moving average runs it on minute bars with a 1% band.

When it works

Traders use it to stay with bitcoin's long rallies and sit out most of its long falls, so it does well when bitcoin trends for months and loses in sideways markets, when price keeps crossing the average. It was strongest in the last six months of our run, at +4.03% a trade. A band around the average, so small crossings don't trade, is the usual fix, and a draft can test that before you spend a full test.

Origins

Detzel, Liu, Strauss, Zhou and Zhu tested 2010 to 2017 before costs, and found a Sharpe ratio of 2.6 with the 5-day average and 2.2 with the 100-day, against 2.0 for holding bitcoin, with a worst drop of 66% to 70% against 89.5%. The run is from late 2021 to September 2026.

The run is Backtoast's, from 29 October 2026, after costs.