The success rate is lower than 50% in seven cases, with the linear classification model being the worst model class. During the validation period, the classification models produce, on average for the three cryptocurrencies, a success rate of 51.10%, which is slightly lower than the corresponding figure for the regression models (51.99%). In http://paperscrypto.com/ the validation sample, the MAEs range from 4.25 to 11.96%, and the RMSEs range from 6.85 to 33.28%. Two models, the https://www.paperscrypto.com/ SVM models for bitcoin and litecoin, are not superior to the naïve model, achieving a Theil’s U2 of 127.13% and 144.60%, respectively. The tail risk is measured by the Conditional Value at Risk at 1% and the maximum drawdown.

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