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

中文翻译：

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使用算法交易分析比特币的短期获利能力

诸如比特币（BTC）之类的加密货币在最近已经出现了价值飙升，并为交易者提供了有用的投资机会。但是，使用算法交易策略的短期盈利能力仍未得到解答。在这项工作中，我们专注于使用七种交易算法在15天和30天的交易期间内，八年期BTC对欧元和日元的短期获利能力。我们使用经典的买入和持有（BH）作为基准策略。令人惊讶的是，我们发现日元平均比BTC和欧元更有利可图。但是答案也取决于算法的选择。预订价格算法分别在15天和30天内产生平均回报的7.5％和10％，这是三项资产的所有算法中最高的。对于BTC，所有算法都优于BH策略。我们还分析了交易费用对BTC算法获利能力的影响，并观察到对于长度为15的交易期，BTC没有交易策略可获利。对于长度为30的交易期，只有两种策略可获利。