Forecasting Cryptocurrency Price Points using ARIMA and Applying Its Results to Designated Strategy (Enter and Exit)

This paper is about forecasting the price points of cryptocurrency and how its forecasted results be used in designating strategy when entering and exiting the market to calculate the resulting profit (loss). In this research, we shift our focus mainly to one of the top coins, namely Bitcoin, according to its market cap, price, and volume, as a representation of other coins. As we explore this topic, we will utilize several important methodologies in processing and analyzing data including ADF Test, KPSS Test, Differencing Test, Plotting in R, Box-Cox Transformation, ARIMA, Residual Check, etc. The purpose of this paper is to provide a more in-depth picture of cryptocurrencies and how they function, combined with the ARIMA method to forecast price points and identify whether or not these cryptocurrencies' forecasted price point results are indeed able to generate profits or vice versa. After the analysis is done, it is concluded that ARIMA method has accurately forecasted price points during the stable market period as all MAPE scores are below 5%. Furthermore, profit (loss) calculation utilizing models considering residuals is shown to be the best combination strategy for trading based on the biggest calculated price profit