Abstract
We investigate a multi-class machine learning (ML) framework to generate daily Bitcoin trading signals—Buy, Sell, or Hold. Three algorithms—XGBoost, LightGBM, and Random Forest—are compared with a naive buy-and-hold strategy. Using BTC/USD daily data (2015–2024), we apply a range of technical indicators across trend, momentum, volatility, and volume, later pruned by correlation analysis. A ±1% threshold defines the "Hold" zone to avoid minor fluctuations. Empirical tests show that LightGBM outperforms other models and even surpasses buy-and-hold in final portfolio value. Our findings support the design of tri-class ML strategies tailored for high-volatility markets like cryptocurrency.
Paper Type
Poster
DOI
10.62036/ISD.2025.42
Determining Multi-Class Trading Signals for Bitcoin: A Comparative Study of XGBoost, LightGBM, and Random Forest
We investigate a multi-class machine learning (ML) framework to generate daily Bitcoin trading signals—Buy, Sell, or Hold. Three algorithms—XGBoost, LightGBM, and Random Forest—are compared with a naive buy-and-hold strategy. Using BTC/USD daily data (2015–2024), we apply a range of technical indicators across trend, momentum, volatility, and volume, later pruned by correlation analysis. A ±1% threshold defines the "Hold" zone to avoid minor fluctuations. Empirical tests show that LightGBM outperforms other models and even surpasses buy-and-hold in final portfolio value. Our findings support the design of tri-class ML strategies tailored for high-volatility markets like cryptocurrency.
Recommended Citation
Stawarz, M. & Stasiak, M. (2025). Determining Multi-Class Trading Signals for Bitcoin: A Comparative Study of XGBoost, LightGBM, and Random ForestIn I. Luković, S. Bjeladinović, B. Delibašić, D. Barać, N. Iivari, E. Insfran, M. Lang, H. Linger, & C. Schneider (Eds.), Empowering the Interdisciplinary Role of ISD in Addressing Contemporary Issues in Digital Transformation: How Data Science and Generative AI Contributes to ISD (ISD2025 Proceedings). Belgrade, Serbia: University of Gdańsk, Department of Business Informatics & University of Belgrade, Faculty of Organizational Sciences. ISBN: 978-83-972632-1-5. https://doi.org/10.62036/ISD.2025.42