Cost-aware execution filters enable selected machine learning strategies, particularly long-only XGBoost, to achieve over 65% annualized returns and Sharpe ratios above 1 in hourly BTC trading despite 10bp costs.
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Machine Learning-Based Bitcoin Trading Under Transaction Costs: Evidence From Walk-Forward Forecasting
Cost-aware execution filters enable selected machine learning strategies, particularly long-only XGBoost, to achieve over 65% annualized returns and Sharpe ratios above 1 in hourly BTC trading despite 10bp costs.